Over the year to October 9, 2026, 40 of the 128 index income ETFs in this study finished ahead of the index they write options on, once every cash payment is counted and reinvested. The median fund lagged its benchmark by 0.9 points. The gap was not evenly spread across issuers. Overlay Shares, with 6 of 7 funds ahead, and Aptus, with all 3 of its funds ahead, sat at the favourable end, alongside Global X and NEOS, where 6 of the funds tracked beat their benchmark. Innovator sat at the other end, with none of its 14 full-year funds ahead and a median gap of −11.2 points. GraniteShares and Defiance also showed no funds ahead of benchmark among those with a full year of data.
The pattern holds when funds are grouped by how much cash they paid out rather than by issuer. Funds paying under 8% a year had a median total return of +7.1% despite trailing their benchmark by 4.3 points, the widest gap of any payout band but on a smaller cash outlay. Funds in the 8% to 15% range came closest to their benchmark, with a median gap of −0.9 points and a median total return of +12.9%, the strongest of the five bands. Above that, the relationship with price turns negative and stays that way: the 15%-to-30% band had a median price change of −19.5%, the 30%-to-60% band −45.7%, and the 60%-and-above band −71.5%. Total return follows the same slide, turning negative at −5.9% in the 30%-to-60% band and −35.7% above 60%. The summary's description holds across the data: the higher the distribution rate, the worse the price did and the further behind the benchmark the fund fell.
Return of capital, the portion of a distribution that is not income or realised gains but a return of the investor's own money, offers one way to read this. Across 61 YieldMax funds with 19a-1 notices, the median fund's latest distribution was 31% return of capital, and YieldMax's own one-year median price change was −39.4%. Other issuers in this table ran higher return-of-capital shares alongside steeper price declines: GraniteShares showed a median of 95% return of capital with a one-year median price change of −66.4%, and Global X showed 99% with a median price change of +2.9%, a reminder that a high return-of-capital estimate does not by itself fix the direction of the price. NEOS, Kurv, REX, and Defiance each reported return-of-capital medians between 85% and 94%, with price changes ranging from −2.2% to −26.2%.
Taken together, the issuer table and the distribution-rate table describe the same mechanism from two angles: funds built around very large headline yields have tended to fund more of that yield from the price itself, which shows up both in return-of-capital estimates and in the median price changes reported for those funds.
Readers can check any fund's current distribution rate, its latest 19a-1 return-of-capital estimate, and its trailing total return against its stated benchmark on the live desk.