ETFIQ

ETFIQ Quarterly

What a buffer ETF delivers mid-period, 2026-Q2

The second quarter of 2026, Apr 1, 2026 to Jun 30, 2026

114 funds measured · published Sep 11, 2026

Across the 114 buffer ETFs whose outcome period ran through the whole of the second quarter of 2026, the reference rose in every case and the median fund delivered 48.5 percent of that rise, with the buffer engaged on none of them.

ETFIQ is an independent publisher of data about exchange-traded funds. It is not a fund issuer, broker-dealer or investment adviser and makes no recommendations. Every figure here is arithmetic on a named public source and carries the date it applies to. These figures do not change once published.
etfiq.com · the data file behind this report is at etfiq.com/data/quarterly/2026-Q2-buffer.json

A closed quarter, Apr 1, 2026 to Jun 30, 2026. These figures do not change. Published Sep 11, 2026.

What a buffer ETF delivers mid-period, 2026-Q2, 2026-Q2

Across the 114 buffer ETFs whose outcome period ran through the whole of the second quarter of 2026, the reference rose in every case and the median fund delivered 48.5 percent of that rise, with the buffer engaged on none of them.

The problem

A buffer ETF promises a shape. You get the reference asset’s return, capped above at a level struck when the period began, and protected below down to another one. Every part of that is true, and all of it arrives on a single day: the last day of the outcome period. On every other day of the year what you own is a basket of options that have not matured, and a basket of unmatured options does not have the shape it will settle into.

So the fund moves a fraction of the reference in both directions, the fraction depends on how much time is left and where the reference sits between the two ends, and for most of the period neither end is doing anything at all. None of that is hidden. It is simply not measured anywhere, and a holder checking a price in month four has no way to tell whether what they are looking at is the fund working or the fund failing.

What happened in the second quarter of 2026

The reference rose for every one of the 114 funds whose period ran through the whole quarter. Every one of them delivered less than the whole of that rise. The median fund passed on 48.5 percent, the tenth 31.3 and the ninetieth 67.1, and the median gap to the reference was 7.48 percentage points.

That is the instrument working. A fund that had passed on all of a rise in month two would be a fund with nothing left to give at the cap, and the ones passing on least are mostly the ones whose reference has run furthest toward it.

What the fraction is made of

Three things, and the first two are not costs. Time: the options that produce the cap and the buffer are worth less than their settled value until they settle, so a fund holding them prices between the two ends rather than at them. Where the reference sits: near the middle of the range a fund moves close to one-for-one with it, and as the reference approaches the cap each further point is worth less to the fund because the fund has sold that point away. And the fee, which is the only part of the three a holder pays for and the only one that does not reverse by the last day.

The first two reverse. A fund at 48 percent of its reference in June is not 52 percent behind for good; if the reference finishes the period where it is, the fund converges on the shape it promised as the options mature. What this study measures is the middle of that journey, which is where every holder who checks a price actually stands.

Every fund, 2026-Q2

All 114 funds, least of the reference passed on first. The cap and the buffer are as struck at the start of each fund’s own outcome period. Returns are over the quarter’s days. Figures in percentage points.

How this was computed

Each fund’s total return across the quarter on split and distribution adjusted closes, against its own reference asset’s total return over the same two dates, from Tiingo. The share captured is the fund’s return as a percentage of the reference’s, computed only where the reference moved more than half a point, because a share of nothing is a division by zero wearing a percent sign.

Whether the cap or the buffer was binding is measured against each fund’s own period start and at the quarter’s close, on the reference’s price rather than its total return, because that is the level the terms are struck against. The desk publishes the same quantity as of tonight, which is a different number and a fact about tonight: 41 of these funds have their reference past the cap today, and that says nothing about a quarter that closed in June.

What was left out, and why

An outcome period is a year and a quarter is three months, so the two do not line up. A fund that reset inside the quarter has two sets of terms inside it, and the desk carries only the newer, so measuring it against those would be measuring most of the quarter against a cap and a buffer that did not exist yet. Those funds are counted out here rather than published.

Check it yourself

Every figure above is in the file below, fund by fund, with the excluded funds and the reason for each. It is free to use, including commercially, with attribution to ETFIQ and a link.

Where to next

Cite this page. ETFIQ, What a buffer ETF delivers mid-period, 2026-Q2, data as of Sep 11, 2026. https://etfiq.com/research/quarterly/2026-q2-buffer/ Free to use with attribution; the underlying files are at Open data.