Full protection funds returned 5.9% as a 17% S&P 500 year tested the cap, not the floor

On Monday, September 21, Calamos's just-reset September fund BCPST still offered 7.96% of remaining cap before fees, 7.31% after, with 344 days left and 99.91% gross protection. It had opened September 1 at an 8.06% gross cap and 100% gross protection. The same day's iShares Large Cap Max Buffer Mar ETF BMMAX showed 2.95% of remaining cap, 191 days left, and a 96.16% remaining buffer. Its period started April 1 at a 6.52% cap.

Two funds in the same graded category, on the same day, were not the same purchase. BMMAX has already converted most of its upside into a realized gain, and its remaining buffer has been eroded. BCPST has not. A holder of the March vintage who wants the original contract has to wait for the next April reset, or sell and buy a fresh month.

That is what a year that used the cap looks like from a buyer's seat. Through Wednesday, September 23, the 39 funds etf.net grades in S&P 500 Full Protection posted one-year total returns in a band only 2.8 percentage points wide, from 3.93% to 6.75%. State Street's S&P 500 tracker ASPY returned 17.0% over the same twelve months, total return. The category median was 5.9%, 11 percentage points behind. Mid-period vintages spent their upside because large-cap prices rose. The 100% downside floor was not the constraint.

The typical contract in this field seeks the price return of an S&P 500 tracker up to a preset cap, and seeks to absorb 100% of that tracker's price decline, over a stated outcome period, before fees. Hold the shares from the period's first day to its last and those two numbers are the contract. Buy later, sell early, or count on total return including dividends, and the contract does not apply in the same way. The 100% figure is also gross of expenses, so a holder to expiry can still lose the fee. The graded peer set also includes a Nasdaq-100 vintage, two bitcoin protection funds, and defined-outcome income and partial-buffer products that do not make that S&P 500 floor promise. The median, the $2.54 billion asset total, and the grade counts below are statistics of that field.

The 3.93%-to-6.75% year

Even on price return alone, which is the quantity these options packages actually reference, ASPY was up 15.8%. The funds were never going to keep up.

Year to date from December 31 the pattern held. From June 30 through September 23 the market itself slowed, and so did the category.

iShares Core U.S. Aggregate Bond ETF AAGG lost 1.0% over the year. Full protection finished ahead of the bond market and behind the equity market.

The year's return leaders were not a different design. Innovator's two-year defined-protection fund to April 2028 AAPR led the field at 6.75%. The two-year January 2028 vintage AJAN sat at the bottom at 3.93%. Same issuer, same 0.79% fee, same 100% floor before expenses, different starting caps and different points in their periods. Vintage, not brand, set the ranking.

The table is the year in one view: a tight cluster of fund returns, a wide gap to ASPY, and a quieter quarter for the two-year resets.

The $2.54 billion field

The category held $2.54 billion across 39 funds on September 23. The median fee was 0.69%. Innovator's six-month January/July series CJAJL is the largest single fund at $298 million, about 12% of category assets, and a C on etf.net's published method. Its current outcome period runs July 1 through December 31, with a 4.10% starting cap before fees and a 100% starting buffer. The one-year July series CZJUL, at $194 million, reset the same day with an 8.45% starting cap through June 30, 2027.

Goldman Sachs said on April 2 that it had closed its acquisition of Innovator, folding in a defined-outcome platform the bank put at about $31 billion across 171 ETFs as of February 28. Innovator's floor series still reset on their own calendars; CJAJL remains the largest fund in this field.

Two funds carry an A. Calamos's laddered S&P 500 protection fund ACPSL ranks first in the 39-fund field. It holds the 12 monthly Calamos vintages in roughly equal weight, so there is no single cap and no single floor at the wrapper. Calamos lists total annual fund operating expenses at 0.79%, of which 0.69% is acquired fund fees on those underlying ETFs and 0.10% is the management fee. etf.net's Cost pillar, which measures net expense ratio, still ranks ACPSL first in the category. iShares Large Cap Max Buffer Jun ETF AMAXJ, at $165 million and 0.53%, is the other A. It references iShares Core S&P 500 ETF, resets each June, and started its current hedge period on July 1 with an 8.04% cap and a 99.50% starting buffer, 0.50 percentage points of downside before protection begins. iShares does not promise a round 100%.

Those letters did not pick last year's winners. AAPR led the one-year board with a C. AMAXJ returned 6.3%. ACPSL returned 5.6%. Cost and tradability separated the two A's from a field that is mostly C: 22 funds at that letter, seven B, six D, and two still ungraded.

The ungraded pair listed in the quarter. Corgi's July series —HJLY listed July 2. The August series —HAUG listed August 4. Both charge 0.30%. The method keeps them in a preliminary state until the evidence is there. On July 1, Innovator's two-year July fund rolled into a new period through June 30, 2028, and took the name Innovator Equity Defined Protection ETF, 2 Yr to July 2028, still AJUL, with an 18.32% starting cap before fees and a 100% starting buffer. It returned 0.6% in the quarter, the quietest of the large names, as a fresh two-year ceiling absorbed only a slice of ASPY's 3.1%.

Remaining cap is the purchase

A ticker in this category is a series, not a payoff. What governs a buy today is remaining cap, remaining protection, and days left, all of which move as the reference asset moves.

The ladder ACPSL is the product built for people who do not want to make that timing choice every year. Calamos listed current caps on the twelve underlying vintages from 0.16% on the October series, which is about to reset, to 8.20% on the just-reset September series. A holder of ACPSL owns an average of those twelve clocks.

Caps are option prices. They move with rates, volatility, and tenor, which is why CJAJL's six-month cap is 4.10% and AJUL's two-year cap is 18.32%, set on the same July 1. One-year starting caps on the July and September resets sat near 8%, roughly four percentage points above the 1-year Treasury yield of 4.49% on September 23. The Federal Reserve raised its benchmark by 25 basis points on September 16, to a 3.75%-4% target range, its first increase since 2023. The 10-year yield was 5.11% on September 23. A one-year cap near 8% has to be judged against that curve, not as a forecast of the next twelve months.

The year did not ask these funds to catch a falling market. It asked them to sit under a ceiling while large-cap prices rose, and they did. A buyer today still faces two clocks: a September vintage with almost a full cap, or a March vintage with under 3% left. The floor was unused. The fact that would change the read of this category is a year that tests the other side of the contract.