---
title: "S&P 500 full protection lagged a 17% market, and October priced three different caps"
url: "https://etf.net/news/s-p-500-full-protection-lagged-a-17-market-and-october-priced-three-different-caps-2026-10-12"
published_at: "2026-10-12T14:58:51.201Z"
updated_at: "2026-10-12T14:58:51.201Z"
byline: "ETF.net Research"
---

# S&P 500 full protection lagged a 17% market, and October priced three different caps

Innovator's October 1, 2026 reset set starting caps of 4.26% over six months, 9.43% over one year and 21.34% over two years, all before fees, and only the one-year figure is a one-year rate.

By ETF.net Research. Published Oct 12, 2026.

Through Friday, October 9, 2026, Innovator Equity Defined Protection ETF JAJL had a total return of **6.0%**. State Street SPDR S&P 500 ETF SPY had a total return of **17.3%**.

JAJL has $303 million in assets, and it resets every six months, in January and in July. iShares Large Cap Max Buffer Jun ETF MAXJ, iShares' June contract, returned 6.8% over the same year. Calamos Laddered S&P 500 Structured Alt Protection ETF CPSL holds twelve monthly funds rather than one, and it returned 5.8%.

Chart: **SPY** returned 17.3%; the three protection funds returned 5.8% to 6.8%

These funds seek an S&P 500 fund's gain up to a cap, and protection against losses in that fund over a set period, before fees. Innovator calls the protection a buffer. It says there is no guarantee the buffer is delivered, that the result is for a shareholder who holds from the first day of the period to the last, and that the fund will not consistently track the S&P 500 fund during the period.

Innovator defines JAJL's cap on the price return of an S&P 500 fund, not on a total return. Over the year, SPY's price rose 16.0%. The 17.3% includes dividends.

## What the three periods paid

The 6.0% runs from October 9, 2025 to October 9, 2026. JAJL resets in January and July, so the window crosses three periods.

The period from July 1 to December 31, 2025 opened at a cap of 3.64% before fees and 3.24% after. Innovator said so in a prospectus filed July 1, 2025. From the end of June to the end of December, the fund's price rose 3.2%. SPY's price rose 10.4%.

The period from January 1 to June 30, 2026 opened at 3.30% before fees and 2.90% after, the prospectus dated February 27, 2026 said. From the end of December to the end of June, the fund's price rose 2.9%. SPY's price rose 9.5%.

Chart: **JAJL** rose 3.2% and 2.9%; SPY's price rose 10.4% and 9.5%

On these numbers, the fund's price in both finished periods rose about as far as the cap after fees.

The period open now runs from July 1 to December 31. It opened at 4.10% before fees and 3.70% after, Innovator said in a supplement dated July 1, 2026.

In the quarter ended September 30, inside that period, JAJL gained 1.2%. SPY's price gained 2.1%, and its total return was 2.4%. The cap had not been reached. The gap is the one Innovator flags: the fund does not track the S&P 500 fund step for step before the period ends.

## What October priced

On October 1, 2026, Innovator reset three series. Each seeks protection against 100% of losses in an S&P 500 fund, before fees. The caps cover six months, one year and two years.

Table: Fund, Period, Cap before fees, Cap after fees

Innovator's defined-protection funds charge 0.79% a year. The after-fee column is that charge taken out for the length of the period, as Innovator reports it. The 21.34% is what the two-year fund seeks over two years, before fees, not an annual rate. It is 8.38 percentage points above the 12.96% starting cap Innovator set, in the prospectus dated February 27, 2026, for the AOCT period that ended September 30.

Calamos S&P 500 Structured Alt Protection ETF: October CPSO opened the same day at 8.75% before fees and 8.06% after. Starting protection was 100% before fees and 99.31% after, Calamos reported as of October 1. That after-fee cap and ZOCT's 8.64% are both one-year figures. The six-month and two-year caps cover different lengths of time.

## The ladder holds all twelve

CPSL exists so a buyer does not have to pick a month. Calamos says it allocates evenly across 12 monthly S&P 500 protection funds. Its fact sheet, as of June 30, calls that continuous exposure to 100% downside protection, and also says protection is in some cases lowered from 100% to keep a minimum cap of 1%.

On October 1, Calamos's page for the ladder showed the October fund with 364 days left. Its remaining cap was 8.50%, and its protection was 99.78%, both before fees. Calamos defines that remaining cap as the maximum return still available at the current price if the shares are held to the end of the period.

The November fund, Calamos S&P 500 Structured Alt Protection ETF: November CPSN, had 29 days left, and its period ends October 30. It opened on November 3, 2025 at a cap of 6.78%. By October 1 the remaining cap was 0.64%. A buyer that day would have taken the first 5.78% of any further loss before protection began. The low figure is what was left of the original cap, not a new cap set at 0.64%.

Across the twelve funds, Calamos's weighted average of the caps they started with was 7.11%. The weighted average remaining cap was 4.32%. The weighted average protection was 97.38%. All three are before fees.

The ladder's management fee is 0.10%. Its prospectus dated November 28, 2025 puts total annual operating expenses at 0.79%, of which 0.69% is the fees of the funds it holds. That is the same all-in charge as Innovator's 0.79%, with most of it coming from the funds inside.

A purchase of the ladder on October 1 was not a purchase of the October fund's remaining 8.50%. It was a purchase of all twelve, at the 4.32% weighted average still left, including a November fund with almost no upside left and a gap before its protection started. The protection is measured from the price at the start of each fund's period, not from the price a buyer pays later.

Source: etf.net, https://etf.net/news/s-p-500-full-protection-lagged-a-17-market-and-october-priced-three-different-caps-2026-10-12. Please cite the page URL.