Active Overwrite Performance Summary – Q4 2022

Throughout the quarter, the Gateway Active Index-Option Overwrite Composite (the Composite) provided equity market participation and consistent loss mitigation. Most of the Composite’s outperformance versus the Cboe® S&P 500 BuyWriteSM Index (the BXMSM) in the fourth quarter came during the equity market advance from its 2022 low on October 12 through the end of November. The Composite’s active and diversified approach resulted in a typical amount of market exposure over the course of the market advance while the rules-based timing of the BXMSM’s replacement of its single written index call contract resulted in the BXMSM having less exposure to the market than usual. Specifically, the Composite* returned 10.38% from October 12 through November 30 relative to the 8.14% return of the BXMSM.

In achieving its low-volatility objective, the Composite’s* annualized standard deviation of daily returns for the quarter was 15.83% compared to 25.07% and 14.56% for the S&P 500® Index and the BXMSM, respectively. The Composite* exhibited a beta to the S&P 500® Index of 0.62 for the quarter.

During the fourth quarter, in periods of market decline, Gateway’s investment team was active in making adjustments to the written index call option portfolio and focused on monetizing above-average levels of volatility. During periods of market advance, the team kept its patience in making adjustments while above-average premiums allowed for attractive participation.

Active Overwrite Performance Summary - Q4 2022

The BXMSM performance characteristics are not reflective of Gateway’s strategies or performance. Data as of December 31, 2022, unless noted otherwise. Past performance is not indicative of future results. Data sources: Morningstar DirectSM and Bloomberg, L.P. *The portfolio statistics reflected for the Composite are those measured by a representative account. This information represents supplemental information to the GIPS® Composite Report. This representative account was selected as it is the largest account in the Composite.