Active PutWrite Performance Summary – Q2 2021

  • Ongoing macroeconomic stabilization paired with additional U.S. fiscal stimulus supported the equity market’s rally, though it was interrupted in the middle of the quarter. Renewed concerns regarding the outlook for inflation, ongoing labor market imbalances and the potential for rising interest rates led to a brief equity market drawdown from May 7 through May 12, which was followed by a strong advance through quarter-end. 
  • The Cboe® Volatility Index averaged 18.00 in the second quarter of 2021. Consistent with its normal relationship, average implied volatility exceeded realized volatility, as measured by the standard deviation of daily returns for the S&P 500® Index, which was 11.16% for the quarter. Implied volatility was generally rangebound over the period.
  • As the equity market advanced through the quarter, Gateway’s investment team made active adjustments to select written index put option positions to increase cash flow and provide market exposure that is consistent with the Composite’s typical profile.

* 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. Data as of June 30, 2021, unless noted otherwise. Past performance is not indicative of future results. Sources: Morningstar DirectSM and Bloomberg, L.P.