Active PutWrite Performance Summary – Q2 2022

August 9, 2022
Active PutWrite Commentary

Record-high inflation persisted, accelerating the Federal’s Reserve’s monetary tightening schedule while souring investor sentiment, resulting in a 19.69% decline for the S&P 500^® Index from April 4 to June 16, at which time it officially entered a bear market.
Throughout the quarter, the Gateway Active Index-PutWrite Composite (the Composite) provided equity market participation and consistent loss mitigation. From April 4 through June 16, the Composite* provided 584 bps of loss mitigation, net of fees, relative to the S&P 500^® Index. During the year-to-date maximum drawdown from January 3 through June 16, the Composite provided 707 bps of loss mitigation, net of fees, relative to the equity market. As the S&P 500^® Index advanced from June 16 through quarter-end, the Composite provided equity market participation although it lagged the rapid advance of the market, as expected.
Most of the Composite’s underperformance for the quarter versus the PUT^SM came during the drawdown from April 4 through June 16. During this period, the Composite provided significant loss mitigation relative to the S&P 500^® Index, however, the rules-based timing of the PUT^SM’s option replacement resulted in a lower than usual amount of market exposure and, thus, a smaller loss.
In achieving its low-volatility objective, the Composite’s annualized standard deviation of daily returns for the quarter was 21.13% compared to 28.32% and 20.70% for the S&P 500^® Index and the PUT^SM, respectively. The Composite* exhibited a beta to the S&P 500^® Index of 0.73 for the quarter.
As the equity market declined throughout the quarter, adjustments to the written index put option portfolio focused on lowering the weighted-average strike price to maintain market exposure that is consistent with the Composite’s typical profile while taking advantage of elevated implied volatility to enhance cash flow potential.

The PUT^SM performance characteristics are not reflective of Gateway’s strategies or performance. Returns less than one-year are not annualized. Past performance is not indicative of future results. Data as of June 30, 2022, unless noted otherwise. See definitions in appendix. Data sources: Morningstar Direct^SM 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 oldest account in the Composite.

Active PutWrite Performance Summary – Q2 2022

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