- 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 PUTSM 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 PUTSM’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 PUTSM, 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 PUTSM 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 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 oldest account in the Composite.