- Throughout the quarter, the Gateway Active Index-PutWrite Composite (the Composite) provided equity market participation and consistent loss mitigation. As the S&P 500® Index advanced from July 1 to August 16, the Composite provided equity market participation – although it lagged the rapid advance of the market, as expected. From August 16 through September 30, the Composite provided 554 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 September 30, the Composite provided 692 bps of loss mitigation, net of fees, relative to the equity market.
- Most of the Composite’s outperformance versus the Cboe® S&P 500 PutWriteSM Index (the PUTSM) in the third quarter came during the brief equity market advance during the first half of the quarter. 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 PUTSM’s replacement of its single written index call contract resulted in the PUTSM having less exposure to the market than usual.
- In achieving its low-volatility objective, the Composite’s annualized standard deviation of daily returns for the quarter was 13.01% compared to 21.39% and 14.02% for the S&P 500® Index and the PUTSM, respectively. The Composite exhibited a beta to the S&P 500® Index of 0.59 for the quarter.
- As the equity market advanced during the first half of the quarter, the investment team was patient in adjusting index put options contracts. As the equity market declined during the second half of the quarter, adjustments to the written index put option portfolio took 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 September 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.