- While generating its highest calendar-year return since its April 1, 2015 inception, the Composite’s diversified and active index put option writing approach generated risk reducing cash flow throughout 2021 while delivering equity market participation during periods in which the equity market advanced and downside protection during market declines. Specifically, the Composite produced positive returns in all four quarters while incurring smaller losses than the S&P 500® Index in January, September, and November when equity market returns were negative. Returns for the year were buoyed by relatively elevated implied volatility and active management focused on the higher volatility priced-into longer-dated call option contracts and a persistently above-average VRP.
- The Cboe® Volatility Index®, averaged 19.28 in the fourth 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 13.89% for the quarter.
- Over the first half of the year as the equity market advanced while implied volatility trended down, the investment team focused on exchanging index put options with contracts featuring higher strike prices. Over most of the second half of 2021, the team focused on extending weighted-average time to expiration to take advantage of the relatively elevated implied volatility priced into longer-dated contracts in an effort to maintain the Composite’s cash flow potential and typical risk profile.
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 December 31, 2021, 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.