Throughout the quarter, the Gateway Active Index-PutWrite Carve-Out Composite (the Composite) provided equity market participation and consistent loss mitigation. Most of the Composite’s outperformance versus the Cboe® S&P 500 PutWriteSM Index (the PUTSM) in the fourth quarter came during the equity market advance from its 2022 low on October 12 through the end of November. 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 put contract resulted in the PUTM having less exposure to the market than usual. Specifically, the Composite* returned 8.93% from October 12 through November 30 relative to the 7.30% return of the PUTSM.
In achieving its low-volatility objective, the Composite’s* annualized standard deviation of daily returns for the quarter was 13.84% compared to 25.07% and 13.53% for the S&P 500® Index and the PUTSM, respectively. The Composite* exhibited a beta to the S&P 500® Index of 0.53 for the quarter.
During the fourth quarter, in periods of market decline, Gateway’s investment team was active in making adjustments to the written index put option portfolio and focused on monetizing above-average levels of volatility. During periods of market advance, the team kept its patience in making adjustments while above-average premiums allowed for attractive participation.
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, 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.