- War in Ukraine paired with rising interest rates, record inflation and strict sanctions on Russia that helped drive oil above $100 per barrel drove the market decline from January 3 through March 8. As investors digested their growing list of concerns, the equity market staged a late-quarter rally and partial recovery from March 8 through quarter-end. The Agg has posted negative returns in 13 of the last 24 months including six of the seven months in which the S&P 500® Index return was negative.
- In achieving its low-volatility objective, the Gateway Index/RA Composite’s (the Composite)* annualized standard deviation of daily returns for the quarter was 11.17%, significantly less than the 21.48% for the S&P 500® Index during the same time period. The Composite exhibited a beta to the S&P 500® Index of 0.51 for the quarter.
- As the equity market trended down through March 8, Gateway’s investment team focused on written index call option portfolio adjustments that lowered weighted-average strike price to maintain market exposure consistent with the Composite’s typical profile while taking advantage of elevated implied volatility to enhance cash flow potential. The team was active in its management of the Composite’s portfolio of index put options during the quarter, making several changes to the put coverage level in an effort to monetize very high implied volatility while maintaining the Composite’s typical risk profile.
Returns less than one-year are not annualized. Past performance is not indicative of future results. Data as of March 31, 2022, unless noted otherwise. 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 largest account in the Composite.