- 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 Index/RA Composite (the Composite) provided equity market participation and consistent loss mitigation. From April 4 through June 16, the Composite* provided 752 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 829 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.
- In achieving its low-volatility objective, the Composite’s annualized standard deviation of daily returns for the quarter was 15.84%, significantly less than the 28.32% for the S&P 500® Index during the same time period. The Fund exhibited a beta to the S&P 500® Index of 0.55 for the quarter.
- As the equity market declined throughout the quarter, adjustments to the written index call 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 team was active in its management of the index put option portfolio during the quarter while maintaining the Composite’s typical risk profile. Several changes to the put coverage level were made in an effort to monetize higher volatility being priced into index put contracts and to preserve index put gains in the event of a sudden and sharp market recovery.
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. 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.