- Throughout the quarter, the Gateway Index/RA 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 682 basis points (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 796 bps of loss mitigation, net of fees, relative to the equity market.
- In achieving its low-volatility objective, the Composite’s* annualized standard deviation of daily returns for the quarter was 11.11%, significantly less than the 21.39% 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 market declined during the second half of the quarter, adjustments to the written index call option portfolio took advantage of elevated implied volatility to enhance cash flow potential. Index put coverage was increased to a range of 80% to 95% on August 12. On September 21 a portion of the put portfolio’s gains were realized and coverage was reduced to a range of 65% to 80%. With implied volatility lacking responsiveness to steep market declines in 2022, several changes have been made to put coverage level in an effort to frequently monetize modest put gains while maintaining a typical risk profile.
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. 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.