Active Overwrite Performance Summary – Q2 2022

July 22, 2022
Active Overwrite Commentary

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 Active Index-Option Overwrite Composite (the Composite) provided equity market participation and consistent loss mitigation. From April 4 through June 16, the Composite* provided 559 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 632 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 slightly lagged the rapid advance of the market, as expected.
Most of the Composite’s outperformance versus the BXM^SM in the second quarter came during the brief equity market advance during the end of May. 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 BXM^SM’s replacement of its single written index call contract resulted in the BXM^SM having less exposure to the market than usual.
In achieving its low-volatility objective, the Composite’s annualized standard deviation of daily returns for the quarter was 21.68% compared to 28.32% and 20.77% for the S&P 500^® Index and the BXM^SM, respectively. The Composite exhibited a beta to the S&P 500^® Index of 0.76 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 BXM^SM performance characteristics are not reflective of Gateway’s strategies or performance. Data as of June 30, 2022, unless noted otherwise. Past performance is not indicative of future results. Data sources: Morningstar Direct^SM 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.

Active Overwrite Performance Summary – Q2 2022

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