Index/RA Performance Summary – Q4 2022

Throughout the quarter, the Gateway Index/RA Composite (the Composite) provided equity market participation and consistent risk mitigation. From the beginning of the quarter through October 12, the equity market’s 2022 low, the Composite* climbed 0.32% while the S&P 500^® Index declined 0.19%. The Composite* provided strong participation in the partial market recovery from October 12 through November 30 with a return of 7.47% relative to the S&P 500^® Index return of 14.35%. During the equity market’s December selloff, the Composite provided 284 basis points (bps) of risk mitigation relative to the -5.76% return of the S&P 500^® Index.

In achieving its low-volatility objective, the Composite’s* annualized standard deviation of daily returns for the quarter was 12.27%, less than half the 25.07% for the S&P 500^® Index. The Composite* exhibited a beta to the S&P 500^® Index of 0.48 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 call 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 team was active in its management of the Composite’s portfolio of index put options during the quarter, while maintaining the Composite’s typical risk profile. After reducing put coverage to a range of 65% to 80% in September, two additions to put coverage early in the fourth quarter resulted in full put coverage by November 8, and this was maintained through year-end.