Large Cap Growth Equity Strategy in Line With Benchmark for the Quarter

The strategy performed in line with the Russell 1000 Growth Index for the first quarter, with favorable effects from biases toward lower valuations.

Large Cap Core Strategy Outperforms Benchmark in Q1

The strategy outperformed the Russell 1000 by 1.1% in Q1, mostly based on biases toward lower valuations.

Large cap’s narrow market leadership was a drag on performance

The strategy underperformed the benchmark by 1.8% in Q3 but over the past 12 months has outperformed the benchmark due to positive contributions from valuation factors and market cap.

Dispersion of performance across equity styles a factor in strategies’ performance

The strategy underperformed the benchmark by -0.4% in Q3, with negative contributions from stock selection models. A mix of sectors outperformed the benchmark, including Financials and Health Care.

Strategy Outperforms Benchmark with Strong Multi-Factor Selection Models

Glenmede’s Quantitative U.S. Large Cap Core Equity Strategy outperformed the Russell 1000 by 4.9%. Portfolio Manager Alex Atanasiu, CFA, discusses the positive contributions from Glenmede’s stock selection models, though quality was a slight drag. Sector allocations were also a slight positive for the quarter. He also dives into the sector-neutral performance across factors, which show the change in market leadership resulted in large performance swings.

Strategy Beats Benchmark Aided by Structural Underexposures

Glenmede’s Quantitative U.S. Large Cap Growth Equity Strategy outperformed the Russell 1000 Growth Index by 7.4%. Portfolio Manager Alex Atanasiu, CFA, discusses the strategy’s positive contributions from Glenmede’s stock selection models, including higher quality, positive earnings trends and better technicals. He explains how the strategy was negatively impacted by its relatively lower market capitalization, but helped by structural underexposures to the top five names in the Growth index. Most of the relative outperformance was driven by positive stock selection effects of in Information Technology and Consumer Discretionary. 

Well Positioned Versus Benchmark

Concentration in key indexes around a handful of mega cap stocks is surpassing conditions seen at the peak of the internet bubble. We review an analysis of market drivers and the third quarter performance of the Glenmede Quantitative U.S. Large Cap Growth Equity Strategy.

Well Positioned Versus Benchmark

Key indexes continued to be driven primarily by just five mega capitalization stocks during the third quarter. With holdings…

A Market of Extremes

Factor Rotation: It’s About Time

Alpha generating effectiveness of factor-timing strategies has been a matter of ongoing debate. GIM’s Quantitative Equity Portfolio Manager Alexander Atanasiu addresses the topic in this whitepaper by examining  how a time-weighting function might be used to avoid common pitfalls, such as implementation shortfall, often associated with other factor timing strategies.