Long/Short Liquid Alternatives
Quantitative U.S. Large Cap 130/30 Equity
Performance
| As of 3/31/23 | Inception Date | |||||||
|---|---|---|---|---|---|---|---|---|
| QTD | YTD | 1 Year | 3 Year | 5 Year | 10 Year | Since Inception | ||
| Quantitative U.S. Large Cap 130/30 Equity (Gross) | 2.0% | 2.0% | -3.6% | 20.1% | 7.7% | 11.5% | 9.4% | 12/31/2005 |
| Quantitative U.S. Large Cap 130/30 Equity (Net) | 1.8% | 1.8% | -4.5% | 18.9% | 6.7% | 10.5% | 8.6% | |
| Russell 1000 | 7.5% | 7.5% | -8.4% | 18.6% | 10.9% | 12.0% | 9.3% | |
Calendar Year Returns
| 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Glenmede Gross | -6.5% | 30.9% | 2.1% | 18.1% | -5.3% | 21.3% | 10.8% | 3% | 19.8% | 40.1% | 12.5% | 5% | 16.8% | 24.8% | -34.9% | 6.8% | 16.8% |
| Glenmede Net | -7.4% | 29.6% | 1.1% | 17.2% | -5% | 20.4% | 11% | 3.3% | 18.9% | 39.1% | 11.7% | 5.2% | 16.0% | 23.9% | -35.4% | 7% | 15.9% |
| Russell 1000 | -19.1% | 26.5% | 21.0% | 31.4% | -4.8% | 21.7% | 12.1% | 0.9% | 13.2% | 33.1% | 16.4% | 1.5% | 16.1% | 28.4% | -37.6% | 5.8% | 15.5% |
| Gross +/- | 12.7% | 4.4% | -18.9% | -13.3% | -0.5% | -0.4% | -1.3% | 3.1% | 6.6% | 7.0% | -3.9% | 4.5% | 0.7% | -3.6% | 2.7% | 1.0% | 1.3% |
Performance quoted is past performance and is not a guarantee of future results. Products have fees that reduce their performance, indexes do not. You cannot invest directly in an index. For further information see the Fact Sheet below.
Overview
GIM believes that a well-diversified portfolio of large cap stocks using long and short equity positions, constructed with a disciplined blend of proprietary multi-factor models and downside risk screens, may achieve superior long-term performance.
The competitive advantage of our Large Cap 130/30 Equity strategy is derived from the following key attributes:
Quantitative discipline; fundamental insight Models based on intuitive fundamentals that drive performance
Proprietary, diversified models for each sector Unique multi-factor stock selection models for buying and selling
Downside risk screens Proprietary earnings surprise indicators, quality of earnings and stock price volatility
Benchmark agnostic position weights Minimizes single-stock risk; avoids bias toward expensive stocks
Integrates top-down and bottom-up analysis Target +/– 2% of industry group weightings relative to benchmark
ESG integrated: Thoughtful application of material Environmental, Social, and Governance (ESG) criteria ESG factors, such as proprietary ESG momentum, are incorporated into stock selection models
Continuity of senior Large Cap 130/30 team since strategy inception Inception date of December 31, 2005
Summary Investment Guidelines
- Universe: Russell 1000, S&P 500 or other public stocks with over $3 billion in market capitalization
- Benchmark: Russell 1000
- 80-140 long holdings/40-100 short holdings
- Existing position maximum: 2.3% for any security
- Sector: +/–3% vs. Russell 1000
- Target industry weightings are limited to +/-2% of benchmark weightings
- Sub industry exposure is limited to +3% above the benchmark weightings
Portfolio Managers
Literature
This website is for informational purposes only and is not a solicitation for any product or service. GIM products are actively managed and their characteristics will vary. All investment has risk, including the risk of loss of principal. There can be no assurance that efforts to manage risk or to achieve any articulated investment objective will be successful. An investor should consider investment objectives, risks, charges and expenses carefully before investing. For additional information regarding risks and about the firm, please refer to Related Literature and Disclosures.