Alternative

Risk Premia

Mutual Fund

Systematically combine existing internal quantitative and derivative-based capabilities
Harvest various alternative risk premia across multiple asset classes

Absolute return with reasonable risk to principal
Utilize long/short and derivatives-based strategies across multiple asset classes

Individual strategies:
Quantitative Long/Short U.S. Equity&
Global Equity Secured Options
Fixed Income Secured Options (Long-term US Treasuries) 
Quantitative Long/Short Commodities

 

Highlights

  • Individual strategies exhibit low correlation to one another
  • Benchmarked to HFRX Global Hedge Fund Index
  • Strategy exhibits low beta to traditional assets
  • Tax-aware liquid alternative portfolio
  • Gross longs: 100 - 160%
  • Net market exposure: Approximately 35 - 50%
  • Inception date of June 30, 2015

 

Portfolio Managers

  • Sean Heron, CFA

    Portfolio Manager, Derivatives
  • Alexander R. Atanasiu, CFA

    Portfolio Manager, Quantitative Equity
 
As of 6/30/2019 QTD YTD 1 YEAR 3 YEAR 5 YEAR 10 YEAR Since Inception Inception Date
Glenmede Alternative Risk Premia (Gross) 0.8% 3.1% -2.4% 0.5% n/a n/a 3.2% 6/30/2015
Glenmede Alternative Risk Premia (Net) 0.6% 2.8% -3.1% -0.3% n/a n/a 2.4%  
HFRX Global Hedge Fund Index 1.6% 3.9% -2.3% 2.0% n/a n/a 0.0%  

Calendar Year Returns

  Glenmede Gross Glenmede Net HFRX Global Hedge Fund Index Gross +/-
2015 5.6% 5.2% -4.9% 10.5%
2016 3.8% 3.0% 2.5% 1.3%
2017 6.0% 5.2% 6.0% 0.0%
2018 -5.3% -6.0% -6.7% 1.4%