Quantitative U.S.

LARGE CAP 130/30 Equity

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 models for buying and selling

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

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

  • Vladimir de Vassal, CFA

    Portfolio Manager, Quantitative Equity
  • Paul T. Sullivan, CFA

    Portfolio Manager, Quantitative Equity
  • Alexander R. Atanasiu, CFA

    Portfolio Manager, Quantitative Equity
 
As of 9/30/2019 QTD YTD 1 YEAR 3 YEAR 5 YEAR 10 YEAR Since Inception Inception Date
Quantitative U.S. Large Cap 130/30 Equity (Gross) 0.7% 11.0% 0.5% 10.4% 9.8% 13.7% 9.5% 12/31/2005
Quantitative U.S. Large Cap 130/30 Equity (Net) 0.6% 10.4% -0.3% 9.6% 9.0% 12.9% 8.7%  
Russell 1000 1.4% 20.5% 3.9% 13.2% 10.6% 13.2% 8.8%  

Calendar Year Returns

  Glenmede Gross Glenmede Net Russell 1000 Gross +/-
2018 -5.3% -6.0% -4.8% -0.5%
2017 21.3% 20.4% 21.7% -0.4
2016 10.8% 10.0% 12.1% -1.3%
2015 4.0% 3.3% 0.9% 3.1%
2014 19.8% 18.9% 13.2% 6.6%
2013 40.1% 39.1% 33.1% 7.0%
2012 12.5% 11.7% 16.4% -3.9%
2011 6.0% 5.2% 1.5% 4.5%
2010 16.8% 16.0% 16.1% 0.7%
2009 24.8% 23.9% 28.4% -3.6%
2008 -34.9% -35.4% -37.6% 2.7%
2007 6.8% 6.0% 5.8% 1.0%
2006 16.8% 15.9% 15.5% 1.3%