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 12/31/2020 QTD YTD 1 YEAR 3 YEAR 5 YEAR 10 YEAR Since Inception Inception Date
Quantitative U.S. Large Cap 130/30 Equity (Gross) 12.6% 2.1% 2.1% 4.5% 9.1% 12.4% 9.3% 12/31/2005
Quantitative U.S. Large Cap 130/30 Equity (Net) 12.3% 1.1% 1.1% 3.6% 8.2% 11.5% 8.5%  
Russell 1000 13.7% 21.0% 21.0% 14.8% 15.6% 14.0% 10.1%  

Calendar Year Returns

  Glenmede Gross Glenmede Net Russell 1000 Gross +/-
2020 2.1% 1.1% 21.0% -18.9%
2019 18.1% 17.2% 31.4% -13.3%
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%

 

 

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.