Quantitative U.S.

Large Cap Environmental Equity

GIM believes that a benchmark-agnostic portfolio of large cap stocks, using environmentally sensitive screens and constructed with proprietary multi-factor models, may achieve superior long-term performance. Our disciplined process creates and consistently maintains a strategy with favorable attributes relative to the benchmark index utilizing unique stock ranking models for each sector, downside risk screens and leading industry group indicators. The process employs a quantitative discipline based on fundamental insights.

Quantitative discipline; fundamental insight
Models based on intuitive fundamentals that drive performance

Proprietary, diversified models for each industry group
Unique models for buying and selling

Environmental sensitivity screening integrated into portfolios since 2001

Initial equal weighting vs. weighting by market cap
Minimizes single-stock risk; avoids bias toward expensive stocks 

Continuity of senior Environmentally Sensitive team since strategy inception
Inception date of December 31, 2001

Summary Investment Guidelines

  • Universe: domestic stocks in the Russell 1000, S&P 500 or over $3 billion in market capitalization
  • Benchmark: Russell 1000
  • 80-120 holdings
  • Existing position maximum: 2% for any security
  • Sector: +/–3% vs. Russell 1000
  • Maximum sub-industry weightings are 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 Environmental Equity (Gross) -0.1% 13.5% -0.6% 11.3% 9.3% 13.3% 8.1% 12/31/2001
Quantitative U.S. Large Cap Environmental Equity (Net) -0.3% 12.8% -1.4% 10.5% 8.5% 12.5% 7.3%  
Russell 1000 1.4% 20.5% 3.9% 13.2% 10.6% 13.2% 7.9%  

Calendar Year Returns

  Glenmede Gross Glenmede Net Russell 1000 Gross +/-
2018 -6.1% -6.8% -4.8% -1.4%
2017 23.7% 22.8% 21.7% 2.0%
2016 10.0% 9.2% 12.1% -2.1%
2015 2.5% 1.8% 0.9% 1.6%
2014 16.0% 15.0% 13.2% 2.8%
2013 40.6% 39.6% 33.1% 7.5%
2012 14.8% 14.0% 16.4% -1.6%
2011 1.4% 0.7% 1.5% -0.1%
2010 17.8% 16.9% 16.1% 1.7%
2009 26.8% 25.9% 28.4% -1.6%
2008 -38.4% -38.8% -37.6% -0.8%
2007 5.2% 4.4% 5.8% -0.6%
2006 17.7% 16.8% 15.5% 2.2%
2005 4.3% 3.5% 6.3% -2.0%
2004 13.0% 12.2% 11.4% 1.6%
2003 27.0% 26.1% 29.9% -2.9%