Quantitative U.S.
Large Cap Socially Responsible Equity
GIM believes that a benchmark-agnostic portfolio of socially responsible large cap stocks, 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
Social responsibility 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 Socially Responsible team since strategy inception
Inception date of June 30, 2008
Summary Investment Guidelines
- Universe: Russell 1000, S&P 500, or stocks 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 2% above the benchmark weighting
Portfolio Managers
Vladimir de Vassal, CFA
Director of Quantitative Research
Paul T. Sullivan, CFA
Portfolio Manager, Quantitative Equity
Alexander R. Atanasiu, CFA
Portfolio Manager, Quantitative Equity
| As of 12/31/2018 | QTD | YTD | 1 YEAR | 3 YEAR | 5 YEAR | 10 YEAR | Since Inception | Inception Date |
|---|---|---|---|---|---|---|---|---|
| Quantitative U.S. Large Cap Socially Responsible Equity (Gross) | -14.3% | -9.3% | -9.3% | 8.2% | 8.4% | 14.2% | 8.7% | 06/30/2008 |
| Quantitative U.S. Large Cap Socially Responsible Equity (Net) | -14.5% | -10.0% | -10.0% | 7.4% | 7.6% | 13.4% | 7.9% | |
| Russell 1000 | -13.8% | -4.8% | -4.8% | 9.1% | 8.2% | 13.3% | 8.9% |
Calendar Year Returns
| Glenmede Gross | Glenmede Net | Russell 1000 | Gross +/- | |
|---|---|---|---|---|
| 2018 | -9.3% | -10.0% | -4.8% | -4.5% |
| 2017 | 21.9% | 21.0% | 21.7% | 0.2% |
| 2016 | 14.7% | 13.8% | 12.1% | 2.6% |
| 2015 | 1.4% | 0.7% | 0.9% | 0.5% |
| 2014 | 16.2% | 15.4% | 13.2% | 3.0% |
| 2013 | 38.1% | 37.1% | 33.1% | 5.0% |
| 2012 | 17.0% | 16.1% | 16.4% | 0.6% |
| 2011 | -0.3% | -1.1% | 1.5% | -1.8% |
| 2010 | 21.4% | 20.5% | 16.1% | 5.3% |
| 2009 | 29.0% | 28.1% | 28.4% | 0.6% |