Quantitative U.S.

Long/Short Equity

Mutual Fund

GIM believes that a well-diversified portfolio of 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 Glenmede’s Long/Short 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 Long/Short team since strategy inception
Inception date of November 30, 2006

Summary Investment Guidelines

  • Universe: Russell 3000 with over $125 million in market capitalization
  • Benchmark: Russell 3000
  • 80-140 long holdings/60-120 short holdings
  • Existing position maximum: 2% for any security
  • Sector: +/–3% of 30% of the Russell 3000 Index

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. Long/Short Equity (Gross) 4.8% -3.9% -3.9% -2.4% 2.0% 4.4% 2.8% 11/30/2006
Quantitative U.S. Long/Short Equity (Net) 4.4% -5.1% -5.1% -3.6% 0.7% 3.1% 1.5%  
70% Barclay's Capital 3-Month U.S. T-Bill/ 30% Russell 3000 4.4% 7.1% 7.1% 5.7% 5.5% 4.6% 3.8%  
Russell 3000 14.7% 20.9% 20.9% 14.5% 15.4% 13.8% 9.6%  

Calendar Year Returns

  Glenmede Gross Glenmede Net 70% Barclay's Capital 3-Month
U.S. T-Bill/30% Russell 3000
Russell 3000
2020 -3.9% -5.1% 7.1% 20.9%
2019 4.6% 3.3% 10.4% 31.0%
2018 -7.6% -8.7% -0.1% -5.2%
2017 10.0% 8.6% 6.6% 21.1%
2016 7.9% 6.6% 4.0% 12.7%
2015 1.4% 0.2% 0.3% 8.2%
2014 6.3% 5.0% 3.7% 12.6%
2013 15.1% 13.7% 13.7% 33.6%
2012 8.4% 7.1% 4.9% 16.4%
2011 4.0% 2.7% 1.5% 1.0%
2010 5.0% 3.7% 6.4% 16.9%
2009 1.2% -0.1% 8.5% 28.3%
2008 -11.1% -12.2% -11.2% -37.3%
2007 0.4% -0.9% 5.1% 5.1%
2006* 0.9% 0.8% 0.7% 1.2%

*Performance from 9/29/2006 - 12/31/2006

 

 

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.