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 3/31/2019 QTD YTD 1 YEAR 3 YEAR 5 YEAR 10 YEAR Since Inception Inception Date
Quantitative U.S. Long/Short Equity (Gross) 2.6% 2.6% -5.7% 3.0% 3.7% 6.1% 3.4% 11/30/2006
Quantitative U.S. Long/Short Equity (Net) 2.2% 2.2% -6.9% 1.8% 2.4% 4.8% 2.1%  
70% Barclay's Capital 3-Month U.S. T-Bill/ 30% Russell 3000 4.5% 4.5% 4.4% 4.9% 3.7% 5.1% 3.3%  
Russell 3000 14.0% 14.0% 8.8% 13.5% 10.4% 16.0% 8.1%  

Calendar Year Returns

  Glenmede Gross Glenmede Net 70% Barclay's Capital 3-Month
U.S. T-Bill/30% Russell 3000
Russell 3000
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