Quantitative U.S.

Total Market 130/30 Equity

Mutual Fund

GIM believes that a broad market portfolio of stocks, constructed with a disciplined blend of proprietary, multi-factor models and down-side risk screens, will achieve superior long-term performance. The Total Market 130/30 invests in and shorts companies with an attractive or unattractive combination of valuation, fundamental, earnings and technical characteristics, respectively. The portfolio is based on proprietary, multi-factor buy and sell models used to rank stocks within each sector.

The competitive advantage of our Total Market 130/30 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 Total Market 130/30 team since strategy inception
Inception date of December 31, 2006

Summary Investment Guidelines

  • Universe: Russell 3000 or other domestic public stocks with over $200 million in market capitalization
  • Benchmark: Russell 3000
  • 60-140 long holdings/40-100 short holdings
  • Existing position maximum: 2% for any security
  • Sector: +/–3% vs. Russell 3000

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 3/31/2021 QTD YTD 1 YEAR 3 YEAR 5 YEAR 10 YEAR Since Inception Inception Date
Quantitative U.S. Total Market 130/30 Equity (Gross) 15.7% 15.7% 83.5% 11.4% 14.3% 12.8% 9.2% 12/31/2006
Quantitative U.S. Total Market 130/30 Equity (Net) 15.3% 15.3% 81.3% 10.0% 12.9% 11.4% 7.8%  
Russell 3000 6.3% 6.3% 62.5% 17.1% 16.6% 13.8% 9.9%  

Calendar Year Returns

  Glenmede Gross Glenmede Net Russell 3000 Gross +/-
2020 6.3% 4.9% 20.9% -14.6%
2019 25.8% 24.2% 31.0% -5.2%
2018 -10.7% -11.9% -5.2% -5.5
2017 24.4% 22.9% 21.1% 3.3%
2016 15.3% 13.9% 12.7% 2.6%
2015 -0.3% -1.5% 0.5% -0.8%
2014 14.2% 12.8% 12.6% 1.6%
2013 41.2% 39.5% 33.6% 7.5%
2012 13.3% 11.9% 16.4% -3.1%
2011 2.0% 0.8% 1.0% 1.0%
2010 19.9% 18.5% 16.9% 3.0%
2009 21.6% 20.1% 28.3% -6.7%
2008 -33.7% -34.5% -37.3% 3.6%
2007 -1.7% -2.8% 5.1% -6.8%

 

 

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.