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 6/30/2019 QTD YTD 1 YEAR 3 YEAR 5 YEAR 10 YEAR Since Inception Inception Date
Quantitative U.S. Total Market 130/30 Equity (Gross) 2.5% 15.6% 2.3% 13.2% 9.0% 14.6% 8.0% 12/31/2006
Quantitative U.S. Total Market 130/30 Equity (Net) 2.2% 14.9% 1.0% 11.8% 7.6% 13.2% 6.7%  
Russell 3000 4.1% 18.7% 9.0% 14.0% 10.2% 14.7% 8.3%  

Calendar Year Returns

  Glenmede Gross Glenmede Net Russell 3000 Gross +/-
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%