Alternative Risk Premia Portfolio

Data updated: 2020-06-08

C000206834 — Alternative Risk Premia Portfolio. Emerging Markets Blend / Core Equity · $2.14M AUM. Holdings, fees, performance and SEC filings.

C000206834 Fund Overview

Alternative Risk Premia Portfolio is a US mutual fund managed by Glenmede Fund INC, categorised as Emerging Markets Blend / Core Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US mutual fund
Manager: Glenmede Fund INC
Category: Emerging Markets Blend / Core Equity
Assets under management: $2.14M
SEC CIK: 0000835663
SEC series ID: S000063871
Share class ID: C000206834

C000206834 Investment Objective and Strategy

Alternative Risk Premia Portfolio describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Glenmede Fund INC.

Investment objective

Absolute return consistent with reasonable risk to principal.

Principal investment strategy

Under normal market circumstances, the Portfolio seeks to provide exposure to a number of different alternative investment strategies (Alternative Risk Premia) using both long and short positions and derivatives-based positions across multiple asset classes including, but not limited to, equities, options on U.S. and/or foreign securities, indices and fixed income securities issued or guaranteed by the U.S. Treasury (U.S. Treasury Securities) and commodities. The Portfolio may obtain exposure to such asset classes directly or indirectly by investing in exchange-traded funds (ETFs) and exchange-traded notes (ETNs). Alternative Risk Premia are designed to harvest well researched market anomalies and provide exposure to the following different investment styles: Value, Momentum, Carry, Size, Defensive, Structural and Volatility.

Value styles seek to capture the relative value difference between cheap and expensive assets. Momentum styles seek to capture the tendency for recent price movements of an asset to continue. Carry styles seek to capture the tendency for higher yielding assets to outperform low yielding assets. Size styles seek to capture the tendency for smaller, more nimble companies to outperform larger companies. Defensive styles seek to capture higher risk-adjusted returns by owning lower risk and higher quality assets. Structural styles seek to profit from structural advantages only available to certain investors, such as owning certain types of securities that are not available to some investors as a result of investment mandates. Volatility styles seek to harvest the volatility risk premium embedded in written options as compensation for investors seeking a form of financial insurance.

Each of the underlying strategies are designed to exhibit low correlation to one another, while also exhibiting low correlation to traditional equities and fixed income securities over a full market cycle. The Advisor believes that low correlation enhances diversification benefits by reducing long-term overall portfolio risk while retaining the potential for long-term portfolio returns. The Portfolios exposures to the investment styles and asset classes will vary based on the Advisors ongoing evaluation of investment opportunities and market conditions. The Portfolio expects to maintain exposure to all seven investment styles, in varying allocations; however, not all styles will be represented within each asset class. Using quantitative analysis, the Portfolio invests in long and short positions with respect to equity securities, such as common stocks, of U.S.

public companies, and commodities either directly or with derivatives. The Portfolio will invest in companies with market capitalizations, at the time of purchase, that are within the market capitalization range of any stock in the Russell 3000 Index. That capitalization range was $152.3 million to $974.2 billion as of May 10, 2019. The Portfolio will initially obtain exposure to commodities by investing in ETFs and ETNs that seek to track the performance of commodity futures indices. The Portfolio may also invest directly in such futures or indirectly by forming and investing in a wholly-owned Cayman Islands subsidiary (the Subsidiary) to invest in those instruments. The Portfolio may allocate up to 25% of its assets in the Subsidiary, which will have the same investment objective as the Portfolio, and will be intended to provide the Portfolio with indirect exposure to futures contracts and commodities in a manner consistent with the limitations and requirements of the Internal Revenue Code of 1986, as amended (the Code) that apply to the Portfolio, which limit the amount of income the Portfolio may receive from certain sources.

To the extent they are applicable to the investment activities of the Subsidiary, the Subsidiary will be subject to the same investment restrictions and limitations, and follow the same compliance policies and procedures, as the Portfolio. The Portfolio uses option writing strategies in an effort to obtain option premiums and reduce risk. The Portfolio will implement buy-write (covered call) and/or cash-secured put option strategies (options strategies) on U.S. or foreign stock index ETFs, U.S. or foreign stock indices and/or individual U.S. or foreign stocks held by the Portfolio. The Portfolio will also implement options strategies on ETFs that seek to track the performance of long-term U.S. Treasury Securities indices. Covered call and cash-secured put options are intended to reduce volatility, earn option premiums and provide more stable returns.

Selling call options reduces the risk of owning stocks by the receipt of the option premiums and selling put options reduces the purchase price of the underlying stock, but both strategies limit the opportunity to profit from an increase in the market value of the underlying security in exchange for up-front cash at the time of selling the call or put option. The call and put options the Portfolio writes will be covered by owning the U.S. or foreign security, U.S. Treasury Securities ETFs, or other ETFs underlying the option, holding an offsetting option, segregating cash or other liquid assets at not less than the full value of the option or the exercise price, and/or using other permitted coverage methods. To the extent the Portfolios assets are subject to covered calls on an index, the Portfolio may hold ETFs instead of individual stocks that replicate the movement of the applicable index, in addition to other permitted coverage methods.

A portion of the Portfolios assets may consist of cash or cash equivalents, including, but not limited to, U.S. Treasury bills. The Portfolio may invest in companies with small, medium or large market capitalizations in developed, developing or emerging markets in advancement of its investment objective. The Portfolio intends to invest in foreign securities in the form of American Depositary Receipts (ADRs) which are securities issued by a U.S. bank that represent interests in foreign equity securities listed on a U.S. stock exchange. The Portfolio may also buy call and put options on U.S. or foreign stock index ETFs, U.S. Treasury Securities ETFs, U.S. or foreign stock indices and/or individual U.S. or foreign stocks. The Portfolio may buy puts in anticipation of a decline in the market value of the underlying instrument, as a substitute for selling a security short.

The investment techniques employed by the Portfolio create leverage. As a result, the sum of the Portfolios investment exposures will typically exceed the amount of the Portfolios net assets. These exposures may vary over time. The Advisor expects gross notional exposure of the Portfolio to be in a range of 300% to 400% of the net asset value (NAV) of the Portfolio under normal market conditions; leverage may be significantly different (higher or lower) as deemed necessary by the Advisor. The Advisors selection of securities to buy, sell or borrow is based on a combination of proprietary multifactor computer models and fundamental analysis. The computer models rank securities based on certain criteria, including valuation ratios, profitability and earnings related measures, and other models focus on risk analysis and overall portfolio characteristics.

The Advisor buys securities or takes long positions in securities that the models identify as undervalued and more likely to appreciate, and sells securities or takes short positions in securities that the Advisor identifies as overvalued and more likely to depreciate. The Advisor will determine the size of each long or short position and its impact on the risk to the overall portfolios. The frequency and size of short sales will vary substantially in different periods as market opportunities change. The Portfolio and Subsidiary may actively trade their securities to achieve their principal investment strategies. The Advisor will attempt to minimize the impact of Federal and state income taxes on shareholders returns by, for example, selling depreciated investments to offset capital gains.

C000206834 Costs and Fees

C000206834 costs about $192 per $10,000 invested per year in fund expenses.

Net expense ratio: 1.92%
Gross expense ratio: 4.34%
Portfolio turnover: 120%
Brokerage commissions: 21.33 bps of average net assets (SEC N-CEN)

C000206834 Cashflows

Over the 12 months to 2020-04, Alternative Risk Premia Portfolio had net outflows of $2.81M, from monthly SEC N-PORT filings.

Month	Net flow
2020-04	−$7.14K
2020-03	−$2.71M
2020-02	−$6.09K
2020-01	−$41.25K
2019-12	−$693
2019-11	−$15.94K

C000206834 Debt Constituents

No individual debt constituents are reported in Alternative Risk Premia Portfolio's latest SEC N-PORT filing.

C000206834 Prospectus and SEC Filings

Official Alternative Risk Premia Portfolio filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Emerging Markets Blend / Core Equity funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.