OVERVIEW
Crossmark Equity Market Neutral strategy seeks long-term capital appreciation and to provide absolute returns independent of equity market direction. The goal is to find long positions that outperform a targeted benchmark and shorts that underperform a targeted benchmark in up, down and sideways markets. The strategy’s investment process employs a combination of fundamental and quantitative factors, values-based criteria, and prudent portfolio constraints and risk management tools. Factors utilized in the traditional multi-factor model include earnings quality, profitability, growth dynamics, valuation and capital deployment. The strategy is subject to Crossmark’s values-based screening methodology and utilizes values-based data from 3rd party providers as well as our in-house research team as it relates to the long holdings. Derivatives are not utilized in this strategy which incorporates active risk management with a target beta range of -0.2 to +0.4 versus a widely recognized large and mega-cap equity index. Inputs including economic indicators, monetary variables, valuation, momentum and sentiment are utilized as part of a quantitative tool to provide insights for determining the beta position with a central tendency of +0.1. The risk management process involves set parameters around issuers, sectors, industries and risk factors as compared to the referenced index. The number of holdings in this strategy averages approximately 100 long and 100 short with full holdings transparency and daily liquidity.
Snapshot
- Morningstar Category
- US Equity Market Neutral
- Inception Date
- 7/01/2021
- Strategy Assets
- $13,905,870
- Investment Minimum
- $1,000,000
- Average Market Cap (M)
- $37,291
Composite Performance (%)
| Composite Performance (%) | Quarter | YTD | 1 Year | 3 Year | Inception |
|---|---|---|---|---|---|
| Crossmark Equity Market Neutral - Gross | -5.14 | 2.01 | 2.01 | 4.66 | 7.31 |
| Crossmark Equity Market Neutral - Net | -5.15 | 1.97 | 1.97 | 4.61 | 7.26 |
| ICE BofA U.S. Treasury Bill 3M Index | 1.17 | 5.25 | 5.25 | 3.89 | 3.33 |
| Composite Calendar Year Performance (%) | 2024 | 2023 | 2022 |
|---|---|---|---|
| Crossmark Equity Market Neutral - Gross | 2.01 | -5.33 | 18.72 |
| Crossmark Equity Market Neutral - Net | 1.97 | -5.38 | 18.66 |
| ICE BofA U.S. Treasury Bill 3M Index | 5.25 | 5.05 | 1.47 |
Composite illustrated is the Crossmark Equity Market Neutral Composite.
Net performance was calculated using actual management fees. As of the date presented, the composite contained only one account, which is a commission-based account that pays a management fee of 0.05% annually.
Portfolio Managers
ROBERT C. DOLL, CFA
RYAN E. CAYLOR, CFA
Resources
The Crossmark Equity Market Neutral strategy seeks long-term capital appreciation and to provide absolute returns independent of equity market direction. The strategy uses a combination of bottom-up and top-down analysis to define an investable universe and generate a portfolio of approximately 100 long securities and 100 short securities. The Equity Market Neutral Composite is comprised of all discretionary, fee-paying, commission-based, dual contract and/or separately managed accounts that are managed according to this strategy. The composite has a creation date and inception date of July 1, 2021. The primary benchmark for this composite is the Bank of America 1-3 month Treasury Bill.
Index returns shown assume the reinvestment of all dividends and distributions.
The U.S. Dollar is the currency used to express performance. The performance reflects the reinvestment of dividends and other earnings to the extent that client accounts included in the composite elected to reinvest dividends and earnings. Performance figures shown gross of fees do not reflect the payment of investment advisory fees.
GIPS is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
All Investments are subject to risks, including the possible loss of principal. Past performance does not guarantee future results. The Equity Market Neutral strategy may not achieve its objective if the managers’ expectations regarding particular securities or markets are not met. Equity investments generally involve two principal risks—market risk and selection risk. The value of equity securities will rise and fall in response to general market and/or economic conditions (equity market risk). The value of any individual equity security will rise and fall in response to the market’s perception of the issuer’s revenues, earnings, balance sheet, credit worthiness, business plan, and overall perception of the viability of the issuer’s business (selection risk).
The Strategy also exposes the investor to short sale risk. An investor’s account would incur a loss as a result of a short sale if the price of the security sold short increases in value between the date of the short sale and the date on which the account purchases the security to replace the borrowed security. In addition, the securities sold short may have to be returned to the lender on short notice, which may result in the account having to buy the securities sold short at an unfavorable price to close out a short position. If this occurs, any anticipated gain to the account may be reduced or eliminated, or the short sale may result in a loss.
The Strategy’s values-based screening policies exclude certain securities issuers from the universe of otherwise available investments. As a result, the Strategy may not achieve the same level of performance as it otherwise would have in the absence of the screening process. If the Strategy has invested in a company that is later discovered to be in violation of one or more screening criteria and liquidation of an investment in that company is required, selling the securities at issue could result in a loss to the Fund. Further, the Strategy’s values-based screening policies may prevent the Strategy from participating in an otherwise suitable investment opportunity. With respect to the Crossmark Equity Market Neutral strategy, the values-based screening policies only apply to long positions.
Crossmark Global Investments, Inc. (Crossmark) is an investment adviser registered with the Securities and Exchange Commission that provides discretionary investment management services to mutual funds, institutions, and individual clients. Investment advice can be provided only after the delivery of Crossmark’s firm Brochure and Brochure Supplement Form ADV (Parts 2A and 2B) and Form CRS, and once a properly executed investment advisory agreement has been entered into by the client. Crossmark claims compliance with the Global Investment Performance Standards (GIPS®). Prospective clients can obtain a GIPS Composite Report by sending a request to: advisorsolutions@crossmarkglobal.com.