Active Return

Martingale’s active return strategies seek to add value by emphasizing fundamentally undervalued companies while closely managing risk relative to the underlying market index. From large cap to small cap, we have decades of experience managing portfolios across the size spectrum, including core, growth and value mandates. We also offer several short-extension strategies (130/30) that allow for more meaningful underweighting of the least attractive stocks.

Large CapMartingale has considerable experience managing strategies relative to various large cap indexes, with the earliest strategies commencing in 1987.
Investment Process*These strategies emphasize fundamentally attractive companies. Stock selection is emphasized through a risk-aware portfolio construction process designed to provide consistent size and style exposure, while limiting sector and industry exposures.
Return Expectations*
1-2 percentage points above benchmark
Estimated Tracking Error*1%-3%
StrategyBenchmarkInception
LargeCap CoreRussell 1000®
January 2006
LargeCap Core 500S&P 500® Index
January 2004
LargeCap Growth  Russell 1000® Growth Index 
July 2005
LargeCap Value Russell 1000® Value Index
January 2006
LargeCap Defensive Russell 1000® Defensive Index
January 2011
LargeCap DynamicRussell 1000® Dynamic Index
January 2011
Value Factor StrategyRussell 1000® Value IndexJanuary 2018

Mid Cap Our time-tested approach is also well suited to managing mandates focused on the mid cap segment of the U.S. equity market, with the earliest strategies commencing in 1995.
Investment Process*  
These strategies emphasize fundamentally attractive companies. Stock selection is emphasized through a risk-aware portfolio construction process designed to provide consistent size and style exposure, while limiting sector and industry exposures.
Return Expectations*
1.5-2.5 percentage points above benchmark
Estimated Tracking Error*2.0%-3.5%
StrategyBenchmarkInception
MidCap Core Russell Midcap® Index July 1995

Small CapOur time-tested approach is also well suited to managing mandates focused on the small cap segment of the U.S. equity market, with the earliest strategies commencing in the mid-1990s.
Investment Process*  These strategies emphasize fundamentally attractive companies. Stock selection is emphasized through a risk-aware portfolio construction process designed to provide consistent size and style exposure, while limiting sector and industry exposures.
Return Expectations*2-3 percentage points above benchmark
Estimated Tracking Error*2%-4%
StrategyBenchmarkInception
SmallCap CoreRussell 2000® IndexJuly 2003
SmallCap ValueRussell 2000® Value IndexJuly 1996
SmallCap DefensiveRussell 2000® Defensive IndexJuly 2011
SmallCap DynamicRussell 2000® Dynamic IndexJanuary 2017
130/30  Short-extension, or 130/30, portfolios enable more meaningful underweights of the least attractive stocks. Proceeds from the short sales (typically 30%) are invested in additional long positions, bringing the portfolio beta back in line with the market. Having managed long/short portfolios since 1991, this innovative structure is a natural fit for Martingale.

Investment Process*These strategies emphasize fundamentally attractive stocks, while underweighting or shorting fundamentally overvalued stocks. Stock selection is emphasized through a risk-aware portfolio construction process designed to provide consistent size and style exposure, while limiting sector and industry exposures.

Return Expectations*2-3 percentage points above benchmark

Estimated Tracking Error*2%-4%
StrategyBenchmarkInception
130/30 LargeCap Core 500S&P 500® IndexOctober 2004
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*Investment results are not guaranteed, and there is no guarantee that a strategy’s objective will be met. Investing in securities involves risk of loss of both income and principal that investors should be prepared to bear. Long/short investing can be riskier than long-only investing, since both the long and short sides can simultaneously lose value. Risk Target and Return Expectation are relative to a strategy’s benchmark over a full market cycle.