- ISIN
- US3786907473
- CUSIP
- 378690747
- Issuer
- Glenmede
- Inception Date
- Jun 29, 2010
- Category
- Options Trading
- Min. Investment
- $0
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
Share Price Chart
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Performance
GTSOX Performance Chart
Glenmede Secured Options Portfolio (GTSOX) is up 8.1% since the beginning of the year. GTSOX is currently trading at $14 per share. Investors who bought $1,000 worth of GTSOX shares 5 years ago would now be looking at an investment worth $1,414.
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Returns By Period
Glenmede Secured Options Portfolio (GTSOX) has returned 8.10% so far this year and 14.89% over the past 12 months. Over the last ten years, GTSOX has returned 7.43% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
Glenmede Secured Options Portfolio
- 1D
- 1.10%
- 1M
- 0.95%
- 6M
- 6.54%
- YTD
- 8.10%
- 1Y
- 14.89%
- 3Y*
- 10.25%
- 5Y*
- 7.18%
- 10Y*
- 7.43%
- ALL TIME*
- 7.57%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
GTSOX Monthly Returns History
Based on dividend-adjusted daily data since Jan 3, 2011, GTSOX's average daily return is +0.03%, while the average monthly return is +0.64%. At this rate, an investment would double in approximately 9.1 years.
Historically, 74% of months were positive and 26% were negative. The best month was Apr 2020 with a return of +8.8%, while the worst month was Mar 2020 at -12.2%. The longest winning streak lasted 16 consecutive months, and the longest losing streak was 4 months.
On a daily basis, GTSOX closed higher 49% of trading days. The best single day was Dec 16, 2024 with a return of +12.0%, while the worst single day was Mar 16, 2020 at -10.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.46% | 0.57% | -2.07% | 4.39% | 1.47% | 1.10% | 1.02% | 8.10% | |||||
| 2025 | 1.46% | -0.00% | -4.10% | -1.24% | 2.36% | 2.68% | 0.73% | 1.73% | 1.41% | 1.17% | 1.03% | 0.43% | 7.73% |
| 2024 | 0.67% | 1.18% | 1.24% | 0.24% | 1.65% | 1.27% | 1.18% | 1.24% | 1.36% | 0.01% | 2.96% | 0.04% | 13.79% |
| 2023 | 3.05% | -0.16% | 3.22% | 1.60% | 1.18% | 2.18% | 1.60% | -0.52% | -2.26% | -0.77% | 3.80% | 0.97% | 14.59% |
| 2022 | -2.02% | -0.69% | 3.31% | -5.14% | -0.86% | -5.78% | 4.29% | -3.63% | -6.95% | 4.14% | 3.20% | -1.34% | -11.69% |
| 2021 | 0.08% | 1.71% | 3.90% | 1.47% | 1.38% | 1.79% | 1.05% | 1.46% | -1.44% | 3.20% | -1.01% | 3.26% | 18.06% |
Benchmark Metrics
Glenmede Secured Options Portfolio has an annualized alpha of 0.07%, beta of 0.62, and R2 of 0.70 versus S&P 500 Index. Calculated based on daily prices since January 03, 2011.
- This fund participated in 52.31% of S&P 500 Index downside but only 49.99% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.62 indicates this fund moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.07%
- Beta
- 0.62
- R²
- 0.70
- Upside Capture
- 49.99%
- Downside Capture
- 52.31%
Expense Ratio
GTSOX has an expense ratio of 0.85%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GTSOX ranks 93 for risk / return — above 93% of mutual funds peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Glenmede Secured Options Portfolio (GTSOX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GTSOX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.02 | ||
| Sortino ratioReturn per unit of downside risk | +1.76 | ||
| Omega ratioGain probability vs. loss probability | 1.66 | 1.25 | +0.40 |
| Calmar ratioReturn relative to maximum drawdown | 2.87 | 2.00 | +0.87 |
| Martin ratioReturn relative to average drawdown | 19.33 | 8.49 | +10.84 |
Dividends
Dividend History
Glenmede Secured Options Portfolio provided a 14.85% dividend yield over the last twelve months, with an annual payout of $2.05 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $2.05 | $1.02 | $1.69 | $0.00 | $0.00 | $1.78 | $0.00 | $0.93 | $0.29 | $0.79 | $0.61 | $0.71 |
Dividend yield | 14.85% | 7.47% | 12.31% | 0.00% | 0.00% | 13.35% | 0.00% | 7.56% | 2.62% | 6.57% | 5.01% | 5.95% |
Monthly Dividends
The table displays the monthly dividend distributions for Glenmede Secured Options Portfolio. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.05 | $1.05 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.02 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.01 | $0.00 | $0.99 | $1.02 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.02 | $0.00 | $0.00 | $0.01 | $0.00 | $0.00 | $0.01 | $0.00 | $1.64 | $1.69 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.78 | $1.78 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Glenmede Secured Options Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Glenmede Secured Options Portfolio was 29.21%, occurring on Mar 23, 2020. Recovery took 176 trading sessions.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-29.21%Mar 2020 | 1mo 1d | 8mo 13d | 9mo 14dFeb 2020 - Dec 2020 | COVID crash2020 |
-22.03%Apr 2025 | 3mo 22d | 1y 22d | 1y 4moDec 2024 - Apr 2026 | 2025 selloff2025 |
-17.72%Oct 2022 | 5mo 24d | 1y 2mo | 1y 8moApr 2022 - Dec 2023 | Bear market2022 |
-17.52%Dec 2018 | 2mo 21d | 8mo 21d | 11mo 12dOct 2018 - Sep 2019 | Rate-hike selloffLate 2018 |
-16.19%Aug 2011 | 2mo 8d | 4mo 16d | 6mo 24dJun 2011 - Dec 2011 | — |
Drawdown Indicators
| GTSOX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.21% | -56.78% | +27.57% |
Max Drawdown (1Y)Largest decline over 1 year | -5.05% | -9.10% | +4.05% |
Max Drawdown (3Y)Largest decline over 3 years | -22.03% | -18.90% | -3.13% |
Max Drawdown (5Y)Largest decline over 5 years | -22.03% | -25.43% | +3.40% |
Max Drawdown (10Y)Largest decline over 10 years | -29.21% | -33.92% | +4.71% |
Current DrawdownCurrent decline from peak | 0.00% | -1.58% | +1.58% |
Average DrawdownAverage peak-to-trough decline | -2.94% | -10.70% | +7.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.75% | 2.14% | -1.39% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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