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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Glenmede Secured Options Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Glenmede Secured Options Portfolio (GTSOX) has returned -2.70% so far this year and 7.74% over the past 12 months. Over the last ten years, GTSOX has returned 6.85% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Glenmede Secured Options Portfolio
- 1D
- -0.15%
- 1M
- -4.64%
- YTD
- -2.70%
- 6M
- -0.12%
- 1Y
- 7.74%
- 3Y*
- 8.78%
- 5Y*
- 6.15%
- 10Y*
- 6.85%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 3, 2011, GTSOX's average daily return is +0.03%, while the average monthly return is +0.60%. At this rate, your investment would double in approximately 9.7 years.
Historically, 75% of months were positive and 25% 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% | -4.64% | -2.70% | |||||||||
| 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 0.05%, beta of 0.63, and R² of 0.71 versus S&P 500 Index. Calculated based on daily prices since January 04, 2011.
- This fund participated in 54.48% of S&P 500 Index downside but only 50.92% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.63 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
- 0.05%
- Beta
- 0.63
- R²
- 0.71
- Upside Capture
- 50.92%
- Downside Capture
- 54.48%
Expense Ratio
GTSOX has an expense ratio of 0.85%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GTSOX ranks 32 for risk / return — below 32% of mutual funds on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Glenmede Secured Options Portfolio (GTSOX) and compare them to a chosen benchmark (S&P 500 Index).
| GTSOX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.60 | 0.90 | -0.30 |
Sortino ratioReturn per unit of downside risk | 0.96 | 1.39 | -0.42 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.21 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 0.59 | 1.40 | -0.80 |
Martin ratioReturn relative to average drawdown | 3.75 | 6.61 | -2.86 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore GTSOX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Glenmede Secured Options Portfolio provided a 7.67% dividend yield over the last twelve months, with an annual payout of $1.02 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.02 | $1.02 | $1.69 | $0.00 | $0.00 | $1.78 | $0.00 | $0.93 | $0.29 | $0.79 | $0.61 | $0.71 |
Dividend yield | 7.67% | 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 | |||||||||
| 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.
The current Glenmede Secured Options Portfolio drawdown is 6.69%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -29.21% | Feb 21, 2020 | 22 | Mar 23, 2020 | 176 | Dec 1, 2020 | 198 |
| -22.03% | Dec 17, 2024 | 76 | Apr 8, 2025 | — | — | — |
| -17.72% | Apr 21, 2022 | 121 | Oct 12, 2022 | 301 | Dec 22, 2023 | 422 |
| -17.52% | Oct 4, 2018 | 56 | Dec 24, 2018 | 179 | Sep 11, 2019 | 235 |
| -16.19% | Jun 1, 2011 | 48 | Aug 8, 2011 | 96 | Dec 22, 2011 | 144 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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