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Glenmede Secured Options Portfolio (GTSOX) Sharpe Ratio: 0.77

GTSOX's Sharpe Ratio of 0.77 indicates that for each unit of volatility, it generates 0.77 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 2, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

GTSOX Sharpe Ratio Rank

GTSOX Sharpe Ratio Rank: 28.829
Below Average

GTSOX ranks above 28.8% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

GTSOX Sharpe Ratio Market Positioning

The chart shows GTSOX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.76 or lower
  • Yellow zone (middle 50%): 0.76 to 1.49
  • Green zone (top 25%): 1.49 or higher
  • Top 1%: 3.52+
  • Median: 1.10 — half of all investments score higher

How it compares to other similar mutual funds

The table compares Glenmede Secured Options Portfolio's Sharpe Ratio with other mutual funds in the Options Trading category across multiple time periods, showing how GTSOX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 2, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
PPFIXPrinceton Premium Fund2.00
EIVPXParametric Volatility Risk Premium - Defensive Fund1.24
CIHEXCalamos Hedged Equity Fund1.24
SHIIXCatalyst Buffered Shield Fund1.19
APLIXCavanal Hill Hedged Income Fund1.11
JDIEXEasterly Hedged Equity Fund1.07
JHQTXJPMorgan Hedged Equity 3 Fund1.07
SDRIXSwan Defined Risk Fund1.05
GCPYXGateway Equity Call Premium Fund0.99
GTEYXGateway Fund Class Y Shares0.98
GTSOXGlenmede Secured Options Portfolio0.77

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows GTSOX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when GTSOX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Explore GTSOX risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

GTSOX Sortino Ratio