GQETX vs. GQSCX
Compare and contrast key facts about GMO Quality Fund (GQETX) and Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX).
GQETX is managed by GMO. It was launched on Feb 6, 2004. GQSCX is managed by Glenmede. It was launched on Nov 13, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQETX or GQSCX.
Key characteristics
| GQETX | GQSCX | |
|---|---|---|
| YTD Return | 22.10% | 19.79% |
| 1Y Return | 30.99% | 42.24% |
| 3Y Return (Ann) | 12.33% | 8.50% |
| 5Y Return (Ann) | 17.14% | 14.12% |
| Sharpe Ratio | 2.85 | 1.92 |
| Sortino Ratio | 3.87 | 2.81 |
| Omega Ratio | 1.51 | 1.33 |
| Calmar Ratio | 4.84 | 3.10 |
| Martin Ratio | 19.91 | 11.26 |
| Ulcer Index | 1.58% | 3.64% |
| Daily Std Dev | 11.06% | 21.36% |
| Max Drawdown | -39.99% | -46.87% |
| Current Drawdown | -0.26% | -1.01% |
Correlation
The correlation between GQETX and GQSCX is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
GQETX vs. GQSCX - Performance Comparison
In the year-to-date period, GQETX achieves a 22.10% return, which is significantly higher than GQSCX's 19.79% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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GQETX vs. GQSCX - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is lower than GQSCX's 0.85% expense ratio.
Risk-Adjusted Performance
GQETX vs. GQSCX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
GQETX vs. GQSCX - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 0.85%, more than GQSCX's 0.49% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 0.85% | 0.99% | 1.28% | 5.25% | 1.37% | 1.44% | 1.93% | 1.66% | 1.72% | 2.18% | 2.19% | 3.53% |
GQSCX Glenmede Quantitative U.S. Small Cap Equity Portfolio | 0.49% | 0.70% | 0.99% | 0.93% | 0.51% | 0.59% | 0.77% | 0.14% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
GQETX vs. GQSCX - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, smaller than the maximum GQSCX drawdown of -46.87%. Use the drawdown chart below to compare losses from any high point for GQETX and GQSCX. For additional features, visit the drawdowns tool.
Volatility
GQETX vs. GQSCX - Volatility Comparison
The current volatility for GMO Quality Fund (GQETX) is 3.64%, while Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) has a volatility of 7.58%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than GQSCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.