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GQLVX vs. GQETX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

GQLVX vs. GQETX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Glenmede Quantitative U.S. Large Cap Value Equity Portfolio (GQLVX) and GMO Quality Fund (GQETX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.90%
7.29%
GQLVX
GQETX

Returns By Period

In the year-to-date period, GQLVX achieves a 18.83% return, which is significantly lower than GQETX's 20.32% return.


GQLVX

YTD

18.83%

1M

4.63%

6M

13.90%

1Y

26.94%

5Y (annualized)

9.71%

10Y (annualized)

N/A

GQETX

YTD

20.32%

1M

0.55%

6M

7.29%

1Y

24.44%

5Y (annualized)

16.57%

10Y (annualized)

14.71%

Key characteristics


GQLVXGQETX
Sharpe Ratio2.302.22
Sortino Ratio3.363.04
Omega Ratio1.401.40
Calmar Ratio3.823.75
Martin Ratio10.0815.02
Ulcer Index2.67%1.63%
Daily Std Dev11.74%10.99%
Max Drawdown-42.79%-39.99%
Current Drawdown0.00%-1.71%

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GQLVX vs. GQETX - Expense Ratio Comparison

GQLVX has a 0.85% expense ratio, which is higher than GQETX's 0.49% expense ratio.


GQLVX
Glenmede Quantitative U.S. Large Cap Value Equity Portfolio
Expense ratio chart for GQLVX: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for GQETX: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Correlation

-0.50.00.51.00.8

The correlation between GQLVX and GQETX is 0.79, 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.

Risk-Adjusted Performance

GQLVX vs. GQETX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Glenmede Quantitative U.S. Large Cap Value Equity Portfolio (GQLVX) and GMO Quality Fund (GQETX). 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.


Sharpe ratio
The chart of Sharpe ratio for GQLVX, currently valued at 2.30, compared to the broader market-1.000.001.002.003.004.005.002.302.22
The chart of Sortino ratio for GQLVX, currently valued at 3.36, compared to the broader market0.005.0010.003.363.04
The chart of Omega ratio for GQLVX, currently valued at 1.40, compared to the broader market1.002.003.004.001.401.40
The chart of Calmar ratio for GQLVX, currently valued at 3.82, compared to the broader market0.005.0010.0015.0020.003.823.75
The chart of Martin ratio for GQLVX, currently valued at 10.08, compared to the broader market0.0020.0040.0060.0080.00100.0010.0815.02
GQLVX
GQETX

The current GQLVX Sharpe Ratio is 2.30, which is comparable to the GQETX Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of GQLVX and GQETX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.30
2.22
GQLVX
GQETX

Dividends

GQLVX vs. GQETX - Dividend Comparison

GQLVX's dividend yield for the trailing twelve months is around 1.68%, more than GQETX's 0.86% yield.


TTM20232022202120202019201820172016201520142013
GQLVX
Glenmede Quantitative U.S. Large Cap Value Equity Portfolio
1.68%1.81%1.98%1.35%1.89%1.71%2.12%0.21%0.00%0.00%0.00%0.00%
GQETX
GMO Quality Fund
0.86%0.99%1.28%5.25%1.37%1.44%1.93%1.66%1.72%2.18%2.19%3.53%

Drawdowns

GQLVX vs. GQETX - Drawdown Comparison

The maximum GQLVX drawdown since its inception was -42.79%, which is greater than GQETX's maximum drawdown of -39.99%. Use the drawdown chart below to compare losses from any high point for GQLVX and GQETX. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.71%
GQLVX
GQETX

Volatility

GQLVX vs. GQETX - Volatility Comparison

Glenmede Quantitative U.S. Large Cap Value Equity Portfolio (GQLVX) has a higher volatility of 4.09% compared to GMO Quality Fund (GQETX) at 3.36%. This indicates that GQLVX's price experiences larger fluctuations and is considered to be riskier than GQETX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.09%
3.36%
GQLVX
GQETX