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

Correlation

The correlation between GQLVX and GQETX is 0.82, 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

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.

20.00%40.00%60.00%80.00%100.00%120.00%December2025FebruaryMarchAprilMay
39.25%
105.84%
GQLVX
GQETX

Key characteristics

Sharpe Ratio

GQLVX:

-0.24

GQETX:

0.64

Sortino Ratio

GQLVX:

-0.17

GQETX:

1.01

Omega Ratio

GQLVX:

0.97

GQETX:

1.14

Calmar Ratio

GQLVX:

-0.18

GQETX:

0.67

Martin Ratio

GQLVX:

-0.45

GQETX:

2.69

Ulcer Index

GQLVX:

10.60%

GQETX:

3.88%

Daily Std Dev

GQLVX:

20.38%

GQETX:

16.34%

Max Drawdown

GQLVX:

-42.79%

GQETX:

-41.46%

Current Drawdown

GQLVX:

-18.66%

GQETX:

-6.23%

Returns By Period

In the year-to-date period, GQLVX achieves a -2.17% return, which is significantly lower than GQETX's -0.25% return.


GQLVX

YTD

-2.17%

1M

7.87%

6M

-14.64%

1Y

-6.29%

5Y*

10.53%

10Y*

N/A

GQETX

YTD

-0.25%

1M

9.31%

6M

-0.46%

1Y

8.47%

5Y*

17.40%

10Y*

9.11%

*Annualized

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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.


Risk-Adjusted Performance

GQLVX vs. GQETX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GQLVX
The Risk-Adjusted Performance Rank of GQLVX is 88
Overall Rank
The Sharpe Ratio Rank of GQLVX is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of GQLVX is 88
Sortino Ratio Rank
The Omega Ratio Rank of GQLVX is 88
Omega Ratio Rank
The Calmar Ratio Rank of GQLVX is 77
Calmar Ratio Rank
The Martin Ratio Rank of GQLVX is 99
Martin Ratio Rank

GQETX
The Risk-Adjusted Performance Rank of GQETX is 5959
Overall Rank
The Sharpe Ratio Rank of GQETX is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of GQETX is 5555
Sortino Ratio Rank
The Omega Ratio Rank of GQETX is 5555
Omega Ratio Rank
The Calmar Ratio Rank of GQETX is 6767
Calmar Ratio Rank
The Martin Ratio Rank of GQETX is 6262
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current GQLVX Sharpe Ratio is -0.24, which is lower than the GQETX Sharpe Ratio of 0.64. 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 Ratio-1.000.001.002.003.00December2025FebruaryMarchAprilMay
-0.25
0.64
GQLVX
GQETX

Dividends

GQLVX vs. GQETX - Dividend Comparison

GQLVX's dividend yield for the trailing twelve months is around 14.17%, more than GQETX's 4.93% yield.


TTM20242023202220212020201920182017201620152014
GQLVX
Glenmede Quantitative U.S. Large Cap Value Equity Portfolio
14.17%13.95%2.41%6.06%1.34%1.88%1.71%2.12%0.21%0.00%0.00%0.00%
GQETX
GMO Quality Fund
4.93%4.92%4.25%11.85%10.19%13.61%8.08%21.66%8.10%3.56%17.25%24.26%

Drawdowns

GQLVX vs. GQETX - Drawdown Comparison

The maximum GQLVX drawdown since its inception was -42.79%, roughly equal to the maximum GQETX drawdown of -41.46%. Use the drawdown chart below to compare losses from any high point for GQLVX and GQETX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-18.66%
-6.23%
GQLVX
GQETX

Volatility

GQLVX vs. GQETX - Volatility Comparison

Glenmede Quantitative U.S. Large Cap Value Equity Portfolio (GQLVX) and GMO Quality Fund (GQETX) have volatilities of 9.67% and 9.72%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%December2025FebruaryMarchAprilMay
9.67%
9.72%
GQLVX
GQETX