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

GQSCX vs. GQETX

Last updated May 13, 2025

Compare and contrast key facts about Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) and GMO Quality Fund (GQETX).

GQSCX is managed by Glenmede. It was launched on Nov 13, 2017. GQETX is managed by GMO. It was launched on Feb 6, 2004.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQSCX or GQETX.

Correlation

The correlation between GQSCX and GQETX is 0.78, 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

GQSCX vs. GQETX - Performance Comparison

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

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Key characteristics

Sharpe Ratio

GQSCX:

-0.52

GQETX:

0.63

Sortino Ratio

GQSCX:

-0.53

GQETX:

1.07

Omega Ratio

GQSCX:

0.93

GQETX:

1.15

Calmar Ratio

GQSCX:

-0.35

GQETX:

0.72

Martin Ratio

GQSCX:

-0.85

GQETX:

2.82

Ulcer Index

GQSCX:

14.53%

GQETX:

3.94%

Daily Std Dev

GQSCX:

25.57%

GQETX:

16.60%

Max Drawdown

GQSCX:

-46.87%

GQETX:

-41.46%

Current Drawdown

GQSCX:

-23.46%

GQETX:

-3.20%

Returns By Period

In the year-to-date period, GQSCX achieves a -7.92% return, which is significantly lower than GQETX's 2.98% return.

GQSCX

YTD

-7.92%

1M

12.63%

6M

-23.46%

1Y

-13.32%

5Y*

11.75%

10Y*

N/A

GQETX

YTD

2.98%

1M

7.29%

6M

0.17%

1Y

10.42%

5Y*

18.80%

10Y*

9.37%

*Annualized

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GQSCX vs. GQETX - Expense Ratio Comparison

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

GQSCX
Glenmede Quantitative U.S. Small Cap Equity Portfolio
GQETX
GMO Quality Fund

Risk-Adjusted Performance

GQSCX vs. GQETX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GQSCX
The Risk-Adjusted Performance Rank of GQSCX is 33
Overall Rank
The Sharpe Ratio Rank of GQSCX is 33
Sharpe Ratio Rank
The Sortino Ratio Rank of GQSCX is 33
Sortino Ratio Rank
The Omega Ratio Rank of GQSCX is 33
Omega Ratio Rank
The Calmar Ratio Rank of GQSCX is 22
Calmar Ratio Rank
The Martin Ratio Rank of GQSCX is 33
Martin Ratio Rank
GQETX
The Risk-Adjusted Performance Rank of GQETX is 6767
Overall Rank
The Sharpe Ratio Rank of GQETX is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of GQETX is 6464
Sortino Ratio Rank
The Omega Ratio Rank of GQETX is 6666
Omega Ratio Rank
The Calmar Ratio Rank of GQETX is 7474
Calmar Ratio Rank
The Martin Ratio Rank of GQETX is 6969
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.

GQSCX vs. GQETX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) 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 GQSCX Sharpe Ratio is -0.52, which is lower than the GQETX Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of GQSCX 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.

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Dividends

GQSCX vs. GQETX - Dividend Comparison

GQSCX's dividend yield for the trailing twelve months is around 0.52%, less than GQETX's 0.97% yield.

TTM20242023202220212020201920182017201620152014
GQSCX
Glenmede Quantitative U.S. Small Cap Equity Portfolio		0.52%0.46%0.70%0.99%0.93%0.51%0.59%0.77%0.14%0.00%0.00%0.00%
GQETX
GMO Quality Fund		0.97%1.00%0.99%1.28%5.25%1.37%1.44%1.93%1.66%1.72%2.18%2.19%

Drawdowns

GQSCX vs. GQETX - Drawdown Comparison

The maximum GQSCX drawdown since its inception was -46.87%, which is greater than GQETX's maximum drawdown of -41.46%. Use the drawdown chart below to compare losses from any high point for GQSCX and GQETX. For additional features, visit the drawdowns tool.

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Volatility

GQSCX vs. GQETX - Volatility Comparison

Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) has a higher volatility of 6.50% compared to GMO Quality Fund (GQETX) at 5.46%. This indicates that GQSCX'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.

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