GQSCX vs. VBR
Compare and contrast key facts about Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) and Vanguard Small-Cap Value ETF (VBR).
GQSCX is managed by Glenmede. It was launched on Nov 13, 2017. VBR is a passively managed fund by Vanguard that tracks the performance of the MSCI US Small Cap Value Index. It was launched on Jan 26, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQSCX or VBR.
Key characteristics
| GQSCX | VBR | |
|---|---|---|
| YTD Return | 19.79% | 18.97% |
| 1Y Return | 42.24% | 37.77% |
| 3Y Return (Ann) | 8.50% | 6.65% |
| 5Y Return (Ann) | 14.12% | 11.80% |
| Sharpe Ratio | 1.92 | 2.16 |
| Sortino Ratio | 2.81 | 3.08 |
| Omega Ratio | 1.33 | 1.38 |
| Calmar Ratio | 3.10 | 2.85 |
| Martin Ratio | 11.26 | 12.54 |
| Ulcer Index | 3.64% | 2.95% |
| Daily Std Dev | 21.36% | 17.17% |
| Max Drawdown | -46.87% | -62.01% |
| Current Drawdown | -1.01% | -0.27% |
Correlation
The correlation between GQSCX and VBR is 0.95, 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. VBR - Performance Comparison
The year-to-date returns for both stocks are quite close, with GQSCX having a 19.79% return and VBR slightly lower at 18.97%. 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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GQSCX vs. VBR - Expense Ratio Comparison
GQSCX has a 0.85% expense ratio, which is higher than VBR's 0.07% expense ratio.
Risk-Adjusted Performance
GQSCX vs. VBR - 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 Vanguard Small-Cap Value ETF (VBR). 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
GQSCX vs. VBR - Dividend Comparison
GQSCX's dividend yield for the trailing twelve months is around 0.49%, less than VBR's 1.89% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VBR Vanguard Small-Cap Value ETF | 1.89% | 2.12% | 2.03% | 1.75% | 1.68% | 2.06% | 2.35% | 1.79% | 1.77% | 1.99% | 1.77% | 1.87% |
Drawdowns
GQSCX vs. VBR - Drawdown Comparison
The maximum GQSCX drawdown since its inception was -46.87%, smaller than the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for GQSCX and VBR. For additional features, visit the drawdowns tool.
Volatility
GQSCX vs. VBR - Volatility Comparison
Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) has a higher volatility of 7.58% compared to Vanguard Small-Cap Value ETF (VBR) at 5.74%. This indicates that GQSCX's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.