GQSCX vs. VOO
Compare and contrast key facts about Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) and Vanguard S&P 500 ETF (VOO).
GQSCX is managed by Glenmede. It was launched on Nov 13, 2017. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQSCX or VOO.
Key characteristics
| GQSCX | VOO | |
|---|---|---|
| YTD Return | 19.79% | 26.59% |
| 1Y Return | 42.24% | 38.23% |
| 3Y Return (Ann) | 8.50% | 9.99% |
| 5Y Return (Ann) | 14.12% | 15.91% |
| Sharpe Ratio | 1.92 | 3.11 |
| Sortino Ratio | 2.81 | 4.14 |
| Omega Ratio | 1.33 | 1.58 |
| Calmar Ratio | 3.10 | 4.54 |
| Martin Ratio | 11.26 | 20.72 |
| Ulcer Index | 3.64% | 1.85% |
| Daily Std Dev | 21.36% | 12.33% |
| Max Drawdown | -46.87% | -33.99% |
| Current Drawdown | -1.01% | 0.00% |
Correlation
The correlation between GQSCX and VOO 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. VOO - Performance Comparison
In the year-to-date period, GQSCX achieves a 19.79% return, which is significantly lower than VOO's 26.59% 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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GQSCX vs. VOO - Expense Ratio Comparison
GQSCX has a 0.85% expense ratio, which is higher than VOO's 0.03% expense ratio.
Risk-Adjusted Performance
GQSCX vs. VOO - 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 S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
GQSCX's dividend yield for the trailing twelve months is around 0.49%, less than VOO's 1.24% 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% |
VOO Vanguard S&P 500 ETF | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
GQSCX vs. VOO - Drawdown Comparison
The maximum GQSCX drawdown since its inception was -46.87%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GQSCX and VOO. For additional features, visit the drawdowns tool.
Volatility
GQSCX vs. VOO - Volatility Comparison
Glenmede Quantitative U.S. Small Cap Equity Portfolio (GQSCX) has a higher volatility of 7.58% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that GQSCX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.