GTLLX vs. JMOM

Last updated Aug 1, 2026

GTLLX (Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio) and JMOM (JPMorgan U.S. Momentum Factor ETF) are both funds - GTLLX is a Large Cap Growth Equities fund managed by Glenmede, while JMOM is a Momentum fund tracking the JP Morgan US Momentum Factor Index. Over the past 5 years, GTLLX returned 13.15%/yr vs 13.81%/yr for JMOM. Their correlation of 0.89 means they have usually moved in the same direction. GTLLX charges 0.85%/yr vs 0.12%/yr for JMOM.

Performance

GTLLX vs. JMOM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio (GTLLX) and JPMorgan U.S. Momentum Factor ETF (JMOM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GTLLX achieves a 20.55% return, which is significantly higher than JMOM's 19.05% return.

GTLLX

• 1D: 2.68%
• 1M: -0.90%
• 6M: 19.59%
• YTD: 20.55%
• 1Y: 32.78%
• 3Y*: 22.51%
• 5Y*: 13.15%
• 10Y*: 16.11%
• ALL TIME*: 12.43%

JMOM

• 1D: 0.32%
• 1M: -2.82%
• 6M: 15.79%
• YTD: 19.05%
• 1Y: 27.58%
• 3Y*: 24.00%
• 5Y*: 13.81%
• 10Y*: —
• ALL TIME*: 15.68%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GTLLX Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio	$0.00	$0.00	$0.00
JMOM JPMorgan U.S. Momentum Factor ETF	$17.83M	$12.92M	$9.17M

GTLLX vs. JMOM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GTLLX Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio	20.55%	17.44%	20.71%	27.10%	-21.69%	32.91%	18.80%	34.86%	-5.23%	4.05%
JMOM JPMorgan U.S. Momentum Factor ETF	19.05%	18.02%	28.47%	22.89%	-20.83%	25.03%	29.25%	28.24%	-5.25%	3.36%

Correlation

The correlation between GTLLX and JMOM is 0.91, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.91
Correlation (3Y) Balances recent behavior with more history.	0.92
Correlation (5Y) Shows whether the relationship held over a longer period.	0.94
Correlation (All Time) Calculated using the full available price history since Nov 9, 2017	0.89

The correlation between GTLLX and JMOM has been stable across timeframes, ranging from 0.89 to 0.94 - a consistent structural relationship.

Return for Risk

GTLLX vs. JMOM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

GTLLX

GTLLX Risk / Return Rank: 73
GTLLX Sharpe Ratio Rank: 69
GTLLX Sortino Ratio Rank: 67
GTLLX Omega Ratio Rank: 60
GTLLX Calmar Ratio Rank: 83
GTLLX Martin Ratio Rank: 84

JMOM

JMOM Risk / Return Rank: 75
JMOM Sharpe Ratio Rank: 70
JMOM Sortino Ratio Rank: 68
JMOM Omega Ratio Rank: 66
JMOM Calmar Ratio Rank: 85
JMOM Martin Ratio Rank: 86

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

GTLLX vs. JMOM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio (GTLLX) and JPMorgan U.S. Momentum Factor ETF (JMOM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	GTLLX	JMOM	Difference
Sharpe ratio: Return per unit of total volatility	1.59	1.58	+0.01
Sortino ratio: Return per unit of downside risk	2.24	2.21	+0.02
Omega ratio: Gain probability vs. loss probability	1.27	1.28	-0.01
Calmar ratio: Return relative to maximum drawdown	2.79	3.25	-0.47
Martin ratio: Return relative to average drawdown	10.35	12.11	-1.75

GTLLX vs. JMOM - Sharpe Ratio Comparison

The current GTLLX Sharpe Ratio is 1.59, which is comparable to the JMOM Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of GTLLX and JMOM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GTLLX vs. JMOM - Drawdown Comparison

The maximum GTLLX drawdown since its inception was -54.32%, which is greater than JMOM's maximum drawdown of -34.31%. Use the drawdown chart below to compare losses from any high point for GTLLX and JMOM.

Drawdown Indicators

	GTLLX	JMOM	Difference
Max Drawdown Largest peak-to-trough decline	-54.32%	-34.31%	-20.01%
Max Drawdown (1Y) Largest decline over 1 year	-10.76%	-8.02%	-2.74%
Max Drawdown (3Y) Largest decline over 3 years	-41.54%	-19.51%	-22.03%
Max Drawdown (5Y) Largest decline over 5 years	-41.54%	-28.26%	-13.28%
Max Drawdown (10Y) Largest decline over 10 years	-41.54%	—	—
Current Drawdown Current decline from peak	-3.65%	-5.41%	+1.76%
Average Drawdown Average peak-to-trough decline	-8.54%	-6.25%	-2.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.89%	2.15%	+0.74%

Volatility

GTLLX vs. JMOM - Volatility Comparison

Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio (GTLLX) and JPMorgan U.S. Momentum Factor ETF (JMOM) have volatilities of 5.23% and 5.37%, 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.

Volatility by Period

	GTLLX	JMOM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.23%	5.37%	-0.14%
Volatility (6M) Calculated over the trailing 6-month period	15.42%	14.03%	+1.39%
Volatility (1Y) Calculated over the trailing 1-year period	18.83%	16.53%	+2.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.23%	18.99%	+10.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.10%	20.18%	+4.92%

GTLLX vs. JMOM - Expense Ratio Comparison

GTLLX has a 0.85% expense ratio, which is higher than JMOM's 0.12% expense ratio.

Dividends

GTLLX vs. JMOM - Dividend Comparison

GTLLX's dividend yield for the trailing twelve months is around 12.72%, more than JMOM's 0.75% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTLLX Glenmede Quantitative U.S. Large Cap Growth Equity Portfolio	12.72%	15.33%	40.42%	4.91%	7.93%	20.20%	15.12%	14.10%	16.97%	2.29%	0.58%	0.61%
JMOM JPMorgan U.S. Momentum Factor ETF	0.75%	0.86%	0.75%	1.21%	1.39%	0.64%	0.85%	1.11%	1.38%	0.29%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GTLLX and JMOM in my portfolio?

With a correlation of 0.91, GTLLX and JMOM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, GTLLX or JMOM?

JMOM has higher volatility (5.37%) compared to GTLLX (5.23%). In terms of maximum drawdown, GTLLX dropped -54.32% vs JMOM's -34.31%.

Which has better risk-adjusted returns?

GTLLX currently has the higher Sharpe Ratio (1.59 vs 1.58), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.