GTLOX vs. DFIEX
Compare and contrast key facts about Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) and DFA International Core Equity Portfolio I (DFIEX).
GTLOX is managed by Glenmede. It was launched on Feb 27, 2004. DFIEX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
GTLOX vs. DFIEX - Performance Comparison
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GTLOX vs. DFIEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | -0.05% | 14.39% | 13.86% | 16.66% | -15.37% | 27.05% | 7.41% | 23.27% | -7.97% | 24.78% |
DFIEX DFA International Core Equity Portfolio I | 2.80% | 36.18% | 3.99% | 17.50% | -13.51% | 13.85% | 7.73% | 21.70% | -17.41% | 28.04% |
Returns By Period
In the year-to-date period, GTLOX achieves a -0.05% return, which is significantly lower than DFIEX's 2.80% return. Over the past 10 years, GTLOX has outperformed DFIEX with an annualized return of 10.49%, while DFIEX has yielded a comparatively lower 9.64% annualized return.
GTLOX
- 1D
- 2.76%
- 1M
- -4.32%
- YTD
- -0.05%
- 6M
- 5.01%
- 1Y
- 18.17%
- 3Y*
- 13.11%
- 5Y*
- 7.73%
- 10Y*
- 10.49%
DFIEX
- 1D
- 3.02%
- 1M
- -6.42%
- YTD
- 2.80%
- 6M
- 8.00%
- 1Y
- 30.46%
- 3Y*
- 16.74%
- 5Y*
- 9.40%
- 10Y*
- 9.64%
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GTLOX vs. DFIEX - Expense Ratio Comparison
GTLOX has a 0.85% expense ratio, which is higher than DFIEX's 0.24% expense ratio.
Return for Risk
GTLOX vs. DFIEX — Risk / Return Rank
GTLOX
DFIEX
GTLOX vs. DFIEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) and DFA International Core Equity Portfolio I (DFIEX). 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.
| GTLOX | DFIEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.98 | 1.95 | -0.98 |
Sortino ratioReturn per unit of downside risk | 1.47 | 2.55 | -1.08 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.39 | -0.18 |
Calmar ratioReturn relative to maximum drawdown | 1.26 | 2.57 | -1.31 |
Martin ratioReturn relative to average drawdown | 5.79 | 10.07 | -4.29 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GTLOX | DFIEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.98 | 1.95 | -0.98 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.36 | 0.60 | -0.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.50 | 0.59 | -0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.35 | +0.11 |
Correlation
The correlation between GTLOX and DFIEX is 0.79, 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.
Dividends
GTLOX vs. DFIEX - Dividend Comparison
GTLOX's dividend yield for the trailing twelve months is around 17.85%, more than DFIEX's 3.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | 17.85% | 17.84% | 25.96% | 8.32% | 23.58% | 13.35% | 9.06% | 5.35% | 10.53% | 4.99% | 1.08% | 2.09% |
DFIEX DFA International Core Equity Portfolio I | 3.14% | 3.22% | 3.42% | 3.36% | 2.88% | 2.98% | 1.77% | 2.90% | 2.95% | 2.49% | 2.76% | 4.20% |
Drawdowns
GTLOX vs. DFIEX - Drawdown Comparison
The maximum GTLOX drawdown since its inception was -54.09%, smaller than the maximum DFIEX drawdown of -62.22%. Use the drawdown chart below to compare losses from any high point for GTLOX and DFIEX.
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Drawdown Indicators
| GTLOX | DFIEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.09% | -62.22% | +8.13% |
Max Drawdown (1Y)Largest decline over 1 year | -12.45% | -11.01% | -1.44% |
Max Drawdown (5Y)Largest decline over 5 years | -32.85% | -28.66% | -4.19% |
Max Drawdown (10Y)Largest decline over 10 years | -38.15% | -41.04% | +2.89% |
Current DrawdownCurrent decline from peak | -10.21% | -7.75% | -2.46% |
Average DrawdownAverage peak-to-trough decline | -8.38% | -12.26% | +3.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.75% | 2.81% | -0.06% |
Volatility
GTLOX vs. DFIEX - Volatility Comparison
The current volatility for Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) is 5.32%, while DFA International Core Equity Portfolio I (DFIEX) has a volatility of 7.09%. This indicates that GTLOX experiences smaller price fluctuations and is considered to be less risky than DFIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GTLOX | DFIEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.32% | 7.09% | -1.77% |
Volatility (6M)Calculated over the trailing 6-month period | 10.58% | 10.45% | +0.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.93% | 15.90% | +3.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.81% | 15.65% | +6.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.86% | 16.35% | +4.51% |