GTLOX vs. GTSOX
Compare and contrast key facts about Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) and Glenmede Secured Options Portfolio (GTSOX).
GTLOX is managed by Glenmede. It was launched on Feb 27, 2004. GTSOX is managed by Glenmede. It was launched on Jun 29, 2010.
Performance
GTLOX vs. GTSOX - Performance Comparison
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GTLOX vs. GTSOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | -2.74% | 14.39% | 13.86% | 16.66% | -15.37% | 27.05% | 7.41% | 23.27% | -7.97% | 24.78% |
GTSOX Glenmede Secured Options Portfolio | -2.70% | 7.73% | 13.79% | 14.59% | -11.69% | 18.06% | 4.22% | 18.45% | -4.68% | 5.96% |
Returns By Period
The year-to-date returns for both investments are quite close, with GTLOX having a -2.74% return and GTSOX slightly higher at -2.70%. Over the past 10 years, GTLOX has outperformed GTSOX with an annualized return of 10.19%, while GTSOX has yielded a comparatively lower 6.85% annualized return.
GTLOX
- 1D
- -0.52%
- 1M
- -7.12%
- YTD
- -2.74%
- 6M
- 2.61%
- 1Y
- 15.05%
- 3Y*
- 12.08%
- 5Y*
- 7.42%
- 10Y*
- 10.19%
GTSOX
- 1D
- -0.15%
- 1M
- -4.64%
- YTD
- -2.70%
- 6M
- -0.12%
- 1Y
- 7.74%
- 3Y*
- 8.78%
- 5Y*
- 6.15%
- 10Y*
- 6.85%
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GTLOX vs. GTSOX - Expense Ratio Comparison
Both GTLOX and GTSOX have an expense ratio of 0.85%.
Return for Risk
GTLOX vs. GTSOX — Risk / Return Rank
GTLOX
GTSOX
GTLOX vs. GTSOX - 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 Glenmede Secured Options Portfolio (GTSOX). 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 | GTSOX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.85 | 0.60 | +0.25 |
Sortino ratioReturn per unit of downside risk | 1.30 | 0.96 | +0.34 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.24 | -0.06 |
Calmar ratioReturn relative to maximum drawdown | 0.91 | 0.59 | +0.32 |
Martin ratioReturn relative to average drawdown | 4.18 | 3.75 | +0.43 |
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 | GTSOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.85 | 0.60 | +0.25 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.34 | 0.47 | -0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.49 | 0.51 | -0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.55 | -0.10 |
Correlation
The correlation between GTLOX and GTSOX is 0.84, 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. GTSOX - Dividend Comparison
GTLOX's dividend yield for the trailing twelve months is around 18.35%, more than GTSOX's 7.67% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | 18.35% | 17.84% | 25.96% | 8.32% | 23.58% | 13.35% | 9.06% | 5.35% | 10.53% | 4.99% | 1.08% | 2.09% |
GTSOX Glenmede Secured Options Portfolio | 7.67% | 7.47% | 12.31% | 0.00% | 0.00% | 13.35% | 0.00% | 7.56% | 2.62% | 6.57% | 5.01% | 5.95% |
Drawdowns
GTLOX vs. GTSOX - Drawdown Comparison
The maximum GTLOX drawdown since its inception was -54.09%, which is greater than GTSOX's maximum drawdown of -29.21%. Use the drawdown chart below to compare losses from any high point for GTLOX and GTSOX.
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Drawdown Indicators
| GTLOX | GTSOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.09% | -29.21% | -24.88% |
Max Drawdown (1Y)Largest decline over 1 year | -12.45% | -11.14% | -1.31% |
Max Drawdown (5Y)Largest decline over 5 years | -32.85% | -22.03% | -10.82% |
Max Drawdown (10Y)Largest decline over 10 years | -38.15% | -29.21% | -8.94% |
Current DrawdownCurrent decline from peak | -12.63% | -6.69% | -5.94% |
Average DrawdownAverage peak-to-trough decline | -8.38% | -2.99% | -5.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.91% | 1.77% | +1.14% |
Volatility
GTLOX vs. GTSOX - Volatility Comparison
Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) has a higher volatility of 4.34% compared to Glenmede Secured Options Portfolio (GTSOX) at 3.18%. This indicates that GTLOX's price experiences larger fluctuations and is considered to be riskier than GTSOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GTLOX | GTSOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.34% | 3.18% | +1.16% |
Volatility (6M)Calculated over the trailing 6-month period | 10.27% | 4.18% | +6.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.77% | 13.83% | +4.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.77% | 13.14% | +8.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.85% | 13.42% | +7.43% |