GTLOX vs. GTTMX
GTLOX (Glenmede Quantitative U.S. Large Cap Core Equity Portfolio) and GTTMX (Glenmede Quantitative U.S. Total Market Equity Portfolio) are both mutual funds - GTLOX is a Large Cap Blend Equities fund managed by Glenmede, while GTTMX is a Mid Cap Value Equities fund managed by Glenmede. Over the past 10 years, GTLOX returned 12.11%/yr vs 12.36%/yr for GTTMX. Their 0.96 correlation means they have historically moved very closely together. GTLOX charges 0.85%/yr vs 1.83%/yr for GTTMX.
Performance
GTLOX vs. GTTMX - Performance Comparison
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Returns By Period
In the year-to-date period, GTLOX achieves a 20.80% return, which is significantly higher than GTTMX's 14.75% return. Both investments have delivered pretty close results over the past 10 years, with GTLOX having a 12.11% annualized return and GTTMX not far ahead at 12.36%.
GTLOX
- 1D
- 1.19%
- 1M
- 0.25%
- 6M
- 16.60%
- YTD
- 20.80%
- 1Y
- 38.19%
- 3Y*
- 17.56%
- 5Y*
- 10.57%
- 10Y*
- 12.11%
- ALL TIME*
- 10.29%
GTTMX
- 1D
- 1.27%
- 1M
- 4.00%
- 6M
- 11.49%
- YTD
- 14.75%
- 1Y
- 28.60%
- 3Y*
- 15.53%
- 5Y*
- 10.85%
- 10Y*
- 12.36%
- ALL TIME*
- 8.86%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
GTLOX vs. GTTMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | 20.80% | 14.39% | 13.86% | 16.66% | -15.37% | 27.05% | 7.41% | 23.27% | -7.97% | 24.78% |
GTTMX Glenmede Quantitative U.S. Total Market Equity Portfolio | 14.75% | 18.40% | 14.84% | 9.39% | -13.90% | 41.28% | 5.12% | 24.18% | -11.99% | 22.88% |
Correlation
The correlation between GTLOX and GTTMX is 0.92, 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. | 0.92 |
Correlation (3Y) Balances recent behavior with more history. | 0.93 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.94 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.94 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2007 | 0.96 |
The correlation between GTLOX and GTTMX has been stable across timeframes, ranging from 0.92 to 0.96 - a consistent structural relationship.
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Return for Risk
GTLOX vs. GTTMX — Risk / Return Rank
GTLOX
GTTMX
GTLOX vs. GTTMX - 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 Quantitative U.S. Total Market Equity Portfolio (GTTMX). 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.
| GTLOX | GTTMX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.64 | ||
| Sortino ratioReturn per unit of downside risk | +0.82 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.30 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 4.80 | 4.16 | +0.64 |
| Martin ratioReturn relative to average drawdown | 19.41 | 13.70 | +5.71 |
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Drawdowns
GTLOX vs. GTTMX - Drawdown Comparison
The maximum GTLOX drawdown since its inception was -54.09%, roughly equal to the maximum GTTMX drawdown of -56.24%. Use the drawdown chart below to compare losses from any high point for GTLOX and GTTMX.
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Drawdown Indicators
| GTLOX | GTTMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.09% | -56.24% | +2.15% |
Max Drawdown (1Y)Largest decline over 1 year | -7.47% | -6.51% | -0.96% |
Max Drawdown (3Y)Largest decline over 3 years | -32.85% | -20.62% | -12.23% |
Max Drawdown (5Y)Largest decline over 5 years | -32.85% | -24.12% | -8.73% |
Max Drawdown (10Y)Largest decline over 10 years | -38.15% | -44.59% | +6.44% |
Current DrawdownCurrent decline from peak | -1.67% | 0.00% | -1.67% |
Average DrawdownAverage peak-to-trough decline | -8.28% | -10.18% | +1.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.87% | 1.97% | -0.10% |
Volatility
GTLOX vs. GTTMX - Volatility Comparison
Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) and Glenmede Quantitative U.S. Total Market Equity Portfolio (GTTMX) have volatilities of 3.35% and 3.44%, 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.
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Volatility by Period
| GTLOX | GTTMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.35% | 3.44% | -0.09% |
Volatility (6M)Calculated over the trailing 6-month period | 11.66% | 11.46% | +0.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.89% | 15.25% | -0.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.97% | 18.29% | +3.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.92% | 20.48% | +0.44% |
GTLOX vs. GTTMX - Expense Ratio Comparison
GTLOX has a 0.85% expense ratio, which is lower than GTTMX's 1.83% expense ratio.
Dividends
GTLOX vs. GTTMX - Dividend Comparison
GTLOX's dividend yield for the trailing twelve months is around 14.76%, less than GTTMX's 16.47% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | 14.76% | 17.84% | 25.96% | 8.32% | 23.58% | 13.35% | 9.06% | 5.35% | 10.53% | 4.99% | 1.08% | 2.09% |
GTTMX Glenmede Quantitative U.S. Total Market Equity Portfolio | 16.47% | 18.85% | 14.45% | 5.83% | 0.40% | 17.50% | 11.58% | 5.95% | 9.88% | 3.00% | 0.55% | 0.59% |
Frequently Asked Questions
With a correlation of 0.92, GTLOX and GTTMX 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.
GTTMX has higher volatility (3.44%) compared to GTLOX (3.35%). In terms of maximum drawdown, GTLOX dropped -54.09% vs GTTMX's -56.24%.
GTLOX currently has the higher Sharpe Ratio (2.41 vs 1.78), 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.
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