GTLOX vs. IGIAX

Last updated Jun 4, 2026

GTLOX (Glenmede Quantitative U.S. Large Cap Core Equity Portfolio) and IGIAX (Integrity ESG Growth & Income Fund) are both Large Cap Blend Equities funds. Over the past 10 years, GTLOX returned 12.70%/yr vs 15.58%/yr for IGIAX. Their correlation of 0.90 suggests significant overlap in exposure. GTLOX charges 0.85%/yr vs 1.24%/yr for IGIAX.

Performance

GTLOX vs. IGIAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) and Integrity ESG Growth & Income Fund (IGIAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GTLOX achieves a 22.45% return, which is significantly lower than IGIAX's 26.41% return. Over the past 10 years, GTLOX has underperformed IGIAX with an annualized return of 12.70%, while IGIAX has yielded a comparatively higher 15.58% annualized return.

GTLOX

• 1D: 1.39%
• 1M: 9.29%
• YTD: 22.45%
• 6M: 24.47%
• 1Y: 42.05%
• 3Y*: 21.08%
• 5Y*: 11.19%
• 10Y*: 12.70%

IGIAX

• 1D: 0.93%
• 1M: 11.22%
• YTD: 26.41%
• 6M: 26.85%
• 1Y: 43.84%
• 3Y*: 25.44%
• 5Y*: 14.96%
• 10Y*: 15.58%

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

GTLOX vs. IGIAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio	22.45%	14.39%	13.86%	16.66%	-15.37%	27.05%	7.41%	23.27%	-7.97%	24.78%
IGIAX Integrity ESG Growth & Income Fund	26.41%	18.60%	17.24%	25.24%	-21.32%	27.62%	17.14%	33.11%	-1.83%	18.69%

Correlation

The correlation between GTLOX and IGIAX is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.83
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (10Y) Calculated over the trailing 10-year period	0.90
Correlation (All Time) Calculated using the full available price history since Jan 4, 2005	0.90

The correlation between GTLOX and IGIAX has been stable across timeframes, ranging from 0.83 to 0.90 - a consistent structural relationship.

Return for Risk

GTLOX vs. IGIAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GTLOX

GTLOX Risk / Return Rank: 91
GTLOX Sharpe Ratio Rank: 93
GTLOX Sortino Ratio Rank: 89
GTLOX Omega Ratio Rank: 82
GTLOX Calmar Ratio Rank: 95
GTLOX Martin Ratio Rank: 97

IGIAX

IGIAX Risk / Return Rank: 89
IGIAX Sharpe Ratio Rank: 90
IGIAX Sortino Ratio Rank: 85
IGIAX Omega Ratio Rank: 78
IGIAX Calmar Ratio Rank: 97
IGIAX Martin Ratio Rank: 96

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GTLOX vs. IGIAX - 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 Integrity ESG Growth & Income Fund (IGIAX). 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	IGIAX	Difference
Sharpe ratio: Return per unit of total volatility	3.17	3.00	+0.17
Sortino ratio: Return per unit of downside risk	4.30	4.03	+0.27
Omega ratio: Gain probability vs. loss probability	1.55	1.51	+0.03
Calmar ratio: Return relative to maximum drawdown	5.88	6.59	-0.70
Martin ratio: Return relative to average drawdown	25.30	23.52	+1.77
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GTLOX vs. IGIAX - Sharpe Ratio Comparison

The current GTLOX Sharpe Ratio is 3.17, which is comparable to the IGIAX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of GTLOX and IGIAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GTLOX	IGIAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.17	3.00	+0.17
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.52	0.83	-0.31
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.61	0.86	-0.25
Sharpe Ratio (All Time) Calculated using the full available price history	0.50	0.51	-0.01

Drawdowns

GTLOX vs. IGIAX - Drawdown Comparison

The maximum GTLOX drawdown since its inception was -54.09%, smaller than the maximum IGIAX drawdown of -79.15%. Use the drawdown chart below to compare losses from any high point for GTLOX and IGIAX.

Drawdown Indicators

	GTLOX	IGIAX	Difference
Max Drawdown Largest peak-to-trough decline	-54.09%	-79.15%	+25.06%
Max Drawdown (1Y) Largest decline over 1 year	-7.47%	-6.89%	-0.58%
Max Drawdown (3Y) Largest decline over 3 years	-32.85%	-19.58%	-13.27%
Max Drawdown (5Y) Largest decline over 5 years	-32.85%	-30.18%	-2.67%
Max Drawdown (10Y) Largest decline over 10 years	-38.15%	-31.19%	-6.96%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-8.33%	-33.34%	+25.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.73%	1.93%	-0.20%

Volatility

GTLOX vs. IGIAX - Volatility Comparison

The current volatility for Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) is 4.25%, while Integrity ESG Growth & Income Fund (IGIAX) has a volatility of 5.80%. This indicates that GTLOX experiences smaller price fluctuations and is considered to be less risky than IGIAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GTLOX	IGIAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.25%	5.80%	-1.55%
Volatility (6M) Calculated over the trailing 6-month period	10.36%	12.08%	-1.72%
Volatility (1Y) Calculated over the trailing 1-year period	13.88%	15.15%	-1.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.86%	18.10%	+3.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.91%	18.10%	+2.81%

GTLOX vs. IGIAX - Expense Ratio Comparison

GTLOX has a 0.85% expense ratio, which is lower than IGIAX's 1.24% expense ratio.

Dividends

GTLOX vs. IGIAX - Dividend Comparison

GTLOX's dividend yield for the trailing twelve months is around 14.62%, more than IGIAX's 2.87% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio	14.62%	17.84%	25.96%	8.32%	23.58%	13.35%	9.06%	5.35%	10.53%	4.99%	1.08%	2.09%
IGIAX Integrity ESG Growth & Income Fund	2.87%	3.62%	0.00%	2.23%	1.41%	0.63%	0.62%	9.26%	6.63%	7.31%	2.30%	2.19%

Frequently Asked Questions

Can I hold both GTLOX and IGIAX in my portfolio?

GTLOX and IGIAX have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GTLOX or IGIAX?

IGIAX has higher volatility (5.80%) compared to GTLOX (4.25%). In terms of maximum drawdown, GTLOX dropped -54.09% vs IGIAX's -79.15%.

Which has better risk-adjusted returns?

GTLOX currently has the higher Sharpe Ratio (3.17 vs 3.00), 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.