GTLOX vs. SGOIX
Compare and contrast key facts about Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) and First Eagle Overseas Fund Class I (SGOIX).
GTLOX is managed by Glenmede. It was launched on Feb 27, 2004. SGOIX is managed by First Eagle.
Performance
GTLOX vs. SGOIX - Performance Comparison
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GTLOX vs. SGOIX - 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% |
SGOIX First Eagle Overseas Fund Class I | 1.44% | 39.06% | 6.45% | 10.73% | -7.86% | 5.25% | 7.25% | 17.90% | -9.95% | 14.38% |
Returns By Period
In the year-to-date period, GTLOX achieves a -2.74% return, which is significantly lower than SGOIX's 1.44% return. Over the past 10 years, GTLOX has outperformed SGOIX with an annualized return of 10.19%, while SGOIX has yielded a comparatively lower 8.06% 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%
SGOIX
- 1D
- 0.19%
- 1M
- -10.98%
- YTD
- 1.44%
- 6M
- 7.39%
- 1Y
- 27.04%
- 3Y*
- 15.87%
- 5Y*
- 9.77%
- 10Y*
- 8.06%
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GTLOX vs. SGOIX - Expense Ratio Comparison
GTLOX has a 0.85% expense ratio, which is lower than SGOIX's 0.88% expense ratio.
Return for Risk
GTLOX vs. SGOIX — Risk / Return Rank
GTLOX
SGOIX
GTLOX vs. SGOIX - 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 First Eagle Overseas Fund Class I (SGOIX). 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 | SGOIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.85 | 1.97 | -1.12 |
Sortino ratioReturn per unit of downside risk | 1.30 | 2.51 | -1.21 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.39 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | 0.91 | 2.25 | -1.34 |
Martin ratioReturn relative to average drawdown | 4.18 | 9.52 | -5.35 |
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 | SGOIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.85 | 1.97 | -1.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.34 | 0.84 | -0.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.49 | 0.71 | -0.22 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.87 | -0.42 |
Correlation
The correlation between GTLOX and SGOIX is 0.57, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
GTLOX vs. SGOIX - Dividend Comparison
GTLOX's dividend yield for the trailing twelve months is around 18.35%, more than SGOIX's 8.33% 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% |
SGOIX First Eagle Overseas Fund Class I | 8.33% | 8.45% | 8.49% | 2.45% | 3.81% | 5.92% | 0.47% | 5.70% | 3.36% | 3.59% | 3.80% | 1.58% |
Drawdowns
GTLOX vs. SGOIX - Drawdown Comparison
The maximum GTLOX drawdown since its inception was -54.09%, which is greater than SGOIX's maximum drawdown of -35.54%. Use the drawdown chart below to compare losses from any high point for GTLOX and SGOIX.
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Drawdown Indicators
| GTLOX | SGOIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.09% | -35.54% | -18.55% |
Max Drawdown (1Y)Largest decline over 1 year | -12.45% | -11.35% | -1.10% |
Max Drawdown (5Y)Largest decline over 5 years | -32.85% | -21.39% | -11.46% |
Max Drawdown (10Y)Largest decline over 10 years | -38.15% | -24.79% | -13.36% |
Current DrawdownCurrent decline from peak | -12.63% | -10.98% | -1.65% |
Average DrawdownAverage peak-to-trough decline | -8.38% | -4.57% | -3.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.91% | 2.68% | +0.23% |
Volatility
GTLOX vs. SGOIX - Volatility Comparison
The current volatility for Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) is 4.34%, while First Eagle Overseas Fund Class I (SGOIX) has a volatility of 5.81%. This indicates that GTLOX experiences smaller price fluctuations and is considered to be less risky than SGOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GTLOX | SGOIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.34% | 5.81% | -1.47% |
Volatility (6M)Calculated over the trailing 6-month period | 10.27% | 9.60% | +0.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.77% | 13.48% | +5.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.77% | 11.73% | +10.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.85% | 11.34% | +9.51% |