GTSOX vs. GTCIX
Compare and contrast key facts about Glenmede Secured Options Portfolio (GTSOX) and Glenmede Quantitative International Equity Portfolio (GTCIX).
GTSOX is managed by Glenmede. It was launched on Jun 29, 2010. GTCIX is managed by Glenmede. It was launched on Nov 16, 1988.
Performance
GTSOX vs. GTCIX - Performance Comparison
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GTSOX vs. GTCIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GTSOX Glenmede Secured Options Portfolio | -0.07% | 7.73% | 13.79% | 14.59% | -11.69% | 18.06% | 4.22% | 18.45% | -4.68% | 5.96% |
GTCIX Glenmede Quantitative International Equity Portfolio | 3.16% | 39.90% | 8.60% | 19.16% | -11.88% | 12.56% | 1.86% | 18.00% | -16.26% | 22.46% |
Returns By Period
In the year-to-date period, GTSOX achieves a -0.07% return, which is significantly lower than GTCIX's 3.16% return. Over the past 10 years, GTSOX has underperformed GTCIX with an annualized return of 7.13%, while GTCIX has yielded a comparatively higher 8.83% annualized return.
GTSOX
- 1D
- 2.70%
- 1M
- -2.07%
- YTD
- -0.07%
- 6M
- 2.52%
- 1Y
- 10.07%
- 3Y*
- 9.75%
- 5Y*
- 6.60%
- 10Y*
- 7.13%
GTCIX
- 1D
- 1.24%
- 1M
- -6.76%
- YTD
- 3.16%
- 6M
- 10.11%
- 1Y
- 31.20%
- 3Y*
- 19.81%
- 5Y*
- 11.81%
- 10Y*
- 8.83%
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GTSOX vs. GTCIX - Expense Ratio Comparison
GTSOX has a 0.85% expense ratio, which is lower than GTCIX's 1.00% expense ratio.
Return for Risk
GTSOX vs. GTCIX — Risk / Return Rank
GTSOX
GTCIX
GTSOX vs. GTCIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Glenmede Secured Options Portfolio (GTSOX) and Glenmede Quantitative International Equity Portfolio (GTCIX). 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.
| GTSOX | GTCIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.77 | 2.19 | -1.43 |
Sortino ratioReturn per unit of downside risk | 1.22 | 2.79 | -1.57 |
Omega ratioGain probability vs. loss probability | 1.31 | 1.45 | -0.14 |
Calmar ratioReturn relative to maximum drawdown | 0.89 | 2.41 | -1.52 |
Martin ratioReturn relative to average drawdown | 5.59 | 10.55 | -4.96 |
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
| GTSOX | GTCIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.77 | 2.19 | -1.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.50 | 0.89 | -0.38 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.53 | 0.58 | -0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.56 | 0.31 | +0.25 |
Correlation
The correlation between GTSOX and GTCIX is 0.63, 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
GTSOX vs. GTCIX - Dividend Comparison
GTSOX's dividend yield for the trailing twelve months is around 7.47%, more than GTCIX's 4.36% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTSOX Glenmede Secured Options Portfolio | 7.47% | 7.47% | 12.31% | 0.00% | 0.00% | 13.35% | 0.00% | 7.56% | 2.62% | 6.57% | 5.01% | 5.95% |
GTCIX Glenmede Quantitative International Equity Portfolio | 4.36% | 4.50% | 9.25% | 2.75% | 3.14% | 3.09% | 2.08% | 2.95% | 2.62% | 1.75% | 1.83% | 0.71% |
Drawdowns
GTSOX vs. GTCIX - Drawdown Comparison
The maximum GTSOX drawdown since its inception was -29.21%, smaller than the maximum GTCIX drawdown of -63.63%. Use the drawdown chart below to compare losses from any high point for GTSOX and GTCIX.
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Drawdown Indicators
| GTSOX | GTCIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.21% | -63.63% | +34.42% |
Max Drawdown (1Y)Largest decline over 1 year | -11.14% | -10.77% | -0.37% |
Max Drawdown (5Y)Largest decline over 5 years | -22.03% | -26.23% | +4.20% |
Max Drawdown (10Y)Largest decline over 10 years | -29.21% | -39.50% | +10.29% |
Current DrawdownCurrent decline from peak | -4.17% | -8.33% | +4.16% |
Average DrawdownAverage peak-to-trough decline | -2.99% | -13.17% | +10.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.77% | 2.79% | -1.02% |
Volatility
GTSOX vs. GTCIX - Volatility Comparison
The current volatility for Glenmede Secured Options Portfolio (GTSOX) is 4.30%, while Glenmede Quantitative International Equity Portfolio (GTCIX) has a volatility of 5.23%. This indicates that GTSOX experiences smaller price fluctuations and is considered to be less risky than GTCIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GTSOX | GTCIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.30% | 5.23% | -0.93% |
Volatility (6M)Calculated over the trailing 6-month period | 4.95% | 8.54% | -3.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.05% | 14.93% | -0.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.19% | 13.40% | -0.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.44% | 15.34% | -1.90% |