GTSOX vs. GTLOX
Compare and contrast key facts about Glenmede Secured Options Portfolio (GTSOX) and Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX).
GTSOX is managed by Glenmede. It was launched on Jun 29, 2010. GTLOX is managed by Glenmede. It was launched on Feb 27, 2004.
Performance
GTSOX vs. GTLOX - Performance Comparison
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GTSOX vs. GTLOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
Returns By Period
The year-to-date returns for both stocks are quite close, with GTSOX having a -2.70% return and GTLOX slightly lower at -2.74%. Over the past 10 years, GTSOX has underperformed GTLOX with an annualized return of 6.85%, while GTLOX has yielded a comparatively higher 10.19% annualized return.
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%
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%
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GTSOX vs. GTLOX - Expense Ratio Comparison
Both GTSOX and GTLOX have an expense ratio of 0.85%.
Return for Risk
GTSOX vs. GTLOX — Risk / Return Rank
GTSOX
GTLOX
GTSOX vs. GTLOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Glenmede Secured Options Portfolio (GTSOX) and Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX). 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 | GTLOX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.60 | 0.85 | -0.25 |
Sortino ratioReturn per unit of downside risk | 0.96 | 1.30 | -0.34 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.19 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 0.59 | 0.91 | -0.32 |
Martin ratioReturn relative to average drawdown | 3.75 | 4.18 | -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
| GTSOX | GTLOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.60 | 0.85 | -0.25 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 0.34 | +0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.51 | 0.49 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.55 | 0.45 | +0.10 |
Correlation
The correlation between GTSOX and GTLOX 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
GTSOX vs. GTLOX - Dividend Comparison
GTSOX's dividend yield for the trailing twelve months is around 7.67%, less than GTLOX's 18.35% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
Drawdowns
GTSOX vs. GTLOX - Drawdown Comparison
The maximum GTSOX drawdown since its inception was -29.21%, smaller than the maximum GTLOX drawdown of -54.09%. Use the drawdown chart below to compare losses from any high point for GTSOX and GTLOX.
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Drawdown Indicators
| GTSOX | GTLOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.21% | -54.09% | +24.88% |
Max Drawdown (1Y)Largest decline over 1 year | -11.14% | -12.45% | +1.31% |
Max Drawdown (5Y)Largest decline over 5 years | -22.03% | -32.85% | +10.82% |
Max Drawdown (10Y)Largest decline over 10 years | -29.21% | -38.15% | +8.94% |
Current DrawdownCurrent decline from peak | -6.69% | -12.63% | +5.94% |
Average DrawdownAverage peak-to-trough decline | -2.99% | -8.38% | +5.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.77% | 2.91% | -1.14% |
Volatility
GTSOX vs. GTLOX - Volatility Comparison
The current volatility for Glenmede Secured Options Portfolio (GTSOX) is 3.18%, while Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) has a volatility of 4.34%. This indicates that GTSOX experiences smaller price fluctuations and is considered to be less risky than GTLOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GTSOX | GTLOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.18% | 4.34% | -1.16% |
Volatility (6M)Calculated over the trailing 6-month period | 4.18% | 10.27% | -6.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.83% | 18.77% | -4.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.14% | 21.77% | -8.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.42% | 20.85% | -7.43% |