IPSAX vs. GTSOX

Last updated Jun 24, 2026

IPSAX (IPS Strategic Capital Absolute Return Fund) and GTSOX (Glenmede Secured Options Portfolio) are both Options Trading funds. Over the past 10 years, IPSAX returned 6.39%/yr vs 7.70%/yr for GTSOX. A 0.67 correlation means they provide meaningful diversification when combined. IPSAX charges 1.50%/yr vs 0.85%/yr for GTSOX.

Performance

IPSAX vs. GTSOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in IPS Strategic Capital Absolute Return Fund (IPSAX) and Glenmede Secured Options Portfolio (GTSOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, IPSAX achieves a 0.30% return, which is significantly lower than GTSOX's 6.35% return. Over the past 10 years, IPSAX has underperformed GTSOX with an annualized return of 6.39%, while GTSOX has yielded a comparatively higher 7.70% annualized return.

IPSAX

• 1D: 0.10%
• 1M: -2.41%
• YTD: 0.30%
• 6M: -0.39%
• 1Y: 7.93%
• 3Y*: 11.71%
• 5Y*: 6.31%
• 10Y*: 6.39%

GTSOX

• 1D: 0.00%
• 1M: 0.90%
• YTD: 6.35%
• 6M: 6.28%
• 1Y: 14.37%
• 3Y*: 10.68%
• 5Y*: 7.17%
• 10Y*: 7.70%

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

IPSAX vs. GTSOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
IPSAX IPS Strategic Capital Absolute Return Fund	0.30%	9.13%	16.99%	16.10%	-16.02%	18.27%	3.11%	14.20%	-5.36%	13.56%
GTSOX Glenmede Secured Options Portfolio	6.35%	7.73%	13.79%	14.59%	-11.69%	18.06%	4.22%	18.45%	-4.68%	5.96%

Correlation

The correlation between IPSAX and GTSOX is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.74
Correlation (5Y) Calculated over the trailing 5-year period	0.72
Correlation (10Y) Calculated over the trailing 10-year period	0.68
Correlation (All Time) Calculated using the full available price history since Apr 18, 2016	0.67

The correlation between IPSAX and GTSOX has been stable across timeframes, ranging from 0.67 to 0.74 - a consistent structural relationship.

Return for Risk

IPSAX vs. GTSOX — Risk / Return Rank

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

IPSAX

IPSAX Risk / Return Rank: 9
IPSAX Sharpe Ratio Rank: 10
IPSAX Sortino Ratio Rank: 9
IPSAX Omega Ratio Rank: 11
IPSAX Calmar Ratio Rank: 8
IPSAX Martin Ratio Rank: 8

GTSOX

GTSOX Risk / Return Rank: 86
GTSOX Sharpe Ratio Rank: 87
GTSOX Sortino Ratio Rank: 89
GTSOX Omega Ratio Rank: 95
GTSOX Calmar Ratio Rank: 65
GTSOX Martin Ratio Rank: 95

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.

IPSAX vs. GTSOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for IPS Strategic Capital Absolute Return Fund (IPSAX) and Glenmede Secured Options Portfolio (GTSOX). 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.

	IPSAX	GTSOX	Difference
Sharpe ratio: Return per unit of total volatility	0.75	2.63	-1.88
Sortino ratio: Return per unit of downside risk	1.10	4.05	-2.95
Omega ratio: Gain probability vs. loss probability	1.15	1.76	-0.61
Calmar ratio: Return relative to maximum drawdown	0.71	2.97	-2.26
Martin ratio: Return relative to average drawdown	2.09	20.15	-18.06

IPSAX vs. GTSOX - Sharpe Ratio Comparison

The current IPSAX Sharpe Ratio is 0.75, which is lower than the GTSOX Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of IPSAX and GTSOX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

IPSAX vs. GTSOX - Drawdown Comparison

The maximum IPSAX drawdown since its inception was -81.31%, which is greater than GTSOX's maximum drawdown of -29.21%. Use the drawdown chart below to compare losses from any high point for IPSAX and GTSOX.

Drawdown Indicators

	IPSAX	GTSOX	Difference
Max Drawdown Largest peak-to-trough decline	-81.31%	-29.21%	-52.10%
Max Drawdown (1Y) Largest decline over 1 year	-12.09%	-5.05%	-7.04%
Max Drawdown (3Y) Largest decline over 3 years	-81.31%	-22.03%	-59.28%
Max Drawdown (5Y) Largest decline over 5 years	-81.31%	-22.03%	-59.28%
Max Drawdown (10Y) Largest decline over 10 years	-81.31%	-29.21%	-52.10%
Current Drawdown Current decline from peak	-77.67%	0.00%	-77.67%
Average Drawdown Average peak-to-trough decline	-14.87%	-2.96%	-11.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.10%	0.74%	+3.36%

Volatility

IPSAX vs. GTSOX - Volatility Comparison

IPS Strategic Capital Absolute Return Fund (IPSAX) has a higher volatility of 3.62% compared to Glenmede Secured Options Portfolio (GTSOX) at 1.50%. This indicates that IPSAX's price experiences larger fluctuations and is considered to be riskier than GTSOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	IPSAX	GTSOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.62%	1.50%	+2.12%
Volatility (6M) Calculated over the trailing 6-month period	8.62%	5.26%	+3.36%
Volatility (1Y) Calculated over the trailing 1-year period	11.38%	5.70%	+5.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	175.56%	13.19%	+162.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	124.25%	13.45%	+110.80%

IPSAX vs. GTSOX - Expense Ratio Comparison

IPSAX has a 1.50% expense ratio, which is higher than GTSOX's 0.85% expense ratio.

Dividends

IPSAX vs. GTSOX - Dividend Comparison

IPSAX's dividend yield for the trailing twelve months is around 14.76%, more than GTSOX's 6.86% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTSOX Glenmede Secured Options Portfolio	6.86%	7.47%	12.31%	0.00%	0.00%	13.35%	0.00%	7.56%	2.62%	6.57%	5.01%	5.95%
IPSAX IPS Strategic Capital Absolute Return Fund	14.76%	14.81%	13.88%	0.00%	12.04%	5.18%	0.46%	9.23%	0.00%	9.16%	0.69%	0.00%

Frequently Asked Questions

Can I hold both IPSAX and GTSOX in my portfolio?

IPSAX and GTSOX have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, IPSAX or GTSOX?

IPSAX has higher volatility (3.62%) compared to GTSOX (1.50%). In terms of maximum drawdown, IPSAX dropped -81.31% vs GTSOX's -29.21%.

Which has better risk-adjusted returns?

GTSOX currently has the higher Sharpe Ratio (2.63 vs 0.75), 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.