LZUSX vs. GTLOX

Last updated Jun 4, 2026

LZUSX (Lazard US Equity Focus Portfolio) and GTLOX (Glenmede Quantitative U.S. Large Cap Core Equity Portfolio) are both Large Cap Blend Equities funds. Over the past 10 years, LZUSX returned 12.83%/yr vs 12.70%/yr for GTLOX. Their correlation of 0.92 suggests significant overlap in exposure. LZUSX charges 0.70%/yr vs 0.85%/yr for GTLOX.

Performance

LZUSX vs. GTLOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lazard US Equity Focus Portfolio (LZUSX) and Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LZUSX achieves a 5.70% return, which is significantly lower than GTLOX's 22.45% return. Both investments have delivered pretty close results over the past 10 years, with LZUSX having a 12.83% annualized return and GTLOX not far behind at 12.70%.

LZUSX

• 1D: -0.34%
• 1M: 2.86%
• YTD: 5.70%
• 6M: 5.71%
• 1Y: 21.29%
• 3Y*: 15.39%
• 5Y*: 9.04%
• 10Y*: 12.83%

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%

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

LZUSX vs. GTLOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LZUSX Lazard US Equity Focus Portfolio	5.70%	15.23%	14.20%	19.79%	-16.97%	27.40%	17.28%	31.71%	-3.36%	18.18%
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%

Correlation

The correlation between LZUSX and GTLOX is 0.83, 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	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.84
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 5, 2005	0.92

The correlation between LZUSX and GTLOX has been stable across timeframes, ranging from 0.83 to 0.92 - a consistent structural relationship.

Return for Risk

LZUSX vs. GTLOX — Risk / Return Rank

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

LZUSX

LZUSX Risk / Return Rank: 41
LZUSX Sharpe Ratio Rank: 45
LZUSX Sortino Ratio Rank: 42
LZUSX Omega Ratio Rank: 40
LZUSX Calmar Ratio Rank: 34
LZUSX Martin Ratio Rank: 42

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

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.

LZUSX vs. GTLOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard US Equity Focus Portfolio (LZUSX) 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.

	LZUSX	GTLOX	Difference
Sharpe ratio: Return per unit of total volatility	1.97	3.17	-1.20
Sortino ratio: Return per unit of downside risk	2.73	4.30	-1.57
Omega ratio: Gain probability vs. loss probability	1.34	1.55	-0.20
Calmar ratio: Return relative to maximum drawdown	2.17	5.88	-3.71
Martin ratio: Return relative to average drawdown	8.84	25.30	-16.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

LZUSX vs. GTLOX - Sharpe Ratio Comparison

The current LZUSX Sharpe Ratio is 1.97, which is lower than the GTLOX Sharpe Ratio of 3.17. The chart below compares the historical Sharpe Ratios of LZUSX and GTLOX, 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

	LZUSX	GTLOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.97	3.17	-1.20
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.55	0.52	+0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	0.61	+0.12
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.50	-0.01

Drawdowns

LZUSX vs. GTLOX - Drawdown Comparison

The maximum LZUSX drawdown since its inception was -55.40%, roughly equal to the maximum GTLOX drawdown of -54.09%. Use the drawdown chart below to compare losses from any high point for LZUSX and GTLOX.

Drawdown Indicators

	LZUSX	GTLOX	Difference
Max Drawdown Largest peak-to-trough decline	-55.40%	-54.09%	-1.31%
Max Drawdown (1Y) Largest decline over 1 year	-10.07%	-7.47%	-2.60%
Max Drawdown (3Y) Largest decline over 3 years	-19.18%	-32.85%	+13.67%
Max Drawdown (5Y) Largest decline over 5 years	-23.05%	-32.85%	+9.80%
Max Drawdown (10Y) Largest decline over 10 years	-35.12%	-38.15%	+3.03%
Current Drawdown Current decline from peak	-0.51%	0.00%	-0.51%
Average Drawdown Average peak-to-trough decline	-7.85%	-8.33%	+0.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.47%	1.73%	+0.74%

Volatility

LZUSX vs. GTLOX - Volatility Comparison

The current volatility for Lazard US Equity Focus Portfolio (LZUSX) is 2.13%, while Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) has a volatility of 4.25%. This indicates that LZUSX 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.

Volatility by Period

	LZUSX	GTLOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.13%	4.25%	-2.12%
Volatility (6M) Calculated over the trailing 6-month period	8.26%	10.36%	-2.10%
Volatility (1Y) Calculated over the trailing 1-year period	11.14%	13.88%	-2.74%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.42%	21.86%	-5.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.69%	20.91%	-3.22%

LZUSX vs. GTLOX - Expense Ratio Comparison

LZUSX has a 0.70% expense ratio, which is lower than GTLOX's 0.85% expense ratio.

Dividends

LZUSX vs. GTLOX - Dividend Comparison

LZUSX's dividend yield for the trailing twelve months is around 13.07%, less than GTLOX's 14.62% 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%
LZUSX Lazard US Equity Focus Portfolio	13.07%	13.81%	6.61%	1.09%	2.77%	5.78%	5.28%	11.94%	17.57%	10.34%	3.41%	7.83%

Frequently Asked Questions

Can I hold both LZUSX and GTLOX in my portfolio?

LZUSX and GTLOX have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LZUSX or GTLOX?

GTLOX has higher volatility (4.25%) compared to LZUSX (2.13%). In terms of maximum drawdown, LZUSX dropped -55.40% vs GTLOX's -54.09%.

Which has better risk-adjusted returns?

GTLOX currently has the higher Sharpe Ratio (3.17 vs 1.97), 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.