MSTQX vs. GTLOX
MSTQX (Morningstar U.S. Equity Fund) and GTLOX (Glenmede Quantitative U.S. Large Cap Core Equity Portfolio) are both Large Cap Blend Equities funds. Over the past 5 years, MSTQX returned 6.04%/yr vs 10.57%/yr for GTLOX. Their correlation of 0.88 means they have usually moved in the same direction. Both charge a 0.85% expense ratio.
Performance
MSTQX vs. GTLOX - Performance Comparison
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Returns By Period
In the year-to-date period, MSTQX achieves a 7.20% return, which is significantly lower than GTLOX's 20.80% return.
MSTQX
- 1D
- 0.79%
- 1M
- 0.63%
- 6M
- 4.49%
- YTD
- 7.20%
- 1Y
- -4.75%
- 3Y*
- 8.21%
- 5Y*
- 6.04%
- 10Y*
- —
- ALL TIME*
- 9.28%
GTLOX
- 1D
- 1.19%
- 1M
- 0.25%
- 6M
- 16.60%
- YTD
- 20.80%
- 1Y
- 38.19%
- 3Y*
- 17.56%
- 5Y*
- 10.57%
- 10Y*
- 12.11%
- ALL TIME*
- 10.29%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
MSTQX vs. GTLOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
MSTQX Morningstar U.S. Equity Fund | 7.20% | -5.56% | 18.94% | 25.24% | -16.29% | 26.15% | 10.49% | 26.02% | -10.45% |
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | 20.80% | 14.39% | 13.86% | 16.66% | -15.37% | 27.05% | 7.41% | 23.27% | -8.39% |
Correlation
The correlation between MSTQX and GTLOX is 0.64, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.64 |
Correlation (3Y) Balances recent behavior with more history. | 0.75 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.85 |
Correlation (All Time) Calculated using the full available price history since Nov 5, 2018 | 0.88 |
Over the past year, the correlation between MSTQX and GTLOX has dropped to 0.64 - well below their long-term average of 0.88, suggesting their price drivers have been diverging.
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Return for Risk
MSTQX vs. GTLOX — Risk / Return Rank
MSTQX
GTLOX
MSTQX vs. GTLOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morningstar U.S. Equity Fund (MSTQX) 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.
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.
| MSTQX | GTLOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.73 | ||
| Sortino ratioReturn per unit of downside risk | -3.52 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.41 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -0.29 | 4.80 | -5.09 |
| Martin ratioReturn relative to average drawdown | -0.55 | 19.41 | -19.96 |
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Drawdowns
MSTQX vs. GTLOX - Drawdown Comparison
The maximum MSTQX drawdown since its inception was -36.23%, smaller than the maximum GTLOX drawdown of -54.09%. Use the drawdown chart below to compare losses from any high point for MSTQX and GTLOX.
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Drawdown Indicators
| MSTQX | GTLOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.23% | -54.09% | +17.86% |
Max Drawdown (1Y)Largest decline over 1 year | -21.58% | -7.47% | -14.11% |
Max Drawdown (3Y)Largest decline over 3 years | -21.58% | -32.85% | +11.27% |
Max Drawdown (5Y)Largest decline over 5 years | -23.61% | -32.85% | +9.24% |
Max Drawdown (10Y)Largest decline over 10 years | — | -38.15% | — |
Current DrawdownCurrent decline from peak | -10.62% | -1.67% | -8.95% |
Average DrawdownAverage peak-to-trough decline | -6.36% | -8.28% | +1.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.43% | 1.87% | +8.56% |
Volatility
MSTQX vs. GTLOX - Volatility Comparison
The current volatility for Morningstar U.S. Equity Fund (MSTQX) is 2.92%, while Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) has a volatility of 3.35%. This indicates that MSTQX 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
| MSTQX | GTLOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.92% | 3.35% | -0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 8.91% | 11.66% | -2.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.12% | 14.89% | +5.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.60% | 21.97% | -3.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.56% | 20.92% | -0.36% |
MSTQX vs. GTLOX - Expense Ratio Comparison
Both MSTQX and GTLOX have an expense ratio of 0.85%.
Dividends
MSTQX vs. GTLOX - Dividend Comparison
MSTQX's dividend yield for the trailing twelve months is around 0.64%, less than GTLOX's 14.76% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTLOX Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | 14.76% | 17.84% | 25.96% | 8.32% | 23.58% | 13.35% | 9.06% | 5.35% | 10.53% | 4.99% | 1.08% | 2.09% |
MSTQX Morningstar U.S. Equity Fund | 0.64% | 0.69% | 10.80% | 4.21% | 9.79% | 15.98% | 2.15% | 2.04% | 0.17% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MSTQX and GTLOX have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GTLOX has higher volatility (3.35%) compared to MSTQX (2.92%). In terms of maximum drawdown, MSTQX dropped -36.23% vs GTLOX's -54.09%.
GTLOX currently has the higher Sharpe Ratio (2.41 vs -0.31), 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.
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