SEHAX vs. GTLOX

Last updated Jun 4, 2026

SEHAX (SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund) and GTLOX (Glenmede Quantitative U.S. Large Cap Core Equity Portfolio) are both Large Cap Blend Equities funds. Over the past 5 years, SEHAX returned 13.76%/yr vs 11.19%/yr for GTLOX. With a 0.96 correlation, they move nearly in lockstep. SEHAX charges 0.32%/yr vs 0.85%/yr for GTLOX.

Performance

SEHAX vs. GTLOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) 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, SEHAX achieves a 13.11% return, which is significantly lower than GTLOX's 22.45% return.

SEHAX

• 1D: 0.11%
• 1M: 6.81%
• YTD: 13.11%
• 6M: 14.44%
• 1Y: 29.33%
• 3Y*: 23.24%
• 5Y*: 13.76%
• 10Y*: —

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)

SEHAX vs. GTLOX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund	13.11%	17.99%	24.97%	21.99%	-15.84%	32.78%	13.16%	28.09%	-5.81%
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%	-8.18%

Correlation

The correlation between SEHAX and GTLOX is 0.91, 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	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (All Time) Calculated using the full available price history since Apr 27, 2018	0.96

The correlation between SEHAX and GTLOX has been stable across timeframes, ranging from 0.91 to 0.96 - a consistent structural relationship.

Return for Risk

SEHAX vs. GTLOX — Risk / Return Rank

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

SEHAX

SEHAX Risk / Return Rank: 80
SEHAX Sharpe Ratio Rank: 81
SEHAX Sortino Ratio Rank: 75
SEHAX Omega Ratio Rank: 70
SEHAX Calmar Ratio Rank: 83
SEHAX Martin Ratio Rank: 90

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.

SEHAX vs. GTLOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) 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.

	SEHAX	GTLOX	Difference
Sharpe ratio: Return per unit of total volatility	2.63	3.17	-0.54
Sortino ratio: Return per unit of downside risk	3.65	4.30	-0.65
Omega ratio: Gain probability vs. loss probability	1.47	1.55	-0.07
Calmar ratio: Return relative to maximum drawdown	3.92	5.88	-1.96
Martin ratio: Return relative to average drawdown	18.14	25.30	-7.15
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SEHAX vs. GTLOX - Sharpe Ratio Comparison

The current SEHAX Sharpe Ratio is 2.63, which is comparable to the GTLOX Sharpe Ratio of 3.17. The chart below compares the historical Sharpe Ratios of SEHAX 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

	SEHAX	GTLOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.63	3.17	-0.54
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	0.52	+0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.61	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.69	0.50	+0.19

Drawdowns

SEHAX vs. GTLOX - Drawdown Comparison

The maximum SEHAX drawdown since its inception was -35.77%, smaller than the maximum GTLOX drawdown of -54.09%. Use the drawdown chart below to compare losses from any high point for SEHAX and GTLOX.

Drawdown Indicators

	SEHAX	GTLOX	Difference
Max Drawdown Largest peak-to-trough decline	-35.77%	-54.09%	+18.32%
Max Drawdown (1Y) Largest decline over 1 year	-7.74%	-7.47%	-0.27%
Max Drawdown (3Y) Largest decline over 3 years	-17.69%	-32.85%	+15.16%
Max Drawdown (5Y) Largest decline over 5 years	-35.77%	-32.85%	-2.92%
Max Drawdown (10Y) Largest decline over 10 years	—	-38.15%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-9.03%	-8.33%	-0.70%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.67%	1.73%	-0.06%

Volatility

SEHAX vs. GTLOX - Volatility Comparison

The current volatility for SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) is 3.03%, while Glenmede Quantitative U.S. Large Cap Core Equity Portfolio (GTLOX) has a volatility of 4.25%. This indicates that SEHAX 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

	SEHAX	GTLOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.03%	4.25%	-1.22%
Volatility (6M) Calculated over the trailing 6-month period	8.70%	10.36%	-1.66%
Volatility (1Y) Calculated over the trailing 1-year period	11.54%	13.88%	-2.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.04%	21.86%	-0.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.74%	20.91%	+0.83%

SEHAX vs. GTLOX - Expense Ratio Comparison

SEHAX has a 0.32% expense ratio, which is lower than GTLOX's 0.85% expense ratio.

Dividends

SEHAX vs. GTLOX - Dividend Comparison

SEHAX's dividend yield for the trailing twelve months is around 4.91%, 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%
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund	4.91%	5.52%	7.85%	1.15%	12.75%	23.76%	1.69%	1.97%	1.24%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SEHAX and GTLOX in my portfolio?

With a correlation of 0.91, SEHAX and GTLOX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, SEHAX or GTLOX?

GTLOX has higher volatility (4.25%) compared to SEHAX (3.03%). In terms of maximum drawdown, SEHAX dropped -35.77% vs GTLOX's -54.09%.

Which has better risk-adjusted returns?

GTLOX currently has the higher Sharpe Ratio (3.17 vs 2.63), 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.