- ISIN
- US7839805501
- Issuer
- SEI
- Inception Date
- Apr 26, 2018
- Category
- Large Cap Blend Equities
- Min. Investment
- $100,000
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
SEHAX Performance Chart
SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) is up 10.7% since the beginning of the year. SEHAX is currently trading at $18 per share. Investors who bought $1,000 worth of SEHAX shares 5 years ago would now be looking at an investment worth $1,904.
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Returns By Period
SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) has returned 10.68% so far this year and 26.99% over the past 12 months.
SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund
- 1D
- 0.51%
- 1M
- 0.45%
- YTD
- 10.68%
- 6M
- 9.76%
- 1Y
- 26.99%
- 3Y*
- 21.07%
- 5Y*
- 13.74%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
SEHAX Monthly Returns History
Based on dividend-adjusted daily data since Apr 26, 2018, SEHAX's average daily return is +0.06%, while the average monthly return is +1.24%. At this rate, an investment would double in approximately 4.7 years.
Historically, 69% of months were positive and 31% were negative. The best month was Apr 2020 with a return of +12.1%, while the worst month was Mar 2020 at -13.8%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, SEHAX closed higher 53% of trading days. The best single day was Dec 16, 2021 with a return of +22.3%, while the worst single day was Dec 17, 2021 at -19.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.98% | 0.67% | -4.83% | 8.57% | 5.74% | -1.33% | 10.68% | ||||||
| 2025 | 3.46% | -1.47% | -4.55% | -0.80% | 5.97% | 4.07% | 1.66% | 2.90% | 2.32% | 0.82% | 1.70% | 1.00% | 17.99% |
| 2024 | 2.09% | 4.71% | 4.05% | -4.88% | 4.64% | 2.69% | 2.55% | 2.43% | 2.10% | -0.13% | 7.26% | -4.30% | 24.97% |
| 2023 | 5.99% | -1.73% | 0.74% | 0.54% | 0.28% | 7.16% | 2.74% | -2.18% | -3.93% | -2.76% | 8.79% | 5.37% | 21.99% |
| 2022 | -4.91% | -2.28% | 2.41% | -6.98% | 1.23% | -8.74% | 7.77% | -3.14% | -9.39% | 9.36% | 5.45% | -5.66% | -15.84% |
| 2021 | 1.39% | 3.50% | 6.69% | 4.52% | 1.72% | 1.11% | 2.26% | 3.16% | -5.02% | 5.02% | -0.55% | 5.44% | 32.78% |
Benchmark Metrics
SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund has an annualized alpha of 2.40%, beta of 0.94, and R2 of 0.70 versus S&P 500 Index. Calculated based on daily prices since April 26, 2018.
- This fund generated an annualized alpha of 2.40% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 0.94 and R2 of 0.70, this fund moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 2.40%
- Beta
- 0.94
- R²
- 0.70
- Upside Capture
- 99.82%
- Downside Capture
- 95.64%
Expense Ratio
SEHAX has an expense ratio of 0.32%, placing it in the medium range.
Return for Risk
Risk / Return Rank
SEHAX ranks 74 for risk / return — better than 74% of mutual funds on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) and compare them to S&P 500 Index.
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.
| SEHAX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.23 | ||
| Sortino ratioReturn per unit of downside risk | +0.35 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.37 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 3.49 | 2.78 | +0.71 |
| Martin ratioReturn relative to average drawdown | 15.60 | 12.44 | +3.16 |
Dividends
Dividend History
SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund provided a 5.02% dividend yield over the last twelve months, with an annual payout of $0.89 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.89 | $0.89 | $1.14 | $0.14 | $1.32 | $3.29 | $0.22 | $0.23 | $0.12 |
Dividend yield | 5.02% | 5.52% | 7.85% | 1.15% | 12.75% | 23.76% | 1.69% | 1.97% | 1.24% |
Monthly Dividends
The table displays the monthly dividend distributions for SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.06 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.05 | $0.00 | $0.73 | $0.89 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.05 | $0.00 | $0.98 | $1.14 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.00 | $0.00 | $0.05 | $0.14 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.05 | $0.00 | $1.16 | $1.32 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.07 | $0.00 | $3.11 | $3.29 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund was 35.77%, occurring on Sep 30, 2022. Recovery took 448 trading sessions.
The current SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund drawdown is 2.14%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -35.77%Sep 2022 | 9mo 17d | 1y 9mo | 2y 7moDec 2021 - Jul 2024 |
COVID crash2020 | -34.93%Mar 2020 | 1mo 9d | 5mo 8d | 6mo 17dFeb 2020 - Aug 2020 |
Rate-hike selloffLate 2018 | -19.60%Dec 2018 | 3mo 1d | 4mo | 7mo 1dSep 2018 - Apr 2019 |
2025 selloff2025 | -17.69%Apr 2025 | 4mo 4d | 2mo 19d | 6mo 23dDec 2024 - Jun 2025 |
2020 pullback2020 | -8.74%Sep 2020 | 20d | 1mo 19d | 2mo 9dSep 2020 - Nov 2020 |
Drawdown Indicators
| SEHAX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.77% | -56.78% | +21.01% |
Max Drawdown (1Y)Largest decline over 1 year | -7.74% | -9.10% | +1.36% |
Max Drawdown (3Y)Largest decline over 3 years | -17.69% | -18.90% | +1.21% |
Max Drawdown (5Y)Largest decline over 5 years | -35.77% | -25.43% | -10.34% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -2.14% | -1.80% | -0.34% |
Average DrawdownAverage peak-to-trough decline | -8.99% | -10.71% | +1.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.73% | 2.03% | -0.30% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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