- Issuer
- SEI
- Inception Date
- May 16, 2022
- Region
- North America (U.S.)
- Category
- Momentum, Large Cap Blend Equities
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Growth
- Assets Under Management
- $990M
Share Price Chart
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Performance
SEIM Performance Chart
SEI Enhanced US Large Cap Momentum Factor ETF (SEIM) is up 21.0% since the beginning of the year. SEIM is currently trading at $56 per share.
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Returns By Period
SEI Enhanced US Large Cap Momentum Factor ETF (SEIM) has returned 21.04% so far this year and 39.75% over the past 12 months.
SEI Enhanced US Large Cap Momentum Factor ETF
- 1D
- 0.81%
- 1M
- 5.31%
- YTD
- 21.04%
- 6M
- 19.67%
- 1Y
- 39.75%
- 3Y*
- 30.04%
- 5Y*
- —
- 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%
SEIM Monthly Returns History
Based on dividend-adjusted daily data since May 18, 2022, SEIM's average daily return is +0.09%, while the average monthly return is +1.74%. At this rate, an investment would double in approximately 3.3 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2024 with a return of +11.9%, while the worst month was Jun 2022 at -11.1%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, SEIM closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +9.7%, while the worst single day was Apr 3, 2025 at -6.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.77% | 1.69% | -5.52% | 11.87% | 6.47% | 2.92% | 21.04% | ||||||
| 2025 | 3.89% | -2.69% | -7.61% | 0.89% | 9.50% | 6.01% | 2.12% | 0.79% | 4.80% | 1.75% | -0.84% | 0.97% | 20.20% |
| 2024 | 3.83% | 7.86% | 2.89% | -5.82% | 5.44% | 4.11% | -0.59% | 5.40% | 3.94% | 0.14% | 11.87% | -4.28% | 39.12% |
| 2023 | 3.09% | -0.52% | 2.65% | -0.17% | -1.38% | 6.23% | 0.78% | -1.60% | -4.18% | -1.88% | 8.22% | 4.66% | 16.25% |
| 2022 | 2.13% | -11.05% | 10.41% | -1.49% | -8.50% | 8.98% | 3.01% | -7.01% | -5.62% |
Benchmark Metrics
SEI Enhanced US Large Cap Momentum Factor ETF has an annualized alpha of 4.41%, beta of 1.05, and R2 of 0.86 versus S&P 500 Index. Calculated based on daily prices since May 18, 2022.
- This ETF captured 113.60% of S&P 500 Index gains but only 91.96% of its losses - a favorable profile for investors.
- This ETF generated an annualized alpha of 4.41% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 1.05 and R2 of 0.86, this ETF moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 4.41%
- Beta
- 1.05
- R²
- 0.86
- Upside Capture
- 113.60%
- Downside Capture
- 91.96%
Expense Ratio
SEIM has an expense ratio of 0.15%, which is considered low.
Return for Risk
Risk / Return Rank
SEIM ranks 76 for risk / return — better than 76% of ETFs 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 Enhanced US Large Cap Momentum Factor ETF (SEIM) 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.
| SEIM | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.28 | ||
| Sortino ratioReturn per unit of downside risk | +0.33 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.37 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.97 | 2.78 | +1.18 |
| Martin ratioReturn relative to average drawdown | 17.00 | 12.44 | +4.56 |
Dividends
Dividend History
SEI Enhanced US Large Cap Momentum Factor ETF provided a 0.51% dividend yield over the last twelve months, with an annual payout of $0.28 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
| Dividend | $0.28 | $0.26 | $0.18 | $0.25 | $0.25 |
Dividend yield | 0.51% | 0.56% | 0.48% | 0.89% | 1.01% |
Monthly Dividends
The table displays the monthly dividend distributions for SEI Enhanced US Large Cap Momentum Factor ETF. 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 | $0.09 | $0.00 | $0.00 | $0.09 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.06 | $0.00 | $0.06 | $0.26 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.04 | $0.00 | $0.08 | $0.18 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.05 | $0.00 | $0.05 | $0.25 |
| 2022 | $0.06 | $0.00 | $0.00 | $0.10 | $0.00 | $0.09 | $0.25 |
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 Enhanced US Large Cap Momentum Factor ETF. 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 Enhanced US Large Cap Momentum Factor ETF was 22.17%, occurring on Apr 8, 2025. Recovery took 52 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -22.17%Apr 2025 | 2mo 14d | 2mo 17d | 5mo 1dJan 2025 - Jun 2025 |
Bear market2022 | -14.14%Sep 2022 | 1mo 12d | 9mo 20d | 11mo 2dAug 2022 - Jul 2023 |
Bear market2022 | -13.98%Jun 2022 | 9d | 1mo 26d | 2mo 5dJun 2022 - Aug 2022 |
2023 correction2023 | -10.23%Oct 2023 | 3mo 10d | 1mo 15d | 4mo 25dJul 2023 - Dec 2023 |
2026 correction2026 | -10.07%Mar 2026 | 1mo 2d | 14d | 1mo 16dFeb 2026 - Apr 2026 |
Drawdown Indicators
| SEIM | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.17% | -56.78% | +34.61% |
Max Drawdown (1Y)Largest decline over 1 year | -10.07% | -9.10% | -0.97% |
Max Drawdown (3Y)Largest decline over 3 years | -22.17% | -18.90% | -3.27% |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | 0.00% | -1.80% | +1.80% |
Average DrawdownAverage peak-to-trough decline | -3.97% | -10.71% | +6.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.34% | 2.03% | +0.31% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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