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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in SEI Enhanced US Large Cap Momentum Factor ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
SEI Enhanced US Large Cap Momentum Factor ETF (SEIM) has returned -1.26% so far this year and 27.09% over the past 12 months.
SEI Enhanced US Large Cap Momentum Factor ETF
- 1D
- 3.75%
- 1M
- -5.52%
- YTD
- -1.26%
- 6M
- 0.60%
- 1Y
- 27.09%
- 3Y*
- 22.17%
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since May 18, 2022, SEIM's average daily return is +0.07%, while the average monthly return is +1.47%. At this rate, your investment would double in approximately 4.0 years.
Historically, 64% of months were positive and 36% 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 53% 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% | -1.26% | |||||||||
| 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 | 5.62% | -11.05% | 10.41% | -1.49% | -8.50% | 8.98% | 3.01% | -7.01% | -2.39% |
Benchmark Metrics
SEI Enhanced US Large Cap Momentum Factor ETF has an annualized alpha of 2.82%, beta of 1.05, and R² of 0.87 versus S&P 500 Index. Calculated based on daily prices since May 19, 2022.
- This ETF captured 111.04% of S&P 500 Index gains but only 97.45% of its losses — a favorable profile for investors.
- This ETF generated an annualized alpha of 2.82% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 1.05 and R² of 0.87, 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
- 2.82%
- Beta
- 1.05
- R²
- 0.87
- Upside Capture
- 111.04%
- Downside Capture
- 97.45%
Expense Ratio
SEIM has an expense ratio of 0.15%, which is considered low.
Return for Risk
Risk / Return Rank
SEIM ranks 73 for risk / return — better than 73% 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 a chosen benchmark (S&P 500 Index).
| SEIM | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.26 | 0.90 | +0.37 |
Sortino ratioReturn per unit of downside risk | 1.81 | 1.39 | +0.43 |
Omega ratioGain probability vs. loss probability | 1.26 | 1.21 | +0.05 |
Calmar ratioReturn relative to maximum drawdown | 2.14 | 1.40 | +0.74 |
Martin ratioReturn relative to average drawdown | 9.28 | 6.61 | +2.67 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore SEIM risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
SEI Enhanced US Large Cap Momentum Factor ETF provided a 0.57% dividend yield over the last twelve months, with an annual payout of $0.26 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
| Dividend | $0.26 | $0.26 | $0.18 | $0.25 | $0.25 |
Dividend yield | 0.57% | 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 | $0.00 | |||||||||
| 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.
The current SEI Enhanced US Large Cap Momentum Factor ETF drawdown is 6.70%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.17% | Jan 24, 2025 | 52 | Apr 8, 2025 | 52 | Jun 24, 2025 | 104 |
| -14.14% | Aug 19, 2022 | 30 | Sep 30, 2022 | 197 | Jul 17, 2023 | 227 |
| -13.98% | Jun 8, 2022 | 8 | Jun 17, 2022 | 38 | Aug 12, 2022 | 46 |
| -10.23% | Jul 19, 2023 | 72 | Oct 27, 2023 | 30 | Dec 11, 2023 | 102 |
| -10.07% | Feb 26, 2026 | 23 | Mar 30, 2026 | — | — | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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