- ISIN
- US7839805766
- Issuer
- BlackRock
- Inception Date
- Jan 31, 2016
- Category
- Global Equities
- Min. Investment
- $100,000
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Value
Share Price Chart
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Performance
SGMAX Performance Chart
SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) is up 7.4% since the beginning of the year. SGMAX is currently trading at $12 per share. Investors who bought $1,000 worth of SGMAX shares 5 years ago would now be looking at an investment worth $1,657.
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Returns By Period
SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) has returned 7.38% so far this year and 16.43% over the past 12 months.
SEI Institutional Investments Trust Global Managed Volatility Fund
- 1D
- -0.41%
- 1M
- -1.45%
- YTD
- 7.38%
- 6M
- 7.23%
- 1Y
- 16.43%
- 3Y*
- 14.74%
- 5Y*
- 10.63%
- 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%
SGMAX Monthly Returns History
Based on dividend-adjusted daily data since Jan 3, 2017, SGMAX's average daily return is +0.04%, while the average monthly return is +0.82%. At this rate, an investment would double in approximately 7.1 years.
Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +8.6%, while the worst month was Mar 2020 at -12.4%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, SGMAX closed higher 52% of trading days. The best single day was Dec 16, 2021 with a return of +12.7%, while the worst single day was Dec 17, 2021 at -11.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.99% | 4.44% | -4.00% | 3.23% | 1.73% | -0.97% | 7.38% | ||||||
| 2025 | 3.25% | 2.80% | 0.34% | 0.34% | 2.62% | 1.07% | -0.90% | 3.21% | 0.88% | -0.40% | 2.70% | 0.80% | 17.93% |
| 2024 | 1.94% | 1.45% | 3.85% | -2.84% | 2.93% | -0.17% | 4.49% | 3.31% | 1.28% | -1.42% | 3.61% | -3.79% | 15.18% |
| 2023 | 2.56% | -1.85% | 1.79% | 2.50% | -3.88% | 4.03% | 1.26% | -0.98% | -1.98% | -1.83% | 4.67% | 2.64% | 8.86% |
| 2022 | -1.48% | -1.34% | 2.71% | -2.64% | 0.93% | -4.95% | 2.74% | -3.09% | -7.09% | 8.21% | 5.82% | -2.20% | -3.41% |
| 2021 | -0.68% | -0.09% | 7.00% | 1.91% | 3.36% | -0.23% | 1.67% | 1.57% | -3.67% | 2.59% | -2.16% | 6.74% | 18.94% |
Benchmark Metrics
SEI Institutional Investments Trust Global Managed Volatility Fund has an annualized alpha of 2.20%, beta of 0.56, and R2 of 0.52 versus S&P 500 Index. Calculated based on daily prices since January 03, 2017.
- This fund participated in 65.54% of S&P 500 Index downside but only 60.49% of its upside - more exposed to losses than it benefited from rallies.
- This fund generated an annualized alpha of 2.20% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.56 indicates this fund moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.20%
- Beta
- 0.56
- R²
- 0.52
- Upside Capture
- 60.49%
- Downside Capture
- 65.54%
Expense Ratio
SGMAX has an expense ratio of 0.25%, which is considered low.
Return for Risk
Risk / Return Rank
SGMAX ranks 61 for risk / return — better than 61% 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 Global Managed Volatility Fund (SGMAX) 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.
| SGMAX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.11 | ||
| Sortino ratioReturn per unit of downside risk | +0.36 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.37 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.79 | 2.78 | 0.00 |
| Martin ratioReturn relative to average drawdown | 10.92 | 12.44 | -1.52 |
Dividends
Dividend History
SEI Institutional Investments Trust Global Managed Volatility Fund provided a 13.55% dividend yield over the last twelve months, with an annual payout of $1.66 per share. The fund has been increasing its distributions for 2 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.66 | $1.66 | $1.40 | $0.69 | $1.17 | $1.87 | $0.24 | $0.60 | $0.85 | $0.54 |
Dividend yield | 13.55% | 14.55% | 12.63% | 6.40% | 11.12% | 15.38% | 2.06% | 4.81% | 7.86% | 4.45% |
Monthly Dividends
The table displays the monthly dividend distributions for SEI Institutional Investments Trust Global Managed Volatility 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 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.66 | $1.66 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.40 | $1.40 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.69 | $0.69 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.17 | $1.17 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.87 | $1.87 |
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 Global Managed Volatility 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 Global Managed Volatility Fund was 31.27%, occurring on Mar 23, 2020. Recovery took 246 trading sessions.
The current SEI Institutional Investments Trust Global Managed Volatility Fund drawdown is 2.08%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -31.27%Mar 2020 | 1mo 2d | 11mo 27d | 1y 24dFeb 2020 - Mar 2021 |
Bear market2022 | -22.11%Sep 2022 | 9mo 17d | 1y 5mo | 2y 2moDec 2021 - Mar 2024 |
Rate-hike selloffLate 2018 | -12.76%Dec 2018 | 3mo 1d | 3mo 12d | 6mo 13dSep 2018 - Apr 2019 |
2025 selloff2025 | -11.57%Apr 2025 | 3mo 20d | 2mo 5d | 5mo 25dDec 2024 - Jun 2025 |
2018 pullback2018 | -8.04%Feb 2018 | 10d | 6mo 22d | 7mo 2dJan 2018 - Aug 2018 |
Drawdown Indicators
| SGMAX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.27% | -56.78% | +25.51% |
Max Drawdown (1Y)Largest decline over 1 year | -5.88% | -9.10% | +3.22% |
Max Drawdown (3Y)Largest decline over 3 years | -11.57% | -18.90% | +7.33% |
Max Drawdown (5Y)Largest decline over 5 years | -22.11% | -25.43% | +3.32% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -2.08% | -1.80% | -0.28% |
Average DrawdownAverage peak-to-trough decline | -4.79% | -10.71% | +5.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.50% | 2.03% | -0.53% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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