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SEI Asset Allocation Trust Moderate Strategy Allocation Fund (SXMAX) Sharpe Ratio: 1.62

Mutual Fund · Currency in USD · Last updated Jun 5, 2026

The investment seeks to provide the opportunity for capital appreciation with some opportunity to generate income. The fund invests in other SEI Funds, each of which has its own investment goal (the Underlying SEI Funds), that form the non-underlying muni bond fund component of the GoalLink Strategy. The Underlying SEI Funds invest, in turn, in securities and other instruments of various asset classes. The fund's assets may be diversified across underlying SEI equity funds, bond and money market funds, and real estate funds.

SXMAX's Sharpe Ratio of 1.62 indicates that for each unit of volatility, it generates 1.62 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 5, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

SXMAX Sharpe Ratio Rank

SXMAX Sharpe Ratio Rank: 34.334
Below Average

SXMAX ranks above 34.3% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

SXMAX Sharpe Ratio Market Positioning

The chart shows SXMAX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.37 or lower
  • Yellow zone (middle 50%): 1.37 to 2.45
  • Green zone (top 25%): 2.45 or higher
  • Top 1%: 4.59+
  • Median: 2.01 — half of all investments score higher

How it compares to other similar mutual funds

The table compares SEI Asset Allocation Trust Moderate Strategy Allocation Fund's Sharpe Ratio with other mutual funds in the Diversified Portfolio category across multiple time periods, showing how SXMAX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 5, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
TIBIXThornburg Investment Income Builder Fund Class I4.69
STDAXSEI Asset Allocation Trust Defensive Strategy Allocation Fund4.69
EKBAXAllspring Diversified Capital Builder Fund4.04
NWQIXNuveen Flexible Income Fund3.93
FIQDXFidelity Advisor Strategic Real Return Fund Class Z3.62
FSRKXFidelity Strategic Real Return Fund Class K63.61
AYBLXPioneer Balanced ESG Fund3.53
FSRRXFidelity Strategic Real Return Fund3.52
FSIRXFidelity Advisor Strategic Real Return Fund Class I3.52
FMUAXFederated Hermes Municipal and Stock Advantage Fund3.52
SXMAXSEI Asset Allocation Trust Moderate Strategy Allocation Fund1.62

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows SXMAX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when SXMAX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does SXMAX fit in your portfolio?

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