- ISIN
- US7839252662
- CUSIP
- 783925266
- Issuer
- BlackRock
- Inception Date
- Dec 20, 2007
- Category
- Large Cap Value 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
TMMAX Performance Chart
SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) is up 2.1% since the beginning of the year. TMMAX is currently trading at $15 per share. Investors who bought $1,000 worth of TMMAX shares 5 years ago would now be looking at an investment worth $1,578.
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Returns By Period
SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) has returned 2.14% so far this year and 8.49% over the past 12 months. Over the last ten years, TMMAX has returned 9.77% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund
- 1D
- -0.78%
- 1M
- -3.10%
- YTD
- 2.14%
- 6M
- 1.46%
- 1Y
- 8.49%
- 3Y*
- 11.24%
- 5Y*
- 9.55%
- 10Y*
- 9.77%
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%
TMMAX Monthly Returns History
Based on dividend-adjusted daily data since Dec 21, 2007, TMMAX's average daily return is +0.04%, while the average monthly return is +0.79%. At this rate, an investment would double in approximately 7.3 years.
Historically, 65% of months were positive and 35% were negative. The best month was Apr 2020 with a return of +9.4%, while the worst month was Oct 2008 at -15.3%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.
On a daily basis, TMMAX closed higher 52% of trading days. The best single day was Dec 17, 2024 with a return of +21.4%, while the worst single day was Dec 18, 2024 at -19.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.52% | 3.04% | -4.39% | 2.72% | 0.96% | -2.48% | 2.14% | ||||||
| 2025 | 2.65% | 2.46% | -0.56% | -1.23% | 2.00% | 1.18% | -0.44% | 2.57% | 1.36% | -2.30% | 3.52% | -0.50% | 11.03% |
| 2024 | 2.35% | 3.45% | 4.07% | -3.13% | 2.74% | 1.54% | 2.75% | 4.67% | 0.80% | -2.17% | 5.06% | -5.64% | 17.07% |
| 2023 | 0.21% | -1.62% | 2.12% | 2.50% | -3.09% | 3.98% | 0.57% | -1.10% | -2.89% | 0.35% | 5.38% | 1.06% | 7.32% |
| 2022 | -3.99% | -1.19% | 5.31% | -3.84% | -0.20% | -4.02% | 4.40% | -2.38% | -6.41% | 9.27% | 4.59% | -3.40% | -3.11% |
| 2021 | -1.12% | 0.00% | 6.20% | 3.47% | 1.71% | 0.71% | 2.42% | 2.93% | -4.87% | 5.75% | -2.06% | 7.36% | 24.10% |
Benchmark Metrics
SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund has an annualized alpha of 2.55%, beta of 0.72, and R2 of 0.68 versus S&P 500 Index. Calculated based on daily prices since December 21, 2007.
- This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (72.30%) than losses (69.56%) - typical of diversified or defensive assets.
- This fund generated an annualized alpha of 2.55% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Alpha
- 2.55%
- Beta
- 0.72
- R²
- 0.68
- Upside Capture
- 72.30%
- Downside Capture
- 69.56%
Expense Ratio
TMMAX has a high expense ratio of 1.00%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
TMMAX ranks 17 for risk / return — in the bottom 17% of mutual funds on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) 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.
| TMMAX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.99 | ||
| Sortino ratioReturn per unit of downside risk | -1.24 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.37 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 1.50 | 2.78 | -1.29 |
| Martin ratioReturn relative to average drawdown | 5.16 | 12.44 | -7.28 |
Dividends
Dividend History
SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund provided a 24.76% dividend yield over the last twelve months, with an annual payout of $3.80 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $3.80 | $3.80 | $3.98 | $2.72 | $1.25 | $0.99 | $0.38 | $0.66 | $0.74 | $0.66 | $0.61 | $0.76 |
Dividend yield | 24.76% | 25.19% | 23.39% | 15.23% | 6.54% | 4.73% | 2.15% | 3.67% | 4.91% | 4.10% | 4.17% | 5.57% |
Monthly Dividends
The table displays the monthly dividend distributions for SEI Institutional Managed Trust Tax-Managed 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 | $0.06 | $0.00 | $0.00 | $0.06 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.04 | $0.00 | $3.63 | $3.80 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.05 | $0.00 | $3.85 | $3.98 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.05 | $0.00 | $2.58 | $2.72 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.04 | $0.00 | $1.13 | $1.25 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.03 | $0.00 | $0.86 | $0.99 |
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 Managed Trust Tax-Managed 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 Managed Trust Tax-Managed Managed Volatility Fund was 41.50%, occurring on Mar 9, 2009. Recovery took 447 trading sessions.
The current SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund drawdown is 8.90%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -41.50%Mar 2009 | 1y 2mo | 1y 9mo | 2y 11moDec 2007 - Dec 2010 |
COVID crash2020 | -33.41%Mar 2020 | 1mo 4d | 10mo 8d | 11mo 12dFeb 2020 - Jan 2021 |
2025 selloff2025 | -23.00%Apr 2025 | 3mo 21d | — | 1y 6moDec 2024 - now |
2011 correction2011 | -14.48%Aug 2011 | 1mo 1d | 5mo 15d | 6mo 16dJul 2011 - Jan 2012 |
Bear market2022 | -14.39%Jun 2022 | 2mo 7d | 1y 1mo | 1y 3moApr 2022 - Jul 2023 |
Drawdown Indicators
| TMMAX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.50% | -56.78% | +15.28% |
Max Drawdown (1Y)Largest decline over 1 year | -5.78% | -9.10% | +3.32% |
Max Drawdown (3Y)Largest decline over 3 years | -23.00% | -18.90% | -4.10% |
Max Drawdown (5Y)Largest decline over 5 years | -23.00% | -25.43% | +2.43% |
Max Drawdown (10Y)Largest decline over 10 years | -33.41% | -33.92% | +0.51% |
Current DrawdownCurrent decline from peak | -8.90% | -1.80% | -7.10% |
Average DrawdownAverage peak-to-trough decline | -5.57% | -10.71% | +5.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.67% | 2.03% | -0.36% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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