TMMAX's Sortino Ratio of 2.30 indicates that for each unit of downside volatility, it generates 2.30 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Aug 4, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
TMMAX Sortino Ratio Rank
TMMAX ranks above 61.1% of all investments in our database based on Sortino Ratio over the past 12 months, indicating above-average returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Above-average downside protection with room for improvement
- Compare against category peers to gauge relative positioning
- Monitor for movement toward top tier or decline toward median
- Consider pairing with top-tier holdings to improve portfolio risk profile
TMMAX Sortino Ratio Market Positioning
The chart shows TMMAX's Sortino Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.40 or lower
- Yellow zone (middle 50%): 1.40 to 2.64
- Green zone (top 25%): 2.64 or higher
- Top 1%: 7.70+
- Median: 2.14 — half of all investments score higher
How it compares to other similar mutual funds
The table compares SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund's Sortino Ratio with other mutual funds in the Low Volatility category across multiple time periods, showing how TMMAX'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 Aug 4, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| LVAFX | LSV Global Managed Volatility Fund | 5.10 | |||
| SGMAX | SEI Institutional Investments Trust Global Managed Volatility Fund | 4.09 | |||
| LVAMX | LSV U.S. Managed Volatility Fund | 3.65 | |||
| IFTIX | Voya International High Dividend Low Volatility Portfolio | 3.30 | |||
| VMNVX | Vanguard Global Minimum Volatility Fund Admiral Shares | 3.20 | |||
| VMVFX | Vanguard Global Minimum Volatility Fund Investor Shares | 3.17 | |||
| IGHAX | Voya Global High Dividend Low Volatility Portfolio | 3.17 | |||
| SIMYX | SEI Institutional Managed Trust Tax-Managed International Managed Volatility Fund | 3.00 | |||
| SVYAX | SEI Institutional Investments Trust U.S. Managed Volatility Fund | 2.84 | |||
| MVGIX | MFS Low Volatility Global Equity Fund | 2.55 | |||
| TMMAX | SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 2.30 |
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Historical Sortino Ratio
The chart shows TMMAX's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when TMMAX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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