BEGRX vs. SGMAX

Last updated Jun 6, 2026

BEGRX (Franklin Mutual Beacon Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, BEGRX returned 6.99%/yr vs 10.38%/yr for SGMAX. Their correlation of 0.85 suggests significant overlap in exposure. BEGRX charges 0.77%/yr vs 0.25%/yr for SGMAX.

Performance

BEGRX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin Mutual Beacon Fund (BEGRX) and SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BEGRX achieves a 1.34% return, which is significantly lower than SGMAX's 8.88% return.

BEGRX

• 1D: 1.29%
• 1M: -1.15%
• YTD: 1.34%
• 6M: 2.87%
• 1Y: 14.79%
• 3Y*: 15.44%
• 5Y*: 6.99%
• 10Y*: 8.69%

SGMAX

• 1D: 0.24%
• 1M: 2.14%
• YTD: 8.88%
• 6M: 10.09%
• 1Y: 17.07%
• 3Y*: 16.18%
• 5Y*: 10.38%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

BEGRX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BEGRX Franklin Mutual Beacon Fund	1.34%	25.64%	8.64%	15.40%	-11.70%	16.64%	4.07%	22.57%	-8.84%	10.86%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	8.88%	17.93%	15.18%	8.86%	-3.41%	18.94%	-2.71%	20.58%	-4.41%	17.10%

Correlation

The correlation between BEGRX and SGMAX is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.82
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.85

The correlation between BEGRX and SGMAX has been stable across timeframes, ranging from 0.82 to 0.85 - a consistent structural relationship.

Return for Risk

BEGRX vs. SGMAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BEGRX

BEGRX Risk / Return Rank: 22
BEGRX Sharpe Ratio Rank: 24
BEGRX Sortino Ratio Rank: 25
BEGRX Omega Ratio Rank: 23
BEGRX Calmar Ratio Rank: 19
BEGRX Martin Ratio Rank: 18

SGMAX

SGMAX Risk / Return Rank: 61
SGMAX Sharpe Ratio Rank: 62
SGMAX Sortino Ratio Rank: 64
SGMAX Omega Ratio Rank: 57
SGMAX Calmar Ratio Rank: 61
SGMAX Martin Ratio Rank: 60

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BEGRX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Mutual Beacon Fund (BEGRX) and SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	BEGRX	SGMAX	Difference
Sharpe ratio: Return per unit of total volatility	1.35	2.25	-0.90
Sortino ratio: Return per unit of downside risk	2.01	3.26	-1.25
Omega ratio: Gain probability vs. loss probability	1.24	1.41	-0.17
Calmar ratio: Return relative to maximum drawdown	1.48	2.92	-1.43
Martin ratio: Return relative to average drawdown	4.58	11.46	-6.88
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BEGRX vs. SGMAX - Sharpe Ratio Comparison

The current BEGRX Sharpe Ratio is 1.35, which is lower than the SGMAX Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of BEGRX and SGMAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	BEGRX	SGMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.35	2.25	-0.90
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.46	0.76	-0.30
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.04	0.70	-0.65

Drawdowns

BEGRX vs. SGMAX - Drawdown Comparison

The maximum BEGRX drawdown since its inception was -73.56%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for BEGRX and SGMAX.

Drawdown Indicators

	BEGRX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	-73.56%	-31.27%	-42.29%
Max Drawdown (1Y) Largest decline over 1 year	-9.92%	-5.88%	-4.04%
Max Drawdown (3Y) Largest decline over 3 years	-13.15%	-11.57%	-1.58%
Max Drawdown (5Y) Largest decline over 5 years	-26.70%	-22.11%	-4.59%
Max Drawdown (10Y) Largest decline over 10 years	-37.11%	—	—
Current Drawdown Current decline from peak	-5.04%	-0.08%	-4.96%
Average Drawdown Average peak-to-trough decline	-36.66%	-4.81%	-31.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.21%	1.49%	+1.72%

Volatility

BEGRX vs. SGMAX - Volatility Comparison

Franklin Mutual Beacon Fund (BEGRX) has a higher volatility of 2.82% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 1.58%. This indicates that BEGRX's price experiences larger fluctuations and is considered to be riskier than SGMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BEGRX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.82%	1.58%	+1.24%
Volatility (6M) Calculated over the trailing 6-month period	7.96%	5.51%	+2.45%
Volatility (1Y) Calculated over the trailing 1-year period	10.92%	7.63%	+3.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.39%	13.77%	+1.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.64%	14.21%	+2.43%

BEGRX vs. SGMAX - Expense Ratio Comparison

BEGRX has a 0.77% expense ratio, which is higher than SGMAX's 0.25% expense ratio.

Dividends

BEGRX vs. SGMAX - Dividend Comparison

BEGRX's dividend yield for the trailing twelve months is around 6.77%, less than SGMAX's 13.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BEGRX Franklin Mutual Beacon Fund	6.77%	6.86%	6.89%	6.23%	9.91%	6.83%	3.36%	2.62%	9.94%	3.43%	6.10%	8.90%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	13.36%	14.55%	12.63%	6.40%	11.12%	15.38%	2.06%	4.81%	7.86%	4.45%	0.00%	0.00%

Frequently Asked Questions

Can I hold both BEGRX and SGMAX in my portfolio?

BEGRX and SGMAX have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BEGRX or SGMAX?

BEGRX has higher volatility (2.82%) compared to SGMAX (1.58%). In terms of maximum drawdown, BEGRX dropped -73.56% vs SGMAX's -31.27%.

Which has better risk-adjusted returns?

SGMAX currently has the higher Sharpe Ratio (2.25 vs 1.35), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.