ENTIX vs. SGMAX
ENTIX (ERShares Global Entrepreneurs™) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, ENTIX returned 3.65%/yr vs 10.97%/yr for SGMAX. Their 0.57 correlation means they have sometimes moved together and sometimes differently. ENTIX charges 1.29%/yr vs 0.25%/yr for SGMAX.
Performance
ENTIX vs. SGMAX - Performance Comparison
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Returns By Period
In the year-to-date period, ENTIX achieves a -5.15% return, which is significantly lower than SGMAX's 12.39% return.
ENTIX
- 1D
- 0.43%
- 1M
- -1.62%
- 6M
- -0.37%
- YTD
- -5.15%
- 1Y
- -2.90%
- 3Y*
- 16.38%
- 5Y*
- 3.65%
- 10Y*
- 9.64%
- ALL TIME*
- 8.78%
SGMAX
- 1D
- -0.08%
- 1M
- 3.15%
- 6M
- 8.48%
- YTD
- 12.39%
- 1Y
- 21.05%
- 3Y*
- 16.18%
- 5Y*
- 10.97%
- 10Y*
- —
- ALL TIME*
- 10.08%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
ENTIX vs. SGMAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ENTIX ERShares Global Entrepreneurs™ | -5.15% | 22.05% | 33.84% | 23.82% | -31.67% | -8.38% | 38.75% | 27.65% | -11.04% | 30.17% |
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.39% | 17.93% | 15.18% | 8.86% | -3.41% | 18.94% | -2.71% | 20.58% | -4.41% | 17.10% |
Correlation
The correlation between ENTIX and SGMAX is 0.35, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.35 |
Correlation (3Y) Balances recent behavior with more history. | 0.46 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.54 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.57 |
Over the past year, the correlation between ENTIX and SGMAX has dropped to 0.35 - well below their long-term average of 0.57, suggesting their price drivers have been diverging.
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Return for Risk
ENTIX vs. SGMAX — Risk / Return Rank
ENTIX
SGMAX
ENTIX vs. SGMAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ERShares Global Entrepreneurs™ (ENTIX) 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.
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.
| ENTIX | SGMAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.02 | ||
| Sortino ratioReturn per unit of downside risk | -4.31 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.51 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 3.53 | -3.74 |
| Martin ratioReturn relative to average drawdown | -0.44 | 13.89 | -14.32 |
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Drawdowns
ENTIX vs. SGMAX - Drawdown Comparison
The maximum ENTIX drawdown since its inception was -54.84%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for ENTIX and SGMAX.
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Drawdown Indicators
| ENTIX | SGMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.84% | -31.27% | -23.57% |
Max Drawdown (1Y)Largest decline over 1 year | -25.35% | -5.88% | -19.47% |
Max Drawdown (3Y)Largest decline over 3 years | -25.35% | -11.57% | -13.78% |
Max Drawdown (5Y)Largest decline over 5 years | -44.18% | -22.11% | -22.07% |
Max Drawdown (10Y)Largest decline over 10 years | -54.84% | — | — |
Current DrawdownCurrent decline from peak | -12.65% | -0.16% | -12.49% |
Average DrawdownAverage peak-to-trough decline | -13.73% | -4.74% | -8.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 12.10% | 1.49% | +10.61% |
Volatility
ENTIX vs. SGMAX - Volatility Comparison
ERShares Global Entrepreneurs™ (ENTIX) has a higher volatility of 4.27% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 2.00%. This indicates that ENTIX'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.
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Volatility by Period
| ENTIX | SGMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.27% | 2.00% | +2.27% |
Volatility (6M)Calculated over the trailing 6-month period | 16.03% | 5.76% | +10.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.63% | 7.53% | +13.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.80% | 13.76% | +8.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.93% | 14.12% | +6.81% |
ENTIX vs. SGMAX - Expense Ratio Comparison
ENTIX has a 1.29% expense ratio, which is higher than SGMAX's 0.25% expense ratio.
Dividends
ENTIX vs. SGMAX - Dividend Comparison
ENTIX's dividend yield for the trailing twelve months is around 0.05%, less than SGMAX's 12.94% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ENTIX ERShares Global Entrepreneurs™ | 0.05% | 0.04% | 0.61% | 0.07% | 0.00% | 29.89% | 10.55% | 3.00% | 2.92% | 8.18% | 0.00% | 0.37% |
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.94% | 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
ENTIX and SGMAX have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ENTIX has higher volatility (4.27%) compared to SGMAX (2.00%). In terms of maximum drawdown, ENTIX dropped -54.84% vs SGMAX's -31.27%.
SGMAX currently has the higher Sharpe Ratio (2.76 vs -0.26), 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.
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