FMIEX vs. SGMAX

Last updated Jun 4, 2026

FMIEX (Wasatch Global Value Fund Investor Class Shares) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, FMIEX returned 11.24%/yr vs 10.51%/yr for SGMAX. Their correlation of 0.83 suggests significant overlap in exposure. FMIEX charges 1.10%/yr vs 0.25%/yr for SGMAX.

Performance

FMIEX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Global Value Fund Investor Class Shares (FMIEX) 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, FMIEX achieves a 13.17% return, which is significantly higher than SGMAX's 8.88% return.

FMIEX

• 1D: 0.16%
• 1M: 0.56%
• YTD: 13.17%
• 6M: 15.54%
• 1Y: 29.59%
• 3Y*: 19.56%
• 5Y*: 11.24%
• 10Y*: 11.49%

SGMAX

• 1D: 0.41%
• 1M: 2.99%
• YTD: 8.88%
• 6M: 10.09%
• 1Y: 16.69%
• 3Y*: 16.18%
• 5Y*: 10.51%
• 10Y*: —

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

FMIEX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FMIEX Wasatch Global Value Fund Investor Class Shares	13.17%	30.93%	8.66%	5.67%	-0.12%	25.11%	2.04%	17.27%	-5.67%	10.39%
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 FMIEX 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	0.84
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.83

The correlation between FMIEX and SGMAX has been stable across timeframes, ranging from 0.82 to 0.84 - a consistent structural relationship.

Return for Risk

FMIEX vs. SGMAX — Risk / Return Rank

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

FMIEX

FMIEX Risk / Return Rank: 89
FMIEX Sharpe Ratio Rank: 93
FMIEX Sortino Ratio Rank: 92
FMIEX Omega Ratio Rank: 84
FMIEX Calmar Ratio Rank: 87
FMIEX Martin Ratio Rank: 88

SGMAX

SGMAX Risk / Return Rank: 55
SGMAX Sharpe Ratio Rank: 55
SGMAX Sortino Ratio Rank: 57
SGMAX Omega Ratio Rank: 51
SGMAX Calmar Ratio Rank: 56
SGMAX Martin Ratio Rank: 56

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.

FMIEX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Global Value Fund Investor Class Shares (FMIEX) 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.

	FMIEX	SGMAX	Difference
Sharpe ratio: Return per unit of total volatility	3.21	2.20	+1.01
Sortino ratio: Return per unit of downside risk	4.61	3.19	+1.43
Omega ratio: Gain probability vs. loss probability	1.56	1.40	+0.17
Calmar ratio: Return relative to maximum drawdown	4.24	2.85	+1.39
Martin ratio: Return relative to average drawdown	17.24	11.20	+6.04
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FMIEX vs. SGMAX - Sharpe Ratio Comparison

The current FMIEX Sharpe Ratio is 3.21, which is higher than the SGMAX Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of FMIEX 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

	FMIEX	SGMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.21	2.20	+1.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.89	0.77	+0.12
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.70	-0.10

Drawdowns

FMIEX vs. SGMAX - Drawdown Comparison

The maximum FMIEX drawdown since its inception was -49.85%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for FMIEX and SGMAX.

Drawdown Indicators

	FMIEX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	-49.85%	-31.27%	-18.58%
Max Drawdown (1Y) Largest decline over 1 year	-7.04%	-5.88%	-1.16%
Max Drawdown (3Y) Largest decline over 3 years	-9.52%	-11.57%	+2.05%
Max Drawdown (5Y) Largest decline over 5 years	-18.63%	-22.11%	+3.48%
Max Drawdown (10Y) Largest decline over 10 years	-39.33%	—	—
Current Drawdown Current decline from peak	-1.26%	-0.08%	-1.18%
Average Drawdown Average peak-to-trough decline	-6.58%	-4.81%	-1.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.73%	1.49%	+0.24%

Volatility

FMIEX vs. SGMAX - Volatility Comparison

Wasatch Global Value Fund Investor Class Shares (FMIEX) has a higher volatility of 2.82% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 1.73%. This indicates that FMIEX'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

	FMIEX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.82%	1.73%	+1.09%
Volatility (6M) Calculated over the trailing 6-month period	7.22%	5.52%	+1.70%
Volatility (1Y) Calculated over the trailing 1-year period	9.30%	7.62%	+1.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.73%	13.77%	-1.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.72%	14.22%	+1.50%

FMIEX vs. SGMAX - Expense Ratio Comparison

FMIEX has a 1.10% expense ratio, which is higher than SGMAX's 0.25% expense ratio.

Dividends

FMIEX vs. SGMAX - Dividend Comparison

FMIEX's dividend yield for the trailing twelve months is around 5.05%, less than SGMAX's 13.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FMIEX Wasatch Global Value Fund Investor Class Shares	5.05%	5.76%	9.02%	3.27%	8.54%	4.34%	1.74%	3.82%	18.46%	16.45%	5.16%	11.75%
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 FMIEX and SGMAX in my portfolio?

FMIEX 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, FMIEX or SGMAX?

FMIEX has higher volatility (2.82%) compared to SGMAX (1.73%). In terms of maximum drawdown, FMIEX dropped -49.85% vs SGMAX's -31.27%.

Which has better risk-adjusted returns?

FMIEX currently has the higher Sharpe Ratio (3.21 vs 2.20), 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.