FWWFX vs. SGMAX

Last updated Jun 24, 2026

FWWFX (Fidelity Worldwide Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, FWWFX returned 12.87%/yr vs 10.48%/yr for SGMAX. A 0.70 correlation means they provide meaningful diversification when combined. FWWFX charges 0.77%/yr vs 0.25%/yr for SGMAX.

Performance

FWWFX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Worldwide Fund (FWWFX) 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, FWWFX achieves a 24.21% return, which is significantly higher than SGMAX's 7.56% return.

FWWFX

• 1D: 0.36%
• 1M: 6.09%
• YTD: 24.21%
• 6M: 23.16%
• 1Y: 42.69%
• 3Y*: 26.09%
• 5Y*: 12.87%
• 10Y*: 15.99%

SGMAX

• 1D: 0.16%
• 1M: -1.29%
• YTD: 7.56%
• 6M: 7.13%
• 1Y: 15.85%
• 3Y*: 15.39%
• 5Y*: 10.48%
• 10Y*: —

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

FWWFX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FWWFX Fidelity Worldwide Fund	24.21%	16.16%	27.65%	24.96%	-25.74%	18.49%	30.91%	28.97%	-4.53%	28.72%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	7.56%	17.93%	15.18%	8.86%	-3.41%	18.94%	-2.71%	20.58%	-4.41%	17.10%

Correlation

The correlation between FWWFX and SGMAX is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.49
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.70

Over the past year, the correlation between FWWFX and SGMAX has dropped to 0.49 - well below their long-term average of 0.70, suggesting their price drivers have been diverging.

Return for Risk

FWWFX vs. SGMAX — Risk / Return Rank

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

FWWFX

FWWFX Risk / Return Rank: 77
FWWFX Sharpe Ratio Rank: 77
FWWFX Sortino Ratio Rank: 66
FWWFX Omega Ratio Rank: 68
FWWFX Calmar Ratio Rank: 84
FWWFX Martin Ratio Rank: 88

SGMAX

SGMAX Risk / Return Rank: 62
SGMAX Sharpe Ratio Rank: 65
SGMAX Sortino Ratio Rank: 69
SGMAX Omega Ratio Rank: 59
SGMAX Calmar Ratio Rank: 60
SGMAX Martin Ratio Rank: 59

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.

FWWFX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Worldwide Fund (FWWFX) 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.

	FWWFX	SGMAX	Difference
Sharpe ratio: Return per unit of total volatility	2.36	2.17	+0.18
Sortino ratio: Return per unit of downside risk	3.08	3.16	-0.08
Omega ratio: Gain probability vs. loss probability	1.42	1.39	+0.03
Calmar ratio: Return relative to maximum drawdown	3.74	2.84	+0.91
Martin ratio: Return relative to average drawdown	15.86	11.08	+4.78

FWWFX vs. SGMAX - Sharpe Ratio Comparison

The current FWWFX Sharpe Ratio is 2.36, which is comparable to the SGMAX Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of FWWFX 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.

Drawdowns

FWWFX vs. SGMAX - Drawdown Comparison

The maximum FWWFX drawdown since its inception was -56.54%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for FWWFX and SGMAX.

Drawdown Indicators

	FWWFX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	-56.54%	-31.27%	-25.27%
Max Drawdown (1Y) Largest decline over 1 year	-11.74%	-5.88%	-5.86%
Max Drawdown (3Y) Largest decline over 3 years	-22.61%	-11.57%	-11.04%
Max Drawdown (5Y) Largest decline over 5 years	-33.72%	-22.11%	-11.61%
Max Drawdown (10Y) Largest decline over 10 years	-33.72%	—	—
Current Drawdown Current decline from peak	0.00%	-1.92%	+1.92%
Average Drawdown Average peak-to-trough decline	-9.42%	-4.79%	-4.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.77%	1.50%	+1.27%

Volatility

FWWFX vs. SGMAX - Volatility Comparison

Fidelity Worldwide Fund (FWWFX) has a higher volatility of 7.76% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 1.99%. This indicates that FWWFX'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

	FWWFX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.76%	1.99%	+5.77%
Volatility (6M) Calculated over the trailing 6-month period	15.14%	5.68%	+9.46%
Volatility (1Y) Calculated over the trailing 1-year period	18.69%	7.69%	+11.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.13%	13.77%	+5.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.91%	14.19%	+4.72%

FWWFX vs. SGMAX - Expense Ratio Comparison

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

Dividends

FWWFX vs. SGMAX - Dividend Comparison

FWWFX's dividend yield for the trailing twelve months is around 9.29%, less than SGMAX's 13.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FWWFX Fidelity Worldwide Fund	9.29%	11.54%	14.64%	0.94%	6.29%	12.76%	8.08%	4.87%	9.63%	6.24%	1.22%	3.38%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	13.53%	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 FWWFX and SGMAX in my portfolio?

FWWFX and SGMAX have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FWWFX or SGMAX?

FWWFX has higher volatility (7.76%) compared to SGMAX (1.99%). In terms of maximum drawdown, FWWFX dropped -56.54% vs SGMAX's -31.27%.

Which has better risk-adjusted returns?

FWWFX currently has the higher Sharpe Ratio (2.36 vs 2.17), 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.