HGXIX vs. SGMAX

Last updated Aug 5, 2026

HGXIX (Hartford Global Impact Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, HGXIX returned 3.55%/yr vs 11.02%/yr for SGMAX. Their 0.75 correlation means they have sometimes moved together and sometimes differently. HGXIX charges 0.89%/yr vs 0.25%/yr for SGMAX.

Performance

HGXIX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Hartford Global Impact Fund (HGXIX) 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, HGXIX achieves a 15.86% return, which is significantly higher than SGMAX's 12.74% return.

HGXIX

• 1D: 1.20%
• 1M: 0.94%
• 6M: 9.77%
• YTD: 15.86%
• 1Y: 15.86%
• 3Y*: 13.19%
• 5Y*: 3.55%
• 10Y*: —
• ALL TIME*: 10.09%

SGMAX

• 1D: 0.31%
• 1M: 3.47%
• 6M: 8.91%
• YTD: 12.74%
• 1Y: 20.14%
• 3Y*: 16.79%
• 5Y*: 11.02%
• 10Y*: —
• ALL TIME*: 10.11%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
HGXIX Hartford Global Impact Fund	$0.00	$0.00	$0.00
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	$0.00	$0.00	$0.00

HGXIX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HGXIX Hartford Global Impact Fund	15.86%	9.62%	7.78%	13.19%	-22.53%	10.86%	31.37%	27.97%	-10.10%	23.00%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	12.74%	17.93%	15.18%	8.86%	-3.41%	18.94%	-2.71%	20.58%	-4.41%	12.53%

Correlation

The correlation between HGXIX and SGMAX is 0.69, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.69
Correlation (3Y) Balances recent behavior with more history.	0.72
Correlation (5Y) Shows whether the relationship held over a longer period.	0.76
Correlation (All Time) Calculated using the full available price history since Feb 28, 2017	0.75

The correlation between HGXIX and SGMAX has been stable across timeframes, ranging from 0.69 to 0.76 - a consistent structural relationship.

Return for Risk

HGXIX vs. SGMAX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

HGXIX

HGXIX Risk / Return Rank: 31
HGXIX Sharpe Ratio Rank: 30
HGXIX Sortino Ratio Rank: 31
HGXIX Omega Ratio Rank: 29
HGXIX Calmar Ratio Rank: 34
HGXIX Martin Ratio Rank: 30

SGMAX

SGMAX Risk / Return Rank: 94
SGMAX Sharpe Ratio Rank: 97
SGMAX Sortino Ratio Rank: 96
SGMAX Omega Ratio Rank: 94
SGMAX Calmar Ratio Rank: 90
SGMAX Martin Ratio Rank: 92

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

HGXIX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Hartford Global Impact Fund (HGXIX) 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.

	HGXIX	SGMAX	Difference
Sharpe ratio: Return per unit of total volatility	1.15	2.87	-1.72
Sortino ratio: Return per unit of downside risk	1.69	4.24	-2.55
Omega ratio: Gain probability vs. loss probability	1.21	1.53	-0.33
Calmar ratio: Return relative to maximum drawdown	1.63	3.66	-2.03
Martin ratio: Return relative to average drawdown	4.87	14.41	-9.54

HGXIX vs. SGMAX - Sharpe Ratio Comparison

The current HGXIX Sharpe Ratio is 1.15, which is lower than the SGMAX Sharpe Ratio of 2.87. The chart below compares the historical Sharpe Ratios of HGXIX 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

HGXIX vs. SGMAX - Drawdown Comparison

The maximum HGXIX drawdown since its inception was -36.01%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for HGXIX and SGMAX.

Drawdown Indicators

	HGXIX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	-36.01%	-31.27%	-4.74%
Max Drawdown (1Y) Largest decline over 1 year	-10.61%	-5.88%	-4.73%
Max Drawdown (3Y) Largest decline over 3 years	-15.74%	-11.57%	-4.17%
Max Drawdown (5Y) Largest decline over 5 years	-32.08%	-22.11%	-9.97%
Current Drawdown Current decline from peak	-0.10%	0.00%	-0.10%
Average Drawdown Average peak-to-trough decline	-8.77%	-4.74%	-4.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.54%	1.49%	+2.05%

Volatility

HGXIX vs. SGMAX - Volatility Comparison

Hartford Global Impact Fund (HGXIX) has a higher volatility of 4.10% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 1.87%. This indicates that HGXIX'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

	HGXIX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.10%	1.87%	+2.23%
Volatility (6M) Calculated over the trailing 6-month period	12.32%	5.76%	+6.56%
Volatility (1Y) Calculated over the trailing 1-year period	15.03%	7.51%	+7.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.75%	13.76%	+2.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.38%	14.12%	+3.26%

HGXIX vs. SGMAX - Expense Ratio Comparison

HGXIX has a 0.89% expense ratio, which is higher than SGMAX's 0.25% expense ratio.

Dividends

HGXIX vs. SGMAX - Dividend Comparison

HGXIX's dividend yield for the trailing twelve months is around 0.47%, less than SGMAX's 12.90% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
HGXIX Hartford Global Impact Fund	0.47%	0.54%	0.00%	0.97%	0.78%	2.85%	0.69%	0.71%	14.85%	4.04%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	12.90%	14.55%	12.63%	6.40%	11.12%	15.38%	2.06%	4.81%	7.86%	4.45%

Frequently Asked Questions

Can I hold both HGXIX and SGMAX in my portfolio?

HGXIX and SGMAX have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HGXIX or SGMAX?

HGXIX has higher volatility (4.10%) compared to SGMAX (1.87%). In terms of maximum drawdown, HGXIX dropped -36.01% vs SGMAX's -31.27%.

Which has better risk-adjusted returns?

SGMAX currently has the higher Sharpe Ratio (2.87 vs 1.15), 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.