IEVAX vs. SGMAX
IEVAX (Columbia Global Value Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, IEVAX returned 10.22%/yr vs 10.99%/yr for SGMAX. Their correlation of 0.86 means they have usually moved in the same direction. IEVAX charges 1.13%/yr vs 0.25%/yr for SGMAX.
Performance
IEVAX vs. SGMAX - Performance Comparison
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Returns By Period
In the year-to-date period, IEVAX achieves a 11.01% return, which is significantly lower than SGMAX's 12.48% return.
IEVAX
- 1D
- 2.37%
- 1M
- 1.21%
- 6M
- 6.87%
- YTD
- 11.01%
- 1Y
- 20.23%
- 3Y*
- 15.80%
- 5Y*
- 10.22%
- 10Y*
- 10.54%
- ALL TIME*
- 8.33%
SGMAX
- 1D
- 0.16%
- 1M
- 3.23%
- 6M
- 9.22%
- YTD
- 12.48%
- 1Y
- 21.15%
- 3Y*
- 16.08%
- 5Y*
- 10.99%
- 10Y*
- —
- ALL TIME*
- 10.09%
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 |
IEVAX vs. SGMAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IEVAX Columbia Global Value Fund | 11.01% | 21.42% | 11.78% | 12.00% | -8.52% | 20.31% | 3.77% | 24.55% | -12.22% | 21.93% |
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.48% | 17.93% | 15.18% | 8.86% | -3.41% | 18.94% | -2.71% | 20.58% | -4.41% | 17.10% |
Correlation
The correlation between IEVAX 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. | 0.79 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.85 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.86 |
The correlation between IEVAX and SGMAX shifts across timeframes, from 0.69 (1 year) to 0.86 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
IEVAX vs. SGMAX — Risk / Return Rank
IEVAX
SGMAX
IEVAX vs. SGMAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Columbia Global Value Fund (IEVAX) 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.
| IEVAX | SGMAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.93 | ||
| Sortino ratioReturn per unit of downside risk | -1.38 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.49 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | 2.26 | 3.42 | -1.17 |
| Martin ratioReturn relative to average drawdown | 9.74 | 13.48 | -3.75 |
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Drawdowns
IEVAX vs. SGMAX - Drawdown Comparison
The maximum IEVAX drawdown since its inception was -56.85%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for IEVAX and SGMAX.
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Drawdown Indicators
| IEVAX | SGMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.85% | -31.27% | -25.58% |
Max Drawdown (1Y)Largest decline over 1 year | -8.80% | -5.88% | -2.92% |
Max Drawdown (3Y)Largest decline over 3 years | -14.12% | -11.57% | -2.55% |
Max Drawdown (5Y)Largest decline over 5 years | -20.58% | -22.11% | +1.53% |
Max Drawdown (10Y)Largest decline over 10 years | -37.88% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.08% | +0.08% |
Average DrawdownAverage peak-to-trough decline | -8.42% | -4.74% | -3.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.04% | 1.49% | +0.55% |
Volatility
IEVAX vs. SGMAX - Volatility Comparison
Columbia Global Value Fund (IEVAX) has a higher volatility of 3.83% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 2.05%. This indicates that IEVAX'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
| IEVAX | SGMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.83% | 2.05% | +1.78% |
Volatility (6M)Calculated over the trailing 6-month period | 9.42% | 5.76% | +3.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.37% | 7.56% | +3.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.11% | 13.76% | +0.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.45% | 14.13% | +2.32% |
IEVAX vs. SGMAX - Expense Ratio Comparison
IEVAX has a 1.13% expense ratio, which is higher than SGMAX's 0.25% expense ratio.
Dividends
IEVAX vs. SGMAX - Dividend Comparison
IEVAX's dividend yield for the trailing twelve months is around 12.01%, less than SGMAX's 12.93% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IEVAX Columbia Global Value Fund | 12.01% | 10.06% | 10.32% | 6.26% | 7.61% | 11.24% | 8.76% | 9.16% | 6.75% | 1.66% | 2.28% | 4.68% |
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.93% | 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
IEVAX 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.
IEVAX has higher volatility (3.83%) compared to SGMAX (2.05%). In terms of maximum drawdown, IEVAX dropped -56.85% vs SGMAX's -31.27%.
SGMAX currently has the higher Sharpe Ratio (2.68 vs 1.75), 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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