MRJAX vs. SGMAX

Last updated Jun 6, 2026

MRJAX (Morgan Stanley Multi-Asset Real Return Portfolio A) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. A 0.54 correlation means they provide meaningful diversification when combined. MRJAX charges 1.10%/yr vs 0.25%/yr for SGMAX.

Performance

MRJAX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Multi-Asset Real Return Portfolio A (MRJAX) and SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

MRJAX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

SGMAX

• 1D: 0.24%
• 1M: 2.14%
• YTD: 8.88%
• 6M: 10.09%
• 1Y: 17.07%
• 3Y*: 16.18%
• 5Y*: 10.38%
• 10Y*: —

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

MRJAX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MRJAX Morgan Stanley Multi-Asset Real Return Portfolio A	0.00%	11.79%	-0.55%	5.09%	2.74%	21.57%	0.07%	17.93%	-8.38%
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%	-5.11%

Correlation

The correlation between MRJAX and SGMAX is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.09
Correlation (3Y) Calculated over the trailing 3-year period	0.30
Correlation (5Y) Calculated over the trailing 5-year period	0.34
Correlation (All Time) Calculated using the full available price history since Jun 19, 2018	0.54

The correlation between MRJAX and SGMAX shifts across timeframes, from -0.09 (1 year) to 0.54 (all time), reflecting how their relationship changes across market environments.

Return for Risk

MRJAX vs. SGMAX — Risk / Return Rank

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

SGMAX

SGMAX Risk / Return Rank: 61
SGMAX Sharpe Ratio Rank: 62
SGMAX Sortino Ratio Rank: 64
SGMAX Omega Ratio Rank: 57
SGMAX Calmar Ratio Rank: 61
SGMAX Martin Ratio Rank: 60

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.

MRJAX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Multi-Asset Real Return Portfolio A (MRJAX) 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	MRJAX	SGMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	2.25	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.76	—
Sharpe Ratio (All Time) Calculated using the full available price history	—	0.70	—

Drawdowns

Drawdown Indicators

	MRJAX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	—	-31.27%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-5.88%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-11.57%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-22.11%	—
Current Drawdown Current decline from peak	—	-0.08%	—
Average Drawdown Average peak-to-trough decline	—	-4.81%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	1.49%	—

Volatility

Volatility by Period

	MRJAX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	1.58%	—
Volatility (6M) Calculated over the trailing 6-month period	—	5.51%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	7.63%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	13.77%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	14.21%	—

MRJAX vs. SGMAX - Expense Ratio Comparison

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

Dividends

MRJAX vs. SGMAX - Dividend Comparison

MRJAX has not paid dividends to shareholders, while SGMAX's dividend yield for the trailing twelve months is around 13.36%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
MRJAX Morgan Stanley Multi-Asset Real Return Portfolio A	0.00%	0.00%	11.24%	4.40%	4.04%	15.24%	1.09%	1.40%	1.22%	0.00%
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%

Frequently Asked Questions

Can I hold both MRJAX and SGMAX in my portfolio?

MRJAX and SGMAX have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.