PJGZX vs. TMMAX

Last updated Jul 17, 2026

PJGZX (PGIM Jennison Focused Value Fund) and TMMAX (SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund) are both Large Cap Value Equities funds. Over the past 10 years, PJGZX returned 14.04%/yr vs 9.66%/yr for TMMAX. Their correlation of 0.83 suggests significant overlap in exposure. PJGZX charges 0.75%/yr vs 1.00%/yr for TMMAX.

Performance

PJGZX vs. TMMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM Jennison Focused Value Fund (PJGZX) and SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PJGZX achieves a 20.32% return, which is significantly higher than TMMAX's 5.40% return. Over the past 10 years, PJGZX has outperformed TMMAX with an annualized return of 14.04%, while TMMAX has yielded a comparatively lower 9.66% annualized return.

PJGZX

• 1D: 0.29%
• 1M: 2.65%
• 6M: 16.84%
• YTD: 20.32%
• 1Y: 34.28%
• 3Y*: 27.53%
• 5Y*: 17.19%
• 10Y*: 14.04%

TMMAX

• 1D: -0.13%
• 1M: 0.76%
• 6M: 3.54%
• YTD: 5.40%
• 1Y: 10.27%
• 3Y*: 12.48%
• 5Y*: 9.37%
• 10Y*: 9.66%

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

PJGZX vs. TMMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PJGZX PGIM Jennison Focused Value Fund	20.32%	17.64%	35.33%	16.78%	-10.83%	27.74%	1.23%	30.70%	-13.73%	16.17%
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund	5.40%	11.03%	17.07%	7.32%	-3.11%	24.10%	1.32%	24.00%	-2.84%	15.19%

Correlation

The correlation between PJGZX and TMMAX is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.48
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.77
Correlation (All Time) Calculated using the full available price history since Dec 21, 2007	0.83

Over the past year, the correlation between PJGZX and TMMAX has dropped to 0.48 - well below their long-term average of 0.83, suggesting their price drivers have been diverging.

Return for Risk

PJGZX vs. TMMAX — Risk / Return Rank

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

PJGZX

PJGZX Risk / Return Rank: 92
PJGZX Sharpe Ratio Rank: 93
PJGZX Sortino Ratio Rank: 89
PJGZX Omega Ratio Rank: 86
PJGZX Calmar Ratio Rank: 96
PJGZX Martin Ratio Rank: 97

TMMAX

TMMAX Risk / Return Rank: 34
TMMAX Sharpe Ratio Rank: 33
TMMAX Sortino Ratio Rank: 34
TMMAX Omega Ratio Rank: 31
TMMAX Calmar Ratio Rank: 38
TMMAX Martin Ratio Rank: 36

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.

PJGZX vs. TMMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Jennison Focused Value Fund (PJGZX) and SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX). 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.

	PJGZX	TMMAX	Difference
Sharpe ratio: Return per unit of total volatility	2.70	1.30	+1.40
Sortino ratio: Return per unit of downside risk	3.70	1.92	+1.78
Omega ratio: Gain probability vs. loss probability	1.48	1.23	+0.25
Calmar ratio: Return relative to maximum drawdown	4.87	1.90	+2.97
Martin ratio: Return relative to average drawdown	20.24	6.45	+13.78

PJGZX vs. TMMAX - Sharpe Ratio Comparison

The current PJGZX Sharpe Ratio is 2.70, which is higher than the TMMAX Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of PJGZX and TMMAX, 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

PJGZX vs. TMMAX - Drawdown Comparison

The maximum PJGZX drawdown since its inception was -57.87%, which is greater than TMMAX's maximum drawdown of -41.50%. Use the drawdown chart below to compare losses from any high point for PJGZX and TMMAX.

Drawdown Indicators

	PJGZX	TMMAX	Difference
Max Drawdown Largest peak-to-trough decline	-57.87%	-41.50%	-16.37%
Max Drawdown (1Y) Largest decline over 1 year	-7.16%	-5.78%	-1.38%
Max Drawdown (3Y) Largest decline over 3 years	-18.01%	-23.00%	+4.99%
Max Drawdown (5Y) Largest decline over 5 years	-21.91%	-23.00%	+1.09%
Max Drawdown (10Y) Largest decline over 10 years	-36.37%	-33.41%	-2.96%
Current Drawdown Current decline from peak	0.00%	-6.00%	+6.00%
Average Drawdown Average peak-to-trough decline	-7.53%	-5.57%	-1.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.72%	1.70%	+0.02%

Volatility

PJGZX vs. TMMAX - Volatility Comparison

The current volatility for PGIM Jennison Focused Value Fund (PJGZX) is 3.21%, while SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) has a volatility of 3.56%. This indicates that PJGZX experiences smaller price fluctuations and is considered to be less risky than TMMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PJGZX	TMMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.21%	3.56%	-0.35%
Volatility (6M) Calculated over the trailing 6-month period	10.74%	6.63%	+4.11%
Volatility (1Y) Calculated over the trailing 1-year period	12.98%	8.54%	+4.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.24%	19.09%	-2.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.29%	17.81%	+0.48%

PJGZX vs. TMMAX - Expense Ratio Comparison

PJGZX has a 0.75% expense ratio, which is lower than TMMAX's 1.00% expense ratio.

Dividends

PJGZX vs. TMMAX - Dividend Comparison

PJGZX's dividend yield for the trailing twelve months is around 7.42%, less than TMMAX's 23.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PJGZX PGIM Jennison Focused Value Fund	7.42%	8.93%	16.50%	9.49%	3.38%	4.44%	1.07%	15.50%	18.64%	14.29%	7.82%	8.15%
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund	23.92%	25.19%	23.39%	15.23%	6.54%	4.73%	2.15%	3.67%	4.91%	4.10%	4.17%	5.57%

Frequently Asked Questions

Can I hold both PJGZX and TMMAX in my portfolio?

PJGZX and TMMAX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PJGZX or TMMAX?

TMMAX has higher volatility (3.56%) compared to PJGZX (3.21%). In terms of maximum drawdown, PJGZX dropped -57.87% vs TMMAX's -41.50%.

Which has better risk-adjusted returns?

PJGZX currently has the higher Sharpe Ratio (2.70 vs 1.30), 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.