PXWEX vs. SGMAX

Last updated Jun 4, 2026

PXWEX (Pax Ellevate Global Women’s Leadership Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, PXWEX returned 7.98%/yr vs 10.51%/yr for SGMAX. Their correlation of 0.83 suggests significant overlap in exposure. PXWEX charges 0.77%/yr vs 0.25%/yr for SGMAX.

Performance

PXWEX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Pax Ellevate Global Women’s Leadership Fund (PXWEX) 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, PXWEX achieves a 10.82% return, which is significantly higher than SGMAX's 8.88% return.

PXWEX

• 1D: 0.31%
• 1M: 5.77%
• YTD: 10.82%
• 6M: 12.61%
• 1Y: 24.28%
• 3Y*: 16.76%
• 5Y*: 7.98%
• 10Y*: 10.57%

SGMAX

• 1D: 0.41%
• 1M: 2.99%
• YTD: 8.88%
• 6M: 10.09%
• 1Y: 16.69%
• 3Y*: 16.18%
• 5Y*: 10.51%
• 10Y*: —

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

PXWEX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PXWEX Pax Ellevate Global Women’s Leadership Fund	10.82%	17.41%	12.15%	18.14%	-19.99%	17.28%	13.67%	26.44%	-7.78%	23.84%
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%	-4.41%	17.10%

Correlation

The correlation between PXWEX and SGMAX is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.73
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.83

The correlation between PXWEX and SGMAX shifts across timeframes, from 0.73 (1 year) to 0.83 (all time), reflecting how their relationship changes across market environments.

Return for Risk

PXWEX vs. SGMAX — Risk / Return Rank

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

PXWEX

PXWEX Risk / Return Rank: 49
PXWEX Sharpe Ratio Rank: 49
PXWEX Sortino Ratio Rank: 47
PXWEX Omega Ratio Rank: 46
PXWEX Calmar Ratio Rank: 46
PXWEX Martin Ratio Rank: 57

SGMAX

SGMAX Risk / Return Rank: 55
SGMAX Sharpe Ratio Rank: 55
SGMAX Sortino Ratio Rank: 57
SGMAX Omega Ratio Rank: 51
SGMAX Calmar Ratio Rank: 56
SGMAX Martin Ratio Rank: 56

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.

PXWEX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Pax Ellevate Global Women’s Leadership Fund (PXWEX) 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.

	PXWEX	SGMAX	Difference
Sharpe ratio: Return per unit of total volatility	2.06	2.20	-0.14
Sortino ratio: Return per unit of downside risk	2.87	3.19	-0.32
Omega ratio: Gain probability vs. loss probability	1.37	1.40	-0.03
Calmar ratio: Return relative to maximum drawdown	2.58	2.85	-0.27
Martin ratio: Return relative to average drawdown	11.41	11.20	+0.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PXWEX vs. SGMAX - Sharpe Ratio Comparison

The current PXWEX Sharpe Ratio is 2.06, which is comparable to the SGMAX Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of PXWEX 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.

Sharpe Ratios by Period

	PXWEX	SGMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.06	2.20	-0.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.50	0.77	-0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.63	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.70	-0.34

Drawdowns

PXWEX vs. SGMAX - Drawdown Comparison

The maximum PXWEX drawdown since its inception was -53.70%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for PXWEX and SGMAX.

Drawdown Indicators

	PXWEX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	-53.70%	-31.27%	-22.43%
Max Drawdown (1Y) Largest decline over 1 year	-9.60%	-5.88%	-3.72%
Max Drawdown (3Y) Largest decline over 3 years	-18.31%	-11.57%	-6.74%
Max Drawdown (5Y) Largest decline over 5 years	-29.67%	-22.11%	-7.56%
Max Drawdown (10Y) Largest decline over 10 years	-34.47%	—	—
Current Drawdown Current decline from peak	0.00%	-0.08%	+0.08%
Average Drawdown Average peak-to-trough decline	-9.80%	-4.81%	-4.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.17%	1.49%	+0.68%

Volatility

PXWEX vs. SGMAX - Volatility Comparison

Pax Ellevate Global Women’s Leadership Fund (PXWEX) has a higher volatility of 3.33% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 1.73%. This indicates that PXWEX'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

	PXWEX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.33%	1.73%	+1.60%
Volatility (6M) Calculated over the trailing 6-month period	9.55%	5.52%	+4.03%
Volatility (1Y) Calculated over the trailing 1-year period	12.03%	7.62%	+4.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.05%	13.77%	+2.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.97%	14.22%	+2.75%

PXWEX vs. SGMAX - Expense Ratio Comparison

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

Dividends

PXWEX vs. SGMAX - Dividend Comparison

PXWEX's dividend yield for the trailing twelve months is around 8.87%, less than SGMAX's 13.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PXWEX Pax Ellevate Global Women’s Leadership Fund	8.87%	9.83%	9.47%	1.60%	3.12%	1.21%	1.04%	3.03%	4.90%	2.49%	1.80%	2.41%
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%	0.00%	0.00%

Frequently Asked Questions

Can I hold both PXWEX and SGMAX in my portfolio?

PXWEX and SGMAX have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PXWEX or SGMAX?

PXWEX has higher volatility (3.33%) compared to SGMAX (1.73%). In terms of maximum drawdown, PXWEX dropped -53.70% vs SGMAX's -31.27%.

Which has better risk-adjusted returns?

SGMAX currently has the higher Sharpe Ratio (2.20 vs 2.06), 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.