SAAAX vs. CAPTX

Last updated Jul 14, 2026

SAAAX (SEI Institutional Managed Trust Multi-Asset Accumulation Fund) and CAPTX (Canterbury Portfolio Thermostat Fund) are both Tactical Allocation funds. Over the past 5 years, SAAAX returned 0.67%/yr vs 5.56%/yr for CAPTX. A 0.58 correlation means they provide meaningful diversification when combined. SAAAX charges 1.17%/yr vs 1.98%/yr for CAPTX.

Performance

SAAAX vs. CAPTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Managed Trust Multi-Asset Accumulation Fund (SAAAX) and Canterbury Portfolio Thermostat Fund (CAPTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SAAAX achieves a 8.81% return, which is significantly lower than CAPTX's 16.08% return.

SAAAX

• 1D: 0.12%
• 1M: -0.36%
• 6M: 5.53%
• YTD: 8.81%
• 1Y: 17.49%
• 3Y*: 9.74%
• 5Y*: 0.67%
• 10Y*: 3.83%

CAPTX

• 1D: 0.28%
• 1M: 0.35%
• 6M: 11.94%
• YTD: 16.08%
• 1Y: 27.90%
• 3Y*: 12.37%
• 5Y*: 5.56%
• 10Y*: —

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

SAAAX vs. CAPTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SAAAX SEI Institutional Managed Trust Multi-Asset Accumulation Fund	8.81%	12.09%	3.65%	6.58%	-20.83%	3.18%	6.69%	22.11%	-7.45%	13.09%
CAPTX Canterbury Portfolio Thermostat Fund	16.08%	12.68%	11.07%	0.63%	-11.80%	14.07%	-3.30%	14.16%	-7.98%	12.46%

Correlation

The correlation between SAAAX and CAPTX is 0.69, 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	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.60
Correlation (5Y) Calculated over the trailing 5-year period	0.58
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.58

The correlation between SAAAX and CAPTX shifts across timeframes, from 0.58 (5 years) to 0.69 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SAAAX vs. CAPTX — Risk / Return Rank

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

SAAAX

SAAAX Risk / Return Rank: 61
SAAAX Sharpe Ratio Rank: 66
SAAAX Sortino Ratio Rank: 61
SAAAX Omega Ratio Rank: 60
SAAAX Calmar Ratio Rank: 61
SAAAX Martin Ratio Rank: 57

CAPTX

CAPTX Risk / Return Rank: 86
CAPTX Sharpe Ratio Rank: 85
CAPTX Sortino Ratio Rank: 82
CAPTX Omega Ratio Rank: 81
CAPTX Calmar Ratio Rank: 89
CAPTX Martin Ratio Rank: 92

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.

SAAAX vs. CAPTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Managed Trust Multi-Asset Accumulation Fund (SAAAX) and Canterbury Portfolio Thermostat Fund (CAPTX). 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.

	SAAAX	CAPTX	Difference
Sharpe ratio: Return per unit of total volatility	1.79	2.22	-0.43
Sortino ratio: Return per unit of downside risk	2.46	3.09	-0.64
Omega ratio: Gain probability vs. loss probability	1.32	1.41	-0.09
Calmar ratio: Return relative to maximum drawdown	2.40	3.53	-1.13
Martin ratio: Return relative to average drawdown	8.93	14.58	-5.65

SAAAX vs. CAPTX - Sharpe Ratio Comparison

The current SAAAX Sharpe Ratio is 1.79, which is comparable to the CAPTX Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of SAAAX and CAPTX, 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

SAAAX vs. CAPTX - Drawdown Comparison

The maximum SAAAX drawdown since its inception was -29.23%, roughly equal to the maximum CAPTX drawdown of -28.25%. Use the drawdown chart below to compare losses from any high point for SAAAX and CAPTX.

Drawdown Indicators

	SAAAX	CAPTX	Difference
Max Drawdown Largest peak-to-trough decline	-29.23%	-28.25%	-0.98%
Max Drawdown (1Y) Largest decline over 1 year	-7.14%	-7.81%	+0.67%
Max Drawdown (3Y) Largest decline over 3 years	-10.60%	-11.27%	+0.67%
Max Drawdown (5Y) Largest decline over 5 years	-29.23%	-15.88%	-13.35%
Max Drawdown (10Y) Largest decline over 10 years	-29.23%	—	—
Current Drawdown Current decline from peak	-2.67%	-2.50%	-0.17%
Average Drawdown Average peak-to-trough decline	-8.39%	-5.41%	-2.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.92%	1.89%	+0.03%

Volatility

SAAAX vs. CAPTX - Volatility Comparison

The current volatility for SEI Institutional Managed Trust Multi-Asset Accumulation Fund (SAAAX) is 2.81%, while Canterbury Portfolio Thermostat Fund (CAPTX) has a volatility of 5.84%. This indicates that SAAAX experiences smaller price fluctuations and is considered to be less risky than CAPTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SAAAX	CAPTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.81%	5.84%	-3.03%
Volatility (6M) Calculated over the trailing 6-month period	7.71%	10.24%	-2.53%
Volatility (1Y) Calculated over the trailing 1-year period	9.58%	12.44%	-2.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.96%	10.09%	-0.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.05%	11.80%	-2.75%

SAAAX vs. CAPTX - Expense Ratio Comparison

SAAAX has a 1.17% expense ratio, which is lower than CAPTX's 1.98% expense ratio.

Dividends

SAAAX vs. CAPTX - Dividend Comparison

SAAAX's dividend yield for the trailing twelve months is around 2.73%, while CAPTX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAPTX Canterbury Portfolio Thermostat Fund	0.00%	0.00%	0.00%	0.63%	0.00%	13.02%	0.15%	1.21%	1.35%	0.99%	0.00%	0.00%
SAAAX SEI Institutional Managed Trust Multi-Asset Accumulation Fund	2.73%	2.97%	2.21%	2.00%	10.43%	8.24%	5.25%	12.81%	3.30%	4.96%	7.41%	2.95%

Frequently Asked Questions

Can I hold both SAAAX and CAPTX in my portfolio?

SAAAX and CAPTX 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, SAAAX or CAPTX?

CAPTX has higher volatility (5.84%) compared to SAAAX (2.81%). In terms of maximum drawdown, SAAAX dropped -29.23% vs CAPTX's -28.25%.

Which has better risk-adjusted returns?

CAPTX currently has the higher Sharpe Ratio (2.22 vs 1.79), 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.