SBDAX vs. SEHAX

Last updated Jul 15, 2026

SBDAX (SEI Tax Exempt Trust California Municipal Bond Fund) and SEHAX (SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund) are both mutual funds - SBDAX is a Municipal Bonds fund managed by SEI, while SEHAX is a Large Cap Blend Equities fund managed by SEI. Over the past 5 years, SBDAX returned 0.24%/yr vs 13.13%/yr for SEHAX. At a 0.03 correlation, their price movements are largely independent. SBDAX charges 0.60%/yr vs 0.32%/yr for SEHAX.

Performance

SBDAX vs. SEHAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Tax Exempt Trust California Municipal Bond Fund (SBDAX) and SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SBDAX achieves a 0.08% return, which is significantly lower than SEHAX's 12.15% return.

SBDAX

• 1D: -0.10%
• 1M: 0.10%
• 6M: -0.49%
• YTD: 0.08%
• 1Y: 4.26%
• 3Y*: 2.79%
• 5Y*: 0.24%
• 10Y*: 1.15%

SEHAX

• 1D: -0.44%
• 1M: 0.82%
• 6M: 10.11%
• YTD: 12.15%
• 1Y: 22.83%
• 3Y*: 20.64%
• 5Y*: 13.13%
• 10Y*: —

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

SBDAX vs. SEHAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
SBDAX SEI Tax Exempt Trust California Municipal Bond Fund	0.08%	5.70%	0.02%	4.02%	-7.30%	-0.55%	3.76%	5.90%	2.94%
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund	12.15%	17.99%	24.97%	21.99%	-15.84%	32.78%	13.16%	28.09%	-5.81%

Correlation

The correlation between SBDAX and SEHAX is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.16
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (All Time) Calculated using the full available price history since Apr 26, 2018	0.03

The correlation between SBDAX and SEHAX shifts across timeframes, from 0.03 (all time) to 0.21 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SBDAX vs. SEHAX — Risk / Return Rank

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

SBDAX

SBDAX Risk / Return Rank: 53
SBDAX Sharpe Ratio Rank: 72
SBDAX Sortino Ratio Rank: 69
SBDAX Omega Ratio Rank: 84
SBDAX Calmar Ratio Rank: 22
SBDAX Martin Ratio Rank: 18

SEHAX

SEHAX Risk / Return Rank: 79
SEHAX Sharpe Ratio Rank: 77
SEHAX Sortino Ratio Rank: 75
SEHAX Omega Ratio Rank: 73
SEHAX Calmar Ratio Rank: 82
SEHAX Martin Ratio Rank: 89

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.

SBDAX vs. SEHAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Tax Exempt Trust California Municipal Bond Fund (SBDAX) and SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX). 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.

	SBDAX	SEHAX	Difference
Sharpe ratio: Return per unit of total volatility	1.87	1.97	-0.10
Sortino ratio: Return per unit of downside risk	2.60	2.74	-0.15
Omega ratio: Gain probability vs. loss probability	1.44	1.35	+0.09
Calmar ratio: Return relative to maximum drawdown	1.26	3.03	-1.77
Martin ratio: Return relative to average drawdown	3.22	13.05	-9.83

SBDAX vs. SEHAX - Sharpe Ratio Comparison

The current SBDAX Sharpe Ratio is 1.87, which is comparable to the SEHAX Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of SBDAX and SEHAX, 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

SBDAX vs. SEHAX - Drawdown Comparison

The maximum SBDAX drawdown since its inception was -11.86%, smaller than the maximum SEHAX drawdown of -35.77%. Use the drawdown chart below to compare losses from any high point for SBDAX and SEHAX.

Drawdown Indicators

	SBDAX	SEHAX	Difference
Max Drawdown Largest peak-to-trough decline	-11.86%	-35.77%	+23.91%
Max Drawdown (1Y) Largest decline over 1 year	-3.40%	-7.74%	+4.34%
Max Drawdown (3Y) Largest decline over 3 years	-4.47%	-17.69%	+13.22%
Max Drawdown (5Y) Largest decline over 5 years	-11.86%	-35.77%	+23.91%
Max Drawdown (10Y) Largest decline over 10 years	-11.86%	—	—
Current Drawdown Current decline from peak	-1.97%	-0.85%	-1.12%
Average Drawdown Average peak-to-trough decline	-1.87%	-8.93%	+7.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.33%	1.79%	-0.46%

Volatility

SBDAX vs. SEHAX - Volatility Comparison

The current volatility for SEI Tax Exempt Trust California Municipal Bond Fund (SBDAX) is 0.45%, while SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) has a volatility of 3.15%. This indicates that SBDAX experiences smaller price fluctuations and is considered to be less risky than SEHAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SBDAX	SEHAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.45%	3.15%	-2.70%
Volatility (6M) Calculated over the trailing 6-month period	1.86%	9.30%	-7.44%
Volatility (1Y) Calculated over the trailing 1-year period	2.29%	11.91%	-9.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.19%	21.08%	-17.89%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.56%	21.65%	-18.09%

SBDAX vs. SEHAX - Expense Ratio Comparison

SBDAX has a 0.60% expense ratio, which is higher than SEHAX's 0.32% expense ratio.

Dividends

SBDAX vs. SEHAX - Dividend Comparison

SBDAX's dividend yield for the trailing twelve months is around 2.22%, less than SEHAX's 4.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SBDAX SEI Tax Exempt Trust California Municipal Bond Fund	2.22%	2.74%	1.78%	1.26%	1.38%	1.35%	1.87%	2.21%	1.98%	1.99%	2.23%	2.79%
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund	4.98%	5.52%	7.85%	1.15%	12.75%	23.76%	1.69%	1.97%	1.24%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SBDAX and SEHAX in my portfolio?

SBDAX and SEHAX have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SBDAX or SEHAX?

SEHAX has higher volatility (3.15%) compared to SBDAX (0.45%). In terms of maximum drawdown, SBDAX dropped -11.86% vs SEHAX's -35.77%.

Which has better risk-adjusted returns?

SEHAX currently has the higher Sharpe Ratio (1.97 vs 1.87), 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.