SCPAX vs. FTGRX

Last updated Jun 24, 2026

SCPAX (SEI Institutional Investments Trust Large Cap Disciplined Equity Fund) and FTGRX (Fidelity Advisor Mega Cap Stock Fund Class M) are both Large Cap Blend Equities funds. Over the past 10 years, SCPAX returned 14.38%/yr vs 16.30%/yr for FTGRX. With a 0.95 correlation, they move nearly in lockstep. SCPAX charges 0.47%/yr vs 1.15%/yr for FTGRX.

Performance

SCPAX vs. FTGRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Investments Trust Large Cap Disciplined Equity Fund (SCPAX) and Fidelity Advisor Mega Cap Stock Fund Class M (FTGRX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SCPAX achieves a 10.26% return, which is significantly higher than FTGRX's 8.99% return. Over the past 10 years, SCPAX has underperformed FTGRX with an annualized return of 14.38%, while FTGRX has yielded a comparatively higher 16.30% annualized return.

SCPAX

• 1D: -0.25%
• 1M: 0.34%
• YTD: 10.26%
• 6M: 9.49%
• 1Y: 25.98%
• 3Y*: 21.37%
• 5Y*: 13.63%
• 10Y*: 14.38%

FTGRX

• 1D: -0.77%
• 1M: -0.18%
• YTD: 8.99%
• 6M: 8.46%
• 1Y: 27.32%
• 3Y*: 24.43%
• 5Y*: 15.78%
• 10Y*: 16.30%

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

SCPAX vs. FTGRX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SCPAX SEI Institutional Investments Trust Large Cap Disciplined Equity Fund	10.26%	17.63%	23.52%	23.34%	-15.28%	30.28%	11.94%	27.89%	-7.38%	19.78%
FTGRX Fidelity Advisor Mega Cap Stock Fund Class M	8.99%	26.22%	25.36%	25.83%	-9.51%	25.63%	12.30%	30.47%	-7.95%	17.25%

Correlation

The correlation between SCPAX and FTGRX is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Feb 7, 2008	0.95

The correlation between SCPAX and FTGRX has been stable across timeframes, ranging from 0.91 to 0.95 - a consistent structural relationship.

Return for Risk

SCPAX vs. FTGRX — Risk / Return Rank

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

SCPAX

SCPAX Risk / Return Rank: 76
SCPAX Sharpe Ratio Rank: 76
SCPAX Sortino Ratio Rank: 71
SCPAX Omega Ratio Rank: 69
SCPAX Calmar Ratio Rank: 77
SCPAX Martin Ratio Rank: 87

FTGRX

FTGRX Risk / Return Rank: 71
FTGRX Sharpe Ratio Rank: 72
FTGRX Sortino Ratio Rank: 67
FTGRX Omega Ratio Rank: 65
FTGRX Calmar Ratio Rank: 72
FTGRX Martin Ratio Rank: 80

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.

SCPAX vs. FTGRX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Investments Trust Large Cap Disciplined Equity Fund (SCPAX) and Fidelity Advisor Mega Cap Stock Fund Class M (FTGRX). 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.

	SCPAX	FTGRX	Difference
Sharpe ratio: Return per unit of total volatility	2.34	2.27	+0.07
Sortino ratio: Return per unit of downside risk	3.20	3.12	+0.09
Omega ratio: Gain probability vs. loss probability	1.42	1.41	+0.01
Calmar ratio: Return relative to maximum drawdown	3.30	3.14	+0.16
Martin ratio: Return relative to average drawdown	15.47	13.93	+1.55

SCPAX vs. FTGRX - Sharpe Ratio Comparison

The current SCPAX Sharpe Ratio is 2.34, which is comparable to the FTGRX Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of SCPAX and FTGRX, 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

SCPAX vs. FTGRX - Drawdown Comparison

The maximum SCPAX drawdown since its inception was -62.45%, which is greater than FTGRX's maximum drawdown of -52.75%. Use the drawdown chart below to compare losses from any high point for SCPAX and FTGRX.

Drawdown Indicators

	SCPAX	FTGRX	Difference
Max Drawdown Largest peak-to-trough decline	-62.45%	-52.75%	-9.70%
Max Drawdown (1Y) Largest decline over 1 year	-8.31%	-9.06%	+0.75%
Max Drawdown (3Y) Largest decline over 3 years	-26.22%	-18.54%	-7.68%
Max Drawdown (5Y) Largest decline over 5 years	-38.69%	-23.63%	-15.06%
Max Drawdown (10Y) Largest decline over 10 years	-38.69%	-35.31%	-3.38%
Current Drawdown Current decline from peak	-1.34%	-1.47%	+0.13%
Average Drawdown Average peak-to-trough decline	-12.35%	-6.77%	-5.58%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.76%	2.04%	-0.28%

Volatility

SCPAX vs. FTGRX - Volatility Comparison

SEI Institutional Investments Trust Large Cap Disciplined Equity Fund (SCPAX) and Fidelity Advisor Mega Cap Stock Fund Class M (FTGRX) have volatilities of 4.16% and 4.33%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SCPAX	FTGRX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.16%	4.33%	-0.17%
Volatility (6M) Calculated over the trailing 6-month period	9.34%	9.69%	-0.35%
Volatility (1Y) Calculated over the trailing 1-year period	11.73%	12.55%	-0.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.80%	16.76%	+8.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.22%	18.17%	+4.05%

SCPAX vs. FTGRX - Expense Ratio Comparison

SCPAX has a 0.47% expense ratio, which is lower than FTGRX's 1.15% expense ratio.

Dividends

SCPAX vs. FTGRX - Dividend Comparison

SCPAX's dividend yield for the trailing twelve months is around 13.63%, more than FTGRX's 3.16% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FTGRX Fidelity Advisor Mega Cap Stock Fund Class M	3.16%	3.44%	2.20%	1.60%	3.88%	4.34%	7.59%	12.62%	21.28%	15.95%	1.52%	3.66%
SCPAX SEI Institutional Investments Trust Large Cap Disciplined Equity Fund	13.63%	15.03%	21.17%	3.99%	5.69%	31.78%	8.75%	13.15%	33.17%	14.67%	5.33%	15.69%

Frequently Asked Questions

Can I hold both SCPAX and FTGRX in my portfolio?

With a correlation of 0.91, SCPAX and FTGRX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, SCPAX or FTGRX?

FTGRX has higher volatility (4.33%) compared to SCPAX (4.16%). In terms of maximum drawdown, SCPAX dropped -62.45% vs FTGRX's -52.75%.

Which has better risk-adjusted returns?

SCPAX currently has the higher Sharpe Ratio (2.34 vs 2.27), 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.