SEDAX vs. SHMDX

Last updated Jun 4, 2026

SEDAX (SEI Institutional Investments Trust Emerging Markets Debt Fund) and SHMDX (Virtus Stone Harbor Emerging Mkts Debt) are both Emerging Markets Bonds funds. Over the past 10 years, SEDAX returned 4.42%/yr vs 4.39%/yr for SHMDX. A 0.79 correlation means they provide meaningful diversification when combined. SEDAX charges 0.41%/yr vs 0.73%/yr for SHMDX.

Performance

SEDAX vs. SHMDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Investments Trust Emerging Markets Debt Fund (SEDAX) and Virtus Stone Harbor Emerging Mkts Debt (SHMDX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with SEDAX having a 4.04% return and SHMDX slightly higher at 4.06%. Both investments have delivered pretty close results over the past 10 years, with SEDAX having a 4.42% annualized return and SHMDX not far behind at 4.39%.

SEDAX

• 1D: 0.32%
• 1M: 1.39%
• YTD: 4.04%
• 6M: 4.76%
• 1Y: 16.93%
• 3Y*: 11.71%
• 5Y*: 3.65%
• 10Y*: 4.42%

SHMDX

• 1D: 0.25%
• 1M: 1.37%
• YTD: 4.06%
• 6M: 4.62%
• 1Y: 16.04%
• 3Y*: 13.57%
• 5Y*: 3.47%
• 10Y*: 4.39%

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

SEDAX vs. SHMDX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SEDAX SEI Institutional Investments Trust Emerging Markets Debt Fund	4.04%	20.33%	3.13%	12.86%	-14.53%	-4.93%	4.68%	15.55%	-8.11%	15.32%
SHMDX Virtus Stone Harbor Emerging Mkts Debt	4.06%	15.13%	8.90%	14.81%	-19.74%	-2.52%	7.06%	15.20%	-7.86%	11.58%

Correlation

The correlation between SEDAX and SHMDX is 0.84, 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	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.80
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jan 3, 2008	0.79

The correlation between SEDAX and SHMDX has been stable across timeframes, ranging from 0.79 to 0.84 - a consistent structural relationship.

Return for Risk

SEDAX vs. SHMDX — Risk / Return Rank

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

SEDAX

SEDAX Risk / Return Rank: 81
SEDAX Sharpe Ratio Rank: 91
SEDAX Sortino Ratio Rank: 94
SEDAX Omega Ratio Rank: 91
SEDAX Calmar Ratio Rank: 67
SEDAX Martin Ratio Rank: 65

SHMDX

SHMDX Risk / Return Rank: 92
SHMDX Sharpe Ratio Rank: 96
SHMDX Sortino Ratio Rank: 97
SHMDX Omega Ratio Rank: 95
SHMDX Calmar Ratio Rank: 82
SHMDX Martin Ratio Rank: 87

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.

SEDAX vs. SHMDX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Investments Trust Emerging Markets Debt Fund (SEDAX) and Virtus Stone Harbor Emerging Mkts Debt (SHMDX). 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.

	SEDAX	SHMDX	Difference
Sharpe ratio: Return per unit of total volatility	3.04	3.59	-0.54
Sortino ratio: Return per unit of downside risk	4.80	5.94	-1.15
Omega ratio: Gain probability vs. loss probability	1.66	1.81	-0.14
Calmar ratio: Return relative to maximum drawdown	3.14	3.83	-0.68
Martin ratio: Return relative to average drawdown	12.71	16.98	-4.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SEDAX vs. SHMDX - Sharpe Ratio Comparison

The current SEDAX Sharpe Ratio is 3.04, which is comparable to the SHMDX Sharpe Ratio of 3.59. The chart below compares the historical Sharpe Ratios of SEDAX and SHMDX, 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

	SEDAX	SHMDX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.04	3.59	-0.54
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.52	0.50	+0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.53	0.58	-0.05
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.53	-0.11

Drawdowns

SEDAX vs. SHMDX - Drawdown Comparison

The maximum SEDAX drawdown since its inception was -37.03%, roughly equal to the maximum SHMDX drawdown of -35.83%. Use the drawdown chart below to compare losses from any high point for SEDAX and SHMDX.

Drawdown Indicators

	SEDAX	SHMDX	Difference
Max Drawdown Largest peak-to-trough decline	-37.03%	-35.83%	-1.20%
Max Drawdown (1Y) Largest decline over 1 year	-5.49%	-4.33%	-1.16%
Max Drawdown (3Y) Largest decline over 3 years	-9.44%	-6.23%	-3.21%
Max Drawdown (5Y) Largest decline over 5 years	-27.01%	-31.98%	+4.97%
Max Drawdown (10Y) Largest decline over 10 years	-27.25%	-31.98%	+4.73%
Current Drawdown Current decline from peak	-0.32%	0.00%	-0.32%
Average Drawdown Average peak-to-trough decline	-6.79%	-5.94%	-0.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.36%	0.97%	+0.39%

Volatility

SEDAX vs. SHMDX - Volatility Comparison

SEI Institutional Investments Trust Emerging Markets Debt Fund (SEDAX) has a higher volatility of 1.94% compared to Virtus Stone Harbor Emerging Mkts Debt (SHMDX) at 1.55%. This indicates that SEDAX's price experiences larger fluctuations and is considered to be riskier than SHMDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SEDAX	SHMDX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.94%	1.55%	+0.39%
Volatility (6M) Calculated over the trailing 6-month period	4.98%	3.86%	+1.12%
Volatility (1Y) Calculated over the trailing 1-year period	5.68%	4.63%	+1.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.02%	6.94%	+0.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.43%	7.60%	+0.83%

SEDAX vs. SHMDX - Expense Ratio Comparison

SEDAX has a 0.41% expense ratio, which is lower than SHMDX's 0.73% expense ratio.

Dividends

SEDAX vs. SHMDX - Dividend Comparison

SEDAX's dividend yield for the trailing twelve months is around 8.67%, more than SHMDX's 6.15% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SEDAX SEI Institutional Investments Trust Emerging Markets Debt Fund	8.67%	7.30%	7.24%	4.65%	2.08%	4.69%	1.52%	3.75%	3.17%	4.70%	3.59%	1.00%
SHMDX Virtus Stone Harbor Emerging Mkts Debt	6.15%	6.21%	6.73%	8.10%	10.70%	4.78%	5.24%	5.51%	6.80%	6.12%	6.72%	6.65%

Frequently Asked Questions

Can I hold both SEDAX and SHMDX in my portfolio?

SEDAX and SHMDX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SEDAX or SHMDX?

SEDAX has higher volatility (1.94%) compared to SHMDX (1.55%). In terms of maximum drawdown, SEDAX dropped -37.03% vs SHMDX's -35.83%.

Which has better risk-adjusted returns?

SHMDX currently has the higher Sharpe Ratio (3.59 vs 3.04), 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.