SEEFX vs. SGMAX

Last updated Jun 4, 2026

SEEFX (Saturna Sustainable Equity Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. A 0.76 correlation means they provide meaningful diversification when combined. SEEFX charges 0.75%/yr vs 0.25%/yr for SGMAX.

Performance

SEEFX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Saturna Sustainable Equity Fund (SEEFX) and SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

SEEFX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

SGMAX

• 1D: 0.00%
• 1M: 1.98%
• YTD: 8.44%
• 6M: 9.73%
• 1Y: 16.22%
• 3Y*: 16.03%
• 5Y*: 10.49%
• 10Y*: —

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

SEEFX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SEEFX Saturna Sustainable Equity Fund	-6.40%	18.55%	9.61%	18.83%	-21.41%	11.29%	24.39%	30.96%	-5.76%	23.50%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	8.44%	17.93%	15.18%	8.86%	-3.41%	18.94%	-2.71%	20.58%	-4.41%	17.10%

Correlation

The correlation between SEEFX and SGMAX is 0.55, 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	0.55
Correlation (3Y) Calculated over the trailing 3-year period	0.64
Correlation (5Y) Calculated over the trailing 5-year period	0.72
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.76

Over the past year, the correlation between SEEFX and SGMAX has dropped to 0.55 - well below their long-term average of 0.76, suggesting their price drivers have been diverging.

Return for Risk

SEEFX vs. SGMAX — Risk / Return Rank

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

SGMAX

SGMAX Risk / Return Rank: 55
SGMAX Sharpe Ratio Rank: 55
SGMAX Sortino Ratio Rank: 57
SGMAX Omega Ratio Rank: 52
SGMAX Calmar Ratio Rank: 57
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.

SEEFX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Saturna Sustainable Equity Fund (SEEFX) 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	SEEFX	SGMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	2.19	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.77	—
Sharpe Ratio (All Time) Calculated using the full available price history	—	0.69	—

Drawdowns

Drawdown Indicators

	SEEFX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	—	-31.27%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-5.88%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-11.57%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-22.11%	—
Current Drawdown Current decline from peak	—	-0.48%	—
Average Drawdown Average peak-to-trough decline	—	-4.82%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	1.49%	—

Volatility

Volatility by Period

	SEEFX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	1.74%	—
Volatility (6M) Calculated over the trailing 6-month period	—	5.52%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	7.63%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	13.77%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	14.22%	—

SEEFX vs. SGMAX - Expense Ratio Comparison

SEEFX has a 0.75% expense ratio, which is higher than SGMAX's 0.25% expense ratio.

Dividends

SEEFX vs. SGMAX - Dividend Comparison

SEEFX's dividend yield for the trailing twelve months is around 37.97%, more than SGMAX's 13.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
SEEFX Saturna Sustainable Equity Fund	37.97%	0.98%	0.49%	0.99%	0.94%	0.62%	0.34%	0.50%	0.89%	0.77%	0.57%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	13.42%	14.55%	12.63%	6.40%	11.12%	15.38%	2.06%	4.81%	7.86%	4.45%	0.00%

Frequently Asked Questions

Can I hold both SEEFX and SGMAX in my portfolio?

SEEFX and SGMAX have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.