SEHAX vs. DFIEX
Compare and contrast key facts about SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) and DFA International Core Equity Portfolio I (DFIEX).
SEHAX is managed by SEI. It was launched on Apr 26, 2018. DFIEX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
SEHAX vs. DFIEX - Performance Comparison
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SEHAX vs. DFIEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund | -2.29% | 17.99% | 24.97% | 21.99% | -15.84% | 32.78% | 13.16% | 28.09% | -5.81% |
DFIEX DFA International Core Equity Portfolio I | 2.80% | 36.18% | 3.99% | 17.50% | -13.51% | 13.85% | 7.73% | 21.70% | -18.14% |
Returns By Period
In the year-to-date period, SEHAX achieves a -2.29% return, which is significantly lower than DFIEX's 2.80% return.
SEHAX
- 1D
- 2.60%
- 1M
- -4.94%
- YTD
- -2.29%
- 6M
- 1.12%
- 1Y
- 18.06%
- 3Y*
- 18.76%
- 5Y*
- 11.64%
- 10Y*
- —
DFIEX
- 1D
- 3.02%
- 1M
- -6.42%
- YTD
- 2.80%
- 6M
- 8.00%
- 1Y
- 30.46%
- 3Y*
- 16.74%
- 5Y*
- 9.40%
- 10Y*
- 9.64%
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SEHAX vs. DFIEX - Expense Ratio Comparison
SEHAX has a 0.32% expense ratio, which is higher than DFIEX's 0.24% expense ratio.
Return for Risk
SEHAX vs. DFIEX — Risk / Return Rank
SEHAX
DFIEX
SEHAX vs. DFIEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) and DFA International Core Equity Portfolio I (DFIEX). 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.
| SEHAX | DFIEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.08 | 1.95 | -0.87 |
Sortino ratioReturn per unit of downside risk | 1.62 | 2.55 | -0.92 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.39 | -0.15 |
Calmar ratioReturn relative to maximum drawdown | 1.62 | 2.57 | -0.96 |
Martin ratioReturn relative to average drawdown | 8.12 | 10.07 | -1.96 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SEHAX | DFIEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.08 | 1.95 | -0.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.56 | 0.60 | -0.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.59 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.61 | 0.35 | +0.26 |
Correlation
The correlation between SEHAX and DFIEX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
SEHAX vs. DFIEX - Dividend Comparison
SEHAX's dividend yield for the trailing twelve months is around 5.65%, more than DFIEX's 3.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund | 5.65% | 5.52% | 7.85% | 1.15% | 12.75% | 23.76% | 1.69% | 1.97% | 1.24% | 0.00% | 0.00% | 0.00% |
DFIEX DFA International Core Equity Portfolio I | 3.14% | 3.22% | 3.42% | 3.36% | 2.88% | 2.98% | 1.77% | 2.90% | 2.95% | 2.49% | 2.76% | 4.20% |
Drawdowns
SEHAX vs. DFIEX - Drawdown Comparison
The maximum SEHAX drawdown since its inception was -35.77%, smaller than the maximum DFIEX drawdown of -62.22%. Use the drawdown chart below to compare losses from any high point for SEHAX and DFIEX.
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Drawdown Indicators
| SEHAX | DFIEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.77% | -62.22% | +26.45% |
Max Drawdown (1Y)Largest decline over 1 year | -12.01% | -11.01% | -1.00% |
Max Drawdown (5Y)Largest decline over 5 years | -35.77% | -28.66% | -7.11% |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.04% | — |
Current DrawdownCurrent decline from peak | -5.34% | -7.75% | +2.41% |
Average DrawdownAverage peak-to-trough decline | -9.21% | -12.26% | +3.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.39% | 2.81% | -0.42% |
Volatility
SEHAX vs. DFIEX - Volatility Comparison
The current volatility for SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) is 4.95%, while DFA International Core Equity Portfolio I (DFIEX) has a volatility of 7.09%. This indicates that SEHAX experiences smaller price fluctuations and is considered to be less risky than DFIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SEHAX | DFIEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.95% | 7.09% | -2.14% |
Volatility (6M)Calculated over the trailing 6-month period | 9.09% | 10.45% | -1.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.15% | 15.90% | +1.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.06% | 15.65% | +5.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.91% | 16.35% | +5.56% |