SEHAX vs. SGOIX

Last updated Apr 1, 2026

Compare and contrast key facts about SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) and First Eagle Overseas Fund Class I (SGOIX).

SEHAX is managed by SEI. It was launched on Apr 26, 2018. SGOIX is managed by First Eagle.

Performance

SEHAX vs. SGOIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) and First Eagle Overseas Fund Class I (SGOIX). The values are adjusted to include any dividend payments, if applicable.

SEHAX vs. SGOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund	-4.77%	17.99%	24.97%	21.99%	-15.84%	32.78%	13.16%	28.09%	-5.81%
SGOIX First Eagle Overseas Fund Class I	3.80%	39.06%	6.45%	10.73%	-7.86%	5.25%	7.25%	17.90%	-9.74%

Returns By Period

In the year-to-date period, SEHAX achieves a -4.77% return, which is significantly lower than SGOIX's 3.80% return.

SEHAX

• 1D: -0.45%
• 1M: -7.24%
• YTD: -4.77%
• 6M: -1.38%
• 1Y: 15.48%
• 3Y*: 17.75%
• 5Y*: 11.32%
• 10Y*: —

SGOIX

• 1D: 2.33%
• 1M: -7.69%
• YTD: 3.80%
• 6M: 9.66%
• 1Y: 29.85%
• 3Y*: 16.77%
• 5Y*: 10.05%
• 10Y*: 8.31%

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

SEHAX vs. SGOIX - Expense Ratio Comparison

SEHAX has a 0.32% expense ratio, which is lower than SGOIX's 0.88% expense ratio.

SGOIX

First Eagle Overseas Fund Class I

SEHAX

SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund

Return for Risk

SEHAX vs. SGOIX — Risk / Return Rank

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

SEHAX

SEHAX Risk / Return Rank: 53
SEHAX Sharpe Ratio Rank: 49
SEHAX Sortino Ratio Rank: 53
SEHAX Omega Ratio Rank: 54
SEHAX Calmar Ratio Rank: 48
SEHAX Martin Ratio Rank: 62

SGOIX

SGOIX Risk / Return Rank: 92
SGOIX Sharpe Ratio Rank: 94
SGOIX Sortino Ratio Rank: 92
SGOIX Omega Ratio Rank: 92
SGOIX Calmar Ratio Rank: 90
SGOIX Martin Ratio Rank: 91

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.

SEHAX vs. SGOIX - 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 First Eagle Overseas Fund Class I (SGOIX). 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	SGOIX	Difference
Sharpe ratio Return per unit of total volatility	0.97	2.21	-1.24
Sortino ratio Return per unit of downside risk	1.46	2.80	-1.34
Omega ratio Gain probability vs. loss probability	1.22	1.44	-0.22
Calmar ratio Return relative to maximum drawdown	1.19	2.59	-1.40
Martin ratio Return relative to average drawdown	6.02	10.79	-4.77
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SEHAX vs. SGOIX - Sharpe Ratio Comparison

The current SEHAX Sharpe Ratio is 0.97, which is lower than the SGOIX Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SEHAX and SGOIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	SEHAX	SGOIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.97	2.21	-1.24
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.54	0.86	-0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.73	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.88	-0.28

Correlation

The correlation between SEHAX and SGOIX is 0.70, 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. SGOIX - Dividend Comparison

SEHAX's dividend yield for the trailing twelve months is around 5.80%, less than SGOIX's 8.15% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SEHAX SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund	5.80%	5.52%	7.85%	1.15%	12.75%	23.76%	1.69%	1.97%	1.24%	0.00%	0.00%	0.00%
SGOIX First Eagle Overseas Fund Class I	8.15%	8.45%	8.49%	2.45%	3.81%	5.92%	0.47%	5.70%	3.36%	3.59%	3.80%	1.58%

Drawdowns

SEHAX vs. SGOIX - Drawdown Comparison

The maximum SEHAX drawdown since its inception was -35.77%, roughly equal to the maximum SGOIX drawdown of -35.54%. Use the drawdown chart below to compare losses from any high point for SEHAX and SGOIX.

Drawdown Indicators

	SEHAX	SGOIX	Difference
Max Drawdown Largest peak-to-trough decline	-35.77%	-35.54%	-0.23%
Max Drawdown (1Y) Largest decline over 1 year	-12.01%	-11.35%	-0.66%
Max Drawdown (5Y) Largest decline over 5 years	-35.77%	-21.39%	-14.38%
Max Drawdown (10Y) Largest decline over 10 years	—	-24.79%	—
Current Drawdown Current decline from peak	-7.74%	-8.91%	+1.17%
Average Drawdown Average peak-to-trough decline	-9.21%	-4.57%	-4.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.37%	2.72%	-0.35%

Volatility

SEHAX vs. SGOIX - Volatility Comparison

The current volatility for SEI Institutional Investments Trust U.S. Equity Factor Allocation Fund (SEHAX) is 4.01%, while First Eagle Overseas Fund Class I (SGOIX) has a volatility of 6.40%. This indicates that SEHAX experiences smaller price fluctuations and is considered to be less risky than SGOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SEHAX	SGOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.01%	6.40%	-2.39%
Volatility (6M) Calculated over the trailing 6-month period	8.72%	9.85%	-1.13%
Volatility (1Y) Calculated over the trailing 1-year period	17.00%	13.64%	+3.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.03%	11.77%	+9.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.90%	11.37%	+10.53%