SGMAX vs. GLIFX
SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) and GLIFX (Lazard Global Listed Infrastructure Portfolio Institutional Shares) are both mutual funds - SGMAX is a Global Equities fund managed by BlackRock, while GLIFX is a Infrastructure Equities fund managed by Lazard. Over the past 5 years, SGMAX returned 10.99%/yr vs 10.83%/yr for GLIFX. Their 0.66 correlation means they have sometimes moved together and sometimes differently. SGMAX charges 0.25%/yr vs 0.97%/yr for GLIFX.
Performance
SGMAX vs. GLIFX - Performance Comparison
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Returns By Period
In the year-to-date period, SGMAX achieves a 12.48% return, which is significantly higher than GLIFX's 7.74% return.
SGMAX
- 1D
- 0.16%
- 1M
- 3.23%
- 6M
- 9.22%
- YTD
- 12.48%
- 1Y
- 21.15%
- 3Y*
- 16.08%
- 5Y*
- 10.99%
- 10Y*
- —
- ALL TIME*
- 10.09%
GLIFX
- 1D
- -0.36%
- 1M
- -1.08%
- 6M
- 3.91%
- YTD
- 7.74%
- 1Y
- 14.55%
- 3Y*
- 13.40%
- 5Y*
- 10.83%
- 10Y*
- 9.92%
- ALL TIME*
- 10.86%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
SGMAX vs. GLIFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.48% | 17.93% | 15.18% | 8.86% | -3.41% | 18.94% | -2.71% | 20.58% | -4.41% | 17.10% |
GLIFX Lazard Global Listed Infrastructure Portfolio Institutional Shares | 7.74% | 23.85% | 6.71% | 10.89% | -1.33% | 19.91% | -4.51% | 22.27% | -3.82% | 20.77% |
Correlation
The correlation between SGMAX and GLIFX is 0.49, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.49 |
Correlation (3Y) Balances recent behavior with more history. | 0.58 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.64 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.66 |
The correlation between SGMAX and GLIFX shifts across timeframes, from 0.49 (1 year) to 0.66 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SGMAX vs. GLIFX — Risk / Return Rank
SGMAX
GLIFX
SGMAX vs. GLIFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) and Lazard Global Listed Infrastructure Portfolio Institutional Shares (GLIFX). 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.
| SGMAX | GLIFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.36 | ||
| Sortino ratioReturn per unit of downside risk | +2.15 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.24 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | 3.42 | 1.58 | +1.84 |
| Martin ratioReturn relative to average drawdown | 13.48 | 4.31 | +9.17 |
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Drawdowns
SGMAX vs. GLIFX - Drawdown Comparison
The maximum SGMAX drawdown since its inception was -31.27%, which is greater than GLIFX's maximum drawdown of -29.65%. Use the drawdown chart below to compare losses from any high point for SGMAX and GLIFX.
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Drawdown Indicators
| SGMAX | GLIFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.27% | -29.65% | -1.62% |
Max Drawdown (1Y)Largest decline over 1 year | -5.88% | -9.00% | +3.12% |
Max Drawdown (3Y)Largest decline over 3 years | -11.57% | -9.00% | -2.57% |
Max Drawdown (5Y)Largest decline over 5 years | -22.11% | -17.15% | -4.96% |
Max Drawdown (10Y)Largest decline over 10 years | — | -29.65% | — |
Current DrawdownCurrent decline from peak | -0.08% | -5.43% | +5.35% |
Average DrawdownAverage peak-to-trough decline | -4.74% | -3.37% | -1.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.49% | 3.29% | -1.80% |
Volatility
SGMAX vs. GLIFX - Volatility Comparison
The current volatility for SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) is 2.05%, while Lazard Global Listed Infrastructure Portfolio Institutional Shares (GLIFX) has a volatility of 2.85%. This indicates that SGMAX experiences smaller price fluctuations and is considered to be less risky than GLIFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SGMAX | GLIFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.05% | 2.85% | -0.80% |
Volatility (6M)Calculated over the trailing 6-month period | 5.76% | 9.47% | -3.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.56% | 10.85% | -3.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.76% | 11.00% | +2.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.13% | 13.18% | +0.95% |
SGMAX vs. GLIFX - Expense Ratio Comparison
SGMAX has a 0.25% expense ratio, which is lower than GLIFX's 0.97% expense ratio.
Dividends
SGMAX vs. GLIFX - Dividend Comparison
SGMAX's dividend yield for the trailing twelve months is around 12.93%, more than GLIFX's 7.29% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GLIFX Lazard Global Listed Infrastructure Portfolio Institutional Shares | 7.29% | 6.22% | 4.26% | 2.95% | 14.81% | 6.21% | 2.59% | 4.44% | 14.29% | 6.94% | 1.91% | 11.33% |
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.93% | 14.55% | 12.63% | 6.40% | 11.12% | 15.38% | 2.06% | 4.81% | 7.86% | 4.45% | 0.00% | 0.00% |
Frequently Asked Questions
SGMAX and GLIFX have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GLIFX has higher volatility (2.85%) compared to SGMAX (2.05%). In terms of maximum drawdown, SGMAX dropped -31.27% vs GLIFX's -29.65%.
SGMAX currently has the higher Sharpe Ratio (2.68 vs 1.31), 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.
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