SGMAX vs. MBXAX

Last updated Aug 1, 2026

SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) and MBXAX (Catalyst/Millburn Hedge Strategy Fund) are both mutual funds - SGMAX is a Global Equities fund managed by BlackRock, while MBXAX is a Multistrategy fund managed by Catalyst Mutual Funds. Over the past 5 years, SGMAX returned 10.99%/yr vs 7.12%/yr for MBXAX. Their 0.48 correlation means their historical movements had little consistent relationship. SGMAX charges 0.25%/yr vs 2.18%/yr for MBXAX.

Performance

SGMAX vs. MBXAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) and Catalyst/Millburn Hedge Strategy Fund (MBXAX). 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 SGMAX having a 12.48% return and MBXAX slightly higher at 12.74%.

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%

MBXAX

• 1D: -0.29%
• 1M: -2.04%
• 6M: 8.41%
• YTD: 12.74%
• 1Y: 17.15%
• 3Y*: 9.84%
• 5Y*: 7.12%
• 10Y*: 7.41%
• ALL TIME*: 8.86%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
MBXAX Catalyst/Millburn Hedge Strategy Fund	$0.00	$0.00	$0.00
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	$0.00	$0.00	$0.00

SGMAX vs. MBXAX - 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%
MBXAX Catalyst/Millburn Hedge Strategy Fund	12.74%	4.13%	13.17%	-0.91%	7.46%	16.62%	-0.72%	13.59%	-2.43%	13.69%

Correlation

The correlation between SGMAX and MBXAX is 0.31, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.31
Correlation (3Y) Balances recent behavior with more history.	0.23
Correlation (5Y) Shows whether the relationship held over a longer period.	0.31
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.48

The correlation between SGMAX and MBXAX shifts across timeframes, from 0.23 (3 years) to 0.48 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SGMAX vs. MBXAX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

SGMAX

SGMAX Risk / Return Rank: 93
SGMAX Sharpe Ratio Rank: 96
SGMAX Sortino Ratio Rank: 95
SGMAX Omega Ratio Rank: 90
SGMAX Calmar Ratio Rank: 90
SGMAX Martin Ratio Rank: 92

MBXAX

MBXAX Risk / Return Rank: 89
MBXAX Sharpe Ratio Rank: 87
MBXAX Sortino Ratio Rank: 86
MBXAX Omega Ratio Rank: 83
MBXAX Calmar Ratio Rank: 93
MBXAX Martin Ratio Rank: 94

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

SGMAX vs. MBXAX - 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 Catalyst/Millburn Hedge Strategy Fund (MBXAX). 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	MBXAX	Difference
Sharpe ratio: Return per unit of total volatility	2.68	2.13	+0.54
Sortino ratio: Return per unit of downside risk	3.96	3.13	+0.83
Omega ratio: Gain probability vs. loss probability	1.49	1.40	+0.09
Calmar ratio: Return relative to maximum drawdown	3.42	3.77	-0.35
Martin ratio: Return relative to average drawdown	13.48	14.56	-1.08

SGMAX vs. MBXAX - Sharpe Ratio Comparison

The current SGMAX Sharpe Ratio is 2.68, which is comparable to the MBXAX Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of SGMAX and MBXAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SGMAX vs. MBXAX - Drawdown Comparison

The maximum SGMAX drawdown since its inception was -31.27%, roughly equal to the maximum MBXAX drawdown of -31.75%. Use the drawdown chart below to compare losses from any high point for SGMAX and MBXAX.

Drawdown Indicators

	SGMAX	MBXAX	Difference
Max Drawdown Largest peak-to-trough decline	-31.27%	-31.75%	+0.48%
Max Drawdown (1Y) Largest decline over 1 year	-5.88%	-3.89%	-1.99%
Max Drawdown (3Y) Largest decline over 3 years	-11.57%	-15.66%	+4.09%
Max Drawdown (5Y) Largest decline over 5 years	-22.11%	-15.66%	-6.45%
Max Drawdown (10Y) Largest decline over 10 years	—	-31.75%	—
Current Drawdown Current decline from peak	-0.08%	-2.69%	+2.61%
Average Drawdown Average peak-to-trough decline	-4.74%	-4.00%	-0.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.49%	1.05%	+0.44%

Volatility

SGMAX vs. MBXAX - Volatility Comparison

SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) has a higher volatility of 2.05% compared to Catalyst/Millburn Hedge Strategy Fund (MBXAX) at 1.59%. This indicates that SGMAX's price experiences larger fluctuations and is considered to be riskier than MBXAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SGMAX	MBXAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.05%	1.59%	+0.46%
Volatility (6M) Calculated over the trailing 6-month period	5.76%	4.87%	+0.89%
Volatility (1Y) Calculated over the trailing 1-year period	7.56%	6.87%	+0.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.76%	11.39%	+2.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.13%	13.36%	+0.77%

SGMAX vs. MBXAX - Expense Ratio Comparison

SGMAX has a 0.25% expense ratio, which is lower than MBXAX's 2.18% expense ratio.

Dividends

SGMAX vs. MBXAX - Dividend Comparison

SGMAX's dividend yield for the trailing twelve months is around 12.93%, while MBXAX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
MBXAX Catalyst/Millburn Hedge Strategy Fund	0.00%	0.00%	2.43%	2.02%	7.57%	0.00%	3.92%	4.96%	3.07%	3.35%	1.82%
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%

Frequently Asked Questions

Can I hold both SGMAX and MBXAX in my portfolio?

SGMAX and MBXAX have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SGMAX or MBXAX?

SGMAX has higher volatility (2.05%) compared to MBXAX (1.59%). In terms of maximum drawdown, SGMAX dropped -31.27% vs MBXAX's -31.75%.

Which has better risk-adjusted returns?

SGMAX currently has the higher Sharpe Ratio (2.68 vs 2.13), 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.