SGMAX vs. VTMFX

Last updated Jun 5, 2026

SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) and VTMFX (Vanguard Tax-Managed Balanced Fund Admiral Shares) are both mutual funds - SGMAX is a Global Equities fund managed by BlackRock, while VTMFX is a Diversified Portfolio fund managed by BlackRock. Over the past 5 years, SGMAX returned 10.33%/yr vs 7.15%/yr for VTMFX. A 0.78 correlation means they provide meaningful diversification when combined. SGMAX charges 0.25%/yr vs 0.09%/yr for VTMFX.

Performance

SGMAX vs. VTMFX - 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 Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SGMAX achieves a 8.61% return, which is significantly higher than VTMFX's 5.64% return.

SGMAX

• 1D: -0.24%
• 1M: 2.23%
• YTD: 8.61%
• 6M: 9.73%
• 1Y: 16.79%
• 3Y*: 16.09%
• 5Y*: 10.33%
• 10Y*: —

VTMFX

• 1D: -0.37%
• 1M: 2.26%
• YTD: 5.64%
• 6M: 5.70%
• 1Y: 16.33%
• 3Y*: 12.61%
• 5Y*: 7.15%
• 10Y*: 8.66%

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

SGMAX vs. VTMFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	8.61%	17.93%	15.18%	8.86%	-3.41%	18.94%	-2.71%	20.58%	-4.41%	17.10%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	5.64%	11.28%	12.17%	15.55%	-12.69%	13.10%	13.31%	18.01%	-1.40%	12.12%

Correlation

The correlation between SGMAX and VTMFX is 0.65, 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	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (5Y) Calculated over the trailing 5-year period	0.73
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.78

The correlation between SGMAX and VTMFX shifts across timeframes, from 0.65 (1 year) to 0.78 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SGMAX vs. VTMFX — Risk / Return Rank

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

SGMAX

SGMAX Risk / Return Rank: 56
SGMAX Sharpe Ratio Rank: 56
SGMAX Sortino Ratio Rank: 58
SGMAX Omega Ratio Rank: 53
SGMAX Calmar Ratio Rank: 56
SGMAX Martin Ratio Rank: 56

VTMFX

VTMFX Risk / Return Rank: 77
VTMFX Sharpe Ratio Rank: 82
VTMFX Sortino Ratio Rank: 80
VTMFX Omega Ratio Rank: 78
VTMFX Calmar Ratio Rank: 64
VTMFX Martin Ratio Rank: 79

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.

SGMAX vs. VTMFX - 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 Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). 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.

	SGMAX	VTMFX	Difference
Sharpe ratio: Return per unit of total volatility	2.16	2.70	-0.54
Sortino ratio: Return per unit of downside risk	3.14	3.87	-0.73
Omega ratio: Gain probability vs. loss probability	1.39	1.52	-0.13
Calmar ratio: Return relative to maximum drawdown	2.80	3.08	-0.27
Martin ratio: Return relative to average drawdown	11.01	14.71	-3.70
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SGMAX vs. VTMFX - Sharpe Ratio Comparison

The current SGMAX Sharpe Ratio is 2.16, which is comparable to the VTMFX Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of SGMAX and VTMFX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SGMAX	VTMFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.16	2.70	-0.54
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.75	0.84	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.95	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.70	0.84	-0.15

Drawdowns

SGMAX vs. VTMFX - Drawdown Comparison

The maximum SGMAX drawdown since its inception was -31.27%, which is greater than VTMFX's maximum drawdown of -28.49%. Use the drawdown chart below to compare losses from any high point for SGMAX and VTMFX.

Drawdown Indicators

	SGMAX	VTMFX	Difference
Max Drawdown Largest peak-to-trough decline	-31.27%	-28.49%	-2.78%
Max Drawdown (1Y) Largest decline over 1 year	-5.88%	-5.38%	-0.50%
Max Drawdown (3Y) Largest decline over 3 years	-11.57%	-10.61%	-0.96%
Max Drawdown (5Y) Largest decline over 5 years	-22.11%	-17.40%	-4.71%
Max Drawdown (10Y) Largest decline over 10 years	—	-21.87%	—
Current Drawdown Current decline from peak	-0.32%	-0.37%	+0.05%
Average Drawdown Average peak-to-trough decline	-4.81%	-3.55%	-1.26%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.49%	1.12%	+0.37%

Volatility

SGMAX vs. VTMFX - Volatility Comparison

The current volatility for SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) is 1.62%, while Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX) has a volatility of 1.74%. This indicates that SGMAX experiences smaller price fluctuations and is considered to be less risky than VTMFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SGMAX	VTMFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.62%	1.74%	-0.12%
Volatility (6M) Calculated over the trailing 6-month period	5.50%	4.76%	+0.74%
Volatility (1Y) Calculated over the trailing 1-year period	7.63%	6.14%	+1.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.77%	8.52%	+5.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.21%	9.12%	+5.09%

SGMAX vs. VTMFX - Expense Ratio Comparison

SGMAX has a 0.25% expense ratio, which is higher than VTMFX's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

SGMAX vs. VTMFX - Dividend Comparison

SGMAX's dividend yield for the trailing twelve months is around 13.39%, more than VTMFX's 2.11% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	13.39%	14.55%	12.63%	6.40%	11.12%	15.38%	2.06%	4.81%	7.86%	4.45%	0.00%	0.00%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	2.11%	2.14%	2.08%	1.94%	1.85%	1.38%	1.72%	2.05%	2.22%	2.00%	2.13%	2.06%

Frequently Asked Questions

Can I hold both SGMAX and VTMFX in my portfolio?

SGMAX and VTMFX have a correlation of 0.65, 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 VTMFX?

VTMFX has higher volatility (1.74%) compared to SGMAX (1.62%). In terms of maximum drawdown, SGMAX dropped -31.27% vs VTMFX's -28.49%.

Which has better risk-adjusted returns?

VTMFX currently has the higher Sharpe Ratio (2.70 vs 2.16), 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.