SMSAX vs. SEPAX

Last updated Jun 4, 2026

SMSAX (SEI Institutional Managed Trust Multi-Strategy Alternative Fund) and SEPAX (SEI Tax-Exempt Trust Pennsylvania Municipal Bond Fund) are both mutual funds - SMSAX is a Multistrategy fund managed by SEI, while SEPAX is a Municipal Bonds fund managed by SEI. Over the past 10 years, SMSAX returned 4.80%/yr vs 1.54%/yr for SEPAX. At a correlation of -0.05, they often move in opposite directions. SMSAX charges 1.35%/yr vs 0.63%/yr for SEPAX.

Performance

SMSAX vs. SEPAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) and SEI Tax-Exempt Trust Pennsylvania Municipal Bond Fund (SEPAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SMSAX achieves a 7.33% return, which is significantly higher than SEPAX's 0.49% return. Over the past 10 years, SMSAX has outperformed SEPAX with an annualized return of 4.80%, while SEPAX has yielded a comparatively lower 1.54% annualized return.

SMSAX

• 1D: 0.56%
• 1M: 3.09%
• YTD: 7.33%
• 6M: 8.20%
• 1Y: 16.27%
• 3Y*: 10.28%
• 5Y*: 4.93%
• 10Y*: 4.80%

SEPAX

• 1D: 0.10%
• 1M: 0.39%
• YTD: 0.49%
• 6M: 0.87%
• 1Y: 4.90%
• 3Y*: 3.14%
• 5Y*: 0.45%
• 10Y*: 1.54%

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

SMSAX vs. SEPAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund	7.33%	10.62%	6.42%	7.21%	-4.95%	1.47%	12.06%	4.85%	-3.68%	5.26%
SEPAX SEI Tax-Exempt Trust Pennsylvania Municipal Bond Fund	0.49%	5.63%	0.31%	3.67%	-7.33%	-0.13%	4.65%	6.79%	0.83%	3.99%

Correlation

The correlation between SMSAX and SEPAX is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.29
Correlation (3Y) Calculated over the trailing 3-year period	0.18
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (10Y) Calculated over the trailing 10-year period	0.04
Correlation (All Time) Calculated using the full available price history since Apr 5, 2010	-0.05

The correlation between SMSAX and SEPAX shifts across timeframes, from -0.05 (all time) to 0.28 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SMSAX vs. SEPAX — Risk / Return Rank

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

SMSAX

SMSAX Risk / Return Rank: 91
SMSAX Sharpe Ratio Rank: 92
SMSAX Sortino Ratio Rank: 94
SMSAX Omega Ratio Rank: 88
SMSAX Calmar Ratio Rank: 90
SMSAX Martin Ratio Rank: 93

SEPAX

SEPAX Risk / Return Rank: 58
SEPAX Sharpe Ratio Rank: 77
SEPAX Sortino Ratio Rank: 75
SEPAX Omega Ratio Rank: 91
SEPAX Calmar Ratio Rank: 26
SEPAX Martin Ratio Rank: 23

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.

SMSAX vs. SEPAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) and SEI Tax-Exempt Trust Pennsylvania Municipal Bond Fund (SEPAX). 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.

	SMSAX	SEPAX	Difference
Sharpe ratio: Return per unit of total volatility	3.14	2.55	+0.59
Sortino ratio: Return per unit of downside risk	4.90	3.64	+1.26
Omega ratio: Gain probability vs. loss probability	1.62	1.67	-0.05
Calmar ratio: Return relative to maximum drawdown	4.63	1.87	+2.75
Martin ratio: Return relative to average drawdown	20.00	5.76	+14.24
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SMSAX vs. SEPAX - Sharpe Ratio Comparison

The current SMSAX Sharpe Ratio is 3.14, which is comparable to the SEPAX Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of SMSAX and SEPAX, 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

	SMSAX	SEPAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.14	2.55	+0.59
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.06	0.16	+0.90
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.05	0.44	+0.60
Sharpe Ratio (All Time) Calculated using the full available price history	0.78	1.04	-0.26

Drawdowns

SMSAX vs. SEPAX - Drawdown Comparison

The maximum SMSAX drawdown since its inception was -10.98%, roughly equal to the maximum SEPAX drawdown of -11.49%. Use the drawdown chart below to compare losses from any high point for SMSAX and SEPAX.

Drawdown Indicators

	SMSAX	SEPAX	Difference
Max Drawdown Largest peak-to-trough decline	-10.98%	-11.49%	+0.51%
Max Drawdown (1Y) Largest decline over 1 year	-3.66%	-2.62%	-1.04%
Max Drawdown (3Y) Largest decline over 3 years	-5.93%	-3.60%	-2.33%
Max Drawdown (5Y) Largest decline over 5 years	-9.72%	-11.49%	+1.77%
Max Drawdown (10Y) Largest decline over 10 years	-10.98%	-11.49%	+0.51%
Current Drawdown Current decline from peak	0.00%	-1.19%	+1.19%
Average Drawdown Average peak-to-trough decline	-2.11%	-1.67%	-0.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.85%	0.85%	0.00%

Volatility

SMSAX vs. SEPAX - Volatility Comparison

SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) has a higher volatility of 1.96% compared to SEI Tax-Exempt Trust Pennsylvania Municipal Bond Fund (SEPAX) at 0.73%. This indicates that SMSAX's price experiences larger fluctuations and is considered to be riskier than SEPAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SMSAX	SEPAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.96%	0.73%	+1.23%
Volatility (6M) Calculated over the trailing 6-month period	4.29%	1.57%	+2.72%
Volatility (1Y) Calculated over the trailing 1-year period	5.40%	1.93%	+3.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.67%	2.82%	+1.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.61%	3.47%	+1.14%

SMSAX vs. SEPAX - Expense Ratio Comparison

SMSAX has a 1.35% expense ratio, which is higher than SEPAX's 0.63% expense ratio.

Dividends

SMSAX vs. SEPAX - Dividend Comparison

SMSAX's dividend yield for the trailing twelve months is around 4.73%, more than SEPAX's 2.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SEPAX SEI Tax-Exempt Trust Pennsylvania Municipal Bond Fund	2.26%	2.83%	1.86%	1.45%	1.20%	1.66%	2.04%	2.22%	1.93%	1.84%	1.96%	1.87%
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund	4.73%	5.08%	5.54%	4.35%	2.13%	7.61%	2.79%	1.01%	4.94%	2.20%	0.07%	2.66%

Frequently Asked Questions

Can I hold both SMSAX and SEPAX in my portfolio?

SMSAX and SEPAX have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SMSAX or SEPAX?

SMSAX has higher volatility (1.96%) compared to SEPAX (0.73%). In terms of maximum drawdown, SMSAX dropped -10.98% vs SEPAX's -11.49%.

Which has better risk-adjusted returns?

SMSAX currently has the higher Sharpe Ratio (3.14 vs 2.55), 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.