SMSAX vs. STDAX

Last updated Aug 4, 2026

SMSAX (SEI Institutional Managed Trust Multi-Strategy Alternative Fund) and STDAX (SEI Asset Allocation Trust Defensive Strategy Allocation Fund) are both mutual funds - SMSAX is a Multistrategy fund managed by SEI, while STDAX is a Diversified Portfolio fund managed by SEI. Over the past 10 years, SMSAX returned 4.60%/yr vs 1.95%/yr for STDAX. Their 0.51 correlation means they have sometimes moved together and sometimes differently. SMSAX charges 1.35%/yr vs 0.35%/yr for STDAX.

Performance

SMSAX vs. STDAX - 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 Asset Allocation Trust Defensive Strategy Allocation Fund (STDAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SMSAX achieves a 6.12% return, which is significantly higher than STDAX's 1.58% return. Over the past 10 years, SMSAX has outperformed STDAX with an annualized return of 4.60%, while STDAX has yielded a comparatively lower 1.95% annualized return.

SMSAX

• 1D: 0.09%
• 1M: -1.03%
• 6M: 4.04%
• YTD: 6.12%
• 1Y: 12.51%
• 3Y*: 9.12%
• 5Y*: 5.07%
• 10Y*: 4.60%
• ALL TIME*: 3.07%

STDAX

• 1D: 0.00%
• 1M: -0.17%
• 6M: 1.21%
• YTD: 1.58%
• 1Y: 3.26%
• 3Y*: 4.17%
• 5Y*: 2.89%
• 10Y*: 1.95%
• ALL TIME*: 0.03%

*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)
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund	$0.00	$0.00	$0.00
STDAX SEI Asset Allocation Trust Defensive Strategy Allocation Fund	$0.00	$0.00	$0.00

SMSAX vs. STDAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund	6.12%	10.62%	6.42%	7.21%	-4.95%	1.47%	12.06%	4.85%	-3.68%	5.26%
STDAX SEI Asset Allocation Trust Defensive Strategy Allocation Fund	1.58%	4.46%	5.35%	4.45%	-1.58%	1.56%	-19.54%	19.83%	-3.32%	9.70%

Correlation

The correlation between SMSAX and STDAX is 0.39, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.39
Correlation (3Y) Balances recent behavior with more history.	0.40
Correlation (5Y) Shows whether the relationship held over a longer period.	0.43
Correlation (10Y) Provides a long-term view across more market conditions.	0.42
Correlation (All Time) Calculated using the full available price history since Apr 1, 2010	0.51

The correlation between SMSAX and STDAX shifts across timeframes, from 0.39 (1 year) to 0.51 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SMSAX vs. STDAX — Risk / Return Rank

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

SMSAX

SMSAX Risk / Return Rank: 88
SMSAX Sharpe Ratio Rank: 87
SMSAX Sortino Ratio Rank: 89
SMSAX Omega Ratio Rank: 83
SMSAX Calmar Ratio Rank: 88
SMSAX Martin Ratio Rank: 92

STDAX

STDAX Risk / Return Rank: 99
STDAX Sharpe Ratio Rank: 99
STDAX Sortino Ratio Rank: 99
STDAX Omega Ratio Rank: 98
STDAX Calmar Ratio Rank: 99
STDAX Martin Ratio Rank: 99

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.

SMSAX vs. STDAX - 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 Asset Allocation Trust Defensive Strategy Allocation Fund (STDAX). 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.

	SMSAX	STDAX	Difference
Sharpe ratio: Return per unit of total volatility	2.16	3.81	-1.65
Sortino ratio: Return per unit of downside risk	3.31	6.51	-3.20
Omega ratio: Gain probability vs. loss probability	1.41	2.25	-0.84
Calmar ratio: Return relative to maximum drawdown	3.34	9.15	-5.82
Martin ratio: Return relative to average drawdown	13.64	35.49	-21.85

SMSAX vs. STDAX - Sharpe Ratio Comparison

The current SMSAX Sharpe Ratio is 2.16, which is lower than the STDAX Sharpe Ratio of 3.81. The chart below compares the historical Sharpe Ratios of SMSAX and STDAX, 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

SMSAX vs. STDAX - Drawdown Comparison

The maximum SMSAX drawdown since its inception was -10.98%, smaller than the maximum STDAX drawdown of -76.81%. Use the drawdown chart below to compare losses from any high point for SMSAX and STDAX.

Drawdown Indicators

	SMSAX	STDAX	Difference
Max Drawdown Largest peak-to-trough decline	-10.98%	-76.81%	+65.83%
Max Drawdown (1Y) Largest decline over 1 year	-3.66%	-0.36%	-3.30%
Max Drawdown (3Y) Largest decline over 3 years	-5.93%	-1.68%	-4.25%
Max Drawdown (5Y) Largest decline over 5 years	-8.79%	-2.91%	-5.88%
Max Drawdown (10Y) Largest decline over 10 years	-10.98%	-26.89%	+15.91%
Current Drawdown Current decline from peak	-1.40%	-8.45%	+7.05%
Average Drawdown Average peak-to-trough decline	-2.09%	-31.59%	+29.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.89%	0.09%	+0.80%

Volatility

SMSAX vs. STDAX - Volatility Comparison

SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) has a higher volatility of 1.26% compared to SEI Asset Allocation Trust Defensive Strategy Allocation Fund (STDAX) at 0.26%. This indicates that SMSAX's price experiences larger fluctuations and is considered to be riskier than STDAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SMSAX	STDAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.26%	0.26%	+1.00%
Volatility (6M) Calculated over the trailing 6-month period	4.61%	0.70%	+3.91%
Volatility (1Y) Calculated over the trailing 1-year period	5.69%	0.86%	+4.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.74%	1.96%	+2.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.65%	6.57%	-1.92%

SMSAX vs. STDAX - Expense Ratio Comparison

SMSAX has a 1.35% expense ratio, which is higher than STDAX's 0.35% expense ratio.

Dividends

SMSAX vs. STDAX - Dividend Comparison

SMSAX's dividend yield for the trailing twelve months is around 4.79%, more than STDAX's 4.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund	4.79%	5.08%	5.54%	4.35%	2.13%	7.61%	2.79%	1.01%	4.94%	2.20%	0.07%	2.66%
STDAX SEI Asset Allocation Trust Defensive Strategy Allocation Fund	4.32%	4.49%	4.97%	4.77%	3.54%	0.87%	1.71%	5.19%	8.53%	6.92%	10.19%	3.84%

Frequently Asked Questions

Can I hold both SMSAX and STDAX in my portfolio?

SMSAX and STDAX have a correlation of 0.39, 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 STDAX?

SMSAX has higher volatility (1.26%) compared to STDAX (0.26%). In terms of maximum drawdown, SMSAX dropped -10.98% vs STDAX's -76.81%.

Which has better risk-adjusted returns?

STDAX currently has the higher Sharpe Ratio (3.81 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.