SSEAX vs. SAHMX

Last updated Jun 24, 2026

SSEAX (SEI Institutional Investments Trust Screened World Equity Ex-US Fund) and SAHMX (SA International Value Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, SSEAX returned 11.58%/yr vs 11.51%/yr for SAHMX. Their correlation of 0.80 suggests significant overlap in exposure. SSEAX charges 0.78%/yr vs 1.11%/yr for SAHMX.

Performance

SSEAX vs. SAHMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Investments Trust Screened World Equity Ex-US Fund (SSEAX) and SA International Value Fund (SAHMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with SSEAX having a 11.30% return and SAHMX slightly lower at 11.15%. Both investments have delivered pretty close results over the past 10 years, with SSEAX having a 11.58% annualized return and SAHMX not far behind at 11.51%.

SSEAX

• 1D: 0.00%
• 1M: 2.02%
• YTD: 11.30%
• 6M: 11.20%
• 1Y: 24.51%
• 3Y*: 17.78%
• 5Y*: 8.28%
• 10Y*: 11.58%

SAHMX

• 1D: 0.31%
• 1M: -0.10%
• YTD: 11.15%
• 6M: 10.96%
• 1Y: 34.24%
• 3Y*: 22.51%
• 5Y*: 13.77%
• 10Y*: 11.51%

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

SSEAX vs. SAHMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SSEAX SEI Institutional Investments Trust Screened World Equity Ex-US Fund	11.30%	27.99%	6.85%	14.98%	-14.20%	9.32%	16.55%	24.80%	-15.02%	32.98%
SAHMX SA International Value Fund	11.15%	44.08%	5.44%	16.49%	-3.70%	17.59%	-2.48%	14.61%	-17.95%	25.06%

Correlation

The correlation between SSEAX and SAHMX is 0.66, 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	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (10Y) Calculated over the trailing 10-year period	0.76
Correlation (All Time) Calculated using the full available price history since Jul 1, 2008	0.80

The correlation between SSEAX and SAHMX shifts across timeframes, from 0.66 (1 year) to 0.80 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SSEAX vs. SAHMX — Risk / Return Rank

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

SSEAX

SSEAX Risk / Return Rank: 45
SSEAX Sharpe Ratio Rank: 46
SSEAX Sortino Ratio Rank: 45
SSEAX Omega Ratio Rank: 46
SSEAX Calmar Ratio Rank: 43
SSEAX Martin Ratio Rank: 45

SAHMX

SAHMX Risk / Return Rank: 88
SAHMX Sharpe Ratio Rank: 94
SAHMX Sortino Ratio Rank: 91
SAHMX Omega Ratio Rank: 86
SAHMX Calmar Ratio Rank: 89
SAHMX Martin Ratio Rank: 82

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.

SSEAX vs. SAHMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Investments Trust Screened World Equity Ex-US Fund (SSEAX) and SA International Value Fund (SAHMX). 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.

	SSEAX	SAHMX	Difference
Sharpe ratio: Return per unit of total volatility	1.86	2.99	-1.14
Sortino ratio: Return per unit of downside risk	2.60	4.15	-1.55
Omega ratio: Gain probability vs. loss probability	1.34	1.54	-0.20
Calmar ratio: Return relative to maximum drawdown	2.37	4.22	-1.85
Martin ratio: Return relative to average drawdown	8.98	14.12	-5.14

SSEAX vs. SAHMX - Sharpe Ratio Comparison

The current SSEAX Sharpe Ratio is 1.86, which is lower than the SAHMX Sharpe Ratio of 2.99. The chart below compares the historical Sharpe Ratios of SSEAX and SAHMX, 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

SSEAX vs. SAHMX - Drawdown Comparison

The maximum SSEAX drawdown since its inception was -55.38%, smaller than the maximum SAHMX drawdown of -66.58%. Use the drawdown chart below to compare losses from any high point for SSEAX and SAHMX.

Drawdown Indicators

	SSEAX	SAHMX	Difference
Max Drawdown Largest peak-to-trough decline	-55.38%	-66.58%	+11.20%
Max Drawdown (1Y) Largest decline over 1 year	-10.69%	-8.72%	-1.97%
Max Drawdown (3Y) Largest decline over 3 years	-13.26%	-14.85%	+1.59%
Max Drawdown (5Y) Largest decline over 5 years	-34.84%	-25.10%	-9.74%
Max Drawdown (10Y) Largest decline over 10 years	-34.84%	-48.63%	+13.79%
Current Drawdown Current decline from peak	-0.61%	-1.42%	+0.81%
Average Drawdown Average peak-to-trough decline	-12.22%	-16.15%	+3.93%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.81%	2.50%	+0.31%

Volatility

SSEAX vs. SAHMX - Volatility Comparison

SEI Institutional Investments Trust Screened World Equity Ex-US Fund (SSEAX) has a higher volatility of 4.53% compared to SA International Value Fund (SAHMX) at 2.75%. This indicates that SSEAX's price experiences larger fluctuations and is considered to be riskier than SAHMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SSEAX	SAHMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.53%	2.75%	+1.78%
Volatility (6M) Calculated over the trailing 6-month period	11.42%	9.41%	+2.01%
Volatility (1Y) Calculated over the trailing 1-year period	13.66%	12.32%	+1.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.00%	15.47%	+2.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.15%	16.35%	+0.80%

SSEAX vs. SAHMX - Expense Ratio Comparison

SSEAX has a 0.78% expense ratio, which is lower than SAHMX's 1.11% expense ratio.

Dividends

SSEAX vs. SAHMX - Dividend Comparison

SSEAX's dividend yield for the trailing twelve months is around 16.99%, more than SAHMX's 4.81% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SAHMX SA International Value Fund	4.81%	5.35%	3.57%	3.46%	4.06%	3.05%	2.09%	3.66%	1.93%	2.46%	2.89%	1.91%
SSEAX SEI Institutional Investments Trust Screened World Equity Ex-US Fund	16.99%	18.91%	4.26%	2.72%	6.37%	20.09%	2.49%	2.76%	4.05%	2.19%	1.72%	2.18%

Frequently Asked Questions

Can I hold both SSEAX and SAHMX in my portfolio?

SSEAX and SAHMX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SSEAX or SAHMX?

SSEAX has higher volatility (4.53%) compared to SAHMX (2.75%). In terms of maximum drawdown, SSEAX dropped -55.38% vs SAHMX's -66.58%.

Which has better risk-adjusted returns?

SAHMX currently has the higher Sharpe Ratio (2.99 vs 1.86), 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.