SSEAX vs. SMSAX
SSEAX (SEI Institutional Investments Trust Screened World Equity Ex-US Fund) and SMSAX (SEI Institutional Managed Trust Multi-Strategy Alternative Fund) are both mutual funds - SSEAX is a Foreign Large Cap Equities fund managed by SEI, while SMSAX is a Multistrategy fund managed by SEI. Over the past 10 years, SSEAX returned 10.75%/yr vs 4.60%/yr for SMSAX. Their 0.66 correlation means they have sometimes moved together and sometimes differently. SSEAX charges 0.78%/yr vs 1.35%/yr for SMSAX.
Performance
SSEAX vs. SMSAX - Performance Comparison
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Returns By Period
In the year-to-date period, SSEAX achieves a 12.57% return, which is significantly higher than SMSAX's 6.53% return. Over the past 10 years, SSEAX has outperformed SMSAX with an annualized return of 10.75%, while SMSAX has yielded a comparatively lower 4.60% annualized return.
SSEAX
- 1D
- 0.61%
- 1M
- 2.40%
- 6M
- 7.03%
- YTD
- 12.57%
- 1Y
- 23.09%
- 3Y*
- 16.91%
- 5Y*
- 8.40%
- 10Y*
- 10.75%
- ALL TIME*
- 5.77%
SMSAX
- 1D
- 0.38%
- 1M
- -0.66%
- 6M
- 3.51%
- YTD
- 6.53%
- 1Y
- 12.48%
- 3Y*
- 9.38%
- 5Y*
- 5.37%
- 10Y*
- 4.60%
- ALL TIME*
- 3.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
SSEAX vs. SMSAX - 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 | 12.57% | 27.99% | 6.85% | 14.98% | -14.20% | 9.32% | 16.55% | 24.80% | -15.02% | 32.98% |
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund | 6.53% | 10.62% | 6.42% | 7.21% | -4.95% | 1.47% | 12.06% | 4.85% | -3.68% | 5.26% |
Correlation
The correlation between SSEAX and SMSAX is 0.75, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.75 |
Correlation (3Y) Balances recent behavior with more history. | 0.68 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.69 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.66 |
Correlation (All Time) Calculated using the full available price history since Apr 1, 2010 | 0.66 |
The correlation between SSEAX and SMSAX has been stable across timeframes, ranging from 0.66 to 0.75 - a consistent structural relationship.
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Return for Risk
SSEAX vs. SMSAX — Risk / Return Rank
SSEAX
SMSAX
SSEAX vs. SMSAX - 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 SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX). 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 | SMSAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.52 | ||
| Sortino ratioReturn per unit of downside risk | -1.04 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.44 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 2.33 | 3.55 | -1.22 |
| Martin ratioReturn relative to average drawdown | 8.74 | 14.46 | -5.73 |
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Drawdowns
SSEAX vs. SMSAX - Drawdown Comparison
The maximum SSEAX drawdown since its inception was -55.38%, which is greater than SMSAX's maximum drawdown of -10.98%. Use the drawdown chart below to compare losses from any high point for SSEAX and SMSAX.
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Drawdown Indicators
| SSEAX | SMSAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.38% | -10.98% | -44.40% |
Max Drawdown (1Y)Largest decline over 1 year | -10.69% | -3.66% | -7.03% |
Max Drawdown (3Y)Largest decline over 3 years | -13.26% | -5.93% | -7.33% |
Max Drawdown (5Y)Largest decline over 5 years | -34.84% | -8.79% | -26.05% |
Max Drawdown (10Y)Largest decline over 10 years | -34.84% | -10.98% | -23.86% |
Current DrawdownCurrent decline from peak | 0.00% | -1.03% | +1.03% |
Average DrawdownAverage peak-to-trough decline | -12.15% | -2.09% | -10.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.83% | 0.90% | +1.93% |
Volatility
SSEAX vs. SMSAX - Volatility Comparison
SEI Institutional Investments Trust Screened World Equity Ex-US Fund (SSEAX) has a higher volatility of 3.90% compared to SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) at 1.31%. This indicates that SSEAX's price experiences larger fluctuations and is considered to be riskier than SMSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SSEAX | SMSAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.90% | 1.31% | +2.59% |
Volatility (6M)Calculated over the trailing 6-month period | 11.97% | 4.53% | +7.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.02% | 5.67% | +8.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.05% | 4.74% | +13.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.01% | 4.65% | +12.36% |
SSEAX vs. SMSAX - Expense Ratio Comparison
SSEAX has a 0.78% expense ratio, which is lower than SMSAX's 1.35% expense ratio.
Dividends
SSEAX vs. SMSAX - Dividend Comparison
SSEAX's dividend yield for the trailing twelve months is around 16.80%, more than SMSAX's 4.77% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund | 4.77% | 5.08% | 5.54% | 4.35% | 2.13% | 7.61% | 2.79% | 1.01% | 4.94% | 2.20% | 0.07% | 2.66% |
SSEAX SEI Institutional Investments Trust Screened World Equity Ex-US Fund | 16.80% | 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
SSEAX and SMSAX have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SSEAX has higher volatility (3.90%) compared to SMSAX (1.31%). In terms of maximum drawdown, SSEAX dropped -55.38% vs SMSAX's -10.98%.
SMSAX currently has the higher Sharpe Ratio (2.30 vs 1.78), 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.
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