STMSX vs. ASFYX
STMSX (SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund) and ASFYX (Virtus AlphaSimplex Managed Futures Strategy Fund Class I) are both mutual funds - STMSX is a Small Cap Blend Equities fund managed by BlackRock, while ASFYX is a Systematic Trend fund actively managed by Virtus. Over the past 10 years, STMSX returned 9.18%/yr vs 2.32%/yr for ASFYX. Their 0.19 correlation means their historical movements had little consistent relationship. STMSX charges 1.11%/yr vs 1.45%/yr for ASFYX.
Performance
STMSX vs. ASFYX - Performance Comparison
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Returns By Period
In the year-to-date period, STMSX achieves a 15.18% return, which is significantly higher than ASFYX's 10.47% return. Over the past 10 years, STMSX has outperformed ASFYX with an annualized return of 9.18%, while ASFYX has yielded a comparatively lower 2.32% annualized return.
STMSX
- 1D
- 0.81%
- 1M
- -0.36%
- 6M
- 10.73%
- YTD
- 15.18%
- 1Y
- 27.35%
- 3Y*
- 13.44%
- 5Y*
- 7.09%
- 10Y*
- 9.18%
- ALL TIME*
- 7.83%
ASFYX
- 1D
- 0.83%
- 1M
- 1.91%
- 6M
- 6.34%
- YTD
- 10.47%
- 1Y
- 22.27%
- 3Y*
- -3.08%
- 5Y*
- 2.43%
- 10Y*
- 2.32%
- ALL TIME*
- 3.89%
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 |
STMSX vs. ASFYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
STMSX SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund | 15.18% | 8.67% | 13.34% | 12.97% | -16.91% | 23.68% | 10.41% | 21.99% | -12.34% | 15.89% |
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 10.47% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Correlation
The correlation between STMSX and ASFYX is 0.35, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.35 |
Correlation (3Y) Balances recent behavior with more history. | 0.27 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.13 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.19 |
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010 | 0.19 |
The correlation between STMSX and ASFYX shifts across timeframes, from 0.13 (5 years) to 0.35 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
STMSX vs. ASFYX — Risk / Return Rank
STMSX
ASFYX
STMSX vs. ASFYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund (STMSX) and Virtus AlphaSimplex Managed Futures Strategy Fund Class I (ASFYX). 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.
| STMSX | ASFYX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.25 | ||
| Sortino ratioReturn per unit of downside risk | -0.10 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.29 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 2.90 | -0.38 |
| Martin ratioReturn relative to average drawdown | 8.83 | 8.29 | +0.54 |
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Drawdowns
STMSX vs. ASFYX - Drawdown Comparison
The maximum STMSX drawdown since its inception was -60.78%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for STMSX and ASFYX.
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Drawdown Indicators
| STMSX | ASFYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.78% | -36.43% | -24.35% |
Max Drawdown (1Y)Largest decline over 1 year | -9.69% | -7.42% | -2.27% |
Max Drawdown (3Y)Largest decline over 3 years | -34.36% | -30.32% | -4.04% |
Max Drawdown (5Y)Largest decline over 5 years | -34.36% | -36.43% | +2.07% |
Max Drawdown (10Y)Largest decline over 10 years | -43.16% | -36.43% | -6.73% |
Current DrawdownCurrent decline from peak | -1.96% | -21.62% | +19.66% |
Average DrawdownAverage peak-to-trough decline | -10.56% | -13.26% | +2.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.77% | 2.59% | +0.18% |
Volatility
STMSX vs. ASFYX - Volatility Comparison
SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund (STMSX) has a higher volatility of 3.62% compared to Virtus AlphaSimplex Managed Futures Strategy Fund Class I (ASFYX) at 2.97%. This indicates that STMSX's price experiences larger fluctuations and is considered to be riskier than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| STMSX | ASFYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.62% | 2.97% | +0.65% |
Volatility (6M)Calculated over the trailing 6-month period | 12.22% | 9.81% | +2.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.82% | 12.63% | +4.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.07% | 13.79% | +9.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.83% | 12.74% | +10.09% |
STMSX vs. ASFYX - Expense Ratio Comparison
STMSX has a 1.11% expense ratio, which is lower than ASFYX's 1.45% expense ratio.
Dividends
STMSX vs. ASFYX - Dividend Comparison
STMSX's dividend yield for the trailing twelve months is around 3.59%, more than ASFYX's 1.38% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 1.38% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
STMSX SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund | 3.59% | 4.41% | 21.88% | 3.11% | 0.84% | 9.68% | 0.29% | 2.54% | 9.26% | 1.89% | 0.41% | 0.25% |
Frequently Asked Questions
STMSX and ASFYX have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
STMSX has higher volatility (3.62%) compared to ASFYX (2.97%). In terms of maximum drawdown, STMSX dropped -60.78% vs ASFYX's -36.43%.
ASFYX currently has the higher Sharpe Ratio (1.71 vs 1.45), 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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