STMSX vs. BDMAX
STMSX (SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund) and BDMAX (BlackRock Global Equity Market Neutral Fund Investor A) are both mutual funds - STMSX is a Small Cap Blend Equities fund managed by BlackRock, while BDMAX is a Equity Market Neutral fund actively managed by BlackRock. Over the past 10 years, STMSX returned 9.18%/yr vs 8.29%/yr for BDMAX. Their 0.09 correlation means their historical movements had little consistent relationship. STMSX charges 1.11%/yr vs 1.59%/yr for BDMAX.
Performance
STMSX vs. BDMAX - 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 BDMAX's 12.73% return. Over the past 10 years, STMSX has outperformed BDMAX with an annualized return of 9.18%, while BDMAX has yielded a comparatively lower 8.29% 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%
BDMAX
- 1D
- 0.81%
- 1M
- 2.45%
- 6M
- 10.71%
- YTD
- 12.73%
- 1Y
- 24.19%
- 3Y*
- 20.40%
- 5Y*
- 13.04%
- 10Y*
- 8.29%
- ALL TIME*
- 6.66%
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. BDMAX - 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% |
BDMAX BlackRock Global Equity Market Neutral Fund Investor A | 12.73% | 18.08% | 21.12% | 14.27% | 1.57% | 3.11% | -0.05% | -1.02% | 1.86% | 12.57% |
Correlation
The correlation between STMSX and BDMAX 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. | 0.17 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.09 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.06 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2013 | 0.09 |
Over the past year, STMSX and BDMAX have become more correlated (0.35) than their long-term average of 0.09, meaning their price movements have been converging.
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Return for Risk
STMSX vs. BDMAX — Risk / Return Rank
STMSX
BDMAX
STMSX vs. BDMAX - 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 BlackRock Global Equity Market Neutral Fund Investor A (BDMAX). 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 | BDMAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.83 | ||
| Sortino ratioReturn per unit of downside risk | -2.57 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.62 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 7.50 | -4.98 |
| Martin ratioReturn relative to average drawdown | 8.83 | 19.83 | -10.99 |
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Drawdowns
STMSX vs. BDMAX - Drawdown Comparison
The maximum STMSX drawdown since its inception was -60.78%, which is greater than BDMAX's maximum drawdown of -12.37%. Use the drawdown chart below to compare losses from any high point for STMSX and BDMAX.
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Drawdown Indicators
| STMSX | BDMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.78% | -12.37% | -48.41% |
Max Drawdown (1Y)Largest decline over 1 year | -9.69% | -3.25% | -6.44% |
Max Drawdown (3Y)Largest decline over 3 years | -34.36% | -4.15% | -30.21% |
Max Drawdown (5Y)Largest decline over 5 years | -34.36% | -5.56% | -28.80% |
Max Drawdown (10Y)Largest decline over 10 years | -43.16% | -9.71% | -33.45% |
Current DrawdownCurrent decline from peak | -1.96% | -0.35% | -1.61% |
Average DrawdownAverage peak-to-trough decline | -10.56% | -2.80% | -7.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.77% | 1.23% | +1.54% |
Volatility
STMSX vs. BDMAX - Volatility Comparison
SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund (STMSX) has a higher volatility of 3.62% compared to BlackRock Global Equity Market Neutral Fund Investor A (BDMAX) at 2.66%. This indicates that STMSX's price experiences larger fluctuations and is considered to be riskier than BDMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| STMSX | BDMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.62% | 2.66% | +0.96% |
Volatility (6M)Calculated over the trailing 6-month period | 12.22% | 5.40% | +6.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.82% | 7.42% | +9.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.07% | 6.68% | +16.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.83% | 5.91% | +16.92% |
STMSX vs. BDMAX - Expense Ratio Comparison
STMSX has a 1.11% expense ratio, which is lower than BDMAX's 1.59% expense ratio.
Dividends
STMSX vs. BDMAX - Dividend Comparison
STMSX's dividend yield for the trailing twelve months is around 3.59%, less than BDMAX's 11.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BDMAX BlackRock Global Equity Market Neutral Fund Investor A | 11.57% | 8.94% | 13.39% | 7.14% | 0.00% | 1.25% | 0.04% | 6.60% | 0.85% | 0.00% | 0.00% | 1.56% |
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 BDMAX 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 BDMAX (2.66%). In terms of maximum drawdown, STMSX dropped -60.78% vs BDMAX's -12.37%.
BDMAX currently has the higher Sharpe Ratio (3.29 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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