STMSX vs. CII

Last updated Jul 22, 2026

STMSX (SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund) and CII (BlackRock Enhanced Large Cap Core Fund) are both mutual funds - STMSX is a Small Cap Blend Equities fund managed by BlackRock, while CII is a Derivative Income fund actively managed by BlackRock. Over the past 10 years, STMSX returned 9.17%/yr vs 14.90%/yr for CII. A 0.63 correlation means they provide meaningful diversification when combined. STMSX charges 1.11%/yr vs 0.91%/yr for CII.

Performance

STMSX vs. CII - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund (STMSX) and BlackRock Enhanced Large Cap Core Fund (CII). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, STMSX achieves a 14.88% return, which is significantly higher than CII's 10.01% return. Over the past 10 years, STMSX has underperformed CII with an annualized return of 9.17%, while CII has yielded a comparatively higher 14.90% annualized return.

STMSX

• 1D: -0.58%
• 1M: -0.07%
• 6M: 10.27%
• YTD: 14.88%
• 1Y: 24.37%
• 3Y*: 13.79%
• 5Y*: 7.27%
• 10Y*: 9.17%
• ALL TIME*: 7.83%

CII

• 1D: 0.28%
• 1M: 1.29%
• 6M: 11.06%
• YTD: 10.01%
• 1Y: 36.78%
• 3Y*: 21.30%
• 5Y*: 13.50%
• 10Y*: 14.90%
• ALL TIME*: 10.69%

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

STMSX vs. CII - 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	14.88%	8.67%	13.34%	12.97%	-16.91%	23.68%	10.41%	21.99%	-12.34%	15.89%
CII BlackRock Enhanced Large Cap Core Fund	10.01%	37.78%	12.70%	18.47%	-13.21%	34.26%	8.11%	30.46%	-8.60%	27.73%

Correlation

The correlation between STMSX and CII is 0.47, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.47
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.67
Correlation (10Y) Calculated over the trailing 10-year period	0.68
Correlation (All Time) Calculated using the full available price history since May 26, 2004	0.63

The correlation between STMSX and CII shifts across timeframes, from 0.47 (1 year) to 0.68 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

STMSX vs. CII — Risk / Return Rank

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

STMSX

STMSX Risk / Return Rank: 55
STMSX Sharpe Ratio Rank: 48
STMSX Sortino Ratio Rank: 53
STMSX Omega Ratio Rank: 43
STMSX Calmar Ratio Rank: 71
STMSX Martin Ratio Rank: 59

CII

CII Risk / Return Rank: 82
CII Sharpe Ratio Rank: 85
CII Sortino Ratio Rank: 79
CII Omega Ratio Rank: 78
CII Calmar Ratio Rank: 84
CII 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.

STMSX vs. CII - 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 Enhanced Large Cap Core Fund (CII). 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	CII	Difference
Sharpe ratio: Return per unit of total volatility	1.45	2.22	-0.78
Sortino ratio: Return per unit of downside risk	2.18	2.95	-0.77
Omega ratio: Gain probability vs. loss probability	1.25	1.38	-0.13
Calmar ratio: Return relative to maximum drawdown	2.51	3.17	-0.66
Martin ratio: Return relative to average drawdown	8.72	11.27	-2.54

STMSX vs. CII - Sharpe Ratio Comparison

The current STMSX Sharpe Ratio is 1.45, which is lower than the CII Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of STMSX and CII, 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

STMSX vs. CII - Drawdown Comparison

The maximum STMSX drawdown since its inception was -60.78%, which is greater than CII's maximum drawdown of -56.43%. Use the drawdown chart below to compare losses from any high point for STMSX and CII.

Drawdown Indicators

	STMSX	CII	Difference
Max Drawdown Largest peak-to-trough decline	-60.78%	-56.43%	-4.35%
Max Drawdown (1Y) Largest decline over 1 year	-9.69%	-11.67%	+1.98%
Max Drawdown (3Y) Largest decline over 3 years	-34.36%	-21.05%	-13.31%
Max Drawdown (5Y) Largest decline over 5 years	-34.36%	-22.32%	-12.04%
Max Drawdown (10Y) Largest decline over 10 years	-43.16%	-40.56%	-2.60%
Current Drawdown Current decline from peak	-2.21%	-5.18%	+2.97%
Average Drawdown Average peak-to-trough decline	-10.57%	-6.16%	-4.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.78%	3.27%	-0.49%

Volatility

STMSX vs. CII - Volatility Comparison

The current volatility for SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund (STMSX) is 3.62%, while BlackRock Enhanced Large Cap Core Fund (CII) has a volatility of 5.94%. This indicates that STMSX experiences smaller price fluctuations and is considered to be less risky than CII based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	STMSX	CII	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.62%	5.94%	-2.32%
Volatility (6M) Calculated over the trailing 6-month period	12.40%	13.33%	-0.93%
Volatility (1Y) Calculated over the trailing 1-year period	16.84%	16.62%	+0.22%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.07%	17.35%	+5.72%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.83%	18.64%	+4.19%

STMSX vs. CII - Expense Ratio Comparison

STMSX has a 1.11% expense ratio, which is higher than CII's 0.91% expense ratio.

Dividends

STMSX vs. CII - Dividend Comparison

STMSX's dividend yield for the trailing twelve months is around 3.60%, less than CII's 15.77% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CII BlackRock Enhanced Large Cap Core Fund	15.77%	16.65%	6.15%	6.28%	12.27%	4.98%	6.03%	5.79%	7.06%	6.07%	8.38%	8.49%
STMSX SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund	3.60%	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

Can I hold both STMSX and CII in my portfolio?

STMSX and CII have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, STMSX or CII?

CII has higher volatility (5.94%) compared to STMSX (3.62%). In terms of maximum drawdown, STMSX dropped -60.78% vs CII's -56.43%.

Which has better risk-adjusted returns?

CII currently has the higher Sharpe Ratio (2.22 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.