STMSX vs. DFSCX

Last updated Jun 4, 2026

STMSX (SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund) and DFSCX (DFA U.S. Micro Cap Portfolio) are both Small Cap Blend Equities funds. Over the past 10 years, STMSX returned 9.35%/yr vs 11.20%/yr for DFSCX. With a 0.96 correlation, they move nearly in lockstep. STMSX charges 1.11%/yr vs 0.41%/yr for DFSCX.

Performance

STMSX vs. DFSCX - 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 DFA U.S. Micro Cap Portfolio (DFSCX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, STMSX achieves a 13.21% return, which is significantly lower than DFSCX's 16.94% return. Over the past 10 years, STMSX has underperformed DFSCX with an annualized return of 9.35%, while DFSCX has yielded a comparatively higher 11.20% annualized return.

STMSX

• 1D: 1.05%
• 1M: 2.23%
• YTD: 13.21%
• 6M: 13.30%
• 1Y: 26.59%
• 3Y*: 15.64%
• 5Y*: 6.41%
• 10Y*: 9.35%

DFSCX

• 1D: 0.66%
• 1M: 2.89%
• YTD: 16.94%
• 6M: 16.37%
• 1Y: 35.45%
• 3Y*: 17.74%
• 5Y*: 9.05%
• 10Y*: 11.20%

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

STMSX vs. DFSCX - 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	13.21%	8.67%	13.34%	12.97%	-16.91%	23.68%	10.41%	21.99%	-12.34%	15.89%
DFSCX DFA U.S. Micro Cap Portfolio	16.94%	9.65%	11.43%	17.93%	-12.49%	33.70%	6.61%	20.68%	-11.60%	10.92%

Correlation

The correlation between STMSX and DFSCX is 0.97 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.97
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (10Y) Calculated over the trailing 10-year period	0.96
Correlation (All Time) Calculated using the full available price history since Jan 3, 2001	0.96

The correlation between STMSX and DFSCX has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.

Return for Risk

STMSX vs. DFSCX — Risk / Return Rank

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

STMSX

STMSX Risk / Return Rank: 42
STMSX Sharpe Ratio Rank: 34
STMSX Sortino Ratio Rank: 35
STMSX Omega Ratio Rank: 32
STMSX Calmar Ratio Rank: 57
STMSX Martin Ratio Rank: 49

DFSCX

DFSCX Risk / Return Rank: 65
DFSCX Sharpe Ratio Rank: 54
DFSCX Sortino Ratio Rank: 54
DFSCX Omega Ratio Rank: 47
DFSCX Calmar Ratio Rank: 90
DFSCX Martin Ratio Rank: 80

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. DFSCX - 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 DFA U.S. Micro Cap Portfolio (DFSCX). 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.

	STMSX	DFSCX	Difference
Sharpe ratio: Return per unit of total volatility	1.69	2.16	-0.47
Sortino ratio: Return per unit of downside risk	2.48	3.11	-0.63
Omega ratio: Gain probability vs. loss probability	1.30	1.37	-0.07
Calmar ratio: Return relative to maximum drawdown	2.90	4.65	-1.74
Martin ratio: Return relative to average drawdown	10.15	14.95	-4.81
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

STMSX vs. DFSCX - Sharpe Ratio Comparison

The current STMSX Sharpe Ratio is 1.69, which is comparable to the DFSCX Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of STMSX and DFSCX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	STMSX	DFSCX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.69	2.16	-0.47
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.28	0.43	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.41	0.50	-0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.61	-0.26

Drawdowns

STMSX vs. DFSCX - Drawdown Comparison

The maximum STMSX drawdown since its inception was -60.78%, roughly equal to the maximum DFSCX drawdown of -63.07%. Use the drawdown chart below to compare losses from any high point for STMSX and DFSCX.

Drawdown Indicators

	STMSX	DFSCX	Difference
Max Drawdown Largest peak-to-trough decline	-60.78%	-63.07%	+2.29%
Max Drawdown (1Y) Largest decline over 1 year	-9.69%	-8.17%	-1.52%
Max Drawdown (3Y) Largest decline over 3 years	-34.36%	-27.01%	-7.35%
Max Drawdown (5Y) Largest decline over 5 years	-34.36%	-27.01%	-7.35%
Max Drawdown (10Y) Largest decline over 10 years	-43.16%	-46.88%	+3.72%
Current Drawdown Current decline from peak	-2.32%	0.00%	-2.32%
Average Drawdown Average peak-to-trough decline	-10.62%	-9.91%	-0.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.77%	2.53%	+0.24%

Volatility

STMSX vs. DFSCX - Volatility Comparison

SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund (STMSX) and DFA U.S. Micro Cap Portfolio (DFSCX) have volatilities of 4.61% and 4.48%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	STMSX	DFSCX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.61%	4.48%	+0.13%
Volatility (6M) Calculated over the trailing 6-month period	11.97%	11.59%	+0.38%
Volatility (1Y) Calculated over the trailing 1-year period	16.64%	17.57%	-0.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.10%	21.01%	+2.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.88%	22.64%	+0.24%

STMSX vs. DFSCX - Expense Ratio Comparison

STMSX has a 1.11% expense ratio, which is higher than DFSCX's 0.41% expense ratio.

Dividends

STMSX vs. DFSCX - Dividend Comparison

STMSX's dividend yield for the trailing twelve months is around 3.82%, more than DFSCX's 0.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFSCX DFA U.S. Micro Cap Portfolio	0.82%	1.03%	0.97%	2.48%	5.16%	10.77%	0.87%	2.80%	5.50%	5.05%	0.90%	6.33%
STMSX SEI Institutional Managed Trust Tax-Managed Small/Mid Cap Fund	3.82%	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 DFSCX in my portfolio?

With a correlation of 0.97, STMSX and DFSCX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, STMSX or DFSCX?

STMSX has higher volatility (4.61%) compared to DFSCX (4.48%). In terms of maximum drawdown, STMSX dropped -60.78% vs DFSCX's -63.07%.

Which has better risk-adjusted returns?

DFSCX currently has the higher Sharpe Ratio (2.16 vs 1.69), 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.