SVOAX vs. ASFYX
SVOAX (SEI Institutional Managed Trust U.S. Managed Volatility Fund) and ASFYX (Virtus AlphaSimplex Managed Futures Strategy Fund Class I) are both mutual funds - SVOAX is a Low Volatility fund managed by BlackRock, while ASFYX is a Systematic Trend fund actively managed by Virtus. Over the past 10 years, SVOAX returned 8.81%/yr vs 2.08%/yr for ASFYX. Their 0.17 correlation means their historical movements had little consistent relationship. SVOAX charges 0.90%/yr vs 1.45%/yr for ASFYX.
Performance
SVOAX vs. ASFYX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with SVOAX having a 9.20% return and ASFYX slightly higher at 9.56%. Over the past 10 years, SVOAX has outperformed ASFYX with an annualized return of 8.81%, while ASFYX has yielded a comparatively lower 2.08% annualized return.
SVOAX
- 1D
- -0.97%
- 1M
- 3.51%
- 6M
- 6.84%
- YTD
- 9.20%
- 1Y
- 14.77%
- 3Y*
- 12.41%
- 5Y*
- 8.33%
- 10Y*
- 8.81%
- ALL TIME*
- 8.95%
ASFYX
- 1D
- -0.35%
- 1M
- 1.07%
- 6M
- 5.34%
- YTD
- 9.56%
- 1Y
- 21.27%
- 3Y*
- -3.32%
- 5Y*
- 2.26%
- 10Y*
- 2.08%
- ALL TIME*
- 3.84%
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 |
SVOAX vs. ASFYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SVOAX SEI Institutional Managed Trust U.S. Managed Volatility Fund | 9.20% | 10.47% | 15.46% | 3.68% | -1.10% | 19.77% | -2.15% | 24.17% | -2.75% | 14.04% |
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 9.56% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Correlation
The correlation between SVOAX and ASFYX is 0.19, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.19 |
Correlation (3Y) Balances recent behavior with more history. | 0.18 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.07 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.16 |
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010 | 0.17 |
The correlation between SVOAX and ASFYX shifts across timeframes, from 0.07 (5 years) to 0.19 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SVOAX vs. ASFYX — Risk / Return Rank
SVOAX
ASFYX
SVOAX vs. ASFYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Managed Trust U.S. Managed Volatility Fund (SVOAX) 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.
| SVOAX | ASFYX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.07 | ||
| Sortino ratioReturn per unit of downside risk | +0.16 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.26 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 2.63 | -0.11 |
| Martin ratioReturn relative to average drawdown | 7.98 | 7.58 | +0.40 |
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Drawdowns
SVOAX vs. ASFYX - Drawdown Comparison
The maximum SVOAX drawdown since its inception was -47.22%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for SVOAX and ASFYX.
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Drawdown Indicators
| SVOAX | ASFYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.22% | -36.43% | -10.79% |
Max Drawdown (1Y)Largest decline over 1 year | -5.39% | -7.42% | +2.03% |
Max Drawdown (3Y)Largest decline over 3 years | -20.19% | -30.32% | +10.13% |
Max Drawdown (5Y)Largest decline over 5 years | -20.19% | -36.43% | +16.24% |
Max Drawdown (10Y)Largest decline over 10 years | -34.09% | -36.43% | +2.34% |
Current DrawdownCurrent decline from peak | -1.11% | -22.26% | +21.15% |
Average DrawdownAverage peak-to-trough decline | -5.89% | -13.26% | +7.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.70% | 2.57% | -0.87% |
Volatility
SVOAX vs. ASFYX - Volatility Comparison
SEI Institutional Managed Trust U.S. Managed Volatility Fund (SVOAX) has a higher volatility of 3.76% compared to Virtus AlphaSimplex Managed Futures Strategy Fund Class I (ASFYX) at 2.89%. This indicates that SVOAX'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
| SVOAX | ASFYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.76% | 2.89% | +0.87% |
Volatility (6M)Calculated over the trailing 6-month period | 7.12% | 9.77% | -2.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.23% | 12.62% | -3.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.19% | 13.79% | +2.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.17% | 12.74% | +3.43% |
SVOAX vs. ASFYX - Expense Ratio Comparison
SVOAX has a 0.90% expense ratio, which is lower than ASFYX's 1.45% expense ratio.
Dividends
SVOAX vs. ASFYX - Dividend Comparison
SVOAX's dividend yield for the trailing twelve months is around 15.57%, more than ASFYX's 1.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 1.39% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
SVOAX SEI Institutional Managed Trust U.S. Managed Volatility Fund | 15.57% | 16.95% | 17.05% | 13.66% | 11.01% | 18.42% | 1.47% | 4.66% | 13.86% | 9.21% | 4.35% | 6.58% |
Frequently Asked Questions
SVOAX and ASFYX have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SVOAX has higher volatility (3.76%) compared to ASFYX (2.89%). In terms of maximum drawdown, SVOAX dropped -47.22% vs ASFYX's -36.43%.
ASFYX currently has the higher Sharpe Ratio (1.55 vs 1.47), 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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