SVOAX vs. ASFYX
Compare and contrast key facts about SEI Institutional Managed Trust U.S. Managed Volatility Fund (SVOAX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX).
SVOAX is managed by BlackRock. It was launched on Oct 28, 2004. ASFYX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
SVOAX vs. ASFYX - Performance Comparison
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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 | 0.30% | 10.47% | 15.46% | 3.68% | -1.10% | 19.77% | -2.15% | 24.17% | -2.75% | 14.04% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 6.72% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Returns By Period
In the year-to-date period, SVOAX achieves a 0.30% return, which is significantly lower than ASFYX's 6.72% return. Over the past 10 years, SVOAX has outperformed ASFYX with an annualized return of 8.43%, while ASFYX has yielded a comparatively lower 1.88% annualized return.
SVOAX
- 1D
- 1.23%
- 1M
- -3.87%
- YTD
- 0.30%
- 6M
- 0.64%
- 1Y
- 6.59%
- 3Y*
- 10.07%
- 5Y*
- 7.72%
- 10Y*
- 8.43%
ASFYX
- 1D
- 0.12%
- 1M
- -0.84%
- YTD
- 6.72%
- 6M
- 10.49%
- 1Y
- 3.28%
- 3Y*
- -2.85%
- 5Y*
- 2.28%
- 10Y*
- 1.88%
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SVOAX vs. ASFYX - Expense Ratio Comparison
SVOAX has a 0.90% expense ratio, which is lower than ASFYX's 1.47% expense ratio.
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 AlphaSimplex Managed Futures Strategy Fund Class Y (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.
| SVOAX | ASFYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.53 | 0.27 | +0.25 |
Sortino ratioReturn per unit of downside risk | 0.83 | 0.42 | +0.41 |
Omega ratioGain probability vs. loss probability | 1.12 | 1.06 | +0.05 |
Calmar ratioReturn relative to maximum drawdown | 0.77 | 0.18 | +0.59 |
Martin ratioReturn relative to average drawdown | 3.73 | 0.29 | +3.44 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SVOAX | ASFYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.53 | 0.27 | +0.25 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.48 | 0.17 | +0.31 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.52 | 0.15 | +0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.55 | 0.31 | +0.24 |
Correlation
The correlation between SVOAX and ASFYX is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
SVOAX vs. ASFYX - Dividend Comparison
SVOAX's dividend yield for the trailing twelve months is around 16.90%, more than ASFYX's 1.42% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVOAX SEI Institutional Managed Trust U.S. Managed Volatility Fund | 16.90% | 16.95% | 17.05% | 13.66% | 11.01% | 18.42% | 1.47% | 4.66% | 13.86% | 9.21% | 4.35% | 6.58% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.42% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
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 | -10.02% | -13.51% | +3.49% |
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 | -5.84% | -24.28% | +18.44% |
Average DrawdownAverage peak-to-trough decline | -5.94% | -13.10% | +7.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.06% | 8.26% | -6.20% |
Volatility
SVOAX vs. ASFYX - Volatility Comparison
The current volatility for SEI Institutional Managed Trust U.S. Managed Volatility Fund (SVOAX) is 2.98%, while AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a volatility of 3.82%. This indicates that SVOAX experiences smaller price fluctuations and is considered to be less risky 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 | 2.98% | 3.82% | -0.84% |
Volatility (6M)Calculated over the trailing 6-month period | 6.38% | 10.00% | -3.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.82% | 13.00% | -0.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.17% | 13.67% | +2.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.16% | 12.68% | +3.48% |