SVOAX vs. SGMAX
SVOAX (SEI Institutional Managed Trust U.S. Managed Volatility Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both mutual funds - SVOAX is a Low Volatility fund managed by BlackRock, while SGMAX is a Global Equities fund managed by BlackRock. Over the past 5 years, SVOAX returned 8.33%/yr vs 10.99%/yr for SGMAX. Their correlation of 0.92 means they have usually moved in the same direction. SVOAX charges 0.90%/yr vs 0.25%/yr for SGMAX.
Performance
SVOAX vs. SGMAX - Performance Comparison
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Returns By Period
In the year-to-date period, SVOAX achieves a 9.20% return, which is significantly lower than SGMAX's 12.48% 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%
SGMAX
- 1D
- 0.16%
- 1M
- 3.23%
- 6M
- 9.22%
- YTD
- 12.48%
- 1Y
- 21.15%
- 3Y*
- 16.08%
- 5Y*
- 10.99%
- 10Y*
- —
- ALL TIME*
- 10.09%
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. SGMAX - 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% |
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.48% | 17.93% | 15.18% | 8.86% | -3.41% | 18.94% | -2.71% | 20.58% | -4.41% | 17.10% |
Correlation
The correlation between SVOAX and SGMAX is 0.86, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.86 |
Correlation (3Y) Balances recent behavior with more history. | 0.89 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.92 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.92 |
The correlation between SVOAX and SGMAX has been stable across timeframes, ranging from 0.86 to 0.92 - a consistent structural relationship.
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Return for Risk
SVOAX vs. SGMAX — Risk / Return Rank
SVOAX
SGMAX
SVOAX vs. SGMAX - 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 SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX). 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 | SGMAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.20 | ||
| Sortino ratioReturn per unit of downside risk | -1.71 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.49 | -0.23 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 3.42 | -0.91 |
| Martin ratioReturn relative to average drawdown | 7.98 | 13.48 | -5.50 |
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Drawdowns
SVOAX vs. SGMAX - Drawdown Comparison
The maximum SVOAX drawdown since its inception was -47.22%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for SVOAX and SGMAX.
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Drawdown Indicators
| SVOAX | SGMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.22% | -31.27% | -15.95% |
Max Drawdown (1Y)Largest decline over 1 year | -5.39% | -5.88% | +0.49% |
Max Drawdown (3Y)Largest decline over 3 years | -20.19% | -11.57% | -8.62% |
Max Drawdown (5Y)Largest decline over 5 years | -20.19% | -22.11% | +1.92% |
Max Drawdown (10Y)Largest decline over 10 years | -34.09% | — | — |
Current DrawdownCurrent decline from peak | -1.11% | -0.08% | -1.03% |
Average DrawdownAverage peak-to-trough decline | -5.89% | -4.74% | -1.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.70% | 1.49% | +0.21% |
Volatility
SVOAX vs. SGMAX - Volatility Comparison
SEI Institutional Managed Trust U.S. Managed Volatility Fund (SVOAX) has a higher volatility of 3.76% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 2.05%. This indicates that SVOAX's price experiences larger fluctuations and is considered to be riskier than SGMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SVOAX | SGMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.76% | 2.05% | +1.71% |
Volatility (6M)Calculated over the trailing 6-month period | 7.12% | 5.76% | +1.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.23% | 7.56% | +1.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.19% | 13.76% | +2.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.17% | 14.13% | +2.04% |
SVOAX vs. SGMAX - Expense Ratio Comparison
SVOAX has a 0.90% expense ratio, which is higher than SGMAX's 0.25% expense ratio.
Dividends
SVOAX vs. SGMAX - Dividend Comparison
SVOAX's dividend yield for the trailing twelve months is around 15.57%, more than SGMAX's 12.93% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund | 12.93% | 14.55% | 12.63% | 6.40% | 11.12% | 15.38% | 2.06% | 4.81% | 7.86% | 4.45% | 0.00% | 0.00% |
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 SGMAX have a correlation of 0.86, 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 SGMAX (2.05%). In terms of maximum drawdown, SVOAX dropped -47.22% vs SGMAX's -31.27%.
SGMAX currently has the higher Sharpe Ratio (2.68 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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