SVOAX vs. TMMAX
SVOAX (SEI Institutional Managed Trust U.S. Managed Volatility Fund) and TMMAX (SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund) are both Large Cap Value Equities funds from BlackRock. Over the past 10 years, SVOAX returned 8.82%/yr vs 10.08%/yr for TMMAX. With a 0.97 correlation, they move nearly in lockstep. SVOAX charges 0.90%/yr vs 1.00%/yr for TMMAX.
Performance
SVOAX vs. TMMAX - Performance Comparison
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Returns By Period
In the year-to-date period, SVOAX achieves a 4.43% return, which is significantly lower than TMMAX's 5.01% return. Over the past 10 years, SVOAX has underperformed TMMAX with an annualized return of 8.82%, while TMMAX has yielded a comparatively higher 10.08% annualized return.
SVOAX
- 1D
- -0.15%
- 1M
- 2.17%
- YTD
- 4.43%
- 6M
- 5.17%
- 1Y
- 9.00%
- 3Y*
- 12.22%
- 5Y*
- 7.39%
- 10Y*
- 8.82%
TMMAX
- 1D
- 0.06%
- 1M
- 1.81%
- YTD
- 5.01%
- 6M
- 5.26%
- 1Y
- 10.22%
- 3Y*
- 12.88%
- 5Y*
- 9.74%
- 10Y*
- 10.08%
SVOAX vs. TMMAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SVOAX SEI Institutional Managed Trust U.S. Managed Volatility Fund | 4.43% | 10.47% | 15.46% | 3.68% | -1.10% | 19.77% | -2.15% | 24.17% | -2.75% | 14.04% |
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 5.01% | 11.03% | 17.07% | 7.32% | -3.11% | 24.10% | 1.32% | 24.00% | -2.84% | 15.19% |
Correlation
The correlation between SVOAX and TMMAX 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 | 0.92 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Dec 24, 2007 | 0.97 |
The correlation between SVOAX and TMMAX has been stable across timeframes, ranging from 0.92 to 0.97 - a consistent structural relationship.
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Return for Risk
SVOAX vs. TMMAX — Risk / Return Rank
SVOAX
TMMAX
SVOAX vs. TMMAX - 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 Managed Trust Tax-Managed Managed Volatility Fund (TMMAX). 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 | TMMAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.20 | ||
| Sortino ratioReturn per unit of downside risk | -0.28 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.22 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 1.73 | 1.82 | -0.09 |
| Martin ratioReturn relative to average drawdown | 5.54 | 6.36 | -0.81 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SVOAX | TMMAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.08 | 1.28 | -0.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 0.51 | -0.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | 0.57 | -0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.56 | 0.54 | +0.01 |
Drawdowns
SVOAX vs. TMMAX - Drawdown Comparison
The maximum SVOAX drawdown since its inception was -47.22%, which is greater than TMMAX's maximum drawdown of -41.50%. Use the drawdown chart below to compare losses from any high point for SVOAX and TMMAX.
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Drawdown Indicators
| SVOAX | TMMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.22% | -41.50% | -5.72% |
Max Drawdown (1Y)Largest decline over 1 year | -5.39% | -5.78% | +0.39% |
Max Drawdown (3Y)Largest decline over 3 years | -20.19% | -23.00% | +2.81% |
Max Drawdown (5Y)Largest decline over 5 years | -20.19% | -23.00% | +2.81% |
Max Drawdown (10Y)Largest decline over 10 years | -34.09% | -33.41% | -0.68% |
Current DrawdownCurrent decline from peak | -1.97% | -6.35% | +4.38% |
Average DrawdownAverage peak-to-trough decline | -5.92% | -5.57% | -0.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.68% | 1.65% | +0.03% |
Volatility
SVOAX vs. TMMAX - Volatility Comparison
SEI Institutional Managed Trust U.S. Managed Volatility Fund (SVOAX) and SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) have volatilities of 2.01% and 2.04%, 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.
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Volatility by Period
| SVOAX | TMMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.01% | 2.04% | -0.03% |
Volatility (6M)Calculated over the trailing 6-month period | 6.09% | 5.85% | +0.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.66% | 8.21% | +0.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.14% | 19.07% | -2.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.16% | 17.81% | -1.65% |
SVOAX vs. TMMAX - Expense Ratio Comparison
SVOAX has a 0.90% expense ratio, which is lower than TMMAX's 1.00% expense ratio.
Dividends
SVOAX vs. TMMAX - Dividend Comparison
SVOAX's dividend yield for the trailing twelve months is around 16.29%, less than TMMAX's 24.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVOAX SEI Institutional Managed Trust U.S. Managed Volatility Fund | 16.29% | 16.95% | 17.05% | 13.66% | 11.01% | 18.42% | 1.47% | 4.66% | 13.86% | 9.21% | 4.35% | 6.58% |
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 24.09% | 25.19% | 23.39% | 15.23% | 6.54% | 4.73% | 2.15% | 3.67% | 4.91% | 4.10% | 4.17% | 5.57% |
Frequently Asked Questions
With a correlation of 0.97, SVOAX and TMMAX 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.
TMMAX has higher volatility (2.04%) compared to SVOAX (2.01%). In terms of maximum drawdown, SVOAX dropped -47.22% vs TMMAX's -41.50%.
TMMAX currently has the higher Sharpe Ratio (1.28 vs 1.08), 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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