SVOAX vs. WFSPX
SVOAX (SEI Institutional Managed Trust U.S. Managed Volatility Fund) and WFSPX (iShares S&P 500 Index Fund) are both mutual funds - SVOAX is a Large Cap Value Equities fund managed by BlackRock, while WFSPX is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, SVOAX returned 8.82%/yr vs 15.54%/yr for WFSPX. Their correlation of 0.87 suggests significant overlap in exposure. SVOAX charges 0.90%/yr vs 0.03%/yr for WFSPX.
Performance
SVOAX vs. WFSPX - 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 WFSPX's 11.69% return. Over the past 10 years, SVOAX has underperformed WFSPX with an annualized return of 8.82%, while WFSPX has yielded a comparatively higher 15.54% 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%
WFSPX
- 1D
- 0.13%
- 1M
- 5.80%
- YTD
- 11.69%
- 6M
- 11.72%
- 1Y
- 28.93%
- 3Y*
- 22.71%
- 5Y*
- 14.24%
- 10Y*
- 15.54%
SVOAX vs. WFSPX - 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% |
WFSPX iShares S&P 500 Index Fund | 11.69% | 17.83% | 24.94% | 26.25% | -18.14% | 28.63% | 18.43% | 31.45% | -4.83% | 21.27% |
Correlation
The correlation between SVOAX and WFSPX is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.57 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.63 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.72 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Nov 1, 2004 | 0.87 |
Over the past year, the correlation between SVOAX and WFSPX has dropped to 0.57 - well below their long-term average of 0.87, suggesting their price drivers have been diverging.
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Return for Risk
SVOAX vs. WFSPX — Risk / Return Rank
SVOAX
WFSPX
SVOAX vs. WFSPX - 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 iShares S&P 500 Index Fund (WFSPX). 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 | WFSPX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.44 | ||
| Sortino ratioReturn per unit of downside risk | -1.81 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.46 | -0.27 |
| Calmar ratioReturn relative to maximum drawdown | 1.73 | 3.35 | -1.62 |
| Martin ratioReturn relative to average drawdown | 5.54 | 15.65 | -10.11 |
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 | WFSPX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.08 | 2.52 | -1.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 0.85 | -0.39 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | 0.87 | -0.32 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.56 | 0.13 | +0.42 |
Drawdowns
SVOAX vs. WFSPX - Drawdown Comparison
The maximum SVOAX drawdown since its inception was -47.22%, smaller than the maximum WFSPX drawdown of -58.21%. Use the drawdown chart below to compare losses from any high point for SVOAX and WFSPX.
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Drawdown Indicators
| SVOAX | WFSPX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.22% | -58.21% | +10.99% |
Max Drawdown (1Y)Largest decline over 1 year | -5.39% | -8.90% | +3.51% |
Max Drawdown (3Y)Largest decline over 3 years | -20.19% | -18.74% | -1.45% |
Max Drawdown (5Y)Largest decline over 5 years | -20.19% | -24.51% | +4.32% |
Max Drawdown (10Y)Largest decline over 10 years | -34.09% | -33.74% | -0.35% |
Current DrawdownCurrent decline from peak | -1.97% | 0.00% | -1.97% |
Average DrawdownAverage peak-to-trough decline | -5.92% | -12.77% | +6.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.68% | 1.90% | -0.22% |
Volatility
SVOAX vs. WFSPX - Volatility Comparison
The current volatility for SEI Institutional Managed Trust U.S. Managed Volatility Fund (SVOAX) is 2.01%, while iShares S&P 500 Index Fund (WFSPX) has a volatility of 2.82%. This indicates that SVOAX experiences smaller price fluctuations and is considered to be less risky than WFSPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SVOAX | WFSPX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.01% | 2.82% | -0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 6.09% | 8.97% | -2.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.66% | 11.85% | -3.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.14% | 16.88% | -0.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.16% | 18.02% | -1.86% |
SVOAX vs. WFSPX - Expense Ratio Comparison
SVOAX has a 0.90% expense ratio, which is higher than WFSPX's 0.03% expense ratio.
Dividends
SVOAX vs. WFSPX - Dividend Comparison
SVOAX's dividend yield for the trailing twelve months is around 16.29%, more than WFSPX's 1.56% 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% |
WFSPX iShares S&P 500 Index Fund | 1.56% | 1.72% | 1.41% | 1.50% | 2.02% | 1.82% | 1.66% | 1.99% | 2.00% | 1.62% | 2.37% | 2.49% |
Frequently Asked Questions
SVOAX and WFSPX have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WFSPX has higher volatility (2.82%) compared to SVOAX (2.01%). In terms of maximum drawdown, SVOAX dropped -47.22% vs WFSPX's -58.21%.
WFSPX currently has the higher Sharpe Ratio (2.52 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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