SXMAX vs. BRUFX

Last updated Jul 14, 2026

SXMAX (SEI Asset Allocation Trust Moderate Strategy Allocation Fund) and BRUFX (Bruce Fund) are both Diversified Portfolio funds. Over the past 10 years, SXMAX returned 7.69%/yr vs 7.57%/yr for BRUFX. A 0.70 correlation means they provide meaningful diversification when combined. SXMAX charges 0.35%/yr vs 0.68%/yr for BRUFX.

Performance

SXMAX vs. BRUFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Asset Allocation Trust Moderate Strategy Allocation Fund (SXMAX) and Bruce Fund (BRUFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SXMAX achieves a 5.62% return, which is significantly lower than BRUFX's 15.33% return. Both investments have delivered pretty close results over the past 10 years, with SXMAX having a 7.69% annualized return and BRUFX not far behind at 7.57%.

SXMAX

• 1D: 0.24%
• 1M: 0.86%
• 6M: 4.38%
• YTD: 5.62%
• 1Y: 10.11%
• 3Y*: 10.88%
• 5Y*: 6.61%
• 10Y*: 7.69%

BRUFX

• 1D: 0.25%
• 1M: 3.44%
• 6M: 12.23%
• YTD: 15.33%
• 1Y: 26.47%
• 3Y*: 12.46%
• 5Y*: 5.84%
• 10Y*: 7.57%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SXMAX vs. BRUFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SXMAX SEI Asset Allocation Trust Moderate Strategy Allocation Fund	5.62%	10.48%	11.77%	8.20%	-6.13%	16.25%	-2.41%	25.12%	-4.95%	14.31%
BRUFX Bruce Fund	15.33%	14.89%	4.45%	-0.74%	-8.80%	17.35%	12.06%	22.42%	-3.99%	12.48%

Correlation

The correlation between SXMAX and BRUFX is 0.69, 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	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.74
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (10Y) Calculated over the trailing 10-year period	0.78
Correlation (All Time) Calculated using the full available price history since Nov 18, 2003	0.70

The correlation between SXMAX and BRUFX has been stable across timeframes, ranging from 0.69 to 0.79 - a consistent structural relationship.

Return for Risk

SXMAX vs. BRUFX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SXMAX

SXMAX Risk / Return Rank: 48
SXMAX Sharpe Ratio Rank: 48
SXMAX Sortino Ratio Rank: 52
SXMAX Omega Ratio Rank: 45
SXMAX Calmar Ratio Rank: 45
SXMAX Martin Ratio Rank: 51

BRUFX

BRUFX Risk / Return Rank: 87
BRUFX Sharpe Ratio Rank: 89
BRUFX Sortino Ratio Rank: 87
BRUFX Omega Ratio Rank: 82
BRUFX Calmar Ratio Rank: 87
BRUFX Martin Ratio Rank: 93

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SXMAX vs. BRUFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Asset Allocation Trust Moderate Strategy Allocation Fund (SXMAX) and Bruce Fund (BRUFX). 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.

	SXMAX	BRUFX	Difference
Sharpe ratio: Return per unit of total volatility	1.55	2.39	-0.85
Sortino ratio: Return per unit of downside risk	2.28	3.42	-1.14
Omega ratio: Gain probability vs. loss probability	1.28	1.42	-0.14
Calmar ratio: Return relative to maximum drawdown	2.05	3.36	-1.31
Martin ratio: Return relative to average drawdown	8.27	14.90	-6.64

SXMAX vs. BRUFX - Sharpe Ratio Comparison

The current SXMAX Sharpe Ratio is 1.55, which is lower than the BRUFX Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of SXMAX and BRUFX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SXMAX vs. BRUFX - Drawdown Comparison

The maximum SXMAX drawdown since its inception was -50.94%, which is greater than BRUFX's maximum drawdown of -44.50%. Use the drawdown chart below to compare losses from any high point for SXMAX and BRUFX.

Drawdown Indicators

	SXMAX	BRUFX	Difference
Max Drawdown Largest peak-to-trough decline	-50.94%	-44.50%	-6.44%
Max Drawdown (1Y) Largest decline over 1 year	-4.64%	-7.67%	+3.03%
Max Drawdown (3Y) Largest decline over 3 years	-13.02%	-9.66%	-3.36%
Max Drawdown (5Y) Largest decline over 5 years	-16.31%	-17.91%	+1.60%
Max Drawdown (10Y) Largest decline over 10 years	-31.69%	-25.44%	-6.25%
Current Drawdown Current decline from peak	-0.06%	-0.85%	+0.79%
Average Drawdown Average peak-to-trough decline	-5.53%	-9.05%	+3.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.15%	1.73%	-0.58%

Volatility

SXMAX vs. BRUFX - Volatility Comparison

The current volatility for SEI Asset Allocation Trust Moderate Strategy Allocation Fund (SXMAX) is 1.93%, while Bruce Fund (BRUFX) has a volatility of 3.11%. This indicates that SXMAX experiences smaller price fluctuations and is considered to be less risky than BRUFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SXMAX	BRUFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.93%	3.11%	-1.18%
Volatility (6M) Calculated over the trailing 6-month period	4.65%	8.42%	-3.77%
Volatility (1Y) Calculated over the trailing 1-year period	6.15%	10.78%	-4.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.49%	10.57%	+0.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.47%	11.64%	+0.83%

SXMAX vs. BRUFX - Expense Ratio Comparison

SXMAX has a 0.35% expense ratio, which is lower than BRUFX's 0.68% expense ratio.

Dividends

SXMAX vs. BRUFX - Dividend Comparison

SXMAX's dividend yield for the trailing twelve months is around 14.56%, more than BRUFX's 5.51% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BRUFX Bruce Fund	5.51%	6.35%	5.01%	6.46%	13.31%	9.25%	5.83%	2.03%	2.49%	4.11%	6.26%	4.63%
SXMAX SEI Asset Allocation Trust Moderate Strategy Allocation Fund	14.56%	15.20%	12.15%	9.88%	10.07%	8.38%	6.68%	10.02%	9.50%	5.21%	8.24%	2.36%

Frequently Asked Questions

Can I hold both SXMAX and BRUFX in my portfolio?

SXMAX and BRUFX have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SXMAX or BRUFX?

BRUFX has higher volatility (3.11%) compared to SXMAX (1.93%). In terms of maximum drawdown, SXMAX dropped -50.94% vs BRUFX's -44.50%.

Which has better risk-adjusted returns?

BRUFX currently has the higher Sharpe Ratio (2.39 vs 1.55), 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.