SXMAX vs. VTMFX

Last updated Aug 1, 2026

SXMAX (SEI Asset Allocation Trust Moderate Strategy Allocation Fund) and VTMFX (Vanguard Tax-Managed Balanced Fund Admiral Shares) are both Diversified Portfolio funds. Over the past 10 years, SXMAX returned 7.75%/yr vs 8.27%/yr for VTMFX. Their correlation of 0.89 means they have usually moved in the same direction. SXMAX charges 0.35%/yr vs 0.05%/yr for VTMFX.

Performance

SXMAX vs. VTMFX - 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 Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SXMAX achieves a 7.26% return, which is significantly higher than VTMFX's 4.40% return. Over the past 10 years, SXMAX has underperformed VTMFX with an annualized return of 7.75%, while VTMFX has yielded a comparatively higher 8.27% annualized return.

SXMAX

• 1D: -0.29%
• 1M: 1.63%
• 6M: 5.29%
• YTD: 7.26%
• 1Y: 12.40%
• 3Y*: 10.88%
• 5Y*: 6.90%
• 10Y*: 7.75%
• ALL TIME*: 8.40%

VTMFX

• 1D: 0.71%
• 1M: -1.15%
• 6M: 3.25%
• YTD: 4.40%
• 1Y: 11.79%
• 3Y*: 10.68%
• 5Y*: 6.40%
• 10Y*: 8.27%
• ALL TIME*: 7.75%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
SXMAX SEI Asset Allocation Trust Moderate Strategy Allocation Fund	$0.00	$0.00	$0.00
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	$0.00	$0.00	$0.00

SXMAX vs. VTMFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SXMAX SEI Asset Allocation Trust Moderate Strategy Allocation Fund	7.26%	10.48%	11.77%	8.20%	-6.13%	16.25%	-2.41%	25.12%	-4.95%	14.31%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	4.40%	11.28%	12.17%	15.55%	-12.69%	13.10%	13.31%	18.01%	-1.40%	12.61%

Correlation

The correlation between SXMAX and VTMFX is 0.63, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.63
Correlation (3Y) Balances recent behavior with more history.	0.71
Correlation (5Y) Shows whether the relationship held over a longer period.	0.79
Correlation (10Y) Provides a long-term view across more market conditions.	0.83
Correlation (All Time) Calculated using the full available price history since Nov 18, 2003	0.89

Over the past year, the correlation between SXMAX and VTMFX has dropped to 0.63 - well below their long-term average of 0.89, suggesting their price drivers have been diverging.

Return for Risk

SXMAX vs. VTMFX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

SXMAX

SXMAX Risk / Return Rank: 76
SXMAX Sharpe Ratio Rank: 76
SXMAX Sortino Ratio Rank: 79
SXMAX Omega Ratio Rank: 73
SXMAX Calmar Ratio Rank: 73
SXMAX Martin Ratio Rank: 80

VTMFX

VTMFX Risk / Return Rank: 72
VTMFX Sharpe Ratio Rank: 74
VTMFX Sortino Ratio Rank: 71
VTMFX Omega Ratio Rank: 72
VTMFX Calmar Ratio Rank: 64
VTMFX Martin Ratio Rank: 78

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

SXMAX vs. VTMFX - 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 Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX). 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	VTMFX	Difference
Sharpe ratio: Return per unit of total volatility	1.83	1.66	+0.17
Sortino ratio: Return per unit of downside risk	2.77	2.34	+0.43
Omega ratio: Gain probability vs. loss probability	1.33	1.30	+0.03
Calmar ratio: Return relative to maximum drawdown	2.47	2.06	+0.42
Martin ratio: Return relative to average drawdown	10.12	9.19	+0.93

SXMAX vs. VTMFX - Sharpe Ratio Comparison

The current SXMAX Sharpe Ratio is 1.83, which is comparable to the VTMFX Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of SXMAX and VTMFX, 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. VTMFX - Drawdown Comparison

The maximum SXMAX drawdown since its inception was -50.94%, which is greater than VTMFX's maximum drawdown of -28.49%. Use the drawdown chart below to compare losses from any high point for SXMAX and VTMFX.

Drawdown Indicators

	SXMAX	VTMFX	Difference
Max Drawdown Largest peak-to-trough decline	-50.94%	-28.49%	-22.45%
Max Drawdown (1Y) Largest decline over 1 year	-4.64%	-5.38%	+0.74%
Max Drawdown (3Y) Largest decline over 3 years	-13.02%	-10.61%	-2.41%
Max Drawdown (5Y) Largest decline over 5 years	-16.31%	-17.40%	+1.09%
Max Drawdown (10Y) Largest decline over 10 years	-31.69%	-21.87%	-9.82%
Current Drawdown Current decline from peak	-0.59%	-1.54%	+0.95%
Average Drawdown Average peak-to-trough decline	-5.52%	-3.54%	-1.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.13%	1.20%	-0.07%

Volatility

SXMAX vs. VTMFX - Volatility Comparison

SEI Asset Allocation Trust Moderate Strategy Allocation Fund (SXMAX) has a higher volatility of 2.24% compared to Vanguard Tax-Managed Balanced Fund Admiral Shares (VTMFX) at 1.85%. This indicates that SXMAX's price experiences larger fluctuations and is considered to be riskier than VTMFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SXMAX	VTMFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.24%	1.85%	+0.39%
Volatility (6M) Calculated over the trailing 6-month period	4.83%	5.35%	-0.52%
Volatility (1Y) Calculated over the trailing 1-year period	6.29%	6.67%	-0.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.51%	8.59%	+2.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.49%	9.14%	+3.35%

SXMAX vs. VTMFX - Expense Ratio Comparison

SXMAX has a 0.35% expense ratio, which is higher than VTMFX's 0.05% expense ratio.

Dividends

SXMAX vs. VTMFX - Dividend Comparison

SXMAX's dividend yield for the trailing twelve months is around 14.33%, more than VTMFX's 2.22% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SXMAX SEI Asset Allocation Trust Moderate Strategy Allocation Fund	14.33%	15.20%	12.15%	9.88%	10.07%	8.38%	6.68%	10.02%	9.50%	5.21%	8.24%	2.36%
VTMFX Vanguard Tax-Managed Balanced Fund Admiral Shares	2.22%	2.14%	2.08%	1.94%	1.85%	1.38%	1.72%	2.05%	2.22%	2.00%	2.13%	2.06%

Frequently Asked Questions

Can I hold both SXMAX and VTMFX in my portfolio?

SXMAX and VTMFX have a correlation of 0.63, 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 VTMFX?

SXMAX has higher volatility (2.24%) compared to VTMFX (1.85%). In terms of maximum drawdown, SXMAX dropped -50.94% vs VTMFX's -28.49%.

Which has better risk-adjusted returns?

SXMAX currently has the higher Sharpe Ratio (1.83 vs 1.66), 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.