TMMAX vs. ASFYX
Compare and contrast key facts about SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX).
TMMAX is managed by BlackRock. It was launched on Dec 20, 2007. ASFYX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
TMMAX vs. ASFYX - Performance Comparison
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TMMAX vs. ASFYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | -0.07% | 11.03% | 17.07% | 7.32% | -3.11% | 24.10% | 1.32% | 24.00% | -2.84% | 15.19% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 6.59% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Returns By Period
In the year-to-date period, TMMAX achieves a -0.07% return, which is significantly lower than ASFYX's 6.59% return. Over the past 10 years, TMMAX has outperformed ASFYX with an annualized return of 9.51%, while ASFYX has yielded a comparatively lower 1.87% annualized return.
TMMAX
- 1D
- 0.40%
- 1M
- -5.40%
- YTD
- -0.07%
- 6M
- 0.57%
- 1Y
- 6.09%
- 3Y*
- 11.46%
- 5Y*
- 9.81%
- 10Y*
- 9.51%
ASFYX
- 1D
- 0.00%
- 1M
- -1.55%
- YTD
- 6.59%
- 6M
- 10.95%
- 1Y
- 3.41%
- 3Y*
- -2.89%
- 5Y*
- 2.30%
- 10Y*
- 1.87%
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TMMAX vs. ASFYX - Expense Ratio Comparison
TMMAX has a 1.00% expense ratio, which is lower than ASFYX's 1.47% expense ratio.
Return for Risk
TMMAX vs. ASFYX — Risk / Return Rank
TMMAX
ASFYX
TMMAX vs. ASFYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). 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.
| TMMAX | ASFYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.59 | 0.18 | +0.42 |
Sortino ratioReturn per unit of downside risk | 0.90 | 0.30 | +0.60 |
Omega ratioGain probability vs. loss probability | 1.13 | 1.04 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 0.72 | 0.10 | +0.62 |
Martin ratioReturn relative to average drawdown | 3.46 | 0.16 | +3.30 |
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
| TMMAX | ASFYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.59 | 0.18 | +0.42 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.17 | +0.35 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | 0.15 | +0.39 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | 0.31 | +0.22 |
Correlation
The correlation between TMMAX and ASFYX is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
TMMAX vs. ASFYX - Dividend Comparison
TMMAX's dividend yield for the trailing twelve months is around 25.20%, more than ASFYX's 1.43% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 25.20% | 25.19% | 23.39% | 15.23% | 6.54% | 4.73% | 2.15% | 3.67% | 4.91% | 4.10% | 4.17% | 5.57% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.43% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
Drawdowns
TMMAX vs. ASFYX - Drawdown Comparison
The maximum TMMAX drawdown since its inception was -41.50%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for TMMAX and ASFYX.
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Drawdown Indicators
| TMMAX | ASFYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.50% | -36.43% | -5.07% |
Max Drawdown (1Y)Largest decline over 1 year | -8.75% | -13.51% | +4.76% |
Max Drawdown (5Y)Largest decline over 5 years | -23.00% | -36.43% | +13.43% |
Max Drawdown (10Y)Largest decline over 10 years | -33.41% | -36.43% | +3.02% |
Current DrawdownCurrent decline from peak | -10.87% | -24.37% | +13.50% |
Average DrawdownAverage peak-to-trough decline | -5.55% | -13.09% | +7.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.83% | 8.72% | -6.89% |
Volatility
TMMAX vs. ASFYX - Volatility Comparison
The current volatility for SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) is 2.50%, while AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a volatility of 3.86%. This indicates that TMMAX experiences smaller price fluctuations and is considered to be less risky than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TMMAX | ASFYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.50% | 3.86% | -1.36% |
Volatility (6M)Calculated over the trailing 6-month period | 5.80% | 10.01% | -4.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.86% | 13.02% | -1.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.09% | 13.68% | +5.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.81% | 12.68% | +5.13% |