TMMAX vs. FLCOX
Compare and contrast key facts about SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) and Fidelity Large Cap Value Index Fund (FLCOX).
TMMAX is managed by BlackRock. It was launched on Dec 20, 2007. FLCOX is a passively managed fund by Fidelity that tracks the performance of the Russell 1000 Value Index. It was launched on Jun 7, 2016.
Performance
TMMAX vs. FLCOX - Performance Comparison
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TMMAX vs. FLCOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 0.99% | 11.03% | 17.07% | 7.32% | -3.11% | 24.10% | 1.32% | 24.00% | -2.84% | 14.80% |
FLCOX Fidelity Large Cap Value Index Fund | 2.08% | 15.90% | 14.38% | 11.48% | -7.57% | 25.09% | 2.87% | 26.54% | -8.38% | 10.90% |
Returns By Period
In the year-to-date period, TMMAX achieves a 0.99% return, which is significantly lower than FLCOX's 2.08% return.
TMMAX
- 1D
- 1.06%
- 1M
- -4.39%
- YTD
- 0.99%
- 6M
- 1.58%
- 1Y
- 7.04%
- 3Y*
- 11.85%
- 5Y*
- 9.91%
- 10Y*
- 9.63%
FLCOX
- 1D
- 2.13%
- 1M
- -4.69%
- YTD
- 2.08%
- 6M
- 5.86%
- 1Y
- 15.94%
- 3Y*
- 14.30%
- 5Y*
- 9.21%
- 10Y*
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TMMAX vs. FLCOX - Expense Ratio Comparison
TMMAX has a 1.00% expense ratio, which is higher than FLCOX's 0.04% expense ratio.
Return for Risk
TMMAX vs. FLCOX — Risk / Return Rank
TMMAX
FLCOX
TMMAX vs. FLCOX - 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 Fidelity Large Cap Value Index Fund (FLCOX). 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 | FLCOX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.61 | 1.02 | -0.40 |
Sortino ratioReturn per unit of downside risk | 0.92 | 1.48 | -0.55 |
Omega ratioGain probability vs. loss probability | 1.13 | 1.22 | -0.09 |
Calmar ratioReturn relative to maximum drawdown | 0.93 | 1.44 | -0.51 |
Martin ratioReturn relative to average drawdown | 4.40 | 6.76 | -2.37 |
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 | FLCOX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.61 | 1.02 | -0.40 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.62 | -0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | 0.54 | 0.00 |
Correlation
The correlation between TMMAX and FLCOX is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
TMMAX vs. FLCOX - Dividend Comparison
TMMAX's dividend yield for the trailing twelve months is around 24.94%, more than FLCOX's 1.48% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 24.94% | 25.19% | 23.39% | 15.23% | 6.54% | 4.73% | 2.15% | 3.67% | 4.91% | 4.10% | 4.17% | 5.57% |
FLCOX Fidelity Large Cap Value Index Fund | 1.48% | 1.51% | 1.92% | 1.99% | 2.01% | 1.55% | 2.28% | 3.82% | 2.79% | 0.60% | 0.00% | 0.00% |
Drawdowns
TMMAX vs. FLCOX - Drawdown Comparison
The maximum TMMAX drawdown since its inception was -41.50%, which is greater than FLCOX's maximum drawdown of -38.28%. Use the drawdown chart below to compare losses from any high point for TMMAX and FLCOX.
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Drawdown Indicators
| TMMAX | FLCOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.50% | -38.28% | -3.22% |
Max Drawdown (1Y)Largest decline over 1 year | -8.75% | -11.81% | +3.06% |
Max Drawdown (5Y)Largest decline over 5 years | -23.00% | -19.00% | -4.00% |
Max Drawdown (10Y)Largest decline over 10 years | -33.41% | — | — |
Current DrawdownCurrent decline from peak | -9.93% | -4.82% | -5.11% |
Average DrawdownAverage peak-to-trough decline | -5.55% | -4.52% | -1.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 2.51% | -0.66% |
Volatility
TMMAX vs. FLCOX - Volatility Comparison
The current volatility for SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) is 2.82%, while Fidelity Large Cap Value Index Fund (FLCOX) has a volatility of 4.38%. This indicates that TMMAX experiences smaller price fluctuations and is considered to be less risky than FLCOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TMMAX | FLCOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.82% | 4.38% | -1.56% |
Volatility (6M)Calculated over the trailing 6-month period | 5.89% | 8.29% | -2.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.88% | 15.73% | -3.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.09% | 14.83% | +4.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.81% | 17.73% | +0.08% |