TMMAX vs. HFLGX

Last updated Aug 1, 2026

TMMAX (SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund) and HFLGX (Hennessy Cornerstone Large Cap Growth Fund) are both mutual funds - TMMAX is a Low Volatility fund managed by BlackRock, while HFLGX is a Large Cap Value Equities fund managed by Hennessy. Over the past 10 years, TMMAX returned 9.93%/yr vs 11.83%/yr for HFLGX. Their correlation of 0.83 means they have usually moved in the same direction. TMMAX charges 1.00%/yr vs 1.29%/yr for HFLGX.

Performance

TMMAX vs. HFLGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) and Hennessy Cornerstone Large Cap Growth Fund (HFLGX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TMMAX achieves a 8.33% return, which is significantly lower than HFLGX's 14.66% return. Over the past 10 years, TMMAX has underperformed HFLGX with an annualized return of 9.93%, while HFLGX has yielded a comparatively higher 11.83% annualized return.

TMMAX

• 1D: -1.22%
• 1M: 2.01%
• 6M: 5.67%
• YTD: 8.33%
• 1Y: 13.78%
• 3Y*: 13.06%
• 5Y*: 9.78%
• 10Y*: 9.93%
• ALL TIME*: 9.46%

HFLGX

• 1D: -0.84%
• 1M: 1.33%
• 6M: 8.71%
• YTD: 14.66%
• 1Y: 19.83%
• 3Y*: 9.68%
• 5Y*: 7.58%
• 10Y*: 11.83%
• ALL TIME*: 13.81%

*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)
HFLGX Hennessy Cornerstone Large Cap Growth Fund	$0.00	$0.00	$0.00
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund	$0.00	$0.00	$0.00

TMMAX vs. HFLGX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund	8.33%	11.03%	17.07%	7.32%	-3.11%	24.10%	1.32%	24.00%	-2.84%	15.19%
HFLGX Hennessy Cornerstone Large Cap Growth Fund	14.66%	7.40%	4.38%	21.74%	-13.23%	34.89%	5.49%	27.53%	-9.58%	17.10%

Correlation

The correlation between TMMAX and HFLGX is 0.80, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.80
Correlation (3Y) Balances recent behavior with more history.	0.76
Correlation (5Y) Shows whether the relationship held over a longer period.	0.77
Correlation (10Y) Provides a long-term view across more market conditions.	0.79
Correlation (All Time) Calculated using the full available price history since Mar 20, 2009	0.83

The correlation between TMMAX and HFLGX has been stable across timeframes, ranging from 0.76 to 0.83 - a consistent structural relationship.

Return for Risk

TMMAX vs. HFLGX — Risk / Return Rank

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

TMMAX

TMMAX Risk / Return Rank: 60
TMMAX Sharpe Ratio Rank: 57
TMMAX Sortino Ratio Rank: 63
TMMAX Omega Ratio Rank: 55
TMMAX Calmar Ratio Rank: 68
TMMAX Martin Ratio Rank: 58

HFLGX

HFLGX Risk / Return Rank: 61
HFLGX Sharpe Ratio Rank: 61
HFLGX Sortino Ratio Rank: 65
HFLGX Omega Ratio Rank: 54
HFLGX Calmar Ratio Rank: 76
HFLGX Martin Ratio Rank: 47

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.

TMMAX vs. HFLGX - 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 Hennessy Cornerstone Large Cap Growth Fund (HFLGX). 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.

	TMMAX	HFLGX	Difference
Sharpe ratio: Return per unit of total volatility	1.44	1.51	-0.08
Sortino ratio: Return per unit of downside risk	2.18	2.28	-0.10
Omega ratio: Gain probability vs. loss probability	1.26	1.26	0.00
Calmar ratio: Return relative to maximum drawdown	2.22	2.52	-0.29
Martin ratio: Return relative to average drawdown	7.56	6.75	+0.81

TMMAX vs. HFLGX - Sharpe Ratio Comparison

The current TMMAX Sharpe Ratio is 1.44, which is comparable to the HFLGX Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of TMMAX and HFLGX, 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

TMMAX vs. HFLGX - Drawdown Comparison

The maximum TMMAX drawdown since its inception was -41.50%, which is greater than HFLGX's maximum drawdown of -38.90%. Use the drawdown chart below to compare losses from any high point for TMMAX and HFLGX.

Drawdown Indicators

	TMMAX	HFLGX	Difference
Max Drawdown Largest peak-to-trough decline	-41.50%	-38.90%	-2.60%
Max Drawdown (1Y) Largest decline over 1 year	-5.78%	-7.18%	+1.40%
Max Drawdown (3Y) Largest decline over 3 years	-23.00%	-19.50%	-3.50%
Max Drawdown (5Y) Largest decline over 5 years	-23.00%	-25.67%	+2.67%
Max Drawdown (10Y) Largest decline over 10 years	-33.41%	-38.90%	+5.49%
Current Drawdown Current decline from peak	-3.38%	-1.44%	-1.94%
Average Drawdown Average peak-to-trough decline	-5.57%	-4.86%	-0.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.69%	2.67%	-0.98%

Volatility

TMMAX vs. HFLGX - Volatility Comparison

SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) has a higher volatility of 3.98% compared to Hennessy Cornerstone Large Cap Growth Fund (HFLGX) at 3.24%. This indicates that TMMAX's price experiences larger fluctuations and is considered to be riskier than HFLGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TMMAX	HFLGX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.98%	3.24%	+0.74%
Volatility (6M) Calculated over the trailing 6-month period	7.18%	8.49%	-1.31%
Volatility (1Y) Calculated over the trailing 1-year period	8.95%	11.97%	-3.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.13%	17.22%	+1.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.83%	18.76%	-0.93%

TMMAX vs. HFLGX - Expense Ratio Comparison

TMMAX has a 1.00% expense ratio, which is lower than HFLGX's 1.29% expense ratio.

Dividends

TMMAX vs. HFLGX - Dividend Comparison

TMMAX's dividend yield for the trailing twelve months is around 23.27%, more than HFLGX's 5.29% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HFLGX Hennessy Cornerstone Large Cap Growth Fund	5.29%	6.07%	4.44%	3.74%	19.36%	14.30%	5.26%	2.43%	26.78%	4.11%	7.15%	30.08%
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund	23.27%	25.19%	23.39%	15.23%	6.54%	4.73%	2.15%	3.67%	4.91%	4.10%	4.17%	5.57%

Frequently Asked Questions

Can I hold both TMMAX and HFLGX in my portfolio?

TMMAX and HFLGX have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TMMAX or HFLGX?

TMMAX has higher volatility (3.98%) compared to HFLGX (3.24%). In terms of maximum drawdown, TMMAX dropped -41.50% vs HFLGX's -38.90%.

Which has better risk-adjusted returns?

HFLGX currently has the higher Sharpe Ratio (1.51 vs 1.44), 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.