TMMAX vs. SPY

Last updated Jun 23, 2026

TMMAX (SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - TMMAX is a Large Cap Value Equities fund managed by BlackRock, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, TMMAX returned 9.77%/yr vs 15.70%/yr for SPY. Their correlation of 0.87 suggests significant overlap in exposure. TMMAX charges 1.00%/yr vs 0.09%/yr for SPY.

Performance

TMMAX vs. SPY - 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 State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TMMAX achieves a 2.14% return, which is significantly lower than SPY's 9.74% return. Over the past 10 years, TMMAX has underperformed SPY with an annualized return of 9.77%, while SPY has yielded a comparatively higher 15.70% annualized return.

TMMAX

• 1D: -0.78%
• 1M: -3.10%
• YTD: 2.14%
• 6M: 1.46%
• 1Y: 8.49%
• 3Y*: 11.24%
• 5Y*: 9.55%
• 10Y*: 9.77%

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

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

TMMAX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund	2.14%	11.03%	17.07%	7.32%	-3.11%	24.10%	1.32%	24.00%	-2.84%	15.19%
SPY State Street SPDR S&P 500 ETF	9.74%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between TMMAX and SPY is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (10Y) Calculated over the trailing 10-year period	0.80
Correlation (All Time) Calculated using the full available price history since Dec 21, 2007	0.87

Over the past year, the correlation between TMMAX and SPY has dropped to 0.51 - well below their long-term average of 0.87, suggesting their price drivers have been diverging.

Return for Risk

TMMAX vs. SPY — Risk / Return Rank

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

TMMAX

TMMAX Risk / Return Rank: 17
TMMAX Sharpe Ratio Rank: 15
TMMAX Sortino Ratio Rank: 15
TMMAX Omega Ratio Rank: 14
TMMAX Calmar Ratio Rank: 20
TMMAX Martin Ratio Rank: 23

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

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.

TMMAX vs. SPY - 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 State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.04	2.16	-1.12
Sortino ratio: Return per unit of downside risk	1.52	2.91	-1.39
Omega ratio: Gain probability vs. loss probability	1.18	1.39	-0.21
Calmar ratio: Return relative to maximum drawdown	1.50	3.01	-1.52
Martin ratio: Return relative to average drawdown	5.16	13.54	-8.37

TMMAX vs. SPY - Sharpe Ratio Comparison

The current TMMAX Sharpe Ratio is 1.04, which is lower than the SPY Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of TMMAX and SPY, 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. SPY - Drawdown Comparison

The maximum TMMAX drawdown since its inception was -41.50%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TMMAX and SPY.

Drawdown Indicators

	TMMAX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-41.50%	-55.19%	+13.69%
Max Drawdown (1Y) Largest decline over 1 year	-5.78%	-8.88%	+3.10%
Max Drawdown (3Y) Largest decline over 3 years	-23.00%	-18.76%	-4.24%
Max Drawdown (5Y) Largest decline over 5 years	-23.00%	-24.50%	+1.50%
Max Drawdown (10Y) Largest decline over 10 years	-33.41%	-33.72%	+0.31%
Current Drawdown Current decline from peak	-8.90%	-1.75%	-7.15%
Average Drawdown Average peak-to-trough decline	-5.57%	-9.04%	+3.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.67%	1.97%	-0.30%

Volatility

TMMAX vs. SPY - Volatility Comparison

The current volatility for SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) is 2.58%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.64%. This indicates that TMMAX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TMMAX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.58%	4.64%	-2.06%
Volatility (6M) Calculated over the trailing 6-month period	6.10%	9.75%	-3.65%
Volatility (1Y) Calculated over the trailing 1-year period	8.34%	12.43%	-4.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.07%	17.14%	+1.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.81%	17.99%	-0.18%

TMMAX vs. SPY - Expense Ratio Comparison

TMMAX has a 1.00% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

TMMAX vs. SPY - Dividend Comparison

TMMAX's dividend yield for the trailing twelve months is around 24.76%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund	24.76%	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 SPY in my portfolio?

TMMAX and SPY have a correlation of 0.51, 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 SPY?

SPY has higher volatility (4.64%) compared to TMMAX (2.58%). In terms of maximum drawdown, TMMAX dropped -41.50% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.16 vs 1.04), 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.