VALAX vs. TMMAX
VALAX (Al Frank Fund) and TMMAX (SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund) are both Large Cap Value Equities funds. Over the past 10 years, VALAX returned 15.04%/yr vs 9.84%/yr for TMMAX. Their correlation of 0.84 suggests significant overlap in exposure. VALAX charges 1.24%/yr vs 1.00%/yr for TMMAX.
Performance
VALAX vs. TMMAX - Performance Comparison
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Returns By Period
In the year-to-date period, VALAX achieves a 25.18% return, which is significantly higher than TMMAX's 1.88% return. Over the past 10 years, VALAX has outperformed TMMAX with an annualized return of 15.04%, while TMMAX has yielded a comparatively lower 9.84% annualized return.
VALAX
- 1D
- 0.85%
- 1M
- 4.45%
- YTD
- 25.18%
- 6M
- 23.99%
- 1Y
- 50.76%
- 3Y*
- 25.05%
- 5Y*
- 12.78%
- 10Y*
- 15.04%
TMMAX
- 1D
- -0.26%
- 1M
- -3.35%
- YTD
- 1.88%
- 6M
- 1.20%
- 1Y
- 7.24%
- 3Y*
- 11.54%
- 5Y*
- 9.25%
- 10Y*
- 9.84%
VALAX vs. TMMAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VALAX Al Frank Fund | 25.18% | 23.57% | 13.35% | 14.05% | -13.50% | 24.97% | 10.22% | 33.98% | -7.87% | 18.09% |
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 1.88% | 11.03% | 17.07% | 7.32% | -3.11% | 24.10% | 1.32% | 24.00% | -2.84% | 15.19% |
Correlation
The correlation between VALAX and TMMAX is 0.55, 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 | 0.55 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.73 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Dec 21, 2007 | 0.84 |
Over the past year, the correlation between VALAX and TMMAX has dropped to 0.55 - well below their long-term average of 0.84, suggesting their price drivers have been diverging.
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Return for Risk
VALAX vs. TMMAX — Risk / Return Rank
VALAX
TMMAX
VALAX vs. TMMAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Al Frank Fund (VALAX) and SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX). 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.
| VALAX | TMMAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.65 | ||
| Sortino ratioReturn per unit of downside risk | +3.32 | ||
| Omega ratioGain probability vs. loss probability | 1.64 | 1.17 | +0.47 |
| Calmar ratioReturn relative to maximum drawdown | 6.08 | 1.43 | +4.66 |
| Martin ratioReturn relative to average drawdown | 23.87 | 4.88 | +18.99 |
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Drawdowns
VALAX vs. TMMAX - Drawdown Comparison
The maximum VALAX drawdown since its inception was -61.26%, which is greater than TMMAX's maximum drawdown of -41.50%. Use the drawdown chart below to compare losses from any high point for VALAX and TMMAX.
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Drawdown Indicators
| VALAX | TMMAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.26% | -41.50% | -19.76% |
Max Drawdown (1Y)Largest decline over 1 year | -8.56% | -5.78% | -2.78% |
Max Drawdown (3Y)Largest decline over 3 years | -25.81% | -23.00% | -2.81% |
Max Drawdown (5Y)Largest decline over 5 years | -25.81% | -23.00% | -2.81% |
Max Drawdown (10Y)Largest decline over 10 years | -38.22% | -33.41% | -4.81% |
Current DrawdownCurrent decline from peak | 0.00% | -9.14% | +9.14% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -5.57% | -5.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.18% | 1.69% | +0.49% |
Volatility
VALAX vs. TMMAX - Volatility Comparison
Al Frank Fund (VALAX) has a higher volatility of 5.42% compared to SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund (TMMAX) at 2.57%. This indicates that VALAX's price experiences larger fluctuations and is considered to be riskier than TMMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VALAX | TMMAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.42% | 2.57% | +2.85% |
Volatility (6M)Calculated over the trailing 6-month period | 11.48% | 6.11% | +5.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.37% | 8.36% | +6.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.86% | 19.07% | -1.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.39% | 17.82% | +1.57% |
VALAX vs. TMMAX - Expense Ratio Comparison
VALAX has a 1.24% expense ratio, which is higher than TMMAX's 1.00% expense ratio.
Dividends
VALAX vs. TMMAX - Dividend Comparison
VALAX's dividend yield for the trailing twelve months is around 6.91%, less than TMMAX's 24.83% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TMMAX SEI Institutional Managed Trust Tax-Managed Managed Volatility Fund | 24.83% | 25.19% | 23.39% | 15.23% | 6.54% | 4.73% | 2.15% | 3.67% | 4.91% | 4.10% | 4.17% | 5.57% |
VALAX Al Frank Fund | 6.91% | 8.65% | 10.32% | 5.95% | 8.62% | 6.83% | 7.17% | 13.51% | 10.73% | 10.66% | 5.32% | 9.53% |
Frequently Asked Questions
VALAX and TMMAX have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VALAX has higher volatility (5.42%) compared to TMMAX (2.57%). In terms of maximum drawdown, VALAX dropped -61.26% vs TMMAX's -41.50%.
VALAX currently has the higher Sharpe Ratio (3.63 vs 0.99), 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.
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