WAGOX vs. SGMAX

Last updated Jul 18, 2026

WAGOX (Wasatch Global Opportunities Fund) and SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) are both Global Equities funds. Over the past 5 years, WAGOX returned -0.62%/yr vs 10.77%/yr for SGMAX. A 0.66 correlation means they provide meaningful diversification when combined. WAGOX charges 1.50%/yr vs 0.25%/yr for SGMAX.

Performance

WAGOX vs. SGMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Wasatch Global Opportunities Fund (WAGOX) and SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, WAGOX achieves a 7.20% return, which is significantly lower than SGMAX's 10.46% return.

WAGOX

• 1D: 0.50%
• 1M: 2.81%
• 6M: 3.08%
• YTD: 7.20%
• 1Y: -1.60%
• 3Y*: 5.48%
• 5Y*: -0.62%
• 10Y*: 9.70%

SGMAX

• 1D: 0.48%
• 1M: 2.44%
• 6M: 8.74%
• YTD: 10.46%
• 1Y: 18.19%
• 3Y*: 16.00%
• 5Y*: 10.77%
• 10Y*: —

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

WAGOX vs. SGMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
WAGOX Wasatch Global Opportunities Fund	7.20%	-4.58%	6.60%	25.57%	-35.02%	21.43%	42.27%	33.11%	-7.41%	37.73%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	10.46%	17.93%	15.18%	8.86%	-3.41%	18.94%	-2.71%	20.58%	-4.41%	17.10%

Correlation

The correlation between WAGOX and SGMAX is 0.61, 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	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.66

The correlation between WAGOX and SGMAX has been stable across timeframes, ranging from 0.61 to 0.66 - a consistent structural relationship.

Return for Risk

WAGOX vs. SGMAX — Risk / Return Rank

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

WAGOX

WAGOX Risk / Return Rank: 3
WAGOX Sharpe Ratio Rank: 3
WAGOX Sortino Ratio Rank: 3
WAGOX Omega Ratio Rank: 3
WAGOX Calmar Ratio Rank: 3
WAGOX Martin Ratio Rank: 3

SGMAX

SGMAX Risk / Return Rank: 85
SGMAX Sharpe Ratio Rank: 89
SGMAX Sortino Ratio Rank: 88
SGMAX Omega Ratio Rank: 84
SGMAX Calmar Ratio Rank: 82
SGMAX Martin Ratio Rank: 84

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.

WAGOX vs. SGMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Wasatch Global Opportunities Fund (WAGOX) and SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX). 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.

	WAGOX	SGMAX	Difference
Sharpe ratio: Return per unit of total volatility	-0.02	2.48	-2.49
Sortino ratio: Return per unit of downside risk	0.09	3.65	-3.56
Omega ratio: Gain probability vs. loss probability	1.01	1.45	-0.44
Calmar ratio: Return relative to maximum drawdown	-0.02	3.16	-3.17
Martin ratio: Return relative to average drawdown	-0.04	12.26	-12.29

WAGOX vs. SGMAX - Sharpe Ratio Comparison

The current WAGOX Sharpe Ratio is -0.02, which is lower than the SGMAX Sharpe Ratio of 2.48. The chart below compares the historical Sharpe Ratios of WAGOX and SGMAX, 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

WAGOX vs. SGMAX - Drawdown Comparison

The maximum WAGOX drawdown since its inception was -44.05%, which is greater than SGMAX's maximum drawdown of -31.27%. Use the drawdown chart below to compare losses from any high point for WAGOX and SGMAX.

Drawdown Indicators

	WAGOX	SGMAX	Difference
Max Drawdown Largest peak-to-trough decline	-44.05%	-31.27%	-12.78%
Max Drawdown (1Y) Largest decline over 1 year	-16.72%	-5.88%	-10.84%
Max Drawdown (3Y) Largest decline over 3 years	-22.43%	-11.57%	-10.86%
Max Drawdown (5Y) Largest decline over 5 years	-44.05%	-22.11%	-21.94%
Max Drawdown (10Y) Largest decline over 10 years	-44.05%	—	—
Current Drawdown Current decline from peak	-17.22%	0.00%	-17.22%
Average Drawdown Average peak-to-trough decline	-10.17%	-4.76%	-5.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.89%	1.51%	+5.38%

Volatility

WAGOX vs. SGMAX - Volatility Comparison

Wasatch Global Opportunities Fund (WAGOX) has a higher volatility of 4.44% compared to SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) at 1.82%. This indicates that WAGOX's price experiences larger fluctuations and is considered to be riskier than SGMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	WAGOX	SGMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.44%	1.82%	+2.62%
Volatility (6M) Calculated over the trailing 6-month period	12.01%	5.75%	+6.26%
Volatility (1Y) Calculated over the trailing 1-year period	15.67%	7.50%	+8.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.71%	13.76%	+6.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.50%	14.14%	+6.36%

WAGOX vs. SGMAX - Expense Ratio Comparison

WAGOX has a 1.50% expense ratio, which is higher than SGMAX's 0.25% expense ratio.

Dividends

WAGOX vs. SGMAX - Dividend Comparison

WAGOX's dividend yield for the trailing twelve months is around 8.71%, less than SGMAX's 13.17% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	13.17%	14.55%	12.63%	6.40%	11.12%	15.38%	2.06%	4.81%	7.86%	4.45%	0.00%	0.00%
WAGOX Wasatch Global Opportunities Fund	8.71%	9.34%	8.83%	0.00%	2.30%	7.98%	1.96%	8.64%	18.77%	11.04%	9.13%	13.52%

Frequently Asked Questions

Can I hold both WAGOX and SGMAX in my portfolio?

WAGOX and SGMAX have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, WAGOX or SGMAX?

WAGOX has higher volatility (4.44%) compared to SGMAX (1.82%). In terms of maximum drawdown, WAGOX dropped -44.05% vs SGMAX's -31.27%.

Which has better risk-adjusted returns?

SGMAX currently has the higher Sharpe Ratio (2.48 vs -0.02), 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.