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SEI Institutional Investments Trust Global Managed Volatility Fund Class A SGMAX

Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.

Fund and replication metrics

SGMAX compared with its replication portfolio
MeasureSGMAXReplication
Annualized growth11.3%8.3%
Annualized volatility10.2%10.3%
Sharpe ratio1.100.82
Maximum drawdown15.1%16.1%
Replication fit (R²)0.92 · Tracking error 2.9%

Replication portfolio

The published portfolio below is the investable basket used to model SGMAX’s historical return behavior.

SGMAX replication basket weights
TickerBuilding blockWeight
USMVFactor · Min Vol33.5%
EFVIntl · Value20.2%
SPHYFI · High Yield19.7%
XLPSector · Cons Staples19.3%
VTVStyle · Value7.3%