MFGSX vs. SEGMX

Last updated Jun 4, 2026

MFGSX (MFS Government Securities Fund) and SEGMX (SEI Daily Income Trust GNMA Fund) are both Government Bonds funds. Over the past 10 years, MFGSX returned 0.56%/yr vs 0.87%/yr for SEGMX. Their correlation of 0.82 suggests significant overlap in exposure. MFGSX charges 0.76%/yr vs 0.63%/yr for SEGMX.

Performance

MFGSX vs. SEGMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MFS Government Securities Fund (MFGSX) and SEI Daily Income Trust GNMA Fund (SEGMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MFGSX achieves a -0.15% return, which is significantly lower than SEGMX's 0.88% return. Over the past 10 years, MFGSX has underperformed SEGMX with an annualized return of 0.56%, while SEGMX has yielded a comparatively higher 0.87% annualized return.

MFGSX

• 1D: 0.00%
• 1M: 0.30%
• YTD: -0.15%
• 6M: -0.33%
• 1Y: 4.32%
• 3Y*: 2.53%
• 5Y*: -0.79%
• 10Y*: 0.56%

SEGMX

• 1D: 0.11%
• 1M: 0.42%
• YTD: 0.88%
• 6M: 0.73%
• 1Y: 6.39%
• 3Y*: 3.67%
• 5Y*: -0.15%
• 10Y*: 0.87%

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

MFGSX vs. SEGMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MFGSX MFS Government Securities Fund	-0.15%	6.62%	-0.16%	3.28%	-12.54%	-2.18%	6.25%	6.20%	0.27%	1.93%
SEGMX SEI Daily Income Trust GNMA Fund	0.88%	7.15%	0.60%	4.44%	-11.53%	-2.06%	3.77%	5.50%	0.59%	1.66%

Correlation

The correlation between MFGSX and SEGMX is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.88
Correlation (All Time) Calculated using the full available price history since Jan 15, 1990	0.82

The correlation between MFGSX and SEGMX shifts across timeframes, from 0.82 (all time) to 0.95 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

MFGSX vs. SEGMX — Risk / Return Rank

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

MFGSX

MFGSX Risk / Return Rank: 14
MFGSX Sharpe Ratio Rank: 15
MFGSX Sortino Ratio Rank: 15
MFGSX Omega Ratio Rank: 14
MFGSX Calmar Ratio Rank: 14
MFGSX Martin Ratio Rank: 14

SEGMX

SEGMX Risk / Return Rank: 32
SEGMX Sharpe Ratio Rank: 31
SEGMX Sortino Ratio Rank: 34
SEGMX Omega Ratio Rank: 32
SEGMX Calmar Ratio Rank: 33
SEGMX Martin Ratio Rank: 30

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.

MFGSX vs. SEGMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for MFS Government Securities Fund (MFGSX) and SEI Daily Income Trust GNMA Fund (SEGMX). 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.

	MFGSX	SEGMX	Difference
Sharpe ratio Return per unit of total volatility	1.06	1.60	-0.54
Sortino ratio Return per unit of downside risk	1.57	2.45	-0.88
Omega ratio Gain probability vs. loss probability	1.19	1.30	-0.11
Calmar ratio Return relative to maximum drawdown	1.28	2.15	-0.88
Martin ratio Return relative to average drawdown	3.88	7.04	-3.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MFGSX vs. SEGMX - Sharpe Ratio Comparison

The current MFGSX Sharpe Ratio is 1.06, which is lower than the SEGMX Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of MFGSX and SEGMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	MFGSX	SEGMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.06	1.60	-0.54
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.13	-0.02	-0.11
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.12	0.19	-0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.81	1.11	-0.29

Drawdowns

MFGSX vs. SEGMX - Drawdown Comparison

The maximum MFGSX drawdown since its inception was -19.50%, which is greater than SEGMX's maximum drawdown of -17.59%. Use the drawdown chart below to compare losses from any high point for MFGSX and SEGMX.

Drawdown Indicators

	MFGSX	SEGMX	Difference
Max Drawdown Largest peak-to-trough decline	-19.50%	-17.59%	-1.91%
Max Drawdown (1Y) Largest decline over 1 year	-3.39%	-2.98%	-0.41%
Max Drawdown (3Y) Largest decline over 3 years	-6.92%	-7.14%	+0.22%
Max Drawdown (5Y) Largest decline over 5 years	-18.14%	-16.86%	-1.28%
Max Drawdown (10Y) Largest decline over 10 years	-19.50%	-17.59%	-1.91%
Current Drawdown Current decline from peak	-6.92%	-1.79%	-5.13%
Average Drawdown Average peak-to-trough decline	-3.31%	-1.83%	-1.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.11%	0.91%	+0.20%

Volatility

MFGSX vs. SEGMX - Volatility Comparison

MFS Government Securities Fund (MFGSX) and SEI Daily Income Trust GNMA Fund (SEGMX) have volatilities of 1.45% and 1.52%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MFGSX	SEGMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.45%	1.52%	-0.07%
Volatility (6M) Calculated over the trailing 6-month period	2.93%	2.93%	0.00%
Volatility (1Y) Calculated over the trailing 1-year period	4.10%	4.04%	+0.06%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.92%	6.09%	-0.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.78%	4.63%	+0.15%

MFGSX vs. SEGMX - Expense Ratio Comparison

MFGSX has a 0.76% expense ratio, which is higher than SEGMX's 0.63% expense ratio.

Dividends

MFGSX vs. SEGMX - Dividend Comparison

MFGSX's dividend yield for the trailing twelve months is around 3.56%, less than SEGMX's 3.65% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MFGSX MFS Government Securities Fund	3.56%	3.47%	3.13%	2.51%	1.19%	1.03%	1.83%	2.11%	2.32%	2.43%	2.31%	2.16%
SEGMX SEI Daily Income Trust GNMA Fund	3.65%	3.31%	2.62%	2.29%	1.84%	1.71%	2.18%	2.71%	2.91%	2.81%	3.36%	2.75%

Frequently Asked Questions

Can I hold both MFGSX and SEGMX in my portfolio?

With a correlation of 0.94, MFGSX and SEGMX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, MFGSX or SEGMX?

SEGMX has higher volatility (1.52%) compared to MFGSX (1.45%). In terms of maximum drawdown, MFGSX dropped -19.50% vs SEGMX's -17.59%.

Which has better risk-adjusted returns?

SEGMX currently has the higher Sharpe Ratio (1.60 vs 1.06), 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.