SEGMX vs. PYGNX

Last updated Jun 25, 2026

SEGMX (SEI Daily Income Trust GNMA Fund) and PYGNX (Payden GNMA Fund) are both Government Bonds funds. Over the past 10 years, SEGMX returned 0.83%/yr vs 0.76%/yr for PYGNX. Their correlation of 0.89 suggests significant overlap in exposure. SEGMX charges 0.63%/yr vs 0.45%/yr for PYGNX.

Performance

SEGMX vs. PYGNX - Performance Comparison

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

Returns By Period

In the year-to-date period, SEGMX achieves a 0.66% return, which is significantly lower than PYGNX's 0.73% return. Over the past 10 years, SEGMX has outperformed PYGNX with an annualized return of 0.83%, while PYGNX has yielded a comparatively lower 0.76% annualized return.

SEGMX

• 1D: 0.11%
• 1M: 0.64%
• YTD: 0.66%
• 6M: 0.83%
• 1Y: 4.74%
• 3Y*: 3.55%
• 5Y*: -0.11%
• 10Y*: 0.83%

PYGNX

• 1D: 0.13%
• 1M: 0.73%
• YTD: 0.73%
• 6M: 0.79%
• 1Y: 5.08%
• 3Y*: 3.68%
• 5Y*: -0.25%
• 10Y*: 0.76%

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

SEGMX vs. PYGNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SEGMX SEI Daily Income Trust GNMA Fund	0.66%	7.15%	0.60%	4.44%	-11.53%	-2.06%	3.77%	5.50%	0.59%	1.66%
PYGNX Payden GNMA Fund	0.73%	7.54%	0.84%	3.93%	-12.54%	-2.26%	4.27%	5.67%	0.37%	1.33%

Correlation

The correlation between SEGMX and PYGNX is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Aug 27, 1999	0.89

The correlation between SEGMX and PYGNX has been stable across timeframes, ranging from 0.89 to 0.96 - a consistent structural relationship.

Return for Risk

SEGMX vs. PYGNX — Risk / Return Rank

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

SEGMX

SEGMX Risk / Return Rank: 28
SEGMX Sharpe Ratio Rank: 28
SEGMX Sortino Ratio Rank: 30
SEGMX Omega Ratio Rank: 28
SEGMX Calmar Ratio Rank: 28
SEGMX Martin Ratio Rank: 26

PYGNX

PYGNX Risk / Return Rank: 27
PYGNX Sharpe Ratio Rank: 28
PYGNX Sortino Ratio Rank: 29
PYGNX Omega Ratio Rank: 28
PYGNX Calmar Ratio Rank: 26
PYGNX Martin Ratio Rank: 25

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.

SEGMX vs. PYGNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Daily Income Trust GNMA Fund (SEGMX) and Payden GNMA Fund (PYGNX). 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.

	SEGMX	PYGNX	Difference
Sharpe ratio: Return per unit of total volatility	1.27	1.29	-0.01
Sortino ratio: Return per unit of downside risk	1.93	1.89	+0.04
Omega ratio: Gain probability vs. loss probability	1.24	1.23	0.00
Calmar ratio: Return relative to maximum drawdown	1.71	1.62	+0.09
Martin ratio: Return relative to average drawdown	5.20	4.98	+0.22

SEGMX vs. PYGNX - Sharpe Ratio Comparison

The current SEGMX Sharpe Ratio is 1.27, which is comparable to the PYGNX Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of SEGMX and PYGNX, 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

SEGMX vs. PYGNX - Drawdown Comparison

The maximum SEGMX drawdown since its inception was -17.59%, smaller than the maximum PYGNX drawdown of -19.64%. Use the drawdown chart below to compare losses from any high point for SEGMX and PYGNX.

Drawdown Indicators

	SEGMX	PYGNX	Difference
Max Drawdown Largest peak-to-trough decline	-17.59%	-19.64%	+2.05%
Max Drawdown (1Y) Largest decline over 1 year	-2.98%	-3.40%	+0.42%
Max Drawdown (3Y) Largest decline over 3 years	-7.14%	-8.09%	+0.95%
Max Drawdown (5Y) Largest decline over 5 years	-16.78%	-18.72%	+1.94%
Max Drawdown (10Y) Largest decline over 10 years	-17.59%	-19.64%	+2.05%
Current Drawdown Current decline from peak	-2.01%	-3.05%	+1.04%
Average Drawdown Average peak-to-trough decline	-1.83%	-2.31%	+0.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	1.11%	-0.13%

Volatility

SEGMX vs. PYGNX - Volatility Comparison

SEI Daily Income Trust GNMA Fund (SEGMX) has a higher volatility of 1.28% compared to Payden GNMA Fund (PYGNX) at 1.20%. This indicates that SEGMX's price experiences larger fluctuations and is considered to be riskier than PYGNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SEGMX	PYGNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.28%	1.20%	+0.08%
Volatility (6M) Calculated over the trailing 6-month period	3.06%	3.29%	-0.23%
Volatility (1Y) Calculated over the trailing 1-year period	4.02%	4.29%	-0.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.11%	6.43%	-0.32%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.65%	4.89%	-0.24%

SEGMX vs. PYGNX - Expense Ratio Comparison

SEGMX has a 0.63% expense ratio, which is higher than PYGNX's 0.45% expense ratio.

Dividends

SEGMX vs. PYGNX - Dividend Comparison

SEGMX's dividend yield for the trailing twelve months is around 3.66%, less than PYGNX's 3.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PYGNX Payden GNMA Fund	3.92%	3.80%	3.63%	2.64%	3.70%	2.74%	2.80%	3.34%	3.26%	3.24%	3.07%	3.59%
SEGMX SEI Daily Income Trust GNMA Fund	3.66%	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 SEGMX and PYGNX in my portfolio?

With a correlation of 0.95, SEGMX and PYGNX 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, SEGMX or PYGNX?

SEGMX has higher volatility (1.28%) compared to PYGNX (1.20%). In terms of maximum drawdown, SEGMX dropped -17.59% vs PYGNX's -19.64%.

Which has better risk-adjusted returns?

PYGNX currently has the higher Sharpe Ratio (1.29 vs 1.27), 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.