SEGMX vs. SBDAX

Last updated Jun 25, 2026

SEGMX (SEI Daily Income Trust GNMA Fund) and SBDAX (SEI Tax Exempt Trust California Municipal Bond Fund) are both mutual funds - SEGMX is a Government Bonds fund managed by SEI, while SBDAX is a Municipal Bonds fund managed by SEI. Over the past 10 years, SEGMX returned 0.83%/yr vs 1.14%/yr for SBDAX. A 0.52 correlation means they provide meaningful diversification when combined. SEGMX charges 0.63%/yr vs 0.60%/yr for SBDAX.

Performance

SEGMX vs. SBDAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Daily Income Trust GNMA Fund (SEGMX) and SEI Tax Exempt Trust California Municipal Bond Fund (SBDAX). 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 higher than SBDAX's 0.18% return. Over the past 10 years, SEGMX has underperformed SBDAX with an annualized return of 0.83%, while SBDAX has yielded a comparatively higher 1.14% 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%

SBDAX

• 1D: 0.00%
• 1M: 1.18%
• YTD: 0.18%
• 6M: 0.46%
• 1Y: 5.05%
• 3Y*: 2.90%
• 5Y*: 0.39%
• 10Y*: 1.14%

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

SEGMX vs. SBDAX - 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%
SBDAX SEI Tax Exempt Trust California Municipal Bond Fund	0.18%	5.70%	0.02%	4.02%	-7.30%	-0.55%	3.76%	5.90%	0.87%	3.74%

Correlation

The correlation between SEGMX and SBDAX is 0.56, 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	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.60
Correlation (5Y) Calculated over the trailing 5-year period	0.53
Correlation (10Y) Calculated over the trailing 10-year period	0.49
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999	0.52

The correlation between SEGMX and SBDAX shifts across timeframes, from 0.49 (10 years) to 0.60 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

SEGMX vs. SBDAX — 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

SBDAX

SBDAX Risk / Return Rank: 54
SBDAX Sharpe Ratio Rank: 72
SBDAX Sortino Ratio Rank: 71
SBDAX Omega Ratio Rank: 87
SBDAX Calmar Ratio Rank: 21
SBDAX Martin Ratio Rank: 17

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. SBDAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Daily Income Trust GNMA Fund (SEGMX) and SEI Tax Exempt Trust California Municipal Bond Fund (SBDAX). 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	SBDAX	Difference
Sharpe ratio: Return per unit of total volatility	1.27	2.21	-0.94
Sortino ratio: Return per unit of downside risk	1.93	3.09	-1.16
Omega ratio: Gain probability vs. loss probability	1.24	1.54	-0.30
Calmar ratio: Return relative to maximum drawdown	1.71	1.49	+0.22
Martin ratio: Return relative to average drawdown	5.20	3.99	+1.21

SEGMX vs. SBDAX - Sharpe Ratio Comparison

The current SEGMX Sharpe Ratio is 1.27, which is lower than the SBDAX Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SEGMX and SBDAX, 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. SBDAX - Drawdown Comparison

The maximum SEGMX drawdown since its inception was -17.59%, which is greater than SBDAX's maximum drawdown of -11.86%. Use the drawdown chart below to compare losses from any high point for SEGMX and SBDAX.

Drawdown Indicators

	SEGMX	SBDAX	Difference
Max Drawdown Largest peak-to-trough decline	-17.59%	-11.86%	-5.73%
Max Drawdown (1Y) Largest decline over 1 year	-2.98%	-3.40%	+0.42%
Max Drawdown (3Y) Largest decline over 3 years	-7.14%	-4.47%	-2.67%
Max Drawdown (5Y) Largest decline over 5 years	-16.78%	-11.86%	-4.92%
Max Drawdown (10Y) Largest decline over 10 years	-17.59%	-11.86%	-5.73%
Current Drawdown Current decline from peak	-2.01%	-1.88%	-0.13%
Average Drawdown Average peak-to-trough decline	-1.83%	-1.87%	+0.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	1.27%	-0.29%

Volatility

SEGMX vs. SBDAX - Volatility Comparison

SEI Daily Income Trust GNMA Fund (SEGMX) has a higher volatility of 1.28% compared to SEI Tax Exempt Trust California Municipal Bond Fund (SBDAX) at 0.59%. This indicates that SEGMX's price experiences larger fluctuations and is considered to be riskier than SBDAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SEGMX	SBDAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.28%	0.59%	+0.69%
Volatility (6M) Calculated over the trailing 6-month period	3.06%	1.88%	+1.18%
Volatility (1Y) Calculated over the trailing 1-year period	4.02%	2.29%	+1.73%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.11%	3.19%	+2.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.65%	3.56%	+1.09%

SEGMX vs. SBDAX - Expense Ratio Comparison

SEGMX has a 0.63% expense ratio, which is higher than SBDAX's 0.60% expense ratio.

Dividends

SEGMX vs. SBDAX - Dividend Comparison

SEGMX's dividend yield for the trailing twelve months is around 3.66%, more than SBDAX's 2.17% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SBDAX SEI Tax Exempt Trust California Municipal Bond Fund	2.17%	2.74%	1.78%	1.26%	1.38%	1.35%	1.87%	2.21%	1.98%	1.99%	2.23%	2.79%
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 SBDAX in my portfolio?

SEGMX and SBDAX have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SEGMX or SBDAX?

SEGMX has higher volatility (1.28%) compared to SBDAX (0.59%). In terms of maximum drawdown, SEGMX dropped -17.59% vs SBDAX's -11.86%.

Which has better risk-adjusted returns?

SBDAX currently has the higher Sharpe Ratio (2.21 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.