SEGMX vs. SNGVX
SEGMX (SEI Daily Income Trust GNMA Fund) and SNGVX (SIT U.S. Government Securities Fund) are both Government Bonds funds. Over the past 10 years, SEGMX returned 0.69%/yr vs 1.50%/yr for SNGVX. Their 0.73 correlation means they have sometimes moved together and sometimes differently. SEGMX charges 0.63%/yr vs 0.80%/yr for SNGVX.
Performance
SEGMX vs. SNGVX - Performance Comparison
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Returns By Period
In the year-to-date period, SEGMX achieves a -0.22% return, which is significantly lower than SNGVX's 0.15% return. Over the past 10 years, SEGMX has underperformed SNGVX with an annualized return of 0.69%, while SNGVX has yielded a comparatively higher 1.50% annualized return.
SEGMX
- 1D
- 0.00%
- 1M
- -1.32%
- 6M
- -0.79%
- YTD
- -0.22%
- 1Y
- 2.69%
- 3Y*
- 3.32%
- 5Y*
- -0.35%
- 10Y*
- 0.69%
- ALL TIME*
- 4.45%
SNGVX
- 1D
- -0.10%
- 1M
- -0.48%
- 6M
- -0.07%
- YTD
- 0.15%
- 1Y
- 2.43%
- 3Y*
- 4.05%
- 5Y*
- 1.20%
- 10Y*
- 1.50%
- ALL TIME*
- 4.03%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
SEGMX vs. SNGVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SEGMX SEI Daily Income Trust GNMA Fund | -0.22% | 7.15% | 0.60% | 4.44% | -11.53% | -2.06% | 3.77% | 5.50% | 0.59% | 1.66% |
SNGVX SIT U.S. Government Securities Fund | 0.15% | 6.93% | 2.41% | 3.22% | -4.80% | -1.15% | 3.53% | 3.34% | 1.80% | 1.34% |
Correlation
The correlation between SEGMX and SNGVX is 0.83, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.83 |
Correlation (3Y) Balances recent behavior with more history. | 0.88 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.87 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.80 |
Correlation (All Time) Calculated using the full available price history since Jan 12, 1990 | 0.73 |
The correlation between SEGMX and SNGVX shifts across timeframes, from 0.73 (all time) to 0.88 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
SEGMX vs. SNGVX — Risk / Return Rank
SEGMX
SNGVX
SEGMX vs. SNGVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Daily Income Trust GNMA Fund (SEGMX) and SIT U.S. Government Securities Fund (SNGVX). 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 | SNGVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.15 | ||
| Sortino ratioReturn per unit of downside risk | -0.22 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.20 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.27 | 1.31 | -0.04 |
| Martin ratioReturn relative to average drawdown | 3.33 | 3.33 | 0.00 |
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Drawdowns
SEGMX vs. SNGVX - Drawdown Comparison
The maximum SEGMX drawdown since its inception was -17.59%, which is greater than SNGVX's maximum drawdown of -9.17%. Use the drawdown chart below to compare losses from any high point for SEGMX and SNGVX.
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Drawdown Indicators
| SEGMX | SNGVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.59% | -9.17% | -8.42% |
Max Drawdown (1Y)Largest decline over 1 year | -2.98% | -2.41% | -0.57% |
Max Drawdown (3Y)Largest decline over 3 years | -6.11% | -3.34% | -2.77% |
Max Drawdown (5Y)Largest decline over 5 years | -16.78% | -9.09% | -7.69% |
Max Drawdown (10Y)Largest decline over 10 years | -17.59% | -9.17% | -8.42% |
Current DrawdownCurrent decline from peak | -2.87% | -1.61% | -1.26% |
Average DrawdownAverage peak-to-trough decline | -1.83% | -0.83% | -1.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.14% | 0.95% | +0.19% |
Volatility
SEGMX vs. SNGVX - Volatility Comparison
SEI Daily Income Trust GNMA Fund (SEGMX) has a higher volatility of 1.02% compared to SIT U.S. Government Securities Fund (SNGVX) at 0.68%. This indicates that SEGMX's price experiences larger fluctuations and is considered to be riskier than SNGVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SEGMX | SNGVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.02% | 0.68% | +0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 3.18% | 2.27% | +0.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.01% | 2.89% | +1.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.13% | 3.74% | +2.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.66% | 2.98% | +1.68% |
SEGMX vs. SNGVX - Expense Ratio Comparison
SEGMX has a 0.63% expense ratio, which is lower than SNGVX's 0.80% expense ratio.
Dividends
SEGMX vs. SNGVX - Dividend Comparison
SEGMX's dividend yield for the trailing twelve months is around 3.73%, more than SNGVX's 3.52% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SEGMX SEI Daily Income Trust GNMA Fund | 3.73% | 3.31% | 2.62% | 2.29% | 1.84% | 1.71% | 2.18% | 2.71% | 2.91% | 2.81% | 3.36% | 2.75% |
SNGVX SIT U.S. Government Securities Fund | 3.52% | 3.76% | 3.78% | 3.23% | 1.70% | 0.75% | 1.40% | 2.18% | 2.05% | 1.60% | 1.63% | 1.87% |
Frequently Asked Questions
SEGMX and SNGVX have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SEGMX has higher volatility (1.02%) compared to SNGVX (0.68%). In terms of maximum drawdown, SEGMX dropped -17.59% vs SNGVX's -9.17%.
SNGVX currently has the higher Sharpe Ratio (1.10 vs 0.95), 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.
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