SEGMX vs. VKMGX
SEGMX (SEI Daily Income Trust GNMA Fund) and VKMGX (InvescoQuality IncomeFund) are both Government Bonds funds. Over the past 10 years, SEGMX returned 0.83%/yr vs 1.06%/yr for VKMGX. Their correlation of 0.84 suggests significant overlap in exposure. SEGMX charges 0.63%/yr vs 0.85%/yr for VKMGX.
Performance
SEGMX vs. VKMGX - Performance Comparison
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Returns By Period
In the year-to-date period, SEGMX achieves a 0.66% return, which is significantly higher than VKMGX's 0.26% return. Over the past 10 years, SEGMX has underperformed VKMGX with an annualized return of 0.83%, while VKMGX has yielded a comparatively higher 1.06% 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%
VKMGX
- 1D
- 0.20%
- 1M
- 0.71%
- YTD
- 0.26%
- 6M
- 0.45%
- 1Y
- 5.02%
- 3Y*
- 3.80%
- 5Y*
- -0.09%
- 10Y*
- 1.06%
SEGMX vs. VKMGX - 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% |
VKMGX InvescoQuality IncomeFund | 0.26% | 8.24% | 0.69% | 4.59% | -12.52% | -2.00% | 5.51% | 5.98% | -0.13% | 1.99% |
Correlation
The correlation between SEGMX and VKMGX 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 | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.91 |
Correlation (All Time) Calculated using the full available price history since Jan 12, 1990 | 0.84 |
The correlation between SEGMX and VKMGX shifts across timeframes, from 0.84 (all time) to 0.96 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
SEGMX vs. VKMGX — Risk / Return Rank
SEGMX
VKMGX
SEGMX vs. VKMGX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Daily Income Trust GNMA Fund (SEGMX) and InvescoQuality IncomeFund (VKMGX). 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 | VKMGX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.01 | ||
| Sortino ratioReturn per unit of downside risk | +0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.23 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.71 | 1.63 | +0.09 |
| Martin ratioReturn relative to average drawdown | 5.20 | 4.95 | +0.24 |
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Drawdowns
SEGMX vs. VKMGX - Drawdown Comparison
The maximum SEGMX drawdown since its inception was -17.59%, smaller than the maximum VKMGX drawdown of -19.19%. Use the drawdown chart below to compare losses from any high point for SEGMX and VKMGX.
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Drawdown Indicators
| SEGMX | VKMGX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.59% | -19.19% | +1.60% |
Max Drawdown (1Y)Largest decline over 1 year | -2.98% | -3.38% | +0.40% |
Max Drawdown (3Y)Largest decline over 3 years | -7.14% | -7.87% | +0.73% |
Max Drawdown (5Y)Largest decline over 5 years | -16.78% | -18.40% | +1.62% |
Max Drawdown (10Y)Largest decline over 10 years | -17.59% | -19.19% | +1.60% |
Current DrawdownCurrent decline from peak | -2.01% | -2.28% | +0.27% |
Average DrawdownAverage peak-to-trough decline | -1.83% | -2.61% | +0.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.98% | 1.11% | -0.13% |
Volatility
SEGMX vs. VKMGX - Volatility Comparison
SEI Daily Income Trust GNMA Fund (SEGMX) and InvescoQuality IncomeFund (VKMGX) have volatilities of 1.28% and 1.30%, 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.
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Volatility by Period
| SEGMX | VKMGX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.28% | 1.30% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 3.06% | 3.22% | -0.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.02% | 4.28% | -0.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.11% | 6.47% | -0.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.65% | 4.99% | -0.34% |
SEGMX vs. VKMGX - Expense Ratio Comparison
SEGMX has a 0.63% expense ratio, which is lower than VKMGX's 0.85% expense ratio.
Dividends
SEGMX vs. VKMGX - Dividend Comparison
SEGMX's dividend yield for the trailing twelve months is around 3.66%, more than VKMGX's 3.48% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VKMGX InvescoQuality IncomeFund | 3.48% | 3.34% | 3.62% | 2.90% | 2.98% | 2.84% | 3.65% | 3.72% | 3.89% | 3.32% | 3.44% | 4.14% |
Frequently Asked Questions
With a correlation of 0.94, SEGMX and VKMGX 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.
VKMGX has higher volatility (1.30%) compared to SEGMX (1.28%). In terms of maximum drawdown, SEGMX dropped -17.59% vs VKMGX's -19.19%.
VKMGX 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.
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