Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Daily Income Trust (SDIT) SDIT-1 Apr-23 ###### Jan-00 Jan-00 Feb-00 Jan-00 Jan-00 Feb-00 Feb-00 Feb-00 Jan-00 Fund Since Inception 1 Mo 3 Mo Ytd Qtr 1 Yr 3 Yr 5 Yr 10 Yr Incept 2022 2021 Bond Funds SDIT GNMA Fund 3/20/87 2.15 2.72 2.72 2.72 -4.72 -3.24 -0.02 0.74 4.96 -10.98 -1.95 Bloomberg GNMA Index (USD) 1.88 2.59 2.59 2.59 -4.48 -3.17 0.26 0.87 5.32 -10.76 -1.45 Expenses before waivers (%) = 0.62 Expenses after waivers (%) = 0.62 SDIT Short-Duration Government Fund 2/17/87 1.33 1.49 1.49 1.49 -0.23 -1.01 0.77 0.59 3.84 -4.21 -1.14 ICE BofA 1-3 Year US Treasury Index (USD) 1.60 1.55 1.55 1.55 0.20 -0.81 1.11 0.81 3.97 -3.65 -0.55 Expenses before waivers (%) = 0.56 Expenses after waivers (%) = 0.48 SDIT Ultra Short Duration Bond Fund 9/28/93 0.40 1.22 1.22 1.22 1.39 1.28 1.37 1.15 2.77 -0.86 0.01 0.75 1.23 1.23 1.23 1.45 0.33 1.40 0.93 2.71 -0.40 0.00 Expenses before waivers (%) = 0.61 Expenses after waivers (%) = 0.38 The performance data shown is past performance. Past performance is no guarantee of future results. The investment return and principal value of an investment an investor's shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. data current to the most recent month end, please call 1-800-DIAL-SEI. as of 03/31/2023 as of 03/31/2023 as Bloomberg Short US Treasury 9-12 Month Index (USD) Performance Performance Performance Cumulative Total Return Annualized Total Return Calendar Funds' Summary Performance Trend Report SEI Daily Income Trust - Class F (formerly Class A) Portfolio Manager: Rich Bamford GNMA Fund (SDIT) The performance data shown is past performance. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI. Fee waivers are voluntary and may be discontinued at any time. Q. HOW DID THE FUND PERFORM AGAINST ITS INDEX FOR THE QUARTER, RICH? A. The Fund returned 2.72% versus 2.59% for the Bloomberg GNMA Index. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. The Fund's outperformance for the period can primarily be attributed to security selection within agency MBS. Security selection up and down the coupon stack was additive. Lower coupon pools are most susceptible to balance sheet reduction as the majority of the Fed's holdings are in 2.0% and 2.5% coupons and they remain structurally rich. Wellington favored higher coupon MBS during the quarter. An overweight to agency collateralized mortgage obligation (CMO) added to performance. Agency CMO provides more stable cash flows and offer attractive relative value compared to TBA as agency CMOs are at less risk to negative technicals with the Fed reducing the size of its balance sheet. An allocation to agency commercial mortgage-backed securities (CMBS) deals also aided performance. While the sector generated negative excess returns, commercial mortgages outperformed GNMA bonds during the quarter. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. Changes to portfolio positioning were minimal. Wellington continues to favor agency CMO due to their stable cash flows and relatively attractive income. Up and down the coupon stack Wellington favors higher coupons as lower coupons are structurally rich. Wellington has begun to reduce exposure to TBA in favor of specified pools given technical headwind. The Fund remains underweight conventional Federal National Mortgage Association and Federal Home Loan Mortgage Corporation pools in favor of CMOs given the attractive and stable income that CMOs generate. INVESTMENT STRATEGY: The GNMA Fund seeks to preserve principal value and maintain a high degree of liquidity while providing current income. The GNMA Fund invests at least 80% of its net assets in mortgage-backed securities issued by the Government National Mortgage Association. The Fund may also invest in U.S. Treasury securities and other U.S. Government obligations as well as repurchase agreements collateralized by such obligations. The Fund is expected to have similar overall interest rate risk to the Bloomberg GNMA Index. Apr-23 ###### Jan-00 Jan-00 Feb-00 Jan-00 Jan-00 Feb-00 Feb-00 Feb-00 Jan-00 Fund Since Inception 1 Mo 3 Mo Ytd Qtr 1 Yr 3 Yr 5 Yr 10 Yr Incept 2022 2021 Bond Funds SDIT GNMA Fund 3/20/87 2.15 2.72 2.72 2.72 -4.72 -3.24 -0.02 0.74 4.96 -10.98 -1.95 Bloomberg GNMA Index (USD) 1.88 2.59 2.59 2.59 -4.48 -3.17 0.26 0.87 5.32 -10.76 -1.45 Expenses before waivers (%) = 0.62 Expenses after waivers (%) = 0.62 SDIT Short-Duration Government Fund 2/17/87 1.33 1.49 1.49 1.49 -0.23 -1.01 0.77 0.59 3.84 -4.21 -1.14 ICE BofA 1-3 Year US Treasury Index (USD) 1.60 1.55 1.55 1.55 0.20 -0.81 1.11 0.81 3.97 -3.65 -0.55 Expenses before waivers (%) = 0.56 Expenses after waivers (%) = 0.48 SDIT Ultra Short Duration Bond Fund 9/28/93 0.40 1.22 1.22 1.22 1.39 1.28 1.37 1.15 2.77 -0.86 0.01 0.75 1.23 1.23 1.23 1.45 0.33 1.40 0.93 2.71 -0.40 0.00 Expenses before waivers (%) = 0.61 Expenses after waivers (%) = 0.38 The performance data shown is past performance. Past performance is no guarantee of future results. The investment return and principal value of an investment an investor's shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. data current to the most recent month end, please call 1-800-DIAL-SEI. as of 03/31/2023 as of 03/31/2023 as Bloomberg Short US Treasury 9-12 Month Index (USD) Performance Performance Performance Cumulative Total Return Annualized Total Return Calendar Funds' Summary Performance Trend Report SEI Daily Income Trust - Class F (formerly Class A) Apr-23 ###### Jan-00 Jan-00 Feb-00 Jan-00 Jan-00 Feb-00 Feb-00 Feb-00 Jan-00 Fund Since Inception 1 Mo 3 Mo Ytd Qtr 1 Yr 3 Yr 5 Yr 10 Yr Incept 2022 2021 Bond Funds SDIT GNMA Fund 3/20/87 2.15 2.72 2.72 2.72 -4.72 -3.24 -0.02 0.74 4.96 -10.98 -1.95 Bloomberg GNMA Index (USD) 1.88 2.59 2.59 2.59 -4.48 -3.17 0.26 0.87 5.32 -10.76 -1.45 Expenses before waivers (%) = 0.62 Expenses after waivers (%) = 0.62 SDIT Short-Duration Government Fund 2/17/87 1.33 1.49 1.49 1.49 -0.23 -1.01 0.77 0.59 3.84 -4.21 -1.14 ICE BofA 1-3 Year US Treasury Index (USD) 1.60 1.55 1.55 1.55 0.20 -0.81 1.11 0.81 3.97 -3.65 -0.55 Expenses before waivers (%) = 0.56 Expenses after waivers (%) = 0.48 SDIT Ultra Short Duration Bond Fund 9/28/93 0.40 1.22 1.22 1.22 1.39 1.28 1.37 1.15 2.77 -0.86 0.01 0.75 1.23 1.23 1.23 1.45 0.33 1.40 0.93 2.71 -0.40 0.00 Expenses before waivers (%) = 0.61 Expenses after waivers (%) = 0.38 The performance data shown is past performance. Past performance is no guarantee of future results. The investment return and principal value of an investment an investor's shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. data current to the most recent month end, please call 1-800-DIAL-SEI. as of 03/31/2023 as of 03/31/2023 as Bloomberg Short US Treasury 9-12 Month Index (USD) Performance Performance Performance Cumulative Total Return Annualized Total Return Calendar Funds' Summary Performance Trend Report SEI Daily Income Trust - Class F (formerly Class A)