PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

Great-West Small Cap Value Fund (MXLSX) Sharpe Ratio: 0.54

MXLSX's Sharpe Ratio of 0.54 indicates that for each unit of volatility, it generates 0.54 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 1, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

MXLSX Sharpe Ratio Rank

MXLSX Sharpe Ratio Rank: 19.920
Concerning

MXLSX ranks above 19.9% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating weak returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Weak risk-adjusted returns relative to category peers
  • Evaluate whether this holding aligns with your risk-return objectives
  • Consider reducing exposure or re-evaluating position size
  • Review higher-ranked alternatives in the same category

MXLSX Sharpe Ratio Market Positioning

The chart shows MXLSX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.66 or lower
  • Yellow zone (middle 50%): 0.66 to 1.37
  • Green zone (top 25%): 1.37 or higher
  • Top 1%: 3.58+
  • Median: 1.00 — half of all investments score higher

How it compares to other similar mutual funds

The table compares Great-West Small Cap Value Fund's Sharpe Ratio with other mutual funds in the Small Cap Value Equities category across multiple time periods, showing how MXLSX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 1, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
AVALXAegis Value Fund3.30
BSCMXBrandes Small Cap Value Fund1.83
TASCXThird Avenue Small Cap Value Fund1.47
BRSIXBridgeway Ultra Small Company Market Fund1.45
HRTVXHeartland Value Fund1.41
MMEYXVictory Integrity Discovery Fund1.39
PRVIXT. Rowe Price Small-Cap Value Fund Class I1.30
WSCVXWalthausen Small Cap Value Fund1.29
TASVXPGIM Quant Solutions Small-Cap Value Fund1.29
VSCAXInvesco Small Cap Value Fund1.28
MXLSXGreat-West Small Cap Value Fund0.54

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows MXLSX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when MXLSX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

Loading graphics...

Explore MXLSX risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

MXLSX Sortino Ratio