MXGMX vs. PRGMX
MXGMX (Great-West U.S. Government Securities Fund) and PRGMX (T. Rowe Price GNMA Fund) are both Government Bonds funds. Over the past 10 years, MXGMX returned 0.64%/yr vs 1.15%/yr for PRGMX. Their 0.78 correlation means they have sometimes moved together and sometimes differently. MXGMX charges 0.60%/yr vs 0.58%/yr for PRGMX.
Performance
MXGMX vs. PRGMX - Performance Comparison
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Returns By Period
In the year-to-date period, MXGMX achieves a -0.54% return, which is significantly lower than PRGMX's 0.01% return. Over the past 10 years, MXGMX has underperformed PRGMX with an annualized return of 0.64%, while PRGMX has yielded a comparatively higher 1.15% annualized return.
MXGMX
- 1D
- 0.00%
- 1M
- -0.81%
- 6M
- -0.81%
- YTD
- -0.54%
- 1Y
- 2.67%
- 3Y*
- 3.18%
- 5Y*
- -0.63%
- 10Y*
- 0.64%
- ALL TIME*
- 0.25%
PRGMX
- 1D
- 0.12%
- 1M
- -1.10%
- 6M
- -0.54%
- YTD
- 0.01%
- 1Y
- 4.08%
- 3Y*
- 4.55%
- 5Y*
- 0.49%
- 10Y*
- 1.15%
- ALL TIME*
- 3.85%
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 |
MXGMX vs. PRGMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MXGMX Great-West U.S. Government Securities Fund | -0.54% | 6.60% | 0.75% | 4.44% | -12.09% | -2.15% | 5.87% | 6.12% | 0.63% | 1.59% |
PRGMX T. Rowe Price GNMA Fund | 0.01% | 8.72% | 1.86% | 5.62% | -11.45% | -2.18% | 4.21% | 5.18% | 0.58% | 1.23% |
Correlation
The correlation between MXGMX and PRGMX is 0.84, 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. | 0.85 |
Correlation (3Y) Balances recent behavior with more history. | 0.88 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.88 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.80 |
Correlation (All Time) Calculated using the full available price history since Apr 23, 2003 | 0.78 |
The correlation between MXGMX and PRGMX has been stable across timeframes, ranging from 0.78 to 0.88 - a consistent structural relationship.
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Return for Risk
MXGMX vs. PRGMX — Risk / Return Rank
MXGMX
PRGMX
MXGMX vs. PRGMX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Great-West U.S. Government Securities Fund (MXGMX) and T. Rowe Price GNMA Fund (PRGMX). 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.
| MXGMX | PRGMX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.54 | ||
| Sortino ratioReturn per unit of downside risk | -0.79 | ||
| Omega ratioGain probability vs. loss probability | 1.13 | 1.23 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 0.88 | 1.78 | -0.90 |
| Martin ratioReturn relative to average drawdown | 2.16 | 4.96 | -2.80 |
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Drawdowns
MXGMX vs. PRGMX - Drawdown Comparison
The maximum MXGMX drawdown since its inception was -18.63%, roughly equal to the maximum PRGMX drawdown of -18.22%. Use the drawdown chart below to compare losses from any high point for MXGMX and PRGMX.
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Drawdown Indicators
| MXGMX | PRGMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.63% | -18.22% | -0.41% |
Max Drawdown (1Y)Largest decline over 1 year | -3.09% | -3.00% | -0.09% |
Max Drawdown (3Y)Largest decline over 3 years | -5.47% | -6.22% | +0.75% |
Max Drawdown (5Y)Largest decline over 5 years | -17.09% | -17.28% | +0.19% |
Max Drawdown (10Y)Largest decline over 10 years | -18.63% | -18.22% | -0.41% |
Current DrawdownCurrent decline from peak | -5.13% | -2.15% | -2.98% |
Average DrawdownAverage peak-to-trough decline | -5.31% | -2.23% | -3.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.25% | 1.07% | +0.18% |
Volatility
MXGMX vs. PRGMX - Volatility Comparison
The current volatility for Great-West U.S. Government Securities Fund (MXGMX) is 1.00%, while T. Rowe Price GNMA Fund (PRGMX) has a volatility of 1.17%. This indicates that MXGMX experiences smaller price fluctuations and is considered to be less risky than PRGMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MXGMX | PRGMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.00% | 1.17% | -0.17% |
Volatility (6M)Calculated over the trailing 6-month period | 2.86% | 3.37% | -0.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.73% | 4.22% | -0.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.91% | 6.43% | -0.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.65% | 4.79% | -0.14% |
MXGMX vs. PRGMX - Expense Ratio Comparison
MXGMX has a 0.60% expense ratio, which is higher than PRGMX's 0.58% expense ratio.
Dividends
MXGMX vs. PRGMX - Dividend Comparison
MXGMX's dividend yield for the trailing twelve months is around 2.69%, less than PRGMX's 4.43% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MXGMX Great-West U.S. Government Securities Fund | 2.69% | 2.67% | 2.73% | 2.37% | 1.48% | 2.21% | 0.94% | 1.53% | 1.88% | 0.90% | 0.00% | 0.00% |
PRGMX T. Rowe Price GNMA Fund | 4.43% | 4.96% | 4.47% | 3.54% | 1.38% | 0.59% | 1.44% | 2.39% | 2.78% | 2.98% | 2.88% | 3.12% |
Frequently Asked Questions
MXGMX and PRGMX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PRGMX has higher volatility (1.17%) compared to MXGMX (1.00%). In terms of maximum drawdown, MXGMX dropped -18.63% vs PRGMX's -18.22%.
PRGMX currently has the higher Sharpe Ratio (1.27 vs 0.73), 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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