SKSEX vs. LMSIX

Last updated Jun 24, 2026

SKSEX (AMG GW&K Small Cap Value Fund) and LMSIX (Franklin U.S. Small Cap Equity Fund) are both Small Cap Blend Equities funds. Over the past 10 years, SKSEX returned 10.40%/yr vs 11.99%/yr for LMSIX. Their correlation of 0.93 suggests significant overlap in exposure. SKSEX charges 1.15%/yr vs 1.03%/yr for LMSIX.

Performance

SKSEX vs. LMSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AMG GW&K Small Cap Value Fund (SKSEX) and Franklin U.S. Small Cap Equity Fund (LMSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SKSEX achieves a 24.85% return, which is significantly higher than LMSIX's 19.79% return. Over the past 10 years, SKSEX has underperformed LMSIX with an annualized return of 10.40%, while LMSIX has yielded a comparatively higher 11.99% annualized return.

SKSEX

• 1D: 0.81%
• 1M: 5.62%
• YTD: 24.85%
• 6M: 22.78%
• 1Y: 29.67%
• 3Y*: 15.05%
• 5Y*: 7.21%
• 10Y*: 10.40%

LMSIX

• 1D: 0.93%
• 1M: 5.97%
• YTD: 19.79%
• 6M: 17.39%
• 1Y: 43.89%
• 3Y*: 22.75%
• 5Y*: 10.31%
• 10Y*: 11.99%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SKSEX vs. LMSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SKSEX AMG GW&K Small Cap Value Fund	24.85%	-4.50%	10.60%	17.49%	-15.36%	33.22%	3.30%	38.26%	-18.98%	8.39%
LMSIX Franklin U.S. Small Cap Equity Fund	19.79%	20.19%	9.90%	18.80%	-15.16%	29.12%	11.29%	20.75%	-15.61%	8.81%

Correlation

The correlation between SKSEX and LMSIX is 0.89, 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	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Mar 13, 2000	0.93

The correlation between SKSEX and LMSIX has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.

Return for Risk

SKSEX vs. LMSIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SKSEX

SKSEX Risk / Return Rank: 42
SKSEX Sharpe Ratio Rank: 36
SKSEX Sortino Ratio Rank: 30
SKSEX Omega Ratio Rank: 37
SKSEX Calmar Ratio Rank: 64
SKSEX Martin Ratio Rank: 40

LMSIX

LMSIX Risk / Return Rank: 81
LMSIX Sharpe Ratio Rank: 80
LMSIX Sortino Ratio Rank: 75
LMSIX Omega Ratio Rank: 65
LMSIX Calmar Ratio Rank: 94
LMSIX Martin Ratio Rank: 91

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SKSEX vs. LMSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AMG GW&K Small Cap Value Fund (SKSEX) and Franklin U.S. Small Cap Equity Fund (LMSIX). 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.

	SKSEX	LMSIX	Difference
Sharpe ratio: Return per unit of total volatility	1.61	2.43	-0.81
Sortino ratio: Return per unit of downside risk	2.13	3.33	-1.20
Omega ratio: Gain probability vs. loss probability	1.30	1.41	-0.11
Calmar ratio: Return relative to maximum drawdown	2.94	4.96	-2.02
Martin ratio: Return relative to average drawdown	8.19	17.16	-8.97

SKSEX vs. LMSIX - Sharpe Ratio Comparison

The current SKSEX Sharpe Ratio is 1.61, which is lower than the LMSIX Sharpe Ratio of 2.43. The chart below compares the historical Sharpe Ratios of SKSEX and LMSIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SKSEX vs. LMSIX - Drawdown Comparison

The maximum SKSEX drawdown since its inception was -65.26%, which is greater than LMSIX's maximum drawdown of -61.16%. Use the drawdown chart below to compare losses from any high point for SKSEX and LMSIX.

Drawdown Indicators

	SKSEX	LMSIX	Difference
Max Drawdown Largest peak-to-trough decline	-65.26%	-61.16%	-4.10%
Max Drawdown (1Y) Largest decline over 1 year	-10.83%	-9.22%	-1.61%
Max Drawdown (3Y) Largest decline over 3 years	-26.39%	-26.80%	+0.41%
Max Drawdown (5Y) Largest decline over 5 years	-26.39%	-27.66%	+1.27%
Max Drawdown (10Y) Largest decline over 10 years	-49.36%	-50.26%	+0.90%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-9.22%	-10.86%	+1.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.87%	2.66%	+1.21%

Volatility

SKSEX vs. LMSIX - Volatility Comparison

The current volatility for AMG GW&K Small Cap Value Fund (SKSEX) is 5.28%, while Franklin U.S. Small Cap Equity Fund (LMSIX) has a volatility of 5.69%. This indicates that SKSEX experiences smaller price fluctuations and is considered to be less risky than LMSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SKSEX	LMSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.28%	5.69%	-0.41%
Volatility (6M) Calculated over the trailing 6-month period	12.95%	13.51%	-0.56%
Volatility (1Y) Calculated over the trailing 1-year period	19.76%	18.87%	+0.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.43%	22.00%	-0.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.52%	23.54%	+0.98%

SKSEX vs. LMSIX - Expense Ratio Comparison

SKSEX has a 1.15% expense ratio, which is higher than LMSIX's 1.03% expense ratio.

Dividends

SKSEX vs. LMSIX - Dividend Comparison

SKSEX has not paid dividends to shareholders, while LMSIX's dividend yield for the trailing twelve months is around 6.73%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LMSIX Franklin U.S. Small Cap Equity Fund	6.73%	6.35%	4.05%	3.70%	5.18%	21.64%	3.60%	1.48%	11.17%	8.85%	4.79%	7.52%
SKSEX AMG GW&K Small Cap Value Fund	0.00%	0.00%	8.62%	1.51%	1.69%	13.94%	43.15%	13.91%	14.98%	6.75%	0.02%	4.98%

Frequently Asked Questions

Can I hold both SKSEX and LMSIX in my portfolio?

SKSEX and LMSIX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SKSEX or LMSIX?

LMSIX has higher volatility (5.69%) compared to SKSEX (5.28%). In terms of maximum drawdown, SKSEX dropped -65.26% vs LMSIX's -61.16%.

Which has better risk-adjusted returns?

LMSIX currently has the higher Sharpe Ratio (2.43 vs 1.61), 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.