- ISIN
- US74316P7859
- CUSIP
- 74316P785
- Issuer
- Trillium Mutual Funds
- Inception Date
- Aug 31, 2015
- Category
- Mid Cap Blend Equities
- Min. Investment
- $100,000
- Distribution Policy
- Accumulating
- Asset Class
- Equity
- Asset Class Size
- Mid-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
TSMDX Performance Chart
Trillium ESG Small/Mid Cap Fund (TSMDX) is up 8.2% since the beginning of the year. TSMDX is currently trading at $18 per share. Investors who bought $1,000 worth of TSMDX shares 5 years ago would now be looking at an investment worth $1,240.
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Returns By Period
Trillium ESG Small/Mid Cap Fund (TSMDX) has returned 8.20% so far this year and 18.02% over the past 12 months. Over the last ten years, TSMDX has returned 8.87% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
Trillium ESG Small/Mid Cap Fund
- 1D
- 1.43%
- 1M
- 4.12%
- YTD
- 8.20%
- 6M
- 6.00%
- 1Y
- 18.02%
- 3Y*
- 8.85%
- 5Y*
- 4.40%
- 10Y*
- 8.87%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
TSMDX Monthly Returns History
Based on dividend-adjusted daily data since Sep 3, 2015, TSMDX's average daily return is +0.04%, while the average monthly return is +0.79%. At this rate, an investment would double in approximately 7.3 years.
Historically, 61% of months were positive and 39% were negative. The best month was Nov 2020 with a return of +12.8%, while the worst month was Mar 2020 at -20.8%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, TSMDX closed higher 51% of trading days. The best single day was Mar 24, 2020 with a return of +10.0%, while the worst single day was Mar 16, 2020 at -13.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.69% | 0.66% | -7.40% | 8.50% | 2.30% | 1.84% | 8.20% | ||||||
| 2025 | 5.61% | -9.06% | -3.09% | -1.56% | 7.42% | 2.88% | 0.85% | 3.30% | -1.38% | -0.89% | 2.62% | 1.93% | 7.85% |
| 2024 | -2.95% | 5.53% | 3.47% | -5.38% | 4.35% | -2.50% | 3.09% | 0.89% | 1.45% | -0.00% | 6.92% | -6.40% | 7.73% |
| 2023 | 8.73% | -1.18% | -2.33% | -1.84% | -2.85% | 8.08% | 2.78% | -5.28% | -7.00% | -5.34% | 8.88% | 8.41% | 9.42% |
| 2022 | -8.18% | 0.62% | 0.19% | -7.66% | -1.27% | -6.92% | 9.61% | -2.59% | -7.84% | 8.29% | 3.83% | -5.47% | -17.85% |
| 2021 | 1.72% | 6.43% | 3.18% | 4.81% | -0.71% | 0.47% | 0.47% | 1.94% | -3.97% | 6.06% | -2.26% | 3.45% | 23.18% |
Benchmark Metrics
Trillium ESG Small/Mid Cap Fund has an annualized alpha of -4.65%, beta of 1.01, and R2 of 0.77 versus S&P 500 Index. Calculated based on daily prices since September 03, 2015.
- This fund participated in 109.47% of S&P 500 Index downside but only 86.39% of its upside - more exposed to losses than it benefited from rallies.
- This fund had an annualized alpha of -4.65% versus S&P 500 Index - delivering less than market exposure alone would predict.
- With beta of 1.01 and R2 of 0.77, this fund moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- -4.65%
- Beta
- 1.01
- R²
- 0.77
- Upside Capture
- 86.39%
- Downside Capture
- 109.47%
Expense Ratio
TSMDX has a high expense ratio of 1.36%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
TSMDX ranks 31 for risk / return — below 31% of mutual funds on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Trillium ESG Small/Mid Cap Fund (TSMDX) and compare them to S&P 500 Index.
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.
| TSMDX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.54 | ||
| Sortino ratioReturn per unit of downside risk | -0.50 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.37 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.96 | 2.78 | -0.82 |
| Martin ratioReturn relative to average drawdown | 7.17 | 12.44 | -5.27 |
Dividends
Dividend History
Trillium ESG Small/Mid Cap Fund provided a 0.00% dividend yield over the last twelve months, with an annual payout of $0.00 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.00 | $0.00 | $0.95 | $0.37 | $0.39 | $0.39 | $0.02 | $0.58 | $0.53 | $0.22 | $0.17 |
Dividend yield | 0.00% | 0.00% | 6.29% | 2.47% | 2.80% | 2.24% | 0.12% | 4.62% | 5.09% | 1.72% | 1.57% |
Monthly Dividends
The table displays the monthly dividend distributions for Trillium ESG Small/Mid Cap Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.95 | $0.95 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.37 | $0.37 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.39 | $0.39 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.39 | $0.39 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Trillium ESG Small/Mid Cap Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Trillium ESG Small/Mid Cap Fund was 40.15%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
The current Trillium ESG Small/Mid Cap Fund drawdown is 0.28%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -40.15%Mar 2020 | 1mo 1d | 7mo 21d | 8mo 22dFeb 2020 - Nov 2020 |
Bear market2022 | -27.54%Jun 2022 | 7mo 1d | 2y 5mo | 3y 9dNov 2021 - Nov 2024 |
Rate-hike selloffLate 2018 | -24.22%Dec 2018 | 3mo 4d | 11mo 6d | 1y 2moSep 2018 - Nov 2019 |
2025 selloff2025 | -23.21%Apr 2025 | 4mo 4d | 8mo 6d | 1y 5dDec 2024 - Dec 2025 |
2016 bear market2016 | -20.18%Feb 2016 | 4mo 27d | 5mo 2d | 9mo 29dSep 2015 - Jul 2016 |
Drawdown Indicators
| TSMDX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.15% | -56.78% | +16.63% |
Max Drawdown (1Y)Largest decline over 1 year | -11.65% | -9.10% | -2.55% |
Max Drawdown (3Y)Largest decline over 3 years | -23.21% | -18.90% | -4.31% |
Max Drawdown (5Y)Largest decline over 5 years | -27.54% | -25.43% | -2.11% |
Max Drawdown (10Y)Largest decline over 10 years | -40.15% | -33.92% | -6.23% |
Current DrawdownCurrent decline from peak | -0.28% | -1.80% | +1.52% |
Average DrawdownAverage peak-to-trough decline | -7.61% | -10.71% | +3.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.59% | 2.03% | +1.56% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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