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Trillium ESG Small/Mid Cap Fund (TSMDX) Sortino Ratio: 1.98

Mutual Fund · Currency in USD · Last updated Jun 5, 2026

Under normal conditions, the fund seeks to achieve its objective by investing at least 80% of its net assets (plus borrowings for investment purposes) in equity securities of small and mid-sized companies that meet the Adviser's Environmental, Social, and Governance ("ESG") criteria. The Adviser defines small- and mid-cap companies as those whose market capitalization, at the time of purchase, are consistent with the market capitalizations of companies in the S&P 1000 Index.

TSMDX's Sortino Ratio of 1.98 indicates that for each unit of downside volatility, it generates 1.98 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 5, 2026).

Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.

TSMDX Sortino Ratio Rank

TSMDX Sortino Ratio Rank: 23.123
Below Average

TSMDX ranks above 23.1% of all investments in our database based on Sortino Ratio over the past 12 months, indicating below-average returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with minimal downside volatility → Higher rank
  • Severe or frequent drawdowns → Lower rank
  • Upside volatility → No impact (Sortino doesn't penalize upside swings)

What you can do with this information

  • Returns may not adequately compensate for downside risk taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better downside protection
  • Assess whether downside exposure aligns with your portfolio goals

TSMDX Sortino Ratio Market Positioning

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

  • Red zone (bottom 25%): 2.00 or lower
  • Yellow zone (middle 50%): 2.00 to 3.54
  • Green zone (top 25%): 3.54 or higher
  • Top 1%: 9.15+
  • Median: 2.89 — half of all investments score higher

How it compares to other similar mutual funds

The table compares Trillium ESG Small/Mid Cap Fund's Sortino Ratio with other mutual funds in the Mid Cap Blend Equities category across multiple time periods, showing how TSMDX'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 Jun 5, 2026.

SymbolName1Y Sortino Ratio5Y Sortino Ratio10Y Sortino RatioAll Time Sortino Ratio
PFSLXParadigm Select Fund4.09
GENIXGotham Enhanced Return Fund3.61
BIGTXThe Texas Fund3.45
VNVYXNatixis Funds Trust II Vaughan Nelson Mid Cap Fund3.37
FTHMXFullerThaler Behavioral Mid-Cap Equity Fund Institutional Shares3.30
DSMFXDestinations Small-Mid Cap Equity Fund3.30
THPMXThompson MidCap Fund3.18
VSEQXVanguard Strategic Equity Fund3.17
FZFLXFidelity SAI Small-Mid Cap 500 Index Fund3.13
GABVXGabelli Value 25 Fund3.08
TSMDXTrillium ESG Small/Mid Cap Fund1.98

S&P 500 Index

How to choose period

Historical Sortino Ratio

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

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

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