JNVSX vs. BRMKX
JNVSX (Jensen Quality Value Fund) and BRMKX (iShares Russell Mid-Cap Index Fund) are both Mid Cap Blend Equities funds. Over the past 10 years, JNVSX returned 10.85%/yr vs 11.64%/yr for BRMKX. Their correlation of 0.90 suggests significant overlap in exposure. JNVSX charges 1.05%/yr vs 0.06%/yr for BRMKX.
Performance
JNVSX vs. BRMKX - Performance Comparison
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Returns By Period
In the year-to-date period, JNVSX achieves a -0.85% return, which is significantly lower than BRMKX's 12.49% return. Over the past 10 years, JNVSX has underperformed BRMKX with an annualized return of 10.85%, while BRMKX has yielded a comparatively higher 11.64% annualized return.
JNVSX
- 1D
- -0.49%
- 1M
- 0.49%
- YTD
- -0.85%
- 6M
- -1.69%
- 1Y
- -2.67%
- 3Y*
- 5.74%
- 5Y*
- 8.06%
- 10Y*
- 10.85%
BRMKX
- 1D
- -0.29%
- 1M
- 2.72%
- YTD
- 12.49%
- 6M
- 11.88%
- 1Y
- 21.98%
- 3Y*
- 17.39%
- 5Y*
- 8.16%
- 10Y*
- 11.64%
JNVSX vs. BRMKX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JNVSX Jensen Quality Value Fund | -0.85% | -2.58% | 9.40% | 18.58% | -15.83% | 60.71% | 14.79% | 27.58% | -9.03% | 15.08% |
BRMKX iShares Russell Mid-Cap Index Fund | 12.49% | 10.48% | 15.28% | 17.30% | -17.22% | 22.52% | 17.17% | 30.47% | -9.09% | 17.74% |
Correlation
The correlation between JNVSX and BRMKX is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.89 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016 | 0.90 |
The correlation between JNVSX and BRMKX shifts across timeframes, from 0.75 (1 year) to 0.90 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
JNVSX vs. BRMKX — Risk / Return Rank
JNVSX
BRMKX
JNVSX vs. BRMKX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Jensen Quality Value Fund (JNVSX) and iShares Russell Mid-Cap Index Fund (BRMKX). 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.
| JNVSX | BRMKX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.84 | ||
| Sortino ratioReturn per unit of downside risk | -2.57 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.29 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | -0.26 | 2.67 | -2.93 |
| Martin ratioReturn relative to average drawdown | -0.51 | 10.33 | -10.83 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JNVSX | BRMKX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.21 | 1.63 | -1.84 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.40 | 0.45 | -0.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.57 | 0.60 | -0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 0.62 | -0.04 |
Drawdowns
JNVSX vs. BRMKX - Drawdown Comparison
The maximum JNVSX drawdown since its inception was -34.52%, smaller than the maximum BRMKX drawdown of -40.20%. Use the drawdown chart below to compare losses from any high point for JNVSX and BRMKX.
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Drawdown Indicators
| JNVSX | BRMKX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.52% | -40.20% | +5.68% |
Max Drawdown (1Y)Largest decline over 1 year | -10.42% | -8.17% | -2.25% |
Max Drawdown (3Y)Largest decline over 3 years | -17.43% | -21.07% | +3.64% |
Max Drawdown (5Y)Largest decline over 5 years | -24.56% | -26.04% | +1.48% |
Max Drawdown (10Y)Largest decline over 10 years | -34.52% | -40.20% | +5.68% |
Current DrawdownCurrent decline from peak | -9.30% | -0.29% | -9.01% |
Average DrawdownAverage peak-to-trough decline | -5.17% | -5.65% | +0.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.27% | 2.11% | +3.16% |
Volatility
JNVSX vs. BRMKX - Volatility Comparison
Jensen Quality Value Fund (JNVSX) has a higher volatility of 3.60% compared to iShares Russell Mid-Cap Index Fund (BRMKX) at 3.32%. This indicates that JNVSX's price experiences larger fluctuations and is considered to be riskier than BRMKX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JNVSX | BRMKX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.60% | 3.32% | +0.28% |
Volatility (6M)Calculated over the trailing 6-month period | 9.23% | 9.90% | -0.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.71% | 13.42% | -0.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.46% | 18.24% | +2.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.26% | 19.31% | -0.05% |
JNVSX vs. BRMKX - Expense Ratio Comparison
JNVSX has a 1.05% expense ratio, which is higher than BRMKX's 0.06% expense ratio.
Dividends
JNVSX vs. BRMKX - Dividend Comparison
JNVSX's dividend yield for the trailing twelve months is around 11.31%, more than BRMKX's 5.29% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRMKX iShares Russell Mid-Cap Index Fund | 5.29% | 5.92% | 6.43% | 3.02% | 3.67% | 4.07% | 2.86% | 3.95% | 3.87% | 19.24% | 2.11% | 0.00% |
JNVSX Jensen Quality Value Fund | 11.31% | 11.31% | 6.15% | 0.56% | 2.69% | 22.40% | 1.27% | 5.13% | 6.15% | 4.14% | 1.34% | 17.62% |
Frequently Asked Questions
JNVSX and BRMKX have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JNVSX has higher volatility (3.60%) compared to BRMKX (3.32%). In terms of maximum drawdown, JNVSX dropped -34.52% vs BRMKX's -40.20%.
BRMKX currently has the higher Sharpe Ratio (1.63 vs -0.21), 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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