TCMIX vs. SKSEX

Last updated Jul 11, 2026

TCMIX (AMG TimesSquare International Small Cap Fund) and SKSEX (AMG GW&K Small Cap Value Fund) are both mutual funds - TCMIX is a Foreign Small & Mid Cap Equities fund managed by AMG, while SKSEX is a Small Cap Blend Equities fund managed by AMG. Over the past 10 years, TCMIX returned 5.98%/yr vs 9.78%/yr for SKSEX. A 0.59 correlation means they provide meaningful diversification when combined. TCMIX charges 1.00%/yr vs 1.15%/yr for SKSEX.

Performance

TCMIX vs. SKSEX - Performance Comparison

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

Returns By Period

In the year-to-date period, TCMIX achieves a 5.98% return, which is significantly lower than SKSEX's 23.79% return. Over the past 10 years, TCMIX has underperformed SKSEX with an annualized return of 5.98%, while SKSEX has yielded a comparatively higher 9.78% annualized return.

TCMIX

• 1D: 0.36%
• 1M: -0.97%
• 6M: 3.15%
• YTD: 5.98%
• 1Y: 8.75%
• 3Y*: 13.54%
• 5Y*: 1.49%
• 10Y*: 5.98%

SKSEX

• 1D: 0.87%
• 1M: 0.84%
• 6M: 18.56%
• YTD: 23.79%
• 1Y: 22.15%
• 3Y*: 13.24%
• 5Y*: 7.01%
• 10Y*: 9.78%

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

TCMIX vs. SKSEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TCMIX AMG TimesSquare International Small Cap Fund	5.98%	30.70%	1.62%	10.26%	-27.80%	1.49%	13.90%	29.81%	-24.29%	38.86%
SKSEX AMG GW&K Small Cap Value Fund	23.79%	-4.50%	10.60%	17.49%	-15.36%	33.22%	3.30%	38.26%	-18.98%	8.39%

Correlation

The correlation between TCMIX and SKSEX is 0.60, 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	0.60
Correlation (3Y) Calculated over the trailing 3-year period	0.61
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.60
Correlation (All Time) Calculated using the full available price history since Jan 3, 2013	0.60

The correlation between TCMIX and SKSEX has been stable across timeframes, ranging from 0.59 to 0.64 - a consistent structural relationship.

Return for Risk

TCMIX vs. SKSEX — Risk / Return Rank

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

TCMIX

TCMIX Risk / Return Rank: 10
TCMIX Sharpe Ratio Rank: 9
TCMIX Sortino Ratio Rank: 10
TCMIX Omega Ratio Rank: 9
TCMIX Calmar Ratio Rank: 10
TCMIX Martin Ratio Rank: 11

SKSEX

SKSEX Risk / Return Rank: 32
SKSEX Sharpe Ratio Rank: 27
SKSEX Sortino Ratio Rank: 25
SKSEX Omega Ratio Rank: 30
SKSEX Calmar Ratio Rank: 44
SKSEX Martin Ratio Rank: 32

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.

TCMIX vs. SKSEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AMG TimesSquare International Small Cap Fund (TCMIX) and AMG GW&K Small Cap Value Fund (SKSEX). 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.

	TCMIX	SKSEX	Difference
Sharpe ratio: Return per unit of total volatility	0.51	1.12	-0.61
Sortino ratio: Return per unit of downside risk	0.83	1.56	-0.73
Omega ratio: Gain probability vs. loss probability	1.10	1.22	-0.12
Calmar ratio: Return relative to maximum drawdown	0.66	2.02	-1.37
Martin ratio: Return relative to average drawdown	2.08	5.62	-3.54

TCMIX vs. SKSEX - Sharpe Ratio Comparison

The current TCMIX Sharpe Ratio is 0.51, which is lower than the SKSEX Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of TCMIX and SKSEX, 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

TCMIX vs. SKSEX - Drawdown Comparison

The maximum TCMIX drawdown since its inception was -43.86%, smaller than the maximum SKSEX drawdown of -65.26%. Use the drawdown chart below to compare losses from any high point for TCMIX and SKSEX.

Drawdown Indicators

	TCMIX	SKSEX	Difference
Max Drawdown Largest peak-to-trough decline	-43.86%	-65.26%	+21.40%
Max Drawdown (1Y) Largest decline over 1 year	-12.31%	-10.83%	-1.48%
Max Drawdown (3Y) Largest decline over 3 years	-14.05%	-26.39%	+12.34%
Max Drawdown (5Y) Largest decline over 5 years	-43.42%	-26.39%	-17.03%
Max Drawdown (10Y) Largest decline over 10 years	-43.86%	-49.36%	+5.50%
Current Drawdown Current decline from peak	-3.45%	-2.44%	-1.01%
Average Drawdown Average peak-to-trough decline	-12.12%	-9.21%	-2.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.88%	3.88%	0.00%

Volatility

TCMIX vs. SKSEX - Volatility Comparison

AMG TimesSquare International Small Cap Fund (TCMIX) has a higher volatility of 5.53% compared to AMG GW&K Small Cap Value Fund (SKSEX) at 4.53%. This indicates that TCMIX's price experiences larger fluctuations and is considered to be riskier than SKSEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TCMIX	SKSEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.53%	4.53%	+1.00%
Volatility (6M) Calculated over the trailing 6-month period	13.27%	12.97%	+0.30%
Volatility (1Y) Calculated over the trailing 1-year period	15.76%	19.52%	-3.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.03%	21.39%	-4.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.29%	24.38%	-7.09%

TCMIX vs. SKSEX - Expense Ratio Comparison

TCMIX has a 1.00% expense ratio, which is lower than SKSEX's 1.15% expense ratio.

Dividends

TCMIX vs. SKSEX - Dividend Comparison

TCMIX's dividend yield for the trailing twelve months is around 1.08%, while SKSEX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
TCMIX AMG TimesSquare International Small Cap Fund	1.08%	1.15%	3.10%	1.98%	1.14%	1.27%	0.10%	1.77%	1.40%	0.89%	1.95%	5.03%

Frequently Asked Questions

Can I hold both TCMIX and SKSEX in my portfolio?

TCMIX and SKSEX have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TCMIX or SKSEX?

TCMIX has higher volatility (5.53%) compared to SKSEX (4.53%). In terms of maximum drawdown, TCMIX dropped -43.86% vs SKSEX's -65.26%.

Which has better risk-adjusted returns?

SKSEX currently has the higher Sharpe Ratio (1.12 vs 0.51), 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.