TSMDX vs. JNVSX
TSMDX (Trillium ESG Small/Mid Cap Fund) and JNVSX (Jensen Quality Value Fund) are both Mid Cap Blend Equities funds. Over the past 10 years, TSMDX returned 8.62%/yr vs 10.77%/yr for JNVSX. Their correlation of 0.85 suggests significant overlap in exposure. TSMDX charges 1.36%/yr vs 1.05%/yr for JNVSX.
Performance
TSMDX vs. JNVSX - Performance Comparison
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Returns By Period
In the year-to-date period, TSMDX achieves a 8.94% return, which is significantly higher than JNVSX's 1.82% return. Over the past 10 years, TSMDX has underperformed JNVSX with an annualized return of 8.62%, while JNVSX has yielded a comparatively higher 10.77% annualized return.
TSMDX
- 1D
- -0.34%
- 1M
- 1.19%
- 6M
- 5.83%
- YTD
- 8.94%
- 1Y
- 14.76%
- 3Y*
- 7.95%
- 5Y*
- 3.88%
- 10Y*
- 8.62%
JNVSX
- 1D
- 0.30%
- 1M
- 1.44%
- 6M
- -1.13%
- YTD
- 1.82%
- 1Y
- -1.55%
- 3Y*
- 4.52%
- 5Y*
- 8.55%
- 10Y*
- 10.77%
TSMDX vs. JNVSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TSMDX Trillium ESG Small/Mid Cap Fund | 8.94% | 7.85% | 7.73% | 9.42% | -17.85% | 23.18% | 15.93% | 25.84% | -13.14% | 18.99% |
JNVSX Jensen Quality Value Fund | 1.82% | -2.58% | 9.40% | 18.58% | -15.83% | 60.71% | 14.79% | 27.58% | -9.03% | 15.08% |
Correlation
The correlation between TSMDX and JNVSX is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.50 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.69 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Sep 3, 2015 | 0.85 |
Over the past year, the correlation between TSMDX and JNVSX has dropped to 0.50 - well below their long-term average of 0.85, suggesting their price drivers have been diverging.
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Return for Risk
TSMDX vs. JNVSX — Risk / Return Rank
TSMDX
JNVSX
TSMDX vs. JNVSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Trillium ESG Small/Mid Cap Fund (TSMDX) and Jensen Quality Value Fund (JNVSX). 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.
| TSMDX | JNVSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.23 | ||
| Sortino ratioReturn per unit of downside risk | +1.82 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 0.99 | +0.20 |
| Calmar ratioReturn relative to maximum drawdown | 1.46 | -0.14 | +1.60 |
| Martin ratioReturn relative to average drawdown | 5.42 | -0.25 | +5.68 |
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Drawdowns
TSMDX vs. JNVSX - Drawdown Comparison
The maximum TSMDX drawdown since its inception was -40.15%, which is greater than JNVSX's maximum drawdown of -34.52%. Use the drawdown chart below to compare losses from any high point for TSMDX and JNVSX.
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Drawdown Indicators
| TSMDX | JNVSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.15% | -34.52% | -5.63% |
Max Drawdown (1Y)Largest decline over 1 year | -11.65% | -10.42% | -1.23% |
Max Drawdown (3Y)Largest decline over 3 years | -23.21% | -17.43% | -5.78% |
Max Drawdown (5Y)Largest decline over 5 years | -27.54% | -24.56% | -2.98% |
Max Drawdown (10Y)Largest decline over 10 years | -40.15% | -34.52% | -5.63% |
Current DrawdownCurrent decline from peak | -1.87% | -6.87% | +5.00% |
Average DrawdownAverage peak-to-trough decline | -7.58% | -5.20% | -2.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.91% | 5.72% | -2.81% |
Volatility
TSMDX vs. JNVSX - Volatility Comparison
Trillium ESG Small/Mid Cap Fund (TSMDX) has a higher volatility of 4.60% compared to Jensen Quality Value Fund (JNVSX) at 3.71%. This indicates that TSMDX's price experiences larger fluctuations and is considered to be riskier than JNVSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TSMDX | JNVSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.60% | 3.71% | +0.89% |
Volatility (6M)Calculated over the trailing 6-month period | 10.90% | 9.54% | +1.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.33% | 12.93% | +2.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.53% | 20.48% | -0.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.57% | 19.17% | +1.40% |
TSMDX vs. JNVSX - Expense Ratio Comparison
TSMDX has a 1.36% expense ratio, which is higher than JNVSX's 1.05% expense ratio.
Dividends
TSMDX vs. JNVSX - Dividend Comparison
TSMDX has not paid dividends to shareholders, while JNVSX's dividend yield for the trailing twelve months is around 11.05%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JNVSX Jensen Quality Value Fund | 11.05% | 11.31% | 6.15% | 0.56% | 2.69% | 22.40% | 1.27% | 5.13% | 6.15% | 4.14% | 1.34% | 17.62% |
TSMDX Trillium ESG Small/Mid Cap Fund | 0.00% | 0.00% | 6.29% | 2.47% | 2.80% | 2.24% | 0.12% | 4.62% | 5.09% | 1.72% | 1.57% | 0.00% |
Frequently Asked Questions
TSMDX and JNVSX have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TSMDX has higher volatility (4.60%) compared to JNVSX (3.71%). In terms of maximum drawdown, TSMDX dropped -40.15% vs JNVSX's -34.52%.
TSMDX currently has the higher Sharpe Ratio (1.12 vs -0.11), 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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