TSMDX vs. SPY
Compare and contrast key facts about Trillium ESG Small/Mid Cap Fund (TSMDX) and State Street SPDR S&P 500 ETF (SPY).
TSMDX is managed by Trillium Mutual Funds. It was launched on Aug 31, 2015. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Performance
TSMDX vs. SPY - Performance Comparison
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TSMDX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TSMDX Trillium ESG Small/Mid Cap Fund | -6.73% | 7.85% | 7.73% | 9.42% | -17.85% | 23.18% | 15.93% | 25.84% | -13.14% | 18.99% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, TSMDX achieves a -6.73% return, which is significantly lower than SPY's -4.37% return. Over the past 10 years, TSMDX has underperformed SPY with an annualized return of 7.55%, while SPY has yielded a comparatively higher 13.98% annualized return.
TSMDX
- 1D
- -2.06%
- 1M
- -9.77%
- YTD
- -6.73%
- 6M
- -3.30%
- 1Y
- 8.09%
- 3Y*
- 4.16%
- 5Y*
- 1.44%
- 10Y*
- 7.55%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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TSMDX vs. SPY - Expense Ratio Comparison
TSMDX has a 1.36% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
TSMDX vs. SPY — Risk / Return Rank
TSMDX
SPY
TSMDX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Trillium ESG Small/Mid Cap Fund (TSMDX) and State Street SPDR S&P 500 ETF (SPY). 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.
| TSMDX | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.40 | 0.93 | -0.53 |
Sortino ratioReturn per unit of downside risk | 0.74 | 1.45 | -0.71 |
Omega ratioGain probability vs. loss probability | 1.10 | 1.22 | -0.13 |
Calmar ratioReturn relative to maximum drawdown | -0.08 | 1.53 | -1.60 |
Martin ratioReturn relative to average drawdown | -0.25 | 7.30 | -7.55 |
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
| TSMDX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.40 | 0.93 | -0.53 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.08 | 0.69 | -0.61 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.37 | 0.78 | -0.41 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.34 | 0.56 | -0.23 |
Correlation
The correlation between TSMDX and SPY is 0.82, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
TSMDX vs. SPY - Dividend Comparison
TSMDX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.14%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
TSMDX vs. SPY - Drawdown Comparison
The maximum TSMDX drawdown since its inception was -40.15%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TSMDX and SPY.
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Drawdown Indicators
| TSMDX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.15% | -55.19% | +15.04% |
Max Drawdown (1Y)Largest decline over 1 year | -13.33% | -12.05% | -1.28% |
Max Drawdown (5Y)Largest decline over 5 years | -27.54% | -24.50% | -3.04% |
Max Drawdown (10Y)Largest decline over 10 years | -40.15% | -33.72% | -6.43% |
Current DrawdownCurrent decline from peak | -11.65% | -6.24% | -5.41% |
Average DrawdownAverage peak-to-trough decline | -7.71% | -9.09% | +1.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.71% | 2.52% | +4.19% |
Volatility
TSMDX vs. SPY - Volatility Comparison
The current volatility for Trillium ESG Small/Mid Cap Fund (TSMDX) is 3.90%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that TSMDX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TSMDX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.90% | 5.31% | -1.41% |
Volatility (6M)Calculated over the trailing 6-month period | 10.83% | 9.47% | +1.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.38% | 19.05% | +3.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.43% | 17.06% | +2.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.62% | 17.92% | +2.70% |