TVAFX vs. SSEYX

Last updated Jun 20, 2026

TVAFX (Thornburg Small/Mid Cap Core Fund) and SSEYX (State Street Equity 500 Index II Portfolio) are both Large Cap Blend Equities funds. Over the past 10 years, TVAFX returned 8.82%/yr vs 15.49%/yr for SSEYX. Their correlation of 0.87 suggests significant overlap in exposure. TVAFX charges 1.31%/yr vs 0.02%/yr for SSEYX.

Performance

TVAFX vs. SSEYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Thornburg Small/Mid Cap Core Fund (TVAFX) and State Street Equity 500 Index II Portfolio (SSEYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with TVAFX having a 10.35% return and SSEYX slightly lower at 10.19%. Over the past 10 years, TVAFX has underperformed SSEYX with an annualized return of 8.82%, while SSEYX has yielded a comparatively higher 15.49% annualized return.

TVAFX

• 1D: -0.03%
• 1M: 0.58%
• YTD: 10.35%
• 6M: 9.10%
• 1Y: 14.74%
• 3Y*: 12.73%
• 5Y*: 4.40%
• 10Y*: 8.82%

SSEYX

• 1D: 1.08%
• 1M: 0.47%
• YTD: 10.19%
• 6M: 9.68%
• 1Y: 26.84%
• 3Y*: 20.87%
• 5Y*: 14.02%
• 10Y*: 15.49%

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

TVAFX vs. SSEYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TVAFX Thornburg Small/Mid Cap Core Fund	10.35%	-0.93%	19.41%	13.14%	-19.55%	13.45%	11.84%	28.88%	-9.70%	23.33%
SSEYX State Street Equity 500 Index II Portfolio	10.19%	17.52%	25.01%	26.29%	-18.18%	28.58%	18.28%	31.42%	-4.54%	21.72%

Correlation

The correlation between TVAFX and SSEYX is 0.76, 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	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.86
Correlation (All Time) Calculated using the full available price history since Aug 14, 2014	0.87

The correlation between TVAFX and SSEYX shifts across timeframes, from 0.76 (1 year) to 0.87 (all time), reflecting how their relationship changes across market environments.

Return for Risk

TVAFX vs. SSEYX — Risk / Return Rank

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

TVAFX

TVAFX Risk / Return Rank: 17
TVAFX Sharpe Ratio Rank: 13
TVAFX Sortino Ratio Rank: 14
TVAFX Omega Ratio Rank: 13
TVAFX Calmar Ratio Rank: 22
TVAFX Martin Ratio Rank: 21

SSEYX

SSEYX Risk / Return Rank: 65
SSEYX Sharpe Ratio Rank: 63
SSEYX Sortino Ratio Rank: 57
SSEYX Omega Ratio Rank: 59
SSEYX Calmar Ratio Rank: 67
SSEYX Martin Ratio Rank: 78

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.

TVAFX vs. SSEYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Thornburg Small/Mid Cap Core Fund (TVAFX) and State Street Equity 500 Index II Portfolio (SSEYX). 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.

	TVAFX	SSEYX	Difference
Sharpe ratio: Return per unit of total volatility	0.93	2.14	-1.21
Sortino ratio: Return per unit of downside risk	1.40	2.90	-1.49
Omega ratio: Gain probability vs. loss probability	1.17	1.39	-0.22
Calmar ratio: Return relative to maximum drawdown	1.59	3.00	-1.41
Martin ratio: Return relative to average drawdown	4.82	13.58	-8.76

TVAFX vs. SSEYX - Sharpe Ratio Comparison

The current TVAFX Sharpe Ratio is 0.93, which is lower than the SSEYX Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of TVAFX and SSEYX, 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

TVAFX vs. SSEYX - Drawdown Comparison

The maximum TVAFX drawdown since its inception was -59.41%, which is greater than SSEYX's maximum drawdown of -33.75%. Use the drawdown chart below to compare losses from any high point for TVAFX and SSEYX.

Drawdown Indicators

	TVAFX	SSEYX	Difference
Max Drawdown Largest peak-to-trough decline	-59.41%	-33.75%	-25.66%
Max Drawdown (1Y) Largest decline over 1 year	-9.42%	-8.88%	-0.54%
Max Drawdown (3Y) Largest decline over 3 years	-28.38%	-18.74%	-9.64%
Max Drawdown (5Y) Largest decline over 5 years	-46.05%	-24.52%	-21.53%
Max Drawdown (10Y) Largest decline over 10 years	-46.05%	-33.75%	-12.30%
Current Drawdown Current decline from peak	-14.97%	-1.35%	-13.62%
Average Drawdown Average peak-to-trough decline	-13.67%	-4.08%	-9.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.11%	1.96%	+1.15%

Volatility

TVAFX vs. SSEYX - Volatility Comparison

The current volatility for Thornburg Small/Mid Cap Core Fund (TVAFX) is 3.67%, while State Street Equity 500 Index II Portfolio (SSEYX) has a volatility of 4.76%. This indicates that TVAFX experiences smaller price fluctuations and is considered to be less risky than SSEYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TVAFX	SSEYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.67%	4.76%	-1.09%
Volatility (6M) Calculated over the trailing 6-month period	11.85%	9.89%	+1.96%
Volatility (1Y) Calculated over the trailing 1-year period	16.10%	12.45%	+3.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.93%	17.00%	+11.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.65%	18.11%	+6.54%

TVAFX vs. SSEYX - Expense Ratio Comparison

TVAFX has a 1.31% expense ratio, which is higher than SSEYX's 0.02% expense ratio.

Dividends

TVAFX vs. SSEYX - Dividend Comparison

TVAFX has not paid dividends to shareholders, while SSEYX's dividend yield for the trailing twelve months is around 1.26%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SSEYX State Street Equity 500 Index II Portfolio	1.26%	1.38%	1.93%	1.46%	1.57%	2.48%	3.63%	2.36%	5.91%	5.37%	2.29%	3.47%
TVAFX Thornburg Small/Mid Cap Core Fund	0.00%	0.00%	0.00%	0.00%	0.05%	36.39%	0.00%	0.35%	0.47%	0.53%	0.34%	0.00%

Frequently Asked Questions

Can I hold both TVAFX and SSEYX in my portfolio?

TVAFX and SSEYX have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TVAFX or SSEYX?

SSEYX has higher volatility (4.76%) compared to TVAFX (3.67%). In terms of maximum drawdown, TVAFX dropped -59.41% vs SSEYX's -33.75%.

Which has better risk-adjusted returns?

SSEYX currently has the higher Sharpe Ratio (2.14 vs 0.93), 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.