ESG Large Cap Core

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ESG Large Cap Core invests in larger cap stocks that are well-diversified across economic sectors and meet Trillium’s sustainability criteria.

Overview
Portfolio
Performance
Documents
Strategy Overview

Invests in larger cap stocks that are well-diversified across economic sectors and meet Trillium’s sustainability criteria.

Investment Process

Fundamental equity analysts, who divide coverage by sector, are responsible for providing in-depth analysis of companies and generating new buy ideas consistent with the strategy’s high quality approach, including a rigorous integrated review of financial and ESG factors. The Investment Management Committee, comprised of portfolio managers and analysts, meets periodically to review and approve recommendations to the buy-list recommended by the analysts. A strategy team, headed by the lead Portfolio Manager, rebalances the portfolio on at least a quarterly basis to identify the best subset of names from the buy-list at that particular point of time. The team leverages an optimization process that helps monitor and control portfolio characteristic exposures while overweighting companies based on a proprietary alpha score that includes an analyst rating. In this sense, the strategy is fundamentally driven, but quantitatively assisted.

Contact Information

Tom Simunovic
Tom Simunovic
ESG Investment Strategy Specialist and Relationship Manager
tsimunovic@trilliuminvest.com617-532-6673

Portfolio Managers

Cheryl Smith, CFA, PhD
Cheryl Smith, CFA, PhD
Lead Portfolio Manager
Bio >
Elizabeth Levy, CFA
Elizabeth Levy, CFA
Portfolio Manager
Bio >
Mitali Prasad, CFA
Mitali Prasad, CFA
Portfolio Manager
Bio >
Benchmark
S&P 500
Inception Date
1994
Strategy Assets*
$683m
Holdings
65-80
% Top 10 Holdings
37.86%
Initial Position Sizes
0-5%
Target Tracking Error
3-4%
Sector Deviation +/-
<5%
Annual Turnover
20-40%
Vehicle Type
Separate Account**
Mutual Fund
* Strategy Assets are supplemental

** Traditional separately managed accounts as well as model delivery through intermediary partnerships.
Portfolio
Equity Characteristics
as of 9/30/24
ESG Large Cap Core
S&P 500
Market Capitalization
(weighted avg. billions)
$878.01
$999.70
P/E (FTM EST)
23.6x
21.8x
Price/Book
6.4x
4.9x
Est. 3-5 Yr. EPS Growth
14.57%
13.07%
Dividend Yield
1.08%
1.26%
LT Debt/Capital
39.23%
40.58%
ROIC
23.84%
21.92%
Sector Allocation vs. Benchmark
as of 9/30/24
ESG Large Cap Core
S&P 500
Information Technology
30.3%
31.7%
Financials
12.2%
12.9%
Health Care
12.1%
11.6%
Industrials
10.4%
8.5%
Consumer Discretionary
8.8%
10.1%
Communication Services
8.2%
8.9%
Consumer Staples
7.2%
5.9%
Materials
4.6%
2.2%
Real Estate
4.1%
2.3%
Utilities
2.0%
2.5%
Energy
0.0%
3.3%
Sector Allocation, Equity Characteristics and Top Holdings based on a representative account as of 9/30/24 and exclude cash.
Performance
As of 9/30/24
QTR
YTD
1 Year
3 Year
5 Year
10 Year
Inception
(1/1/2007)
Gross of Fees
3.4%
19.3%
34.0%
9.4%
14.7%
12.3%
10.2%
Net of Fees
3.3%
18.8%
33.4%
8.9%
14.2%
11.7%
9.6%
Benchmark - S&P 500
5.9%
22.1%
36.4%
11.9%
16.0%
13.4%
10.4%
Annualized time-weighted returns for ESG Large Cap Core composite through 9/30/2024. Time periods less than one year are not annualized. The ESG Large Cap Core Composite was created on September 14, 2011 and has an inception date of January 1, 2007. Composite Assets are $365.3 million as of 9/30/2024. Past performance is no guarantee of future results. Every investment carries the potential for both profit and loss. IMPORTANT: Please see important performance disclosures below.

Trillium Asset Management, LLC (Trillium) claims compliance with the Global Investment Performance Standards (GIPS®). Trillium is an investment advisor registered with the Securities and Exchange Commission under the Investment Advisors act of 1940. For the purposes of establishing and maintaining compliance with the GIPS standards, the firm has elected to define itself exclusive of wrap fee assets under management historically until 10/1/2013. Effective 10/1/2013 the firm has redefined itself to include wrap-fee assets under management. Previously, the firm included only institutional and high net worth accounts. The firm was redefined to include the wrap-fee business to reflect all business lines managed by the organization.

The ESG Large Cap Core Composite was created on September 14, 2011 and has an inception date of January 1, 2007, and includes all discretionary portfolios managed in the ESG Large Cap Core style. The U.S. Dollar is the currency used to express valuations and performance.

Trillium Large Cap Core seeks to provide competitive long-term returns by investing in primarily large capitalization companies that are well diversified across economic sectors. Time-weighted returns are presented for all periods net of trading costs and both net and gross of management fees, includes the reinvestment of all income, and is vested and calculated on a trade date basis. Net-of-fee performance is calculated using actual management  fees. Individual performance will vary from that of the composite.

Lists, descriptions, and GIPS Reports are available upon request for all Trillium performance composites.

The S&P Indices are widely recognized, unmanaged indices of common stock.It is not possible to invest directly in an index. The S&P 500 Index is recognized as a gauge of the large cap U.S. equities market.

Past performance is no guarantee of future results. Every investment carries the potential for both profit and loss. The strategy’s ESG policy could cause it to make or avoid investments that could result in the strategy underperforming similar strategies that do not have an ESG policy.  

Investments in smaller and medium companies generally carry greater risk than is customarily associated with larger companies for various reasons, such as narrower markets, limited financial resources and less liquid stock.

GIPS® is a registered trademark of CFA Institute.  CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.

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