ESG Small/MiD cap Core

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Strategies >Equity Strategies >ESG Small/Mid Cap Core

ESG Small/Mid Cap Core invests in small and mid cap stocks that are well-diversified across economic sectors and meet Trillium’s sustainability criteria.

Overview
Portfolio
Performance
Documents
Strategy Overview

Invests in small and mid 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

Laura McGonagle, CFA
Laura McGonagle, CFA
Lead Portfolio Manager
Bio >
Mitali Prasad, CFA
Mitali Prasad, CFA
Portfolio Manager
Bio >
Benchmark
Russell 2500®
Inception Date
2001
Strategy Assets*
$429m
Holdings
60-80
% Top 10 Holdings
24.48%
Initial Position Size
0-5%
Tracking Error
4-5%
Sector Deviation +/-
<3%
Annual Turnover
20-40%
Vehicle Type
Mutual Fund
Separate Account**
* 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 Small/Mid
Cap Core
Russell 2500®
Market Capitalization
(weighted avg. billions)
$10.94
$7.45
P/E (FTM EST)
20.9x
20.4x
ROE
14.56%
11.15%
Est. 3-5 Yr. EPS Growth
11.25%
11.75%
Price/Book
3.3x
2.3x
LT Debt/Capital
39.65%
39.46%
Sector Allocation vs. Benchmark
as of 9/30/24
ESG Small/Mid 
Cap Core
Russell 2500®
Industrials
20.9%
18.8%
Financials
15.4%
16.1%
Information Technology
13.6%
12.8%
Consumer Discretionary
12.7%
13.3%
Health Care
11.9%
12.8%
Real Estate
8.5%
7.3%
Consumer Staples
7.2%
3.2%
Materials
5.9%
6.1%
Communication Services
2.1%
2.4%
Utilities
1.9%
2.6%
Energy
0.0%
4.5%
Sector Allocation, Equity Characteristics and Top Holdings based on a representative account as of 9/30/2024 and exclude cash.
Performance
As of 9/30/24
QTR
YTD
1 Year
3 Year
10 Year
GIPS Inception
(1/1/2007)
Gross of Fees
6.4%
-5.0%
-0.1%
4.3%
10.7%
8.5%
Net of Fees
6.3%
-5.3%
-0.5%
3.9%
10.2%
7.9%
S&P 1000
4.3%
-10.6%
-4.0%
1.9%
10.5%
7.7%
Russell 2500
5.9%
-5.8%
2.2%
4.5%
12.0%
7.4%
Annualized returns for Small/Mid Cap Core composite through 09/30/2020. GIPS composite inception is 1/1/2007 for the Small/Mid Cap Core Composite. Please see important performance disclosures at the bottom of this page. Composite assets are $95.2 million as of 09/30/2020.
QTR
YTD
1 Year
3 Year
5 Year
10 Year
Inception
(1/1/2007)
Gross of Fees
5.7%
8.4%
21.5%
2.1%
8.9%
8.9%
9.1%
Net of Fees
5.3%
7.2%
19.7%
0.6%
7.3%
7.3%
7.8%
S&P 1000
13.4%
3.2%
13.9%
12.0%
5.2%
8.7%
8.4%
Russell 2500
8.7%
11.3%
26.2%
3.5%
10.4%
9.5%
8.5%
The benchmark changed from the S&P 1000 to the Russell 2500, since inception, effective September 30, 2023. Annualized time-weighted returns for ESG Small/Mid Cap Core composite through 9/30/2024. Time periods less than one year are not annualized. The ESG Small/Mid Cap Core Composite was created on August 28, 2011 and has an inception date of January 1, 2007. Composite Assets are $179.1 million as of 9/30/2024. Past performance is no guarantee of future returns. 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 Small/Mid Cap Core Composite was created on August 28th 2011 and has an inception date of January 1, 2007, and includes all discretionary portfolios managed in the ESG Small/Mid Cap Core style. The U.S. Dollar is the currency used to express valuations and performance.

Trillium ESG Small/Mid Cap Core seeks to provide competitive long-term returns by investing in small and medium capitalization companies. 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 composite inception through December 31, 2012. Beginning January 1, 2013 net composite level returns are calculated by reducing the composite level gross returns by the highest fee of 1.50%. Prior to January 1, 2022, actual fees were used in calculating net returns. All net returns were changed retroactively since 2013 to reflect the highest fee (1.50%).. 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 1000 combines the S&P MidCap 400 and the S&P Small Cap 600, to form a benchmark for the small-mid cap universe of the U.S. equity market. The Russell 2500 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2500 is a subset of the Russell 3000® Index. It includes approximately 2500 of the smallest securities based on a combination of their market cap and current index membership. It is not possible to invest directly in an index.

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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