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.

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*
$560m
Holdings
65-80
% Top 10 Holdings
35.24%
Initial Position Sizes
0-5%
Target Tracking Error
3-4%
Sector Deviation +/-
<5%
Annual Turnover
20-40%
* Strategy Assets are supplemental
Equity Characteristics
as of 6/30/22
ESG Large Cap Core
S&P 500
Market Capitalization
(weighted avg. billions)
$451.19
$483.55
P/E (FTM EST)
17.8x
16x
Price/Book
4.3x
3.5x
Est. 3-5 Yr. EPS Growth
12.71%
12.21%
Dividend Yield
1.53%
1.63%
LT Debt/Capital
42.89%
43.28%
ROIC
19.36%
18.80%
Sector Allocation vs. Benchmark
as of 6/30/22
ESG Large Cap Core
S&P 500
Information Technology
27.9%
26.8%
Health Care
17.0%
15.1%
Consumer Discretionary
11.2%
10.5%
Financial Services
10.7%
10.8%
Industrials
9.4%
7.8%
Communication Services
7.4%
8.9%
Consumer Staples
7.1%
7.0%
Real Estate
4.4%
2.9%
Materials
2.9%
2.6%
Utilities
2.0%
3.1%
Energy
0.0%
4.4%
Sector Allocation, Equity Characteristics and Top Holdings based on a representative account as of 6/30/2022 and exclude cash.
As of 6/30/22
QTR
YTD
1 Year
3 Year
5 Year
10 Year
Inception
(1/1/2007)
Gross of Fees
-15.3%
-21.7%
-11.9%
10.7%
12.1%
12.5%
8.9%
Net of Fees
-15.4%
-21.8%
-12.3%
10.2%
11.6%
11.9%
8.2%
Benchmark - S&P 500
-16.1%
-20.0%
-10.6%
10.6%
11.3%
13.0%
8.7%
Annualized returns for ESG Large Cap Core composite through 6/30/2022. Composite inception is 1/1/2007 for the ESG Large Cap Core Composite. Please see important performance disclosures on the bottom of page. Composite assets are $245.7 million as of 6/30/2022.
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