ESG Large Cap Core

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

Impact

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

ESG Investment Strategy Specialist and Relationship Manager

tsimunovic@trilliuminvest.com617-532-6673

Portfolio Managers

Cheryl Smith, CFA, PhD

Lead Portfolio Manager

Bio >

Elizabeth Levy, CFA

Portfolio Manager

Bio >

Mitali Prasad, CFA

Portfolio Manager

Bio >

Benchmark

S&P 500

Inception Date

1994

Strategy Assets*

$552m

Holdings

65-80

% Top 10 Holdings

33.74%

Initial Position Sizes

0-5%

Target Tracking Error

3-4%

Sector Deviation +/-

<5%

Annual Turnover

20-40%

* Strategy Assets are supplemental

Portfolio

Equity Characteristics

as of 12/31/22

ESG Large Cap Core

S&P 500

Market Capitalization
(weighted avg. billions)

$392.70

$417.50

P/E (FTM EST)

18.9x

16.9x

Price/Book

4.7x

3.6x

Est. 3-5 Yr. EPS Growth

11.26%

10.90%

Dividend Yield

1.57%

1.71%

LT Debt/Capital

43.02%

44.09%

ROIC

19.78%

19.05%

Sector Allocation vs. Benchmark

as of 12/31/22

ESG Large Cap Core

S&P 500

Information Technology

27.2%

25.7%

Health Care

17.8%

15.8%

Consumer Discretionary

12.1%

9.8%

Industrials

10.9%

8.7%

Financials

9.9%

11.7%

Consumer Staples

7.8%

7.2%

Communication Services

5.6%

7.3%

Real Estate

4.1%

2.7%

Materials

2.8%

2.7%

Utilities

1.9%

3.2%

Energy

0.0%

5.2%

Sector Allocation, Equity Characteristics and Top Holdings based on a representative account as of 12/31/2022 and exclude cash.

Performance

As of 12/31/22

.

QTR

YTD

1 Year

3 Year

5 Year

10 Year

Inception
(1/1/2007)

Gross of Fees

8.6%

-18.8%

-18.8%

8.3%

11.0%

12.0%

8.8%

Net of Fees

8.5%

-19.4%

-19.4%

7.8%

10.4%

11.4%

8.2%

Benchmark - S&P 500

7.6%

-18.1%

-18.1%

7.7%

9.4%

12.6%

8.6%

Annualized time-weighted returns for ESG Large Cap Core composite through 12/31/2022. 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 $217.8 million as of 12/31/2022. 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.

Environmental Impact & Analysis

Impact Report

Documents

Fact Sheet

Quarterly Commentary

Additional Information

For AdvisorsFor InstitutionsFor Private Clients

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 compliant presentations 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.