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

Impact

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

ESG Investment Strategy Specialist and Relationship Manager

tsimunovic@trilliuminvest.com617-532-6673

Portfolio Managers

Laura McGonagle, CFA

Lead Portfolio Manager

Bio >

Mitali Prasad, CFA

Portfolio Manager

Bio >

Benchmark

Russell 2500^®

Inception Date

2001

Strategy Assets*

$407m

Holdings

60-80

% Top 10 Holdings

23.88%

Initial Position Size

0-5%

Target 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 12/31/23

ESG Small/Mid
Cap Core

Russell 2500^®

Market Capitalization
(weighted avg. billions)

$10.08

$6.93

P/E (FTM EST)

19.4x

19.1x

ROE

17.68%

11.10%

Est. 3-5 Yr. EPS Growth

12.85%

10.31%

Price/Book

2.9x

2.3x

LT Debt/Capital

42.75%

40.25%

Sector Allocation vs. Benchmark

as of 12/31/23

ESG Small/Mid 
Cap Core

Russell 2500^®

Industrials

20.9%

19.4%

Financials

16.1%

16.3%

Consumer Discretionary

14.3%

13.5%

Information Technology

13.1%

14.0%

Health Care

10.0%

12.1%

Consumer Staples

7.6%

3.1%

Real Estate

7.5%

7.4%

Materials

5.8%

5.5%

Utilities

2.7%

2.7%

Communication Services

1.9%

1.8%

Energy

0.0%

4.3%

Sector Allocation, Equity Characteristics and Top Holdings based on a representative account as of 12/31/2023 and exclude cash.

Performance

As of 12/31/23

.

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

12.0%

10.3%

10.3%

4.4%

11.2%

8.3%

9.0%

Net of Fees

11.6%

8.7%

8.7%

2.8%

9.6%

6.7%

7.7%

S&P 1000

13.4%

3.2%

13.9%

12.0%

5.2%

8.7%

8.4%

Russell 2500

13.4%

17.4%

17.4%

4.2%

11.7%

8.4%

8.2%

The benchmark changed from the S&P 1000 to the Russell 2500, since inception, effective December 31, 2023. Annualized time-weighted returns for ESG Small/Mid Cap Core composite through 12/31/2023. 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 $174 million as of 12/31/2023. 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.

Documents

Fact Sheet

Quarterly Commentary

Impact Report

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 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. 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 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.