Research & Whitepapers

Great Minds at Work

Parametric is widely recognized as a leader in quantitative research and structured portfolio management. Below are just a few examples of the work Parametric regularly produces.

Commodities
Accept No Substitutes: Why Natural Resource Stocks Are a Bad Way to Get Commodity Exposure
Author: Timothy Atwill
Proxy Battle: Emerging Markets Are Not a Substitute for Commodities
Author: Timothy Atwill
Commodity Exposure Through Swaps: Risk & Cost Considerations
Author: Timothy Atwill
Structured Commodity: A Disciplined Approach to Commodity Investing
Author: Timothy Atwill
Commodity Investing: Indexes Are Not Your Friends
Author: Timothy Atwill
Fool Me Twice…
Author: Timothy Atwill

Currency
From Hero to Zero: Why Do People Fear a Decline in the US Dollar?
Author: Timothy Atwill
Structured Currency: A Disciplined Approach to Global Currency Investing
Author: Timothy Atwill

Emerging Markets
Frontier Markets:
An Emerging Opportunity for Diversifying Risks and Returns
Author: Joe Wawrzaszek, Hemambara Vadlamudi
A 10-Year Examination of Active Investment In Emerging Markets: Can Active Managers Utilize Market Inefficiencies Cost Effectively?
Author: Sam Pittman, Matthew Kirk, Brian Dillon
Diversifying and Rebalancing Emerging Market Countries
Author: David Stein, Vassilii Nemtchinov, Sam Pittman
Published in: The Journal of Wealth Management, Spring 2009
Emerging Markets: Portfolio Structuring to Capture Long Term Growth
Author: David M. Stein and Tom Seto

Taxable Portfolio Management
Is Your Alpha Big Enough To Cover Its Taxes? Revisited
Author: Robert D. Arnott, Andrew L. Berkin, and Paul Bouchey
Published In: Investments & Wealth Monitor, January/February 2011
Building Better Beta
Author: Tyson Alexander
Tax Efficient Investing Theory and Practice 2010
Author: Paul Bouchey
Simulating Loss Harvesting Opportunities Under Different Tax Environments
Author: Paul Bouchey, Hemambara Vadlamudi
Pay Now or Later − Making Investment Decisions in a Changing Tax Environment
Author: David M. Stein, Robert Breshock, Paul Bouchey
Enhancing Active Tax-Management through the Realization of Capital Gains
Author: David M. Stein, Hemambara Vadlamudi, Paul Bouchey
Published In: The Journal of Wealth Management, Spring 2008, Vol. 10, No. 4
Equity Portfolio Structure and Design in the Presence of Taxes
Author: David M. Stein Published In: The Journal of Wealth Management, Fall 2001, Vol. 4, No. 2
Of Passive and Active Equity Portfolios in the Presence of Taxes
Author: David M. Stein and Premkumar Narasimhan
Published In: The Journal of Private Portfolio Management, Fall 1999, Vol. 2 No. 2
Equity Portfolio Structure and Design: When the Whole is less than the Sum of its Parts
Author: David M. Stein
Optimal Allocation of a Taxable Core and Satellite Portfolio Structure
Author: Cliff Quisenberry
Investment Management for Taxable Investors
Author: David M. Stein, James P. Garland
Published In: The Handbook of Portfolio Management, Frank Fabozzi, (ed.) 1998
Equity Portfolio Management for Taxable Investors
Author: David M. Stein
Published In: The Cutting Edge, Top Thinking In Investment Planning, Harold Evesnky and Deena Katz
Parametric Tax-Managed Core / Portfolio Management Overview
Author: David M. Stein
Enhanced Tax Rate Management: Expanding Loss Harvesting to Offset Short-Term Capital Gains
Author: David M. Stein
Diversification in the Presence of Taxes
Author: David M. Stein

Active and Passive Investing
Active and Passive Arguments: In Search of an Optimal Investment Experience
Author: David M. Stein
Introducing Tracking Error
Author: David M. Stein
Using Statistical Process Control to Monitor Active Managers
Author: Thomas K. Philips, Emmanuel Yashchin and David M. Stein
Published In: The Journal of Portfolio Management, Fall 2003
Optimal Allocation of a Taxable Core and Satellite Portfolio Structure
Author: Cliff Quisenberry
Cap-Weighted Indexing Revisited: Indexing Is Not a Momentum Play
Author: David M. Stein
Published In: The Journal of Wealth Management, Winter 2001, Vol. 4 No. 3

Overlay
The Value of Overlay Portfolio Management Within a UMA − Summer 2009
Author: Steve Kauffman
Full Discretionary Overlay vs. Platform Technology Overlay
Author: Steve Kleyn
The Value of Overlay Portfolio Management Within a UMA − Summer 2008
Author: Steve Kauffman
Overlay Portfolio Management in a Multi-Manager Account
Author: David M. Stein and Greg McIntire

After-Tax Reporting
After-Tax Returns: Methodology for Computing
Author: David M. Stein
Reporting After-Tax Returns: A Pragmatic Approach
Author: David M. Stein, Brian D. Langstraat and Premkumar Narasimhan
Published In: Journal of Private Portfolio Management, Spring 1999, Vol. 1 No. 4
Measuring and Evaluating Portfolio Performance After Taxes
Author: David M. Stein
Published In: The Journal of Portfolio Management, Winter 1998, Vol. 24 No. 2
The Value of Tax Efficient Investments: An Analysis of After-Tax Mutual Fund and Index Returns
Author: Geoff Longmeier, Gordon Wotherspoon
Published In: The Journal of Wealth Management, Summer 2006