Parametric Knowledge Center

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.

Taxable Portfolio Management
Prepare For Higher Tax Rates: Pay Now, or Later? Revisited
Author: Rey Santodomingo
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
 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
Published In: The Journal of Wealth Management, Summer 2003, Vol. 6 No. 1
 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
Published In: The Journal of Wealth Management, Fall 2000, Vol. 27 No. 1

Commodities
 When All You Have is a Hammer: Fixed Income Managers and Commodities
Author: Timothy Atwill
Accept No Substitutes:
Why Natural Resource Stocks Are a Bad Way to Get Commodity Exposure
Author: Timothy Atwill
Published In: The Journal of Wealth Management, Spring 2012, Vol. 14 No. 4
 Proxy Battle: Emerging Markets Are Not a Substitute for Commodities
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
 Volatility Harvesting in Emerging Markets
Author: Paul Bouchey
 Frontier Markets:
An Emerging Opportunity for Diversifying Risks and Returns
Author: Joe Wawrzaszek, Hemambara Vadlamudi
Published in: The Journal of Investment Consulting, Vol. 12 No. 1, 2011
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, Vol. 11 No. 4
Emerging Markets: Portfolio Structuring to Capture Long Term Growth
Author: David M. Stein and Tom Seto

Options Strategies
Tail Risk Strategies: Options Strategies: An Alternative to Expensive Complex Tactics
Parametric Research Brief

Active and Passive Investing
 Active and Passive Arguments: In Search of an Optimal Investment Experience
Author: David M. Stein
Published In: The Journal of Wealth Management, Winter 2003, Vol. 6 No. 3
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, Vol. 30 No. 1
 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 Management
 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
Published In: The Journal of Wealth Management, Spring 2003, Vol. 5 No. 4

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, Vol. 9 No. 2