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No papers found matching the selected criteria
/-/media/Project/Parametric/Shared/Banners-and-Images/Papers/USA/2018/Case-for-Transition-Banner_2650x500.jpg
Page
Transitioning from Active to Passive? It Doesn’t Have to Be Taxing.
Rey Santodomingo
CFA
October 2018
Considering transitioning an appreciated portfolio to passive? Why doing so doesn't have to mean incurring a large realized tax gain—and why an ETF may not be the best choice.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|
Read Now
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Responsible Investing: What’s the Difference Between Screens and Integration?
Jennifer Sireklove
CFA
October 2018
Socially responsible investors have two portfolio-construction techniques to choose from. How do they differ, and which may be right for you?
Whitepaper|
Portfolio Construction and Management|Responsible Investing|
Wealth Manager|Individual Investor|
Read Now
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Improving the Odds: The Impact of Diversification on the Distribution of Excess Returns
Tim Atwill
PhD, CFA
September 2018
As the MSCI Emerging Markets Index has become increasingly concentrated at the country level, we’ve fielded a growing number of questions about our Emerging Markets Strategy's desire to maintain country-level diversification—even if it means underweighting the largest countries. To answer these questions, it’s important to revisit one of the core reasons we diversify.
Whitepaper|
Portfolio Construction and Management|Non-Traditional Alpha|
Institutional Investor|Wealth Manager|
Read Now
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Page
Tax-Management Strategies for Appreciated Portfolios
Martha Strebinger
CFA
August 2018
When you have positions with large embedded gains and few if any positions that are candidates for loss harvesting, tax-management techniques can appear to no longer offer material benefit. But that isn't game over. We look at four options to help investors navigate their tax situation.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|
Read Now
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Fossil-Free Investing
Jennifer Sireklove
CFA
August 2018
The rationale for fossil-fuel divestment ranges from simply avoiding companies with objectionable activities to attempting to positively impact the environment or send a political message to making an active call on the future of companies that own fossil-fuel reserves. Yet most investors are similarly concerned about the potential impact of this decision on a portfolio’s risk and return. In this brief we explain some of the implementation considerations of our approaches to help investors decide what best suits their needs.
Whitepaper|
Responsible Investing|Portfolio Construction and Management|
Institutional Investor|Wealth Manager|
Read Now
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Parametric International Equity: A Third Way of International Equity Investing
Tim Atwill
PhD, CFA
August 2018
The Parametric International Equity Strategy is designed to efficiently capture the long-term growth of this asset class while avoiding both the return risks of active management and the concentration risks of mainstream international equity indexes. Parametric’s approach to asset management incorporates the ideas of equal weighting, systematic rebalancing, and diversified economic sectors within countries. This paper outlines the details of our strategy, including our efforts to deemphasize those securities most correlated with global markets.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|
Read Now
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Parametric Enhanced Income Core
Alex Paulsen
August 2018
Many investors are drawn to the closed-end fund universe as a source of income. In this paper we highlight how closed-end funds may lend themselves to this aim as well as some of the potential drawbacks. We also describe an investment process designed to efficiently capture a stable income stream from the closed-end fund universe.
Whitepaper|
Income Strategies|Portfolio Construction and Management|
Wealth Manager|
Read Now
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The Origin of Opportunity in Closed-End Fund Investing
Alex Paulsen
July 2018
Closed-end funds (CEFs) offer a unique investment opportunity due to several structural features and special market dynamics. In this paper we look at how systematic management of a portfolio of CEFs may capture elevated income and total returns by exploiting inconsistent pricing within and across various asset classes.
Whitepaper|
Income Strategies|Portfolio Construction and Management|
Wealth Manager|
Read Now
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From Anomaly to Strategy: A Brief History of Factor Investing
Martha Strebinger
CFA
July 2018
Factors have radically transformed the way investors build and manage portfolios. How did we get here? In this paper we look at some of the more important milestones in factor theory and why controversy about their very nature persists.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|
Read Now
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Parametric International: Why Screen on Beta?
Tim Atwill
PhD, CFA
July 2018
The Parametric International Equity strategy seeks better exposure to developed international markets by focusing on diversification at the country, sector, and security levels. In this research brief we focus on beta not as a predictor of which stocks will enjoy higher future returns but as a portfolio construction tool that works to reduce risk and derive excess returns from diversification and rebalancing.
Whitepaper|
Portfolio Construction and Management|Better Beta|
Wealth Manager|
Read Now
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Understanding Master Limited Partnerships and Taxes
Parametric
July 2018
In the never-ending quest for yield and tax advantage, investors are increasingly turning to energy master limited partnerships (MLPs). But finding the right one isn't necessarily simple. We examine three types of arrangements.
Whitepaper|
Income Strategies|Non-Traditional Alpha|
Wealth Manager|Individual Investor|
Read Now
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To Everything There Is a Season: The Four Stages of a Tax-Managed Custom Core™ Account
Paul Bouchey
CFA
July 2018
Portfolio tax management: It's about a lot more than just tax loss harvesting. In this paper we show that there are other key opportunities to reduce tax exposure at every stage of a portfolio's life cycle.
Whitepaper|
Better Beta|Portfolio Construction and Management|
Wealth Manager|
Read Now
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Parametric Dividend Income Investing: Frequently Asked Questions
Alex Paulsen
July 2018
Neither entirely active nor passive, Parametric’s Dividend Income Strategy seeks outperformance via a transparent, rules-based portfolio that emphasizes diversification instead of return forecasts. In this paper, organized as a set of frequently asked questions, we explain traditional income-investing approaches and how our strategy differs.
Whitepaper|
Income Strategies|Portfolio Construction and Management|
Institutional Investor|Wealth Manager|
Read Now
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Using Emerging-Market ADRs in a Custom Core™ Portfolio
Martha Strebinger
CFA
June 2018
One way many of our Custom Core clients gain exposure to foreign securities is via an American Depository Receipt (ADR), which allows for ease of access to companies listed on foreign exchanges. This has proved beneficial for investors in developed markets. But what if you seek exposure to emerging markets? In this paper, we analyze the pitfalls and the opportunities.
Whitepaper|
Better Beta|Portfolio Construction and Management|
Institutional Investor|Wealth Manager|
Read Now
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Tax-Managed SMAs: Better Than ETFs?
Rey Santodomingo
CFA
June 2018
Tax-managed separately managed accounts allow greater control over the underlying securities, which can help to make portfolio transitions more tax efficient.
Whitepaper|
Better Beta|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Benchmarking After-Tax Performance
Jennifer Sireklove
CFA
June 2018
Taxable investors are right to be concerned with measuring performance on an after-tax basis. However, to put after-tax performance in perspective requires a benchmark, just as pre-tax performance measurement does. Yet, unlike pre-tax performance, after-tax performance is unique to each investor’s tax situation and asset flow patterns.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|Institutional Investor|
Read Now
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Low-Volatility Investing: Revisiting Proven Solutions
Jay H. Strohmaier
CFA
May 2018
This paper revisits Parametric's approach to low-volatility equity investing, updating our previous research findings that a structural risk reduction portfolio delivered similarly attractive relative risk-return profiles versus broad-market equity indexes (such as the S&P 500® Index) but with more predictable outcomes and fewer unpleasant surprises along the way.
Whitepaper|
Volatility Management|Income Strategies|
Institutional Investor|
Read Now
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Spot Indexes: Not What You Think They Are
Tim Atwill
Ph.D., CFA
May 2018
Confused by spot-index returns for commodities? We explain why these spot indexes exist, how they should be used, and why they shouldn't be used to set expectations for a commodity investment’s performance.
Whitepaper|
Non-Traditional Alpha|
Wealth Manager|Institutional Investor|
Read Now
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Made in China: Three Things You Should Know About A-Shares
Tim Atwill
Ph.D., CFA
May 2018
In this paper we examine three things investors should keep in mind as they seek to access Chinese A-shares.
Whitepaper|
Non-Traditional Alpha|
Wealth Manager|Institutional Investor|Consultant|
Read Now
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Expect the Unexpected: The Role of Commodities During Periods of Unexpected Inflation
Tim Atwill
Ph.D., CFA
May 2018
Asset prices have historically been much more sensitive to inflation surprises than inflation itself. In these environments, commodities, relative to either stocks or bonds, offer the greatest opportunity for positive performance. We explain why.
Whitepaper|
Non-Traditional Alpha|
Institutional Investor|Wealth Manager|
Read Now
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Completion Portfolio Management: Using Completion Overlays and Sleeves to Enhance Portfolio Flexibility
Paul Bouchey
CFA
May 2018
Did you know completion managers can implement completion overlays or sleeves to mitigate or actively manage otherwise unmanaged portfolio risks and tilts? This may increase return expectations through a more optimal allocation of capital.
Whitepaper|
Alternatives|Portfolio Construction and Management|Volatility Management|
Wealth Manager|Institutional Investor|
Read Now
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Factor Strategies Methodology
Parametric
April 2018
How do Parametric's factor-investing strategies help clients keep more of their investment return? Find out why an optimization, rather than ranking, process can avoid unintended factor exposures.
Whitepaper|
Better Beta|
Wealth Manager|
Read Now
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Custom Core Elevated Brochure
Parametric
April 2018
Help your clients build the strong core essential to their investment strategy and go beyond just delivering performance.
Brochure|
Better Beta|
Wealth Manager|
Read Now
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Guide to Parametric Responsible Investing Strategies
Parametric
April 2018
Parametric offers a series of index-based responsible investing strategies: ESG, Fossil Free, Catholic Values, and Shariah Compliant. These strategies are designed as an expedient way to access commonly requested responsible investing themes, and complement our full suite of customization tools. In this brief we describe each strategy in turn, as well as some alternative options.
Brochure|
Better Beta|
Individual Investor|Wealth Manager|
Read Now
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A Simple Guide to Tracking Error
Rey Santodomingo
CFA
March 2018
Tracking error offers more than a simple measurement of portfolio versus benchmark performance. We explain how it should be used to establish benchmark-relative performance expectations and the differences between realized versus predicted tracking error.
Whitepaper|
Better Beta|
Wealth Manager|
Read Now
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Closed-end Funds in Crisis? A Decade in Review
Alex Paulsen
March 2018
Volatility is back in the markets. The key feature of the closed-end fund structure, which allows market prices to stray from the net asset value, creates extra risk and substantial opportunity. Parametric has a history of extracting opportunity from this volatility.
Whitepaper|
Portfolio Construction and Management|
Institutional Investor|Wealth Manager|Consultant|
Read Now
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Out Damned Spot: Why Commodity Spot Returns Are Illusionary
Tim Atwill
Ph.D., CFA
February 2018
One of our biggest pet peeves is the media’s tendency to use spot-price returns to report how commodity investors are losing money—even as commodity prices rise. This assumption is simply wrong—we show you why.
Alternatives|
Read Now
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Hedging : Should You or Shouldn't You
Tom Lee
CFA
February 2018
Interest in equity hedging tends to increase whenever the equity market experiences a strong and lengthy bull market. The current equity market is no exception.
Whitepaper|
Non-Traditional Alpha|Volatility Management|
Institutional Investor|
Read Now
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Why Downside Protection Is So Powerful For Emerging Markets Investments
Tim Atwill
Ph.D., CFA
February 2018
Emerging markets equities are risky, with elevated levels of political, currency and liquidity risk. Did you know that they also routinely experience large drawdowns? Every calendar year since 2001, this market drop has exceeded 10% even in strongly bullish years. Now that is volatility!
Whitepaper|
Equities|
Institutional Investor|Consultant|Wealth Manager|
Read Now
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Enough is Enough - Why We Cap Country Exposure in Our Emerging Markets Strategies
Tim Atwill
CFA, Ph.D.
January 2018
Should you cap your exposure to China? We think so. We argue that the growing concentrations in many emerging markets indexes do not make a great deal of sense. Learn more about why we believe in maintaining country weight caps.
Whitepaper|
Non-Traditional Alpha|Equities|
Institutional Investor|Wealth Manager|
Read Now
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The Value of Tax Alpha
Tim Atwill
Ph.D., CFA
July 2017
Parametric’s Custom Core strategies are designed to provide flexible, tax-efficient equity index exposure. “Tax alpha” is how we quantify the value of active tax-management. Here, we explore the two key drivers of tax alpha—the overall market return and cross-sectional stock volatility.
Whitepaper|
Equities|
Wealth Manager|Individual Investor|
Read Now
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Parametric Volatility Risk Premium Solutions
Parametric
June 2017
Our Volatility Risk Premium (VRP) strategies aim to provide a significant and persistent source of return without the use of leverage or market forecasts by harvesting the VRP.
Brochure|
Volatility Management|
Institutional Investor|
Read Now
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Accept No Substitutes: Why Natural Resources Stocks Are a Horrible Way to Get Commodity Exposure
Tim Atwill
Ph.D., CFA
June 2017
In recent years, more investors are considering an allocation to commodities to tap their inflation fighting or diversifying properties. However, many investors argue that the same exposure can be accessed by owning natural resource stocks. This may not be as true as many believe.
Whitepaper|
Alternatives|
Institutional Investor|Consultant|Wealth Manager|
Read Now
/-/media/Project/Parametric/Shared/Banners-and-Images/Papers/USA/2017/Dear-DJP-Distance-Growing-Commodity.jpg
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DJP Distance is Growing
Greg Liebl
CFA
May 2017
In this paper, we will start with a brief overview of what an ETN is and how it is different from an exchange-traded fund (ETF). We then demonstrate how the structure of DJP gives the investor an unexpected levered exposure to the BCOMTR Index, which will likely continue to increase as the ETN approaches its maturity in June of 2036.
Whitepaper|
Alternatives|
Institutional Investor|Consultant|
Read Now
/-/media/Project/Parametric/Shared/Banners-and-Images/Videos/US/WSJ-Paul-Losses-Portfolio.jpg
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WSJ Watching Your Wealth
Paul Bouchey
CFA
April 2017
Hear our CIO Paul Bouchey talk to the WSJ about why losses in your investment portfolio might actually be a good thing!
Podcast|
Equities|
Wealth Manager|Individual Investor|
Listen Now
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A Third Way of Commodity Investing
Tim Atwill
Ph.D., CFA
March 2017
Over the past two decades, commodity investments have moved from the exotic to the commonplace in investors’ portfolios. In conversations with clients, we find such allocations are typically implemented for two overarching reasons.
Whitepaper|
Alternatives|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Commodity Prices and the Strength of the U.S. Dollar
Tim Atwill
Ph.D., CFA
March 2017
Commodity investors have historically recognized a link between the strength of the U.S. dollar and the prices of commodities. Specifically as the dollar strengthens against other major currencies, commodity prices generally tend to fall, and vice versa.
Whitepaper|
Alternatives|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Four Arguments For Investing In Commodities
Tim Atwill
Ph.D., CFA
February 2017
In this paper, we present four arguments that provide strong evidence for why investors who have stuck with the asset class should remain invested and why everyone else should consider the current environment as an opportunity to add commodity exposure to their portfolios.
Whitepaper|
Alternatives|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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A Better Way to Measure Success in Equity Income
Tim Atwill
Ph.D., CFA
February 2017
In recent years, equity income strategies have seen increased interest from a broad range of investors. The goals of equity income strategies are relatively simple: provide high levels of income over the long term while growing the underlying value of the portfolio.
Whitepaper|
Income Strategies|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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The Key to Evaluating Tools For Beta Implementation
Richard Fong
CFA
January 2017
Implementation of beta exposure can take many forms. The decision of how beta is implemented is driven by several factors, but is largely dependent on the purpose and nature of the desired exposure.
Whitepaper|
Portfolio Construction and Management|
Institutional Investor|Consultant|
Read Now
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Systematic Alpha Investing Built on Rules
Tim Atwill
Ph.D., CFA
December 2016
How Parametric’s transparent investment approach based on disciplined rebalancing seeks to capitalize on opportunities in international and emerging markets.
Whitepaper|
Equities|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Assessing Low-Volatility Assets
Wei Ge
Ph.D., CFA
December 2016
Managing assets within the context of a defined-benefit pension plan differs from traditional asset management in several ways, mainly due to the funds’ different investment objectives.
Article|
Volatility Management|
Wealth Manager|Institutional Investor|
Read Now
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Tax Management of Factor Based Portfolios
Rey Santodomingo
CFA
October 2016
The risk-adjusted returns of factor strategies can look quite attractive. However, the turnover associated with them can significantly reduce their after-tax excess returns. In this article, we report the results of our after-tax study of these strategies.
Article|
Equities|
Wealth Manager|Individual Investor|
Read Now
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Application of Leverage in Liability-Driven Investing
Wei Ge
Ph.D., CFA
October 2016
The Liability-Driven Investing (LDI) framework describes a pension investment strategy that targets future liabilities with dedicated cash-flow generation components.
Whitepaper|
Fixed Income|
Institutional Investor|Consultant|
Read Now
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Volatility Risk Premium and Financial Distress
Wei Ge
Ph.D., CFA
August 2016
The volatility risk premium (VRP), also known as the insurance risk premium (IRP), has become attractive to investors as a potential source to enhance portfolio returns. The VRP is generally indicated as the difference between the implied volatility of options contracts for a given security and the subsequently realized volatility of the underlying asset.
Whitepaper|
Volatility Management|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Evolution of Country Rebalancing Triggers
Tim Atwill
Ph.D., CFA
August 2016
Parametric periodically performs longer-term research projects into key aspects of its emerging markets strategy, typically centered on the country weighting scheme, the rebalancing triggers, and the sector weighting algorithm.
Whitepaper|
Equities|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Parametric Dividend Income
Tim Atwill
Ph.D., CFA
August 2016
The Parametric Dividend Income strategy generates its performance through portfolio construction techniques, and not by any reliance on forward-looking, relative value judgments on the underlying securities.
Whitepaper|
Income Strategies|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Making Taxes Less Taxing
Martha Strebinger
July 2016
Our government has devised increasingly creative ways to hike taxes while leaving ordinary rates unchanged. As a result, individuals in the highest tax bracket can face additional taxes in excess of their marginal rate.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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On International Investing
Paul Bouchey
CFA
July 2016
Paul Bouchey, Chief Investment Officer at Parametric, discusses common misconceptions associated with investing in international equity portfolios and provides insights into Parametric’s Systematic Alpha philosophy.
Whitepaper|
Equities|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Tax Alpha or the Science of Tax Management
Jennifer Sireklove
CFA
May 2016
This brief is intended to help investors understand how Parametric’s tax-management works and the conditions under which it can produce improvements in after-tax performance across a diverse set of investor objectives.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|
Read Now
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Concentration Concerns in Equity Income Solutions
Tim Atwill
Ph.D., CFA
April 2016
Dividends have historically served as a primary source of return for equity holders. Equity allocations can provide a meaningful source of income, leading to a spectrum of equity income strategies.
Whitepaper|
Income Strategies|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Page
Interest Rates Do Not Influence Precious Metal Prices
Tim Atwill
Ph.D., CFA
January 2016
Among precious metal investors, it is commonly stated that an increase in interest rates will cause a drop in precious metal prices, and in particular, the price of gold. It follows that a similar drop in interest rates will provide a tailwind or boost to those prices.
Whitepaper|
Alternatives|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Cash Securitization: The Challenge of Effective Liquidity Management
Richard Fong
CFA
October 2015
This paper will clarify what cash securitization is and how it can be used within a broader liquidity management program.
Whitepaper|
Portfolio Construction and Management|
Institutional Investor|Consultant|
Read Now
