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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|
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Why Downside Protection Is So Powerful For Emerging Markets Investments
Tim Atwill
Ph.D., CFA
July 2017
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|
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Parametric Volatility Risk Premium Solutions
Parametric Portfolio
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|
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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|
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Ready or Not: Considering Chinese A Shares
Tim Atwill
Ph.D., CFA
May 2017
MSCI’s consideration of including Chinese A-shares in their broad market indexes has raised the profile of these mainland securities.
Whitepaper|
Equities|
Wealth Manager|Individual Investor|Institutional Investor|
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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|
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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|
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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|
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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|
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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|
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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|
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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|
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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|
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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|
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New Real Estate Sector in Parametric Strategies
Tim Atwill
Ph.D., CFA
October 2016
Parametric’s Emerging Markets and International strategies is based on the GICS sectors, the Investment Committees of both strategies studied the implications of these changes.
Whitepaper|
Equities|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
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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|
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Understanding ESG Screens and Tilts
Jennifer Sireklove
CFA
August 2016
Responsible investing is an evolving space that covers a diverse set of considerations and priorities. A screen builds a portfolio out of a subset of the eligible investment universe that meets specific environmental, social and governance (ESG) criteria. A tilt reweights the eligible investment universe with respect to each company’s ESG qualities.
Whitepaper|
Equities|
Wealth Manager|Individual Investor|
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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|
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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|
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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|
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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|
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‘Systematic Alpha’ Investing
Tim Atwill
Ph.D., CFA
June 2016
Tim Atwill discusses Parametric’s innovative investment approach – known as “systematic alpha” – and its application to emerging market and international equity investing.
Whitepaper|
Equities|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
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Factor Investing: Your Factor Views. Our Expertise
Parametric Portfolio
June 2016
Parametric’s factor-based portfolios are constructed to maintain a systematic bias toward a selected set of factors that historically have been found to deliver attractive risk and return profiles. Investors can choose from popular factors including size, value, momentum, quality, low volatility and profitability, while managing for costs and unintended exposures.
Brochure|
Equities|
Wealth Manager|Individual Investor|
Read Now
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Benchmarking After-Tax Performance
Jennifer Sireklove
CFA
June 2016
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|
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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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Managing Volatility
Thomas Lee
CFA
April 2016
The sharp drop in stock prices at the beginning of the year, followed by a quick rebound, led many investors — both institutional and retail — to conclude volatility had once again reared its ugly head. But those who keep a close eye on equity markets knew the choppiness simply marked a return to normal. Nonetheless, given the economic and political uncertainties buffeting Wall Street, investors need to get used to higher levels of volatility.
Article|
Volatility Management|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
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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Responsible Investing: Your Values. Our Expertise.
Parametric Portfolio
March 2016
Parametric’s Responsible Investing portfolios are designed to allow investors to implement their values in a flexible, transparent and efficient manner via customized portfolio construction and a specialized proxy voting policy, or both.
Brochure|
Equities|
Wealth Manager|Individual Investor|
Read Now
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Guide to Parametric Responsible Investing Strategies
Parametric Portfolio
January 2016
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.
Whitepaper|
Equities|
Individual Investor|Wealth Manager|
Read Now
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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|
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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
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Tax-Managed SMAs Better Than ETFs
Rey Santodomingo
CFA
September 2015
Tax-managed separately managed accounts allow greater control over the underlying securities, which can help to make portfolio transitions more tax efficient.
Whitepaper|
Portfolio Construction and Management|
Wealth Manager|Institutional Investor|Individual Investor|Consultant|
Read Now
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Understanding Master Limited Partnerships and Taxes
Jennifer Sireklove
CFA
July 2014
Energy master limited partnerships (MLPs) have become increasingly popular with investors due to a combination of the recent quest for yield, a booming North American energy infrastructure environment, and rising income tax rates.
Whitepaper|
Alternatives|
Wealth Manager|Individual Investor|
Read Now
