Gray Rectangle

Insights & Research

Parametric is widely recognized as a thought leader in engineered portfolio management. Below is a sampling of our research across a variety of strategies.

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Same Kettles, Different Fish: The Limited Impact of Regions on Emerging Market Country Returns
Tim Atwill
PhD, CFA
May 17, 2019
Are emerging market countries in the same region more highly correlated than with their counterparts in other regions? No, and here’s why.
Whitepaper|
Emerging markets|
Institutional investor|Wealth manager|
Read Now
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Spot Indexes: Not What You Think They Are
Tim Atwill
PhD, CFA
May 14, 2019
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|
Commodities|
Wealth manager|Institutional investor|
Read Now
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Evil Twins: Commodity Prices and the Strength of the US Dollar
Tim Atwill
PhD, CFA
May 14, 2019
When the US dollar is strong, commodity prices in general tend to fall. Why? And is it true at the individual commodity level too?
Whitepaper|
Commodities|
Wealth manager|Institutional investor|Consultant|
Read Now
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Out, Damned Spot: Why Commodity Spot Returns Are Illusory
Tim Atwill
PhD, CFA
May 14, 2019
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.
Commodities|
Read Now
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Construction Issues in Emerging Market Small Cap Indexes
Tim Atwill
PhD, CFA
May 6, 2019
Looking for exposure to emerging market small-cap equities? It turns out that different indexes define small in different ways—and that has big implications for investors.
Whitepaper|
Emerging markets|
Institutional investor|Wealth manager|
Read Now
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The Parametric Emerging Markets Strategy: A Third Way of Emerging Markets Investing
Tim Atwill
PhD, CFA
May 6, 2019
More and more investors want exposure to emerging market equities. This paper outlines Parametric’s approach to this volatile yet valuable asset class.
Whitepaper|
Emerging markets|
Institutional investor|Wealth manager|
Read Now
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Why Invest in International Equities?
Tim Atwill
PhD, CFA
May 1, 2019
Why many investors have a home-country bias. And what they risk missing out on as a result.
Whitepaper|
Developed international|
Institutional investor|Wealth manager|
Read Now
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Don’t Panic: Why Downside Protection Is So Powerful for Emerging Market Investments
Tim Atwill
PhD, CFA
April 29, 2019
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|
Emerging markets|
Institutional investor|Consultant|Wealth manager|
Read Now
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Currency Hedging in the Emerging Markets: All Pain, No Gain
Tim Atwill
PhD, CFA
April 10, 2019
Can you hedge against emerging market currency risk? Yes—although it’s not easy to do so. But here’s the real question: Should you?
Whitepaper|
Emerging markets|Developed international|
Institutional investor|Wealth manager|Consultant|
Read Now
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Enough Is Enough: Why We Cap Country Exposure in Our Emerging Markets Strategy
Tim Atwill
PhD, CFA
April 1, 2019
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|
Emerging markets|
Institutional investor|Wealth manager|
Read Now
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The Importance of Country Allocation: Developed Versus Emerging Markets
Tim Atwill
PhD, CFA
March 31, 2019
When you invest in international equities, which is the more important consideration—country or industry? The answer, as always, is in the data.
Whitepaper|
Emerging markets|Developed international|
Institutional investor|Wealth manager|Consultant|
Read Now
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Hedging: Should You or Shouldn’t You?
Tom Lee
CFA
March 28, 2019
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|
Overlay|Volatility|
Institutional investor|
Read Now
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Improving the Odds: The Impact of Diversification on the Distribution of Excess Returns
Tim Atwill
PhD, CFA
March 26, 2019
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|
Emerging markets|
Institutional investor|Wealth manager|
Read Now
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Custom Core Elevated Brochure
Parametric
March 25, 2019
Help your clients build the strong core essential to their investment strategy and go beyond just delivering performance.
Brochure|
Tax management|
Wealth manager|
Read Now
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Tax Alpha or the Science of Tax Management
Jennifer Sireklove
CFA
March 7, 2019
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|
Tax management|
Wealth manager|
Read Now
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Rebalancing Through an Overlay Strategy During Periods of Volatility
Jan Mowbray
CFA
February 7, 2019
Periods of high volatility create opportunities for investors to add value through portfolio rebalancing. How can institutional investors implement a strategy that provides for discipline and responsiveness?
Whitepaper|
Overlay|Volatility|
Institutional investor|Consultant|
Read Now
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Using Swaptions in a Pension Glide-Path Setting
Chris Haskamp
CFA
December 14, 2018
Pension-plan sponsors often ask about the possibility of using options to increase their liability-hedge ratio contingent on a rise in interest rates. Here are some key things to consider.
Whitepaper|
Overlay|
Institutional investor|
Read Now
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The Role of the LDI Completion Manager
Tom Lee
CFA
December 13, 2018
Many plan sponsors have decided to pursue a liability-driven investing (LDI) approach to managing pension assets—that is, managing the assets of the fund in concert with its liabilities. This paper looks at the value an LDI completion manager can play in the process.
Whitepaper|
Overlay|
Institutional investor|
Read Now
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Parametric Responsible Investing
Jennifer Sireklove
CFA
December 5, 2018
What's Parametric's approach to responsible investing? In this short paper we outline the ways we can help investors achieve two sets of goals.
Whitepaper|
Responsible investing-SRI-ESG|
Institutional investor|Wealth manager|
Read Now
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Transitioning from Active to Passive? It Doesn’t Have to Be Taxing.
Rey Santodomingo
CFA
October 31, 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|
Tax management|
Wealth manager|
Read Now
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Responsible Investing: What’s the Difference Between Screens and Integration?
Jennifer Sireklove
CFA
October 15, 2018
Socially responsible investors have two portfolio-construction techniques to choose from. How do they differ, and which may be right for you?
Whitepaper|
Responsible investing-SRI-ESG|
Wealth manager|Individual Investor|
Read Now
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Tax-Management Strategies for Appreciated Portfolios
Martha Strebinger
CFA
August 31, 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|
Tax management|
Wealth manager|
Read Now
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Fossil-Free Investing
Jennifer Sireklove
CFA
August 22, 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-SRI-ESG|
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 6, 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|
Developed international|
Wealth manager|
Read Now
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Parametric Enhanced Income Core
Alex Paulsen
August 2, 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|
Wealth manager|
Read Now
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The Origin of Opportunity in Closed-End Fund Investing
Alex Paulsen
July 31, 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|
Wealth manager|
Read Now
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From Anomaly to Strategy: A Brief History of Factor Investing
Martha Strebinger
CFA
July 31, 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|
Factors|
Wealth manager|
Read Now
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Parametric International: Why Screen on Beta?
Tim Atwill
PhD, CFA
July 30, 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|
Developed international|
Wealth manager|
Read Now
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Understanding Master Limited Partnerships and Taxes
Parametric
July 26, 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|
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 20, 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|
Tax management|
Wealth manager|
Read Now
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Parametric Dividend Income Investing: Frequently Asked Questions
Alex Paulsen
July 12, 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|
Institutional investor|Wealth manager|
Read Now
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Using Emerging-Market ADRs in a Custom Core® Portfolio
Martha Strebinger
CFA
June 21, 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|
Emerging markets|Tax management|
Institutional investor|Wealth manager|
Read Now
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Tax-Managed SMAs: Better Than ETFs?
Rey Santodomingo
CFA
June 21, 2018
Tax-managed separately managed accounts allow greater control over the underlying securities, which can help to make portfolio transitions more tax efficient.
Whitepaper|
Tax management|
Wealth manager|Institutional investor|Individual Investor|Consultant|
Read Now
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Benchmarking After-Tax Performance
Jennifer Sireklove
CFA
June 1, 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|
Tax management|
Wealth manager|Institutional investor|
Read Now
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Low-Volatility Investing: Revisiting Proven Solutions
Jay H. Strohmaier
CFA
May 31, 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|
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 11, 2018
In this paper we examine three things investors should keep in mind as they seek to access Chinese A-shares.
Whitepaper|
Emerging markets|
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 9, 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|
Commodities|
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 1, 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|
Overlay|
Wealth manager|Institutional investor|
Read Now
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Factor Strategies Methodology
Parametric
April 20, 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|
Factors|
Wealth manager|
Read Now
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Guide to Parametric Responsible Investing Strategies
Parametric
April 6, 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|
Responsible investing-SRI-ESG|
Individual Investor|Wealth manager|
Read Now
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A Simple Guide to Tracking Error
Rey Santodomingo
CFA
March 20, 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|
Income|
Wealth manager|
Read Now
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Closed-end Funds in Crisis? A Decade in Review
Alex Paulsen
March 9, 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|
Income|
Institutional investor|Wealth manager|Consultant|
Read Now
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The Value of Tax Alpha
Tim Atwill
Ph.D., CFA
July 19, 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|
Tax management|
Wealth manager|Individual Investor|
Read Now
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Parametric Volatility Risk Premium Solutions
Parametric
June 21, 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|
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 1, 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|
Commodities|
Institutional investor|Consultant|Wealth manager|
Read Now
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DJP Distance is Growing
Greg Liebl
CFA
May 3, 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|
Commodities|
Institutional investor|Consultant|
Read Now
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WSJ Watching Your Wealth
Paul Bouchey
CFA
April 24, 2017
Hear our CIO Paul Bouchey talk to the WSJ about why losses in your investment portfolio might actually be a good thing!
Podcast|
Tax management|
Wealth manager|Individual Investor|
Listen Now
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A Third Way of Commodity Investing
Tim Atwill
Ph.D., CFA
March 1, 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|
Commodities|
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 1, 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|
Commodities|
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 1, 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|
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 2, 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|
Overlay|
Institutional investor|Consultant|
Read Now
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Assessing Low-Volatility Assets
Wei Ge
Ph.D., CFA
December 1, 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.
Journal article reprint|
Overlay|
Wealth manager|Institutional investor|
Read Now
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Application of Leverage in Liability-Driven Investing
Wei Ge
Ph.D., CFA
October 1, 2016
The Liability-Driven Investing (LDI) framework describes a pension investment strategy that targets future liabilities with dedicated cash-flow generation components.
Whitepaper|
Overlay|
Institutional investor|Consultant|
Read Now
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