Insights and Research | Parametric Portfolio
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Insights & Research

Parametric is widely recognized as a thought leader in engineered portfolio management. Below is a sampling of our writings across a variety of topics. Use the filters to search for specific content or authors.

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Benefits of Centralised Portfolio Management for Super Funds
Jared Gray
CFA
October 2018
Parametric's Director of Centralised Portfolio Management (CPM), Jared Gray, discusses the benefits of CPM for Super Funds.
Video|
Institutional Investor|
Watch Now
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What Should Managers Manage?
Raewyn Williams
August 2018
The concept of after-tax investing is no longer a thing of the future - it’s here. The superannuation industry is now embracing it, with a small number of early moving funds leading the way.
Whitepaper|
Equities|
Institutional Investor|
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The Fruits of a Collaborative Partnership: A Parametric–Research Affiliates Case Study
Raewyn Williams
July 2018
Superannuation funds partner with their members in a meaningful way. But the notion of partnership doesn't have to end there. Funds can work with other strategic partners who can bring immense benefit—and help them enhance their value to members.
Whitepaper|
Portfolio Construction and Management|
Institutional Investor|
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Optimality Is in the Eye of the Beholder: The Science and Art of Equity Portfolio Construction
Mahesh Pritamani
Ph.D.,CFA
July 2018
Onshore or offshore? Developed or emerging? Active or passive? How much risk? It's one thing for a superannuation fund to determine the right equity-investing ingredients, but it's quite another to figure out how to achieve the right blend. In this paper, researched jointly with the Australian Catholic Superannuation and Retirement Fund, we look at ways to approach optimisation—and why portfolio construction is as much art as science.
Whitepaper|
Portfolio Construction and Management|
Institutional Investor|
Read Now
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Defensive Equity: A Sharper Tool for Your Lifecycle Toolkit
Raewyn Williams
May 2018
Our new research paper explains how super funds are using lifecycle strategies and explores the use of a ‘mid-step’ defensive equity allocation to improve retirement outcomes for lifecycle strategy members.
Whitepaper|
Volatility Management|
Institutional Investor|
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Linking a Tax Efficient Super Fund Equity Portfolio
Paul Bouchey
CFA
January 2018
We examine whether the benefits of tax efficiency in a super fund’s equity portfolio flow through to option unit prices which account for deferred taxes. If they do, this directly links portfolio-level tax efficiency to better retirement savings for members. If they don’t, then funds may be chasing “fool’s gold” by implementing after-tax focused equity management.
Whitepaper|
Equities|
Institutional Investor|
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Status Quo Thinking
Raewyn Williams
September 2017
Our new research argues that superannuation funds need to mirror the restlessness of stakeholders (members, service providers, the government and regulators), to show they are focused on improving superannuation outcomes for members and navigating an uncertain future.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Rolling the Tax Dice - How Taxes Impact Equity Factor Investing
Raewyn Williams
September 2017
Many investors believe that equity factor investing is naturally tax efficient. We address this misconception and show how super funds can reduce up to half the tax drag and preserve more factor outperformance.
Whitepaper|
Equities|
Institutional Investor|
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Responsible Investing in a Peer Sensitive World
Raewyn Williams
June 2017
How does the use of superannuation capital align with the member’s own values? This demand as well as other factors influence whether funds choose to adopt a responsible investing solution.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Expanding Equity Horizons: The Critical New Asset Allocation Decision
Tim Atwill
Ph.D., CFA
May 2017
Australian superannuation funds stand out from their global pension fund peers in their appetite for equities and other growth assets.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Country Tilts in Small Cap Indexes
Mahesh Pritamani
Ph.D., CFA
May 2017
In recent years, many investors have included separate allocations in their portfolio for small-cap stocks in international and emerging market equities. Typical benchmarks for these allocations are MSCI’s EAFE Small Cap Index and Emerging Markets Small Cap Index.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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A New Risk Premium
Raewyn Williams
April 2017
Best practice fiduciaries are empowered by portfolios which have systematic, transparent strategies rather than black boxes.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Construction Issues in Emerging Market Small Cap Indexes
Tim Atwill
Ph.D., CFA
March 2017
Increasingly, investors are looking to invest in emerging market small-cap equities as a separate allocation in their portfolios. This decision is to some degree motivated by the desire to capture a “small-cap premium”, the well-known theoretical notion that smaller capitalisation stocks show persistent outperformance versus large capitalisation stocks.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Equity Portfolios: More Than The Sum of Their Parts
Paul Bouchey
CFA
March 2017
Centralised Portfolio Management (CPM), as a way of equity investing, is a concept superannuation funds are curious about because of its startling assertion that the whole of an equity portfolio can be more than the sum of its parts.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Why Invest in Emerging Markets Small Cap Stocks
Tim Atwill
Ph.D., CFA
March 2017
The notion of a “small-cap premium” has become deeply established in investors’ consciousness since its introduction by Fama and French in 1993. Over the years, many investors have included an explicit allocation to U.S. and international small-cap stocks in their portfolios in order to benefit from the implied outperformance of this segment of the market.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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What’s Really Transforming the Superannuation Value Chain
Raewyn Williams
February 2017
Compulsory superannuation turns 25 this year and one exciting development is how superannuation funds no longer simply occupy their place in the broader ecosystem, but are actively reshaping this ecosystem.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Under the Spotlight: How Much Does it Cost to Trade Equities
Raewyn Williams
February 2017
The ‘bread and butter’ investment activity of any large superannuation fund is the day-to-day trading that occurs within its equity portfolios.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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A Fresh Look At Franking
Raewyn Williams
January 2017
In our 2014 research, we delivered somewhat discouraging news to superannuation funds: That while franking credits attached to Australian equity dividends can be a meaningful source of extra returns, a deliberate tilt towards franking can also introduce significant risks into the portfolio.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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A Five Point Checklist For Super Funds
Raewyn Williams
October 2016
As super funds increase their equity allocations to emerging markets, new Parametric research questions why funds tend to live with the known shortcomings of both traditional passive and active approaches and suggests a better “third way” to combine the best and avoid the worst features of both.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Factor Investing: A New Paradigm For Superannuation Funds
Raewyn Williams
September 2016
For those already familiar with factor investing, the paper below explains, in detail, how factor investing changes the landscape for super funds and their investment managers. The paper examines the use of optimisation techniques and constraint setting, to reduce unintended risks that can arise from a naively constructed factor portfolio.
Whitepaper|
Equities|
Institutional Investor|
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A Wide-Angle Lens View of Volatility
Raewyn Williams
July 2016
This paper argues that in the process of addressing volatility, funds are in danger of solving the “journey problem” for members while ignoring the “destination problem” of lower returns and retirement savings.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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The Weighting Is the Hardest Part
Tim Atwill
Ph.D., CFA
July 2016
Diversification is commonly considered to be the “free lunch” of portfolio management, in that higher expected returns with lower volatility are achievable simply by diversifying.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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The New Recruit to Your Alpha Team
Raewyn Williams
April 2016
We live in challenging investment times. Our latest Australian research explores tax as a lever to generate investment ‘alpha’ for large taxable superannuation fund portfolios.
Whitepaper|
Equities|
Institutional Investor|
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Number One With A Bullet
Raewyn Williams
December 2015
Barely a year ago, few people knew the meaning of a strange new acronym in the superannuation industry’s dialogue – the concept of a ‘CIPR’ or Comprehensive Income Product for Retirement.
Whitepaper|
Equities|
Institutional Investor|
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The Road to Reward
Raewyn Williams
September 2015
In this research paper, we examine two alternative approaches available to funds today. The first is a custodian solution known as ‘propagation’ (or Tax Parcel Optimisation). The second approach employs a specialist investment management solution known as Tax-Managed Centralised Portfolio Management (CPM).
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Where Passive Falls Short
Raewyn Williams
August 2015
The decision to invest either passively or actively into equities reflects a fundamental investment philosophy question for superannuation funds. With the more recent arrival of ‘smart beta’ and ‘systematic alpha’ approaches, increasingly, a fund’s investment choices sit along a continuum, rather than being merely a binary active versus passive decision.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Bigger On the Inside
Raewyn Williams
July 2015
This paper is the second in a series of Parametric research briefs that explores the use of Centralised Portfolio Management (CPM) to solve problems that can keep superannuation fund trustees awake at night. CPM is a well-established solution in the U.S. which has recently become available to Australian superannuation funds. It involves unbundling the services that equity managers normally provide into two parts.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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Scale Versus Segregation
Raewyn Williams
February 2015
2015 looms as the year many large superannuation funds will move to address a critical strategic challenge: how to make superannuation a truly ‘whole of life’ financial solution for their members.
Whitepaper|
Equities|
Institutional Investor|
Read Now
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