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.
This short thoughtpiece, with worked examples, encourages funds to take up the innovation challenge – exploring their challenges and opportunities from a new angle – using an approach futurists call ‘backcasting’.
Unlocked: A Framework for Superannuation Equity Portfolio Evolution in a Taxable Environment
August 4, 2020
Super funds need to keep evolving their equity portfolios, but future progress may be stymied by upfront tax costs. The framework we develop in this whitepaper shows how funds can continue the important work of equity portfolio evolution in a taxable environment.
Can Past Pandemics Guide Investors Through Coronavirus?
March 2, 2020
Is the coronavirus pandemic’s effect on markets something we’ve seen before? Investors looking for parallels with past epidemics, such as SARS, might think so. But that episode may not hold as many lessons as we might like to think.
For a superannuation fund to gain tax efficiency, all it has to do is switch from active to passive management, right? Well, no. True tax efficiency comes from fundamental thinking. From designing and implementing a portfolio with after-tax thinking in mind.
The Fruits of a Collaborative Partnership: A Parametric–Research Affiliates Case Study
July 13, 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.
Optimality Is in the Eye of the Beholder: The Science and Art of Equity Portfolio Construction
July 2, 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.
Defensive Equity: A Sharper Tool for Your Lifecycle Toolkit
May 8, 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.
Linking a Tax Efficient Super Fund Equity Portfolio
January 25, 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.
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.
Rolling the Tax Dice - How Taxes Impact Equity Factor Investing
September 1, 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.
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.
Construction Issues in Emerging Market Small Cap Indexes
March 1, 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.
Equity Portfolios: More Than The Sum of Their Parts
March 1, 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.
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.
What’s Really Transforming the Superannuation Value Chain
February 1, 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.
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.
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