Assess the characteristics and performance of a customized benchmark against a comparison index
Explore the potential impact of eliminating sectors, industries and ESG screens from a benchmark
Evaluate multiple risk and tax impact scenarios before funding portfolios with securities
Compare how the loss harvesting experience of a portfolio is impacted by market conditions
Parametric has been offering client-driven, index-based portfolios that incorporate ESG criteria for more than fifteen years now. Our robust and continually evolving menu of ESG screens and licensed indexes gives investors a wide range of portfolio design choices. We have designed a series of risk-controlled, index-like exposures that can be used as a core equity portfolio allocation while aligning with common responsible investing themes.
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 research brief, we share the results of our after-tax study of these strategies. From an after-tax perspective we find that taxes can erode much of this return, but a systematic tax management process can help to mitigate tax drag.
Exchange traded funds, or ETFs, are popular vehicles for investors seeking passive, index-based market exposures. Despite their popularity, there are structural issues which make them less than ideal for many high net worth investors. A tax-managed, separately managed account can be designed to deliver the same diversified index-like exposure while offering increased after-tax returns.