Research
Tax-efficient Investing
ETFs vs. SMAs
Benefits summary of using separately managed accounts over ETFs for indexing exposure
Tax-efficient Investing
ETFs vs. SMAs
Benefits summary of using separately managed accounts over ETFs for indexing exposure
Measuring tracking error risk from tax-loss harvesting
Measures the incremental tracking error risk of tax-loss harvesting in the context of overall equity market risk
Do I have more losses than I will ever need?
A common question after market downturns is whether a client’s portfolio has more recognized losses then they can use
White Paper -- Tax Loss Harvesting
Original Aperio research into the benefits of a tax-loss harvesting strategy for taxable investors
Transition analysis
Overview of the approach and benefits to using Aperio’s transition analysis service. Includes a case study of an advisor and a new client
Hedge funds, taxes, and charitable remainder trusts.pdf
Highlights the use of Aperio's Tax Arbitrage strategy within a Charitable Remainder Trust (CRT). The strategy can eliminate short-term gains from other investments, driving significant tax savings
After Tax Information Ratio
Introduction to Aperio research on After-Tax Information Ratio – a statistic that measures ability to generate excess return per unit of risk
Socially Responsive Indexing (SRI)
Measuring the Risk Impact of Social Screening
In this paper, we present a framework with associated metrics for assessing ESG integration in the portfolio with the same rigor and discipline used in all other fiduciary decisions. For a critique and further discussion......
Measuring tracking error risk from Socially Responsive Indexing
Aperio research highlighting the tracking error impact of common values-based screens on standard indices
Socially Responsive Indexing (SRI) Overview
Highlights Aperio’s innovations in SRI investing and new research on the Social Efficient Frontier
Aligning your portfolio with your values
Overview of Aperio’s custom screened SRI strategy
Advisor's guide to the social conversation
Overview of SRI investing and Aperio’s approach for investment advisors
Indexing vs. Active Management
Do active mutual funds outperform in foreign markets
Original Aperio research on the performance of active managers in international markets. The report adjusts for survivorship bias and inappropriate benchmarks in several previous studies
Is your managers alpha big enough to cover your taxes
This piece summarizes original Aperio research and other academic studies on the magnitude of the tax drag of active management
Academic resources on index investing
A catalog of numerous academic studies on index investing
Global Investing
The Case for Global Stock Portfolios
In this paper we analyze the trade-offs of managing portfolios with distinct mandates for developed and emerging markets versus global stock portfolios, and examine the implications and considerations for adopting a global approach.
Global Investing with MSCI Indexes
A description of the various MSCI Indexes
ADRs vs. Ordinaries
In this paper, Aperio analyzes the relative merits of using ADRs vs. Local Ordinaries for investing in foreign markets
Do active mutual funds outperform in foreign markets
Original Aperio research on the performance of active managers in international markets. The report adjusts for survivorship bias and inappropriate benchmarks in several previous studies
Concentrated Positions
Diversifying Concentrated Stock
A Monte Carlo based approach to analyzing the risks with both maintaining and diversifying a concentrated stock position
How Much Concentrated Position to Sell
A Sharpe Ratio analysis of diversifying a concentrated stock position