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Livermore
Livermore
ZHEN

Parametric Portfolio Associates LLC

SEC CIK
0000932859
Latest filing
May 16, 2022

The latest 13F from Parametric Portfolio Associates LLC covers Q1 2022 (filed May 16, 2022): 3,673 long positions worth $190.2B. The top 10 holdings make up 23.6% of the portfolio, and the largest is Microsoft Corp (MSFT) at 5.7%. Livermore has 6 filings on Form 13F from this institution, going back to Q1 2021.

What changed in Q1 2022

Share counts compared with Q4 2021: how many positions were new, added to, reduced or sold out, and the biggest buys and sells. Dollar amounts are estimated at the quarter-end prices implied by the filing.

Full comparison
New
222
Est. +$660.1M
Added
2222
Est. +$8.63B
Reduced
1214
Est. −$3.30B
Sold out
175
Est. −$1.07B

Top 5 holdings

Share of this quarter's portfolio value

  1. MSFTMicrosoft Corp
    5.7%$10.8BHistory
  2. AAPLApple Inc.
    5.2%$9.93BHistory
  3. AMZNAmazon Com Inc
    2.6%$4.96BHistory
  4. Vanguard S&P 500 ETF922908363
    1.9%$3.57B
  5. GOOGLAlphabet Inc.
    1.8%$3.38BHistory

Share of portfolio

Top 5 holdings and the other 3,668 positions, by share of portfolio value

  1. MSFT5.7%
  2. AAPL5.2%
  3. AMZN2.6%
  4. Vanguard S&P 500 ETF1.9%
  5. GOOGL1.8%
  6. Other 3,668 positions82.8%

Biggest buys

New and added positions, by estimated amount bought

  1. MSFTMicrosoft Corp
    +$337.6MAddedHistory
  2. SHELShell plc
    +$225.7MNewHistory
  3. AAPLApple Inc.
    +$223.6MAddedHistory
  4. AMDAdvanced Micro Devices Inc
    +$188.3MAddedHistory
  5. BRK.BBerkshire Hathaway Inc
    +$166.4MAddedHistory

Largest weight increases

New and added positions, by percentage points of the portfolio gained

  1. BRK.BBerkshire Hathaway Inc
    +0.27 pp0.9% → 1.1%History
  2. CVXChevron Corp
    +0.19 pp0.4% → 0.6%History
  3. XOMExxonMobil Holdings Corp
    +0.18 pp0.3% → 0.5%History
  4. AAPLApple Inc.
    +0.17 pp5.1% → 5.2%History
  5. ABBVAbbVie Inc.
    +0.14 pp0.5% → 0.6%History

Biggest sells

Reduced and sold-out positions, by estimated amount sold

  1. iShares Core S&P 500 ETF464287200
    −$689.2MReduced
  2. Vanguard S&P 500 ETF922908363
    −$213.3MReduced
  3. XLNXXilinx Inc
    −$174.7MSold outHistory
  4. INFOIHS Markit Ltd.
    −$158.9MSold outHistory
  5. METAMeta Platforms, Inc.
    −$158.0MReducedHistory

Largest weight decreases

Reduced and sold-out positions, by percentage points of the portfolio lost

  1. METAMeta Platforms, Inc.
    −0.61 pp1.6% → 1.0%History
  2. iShares Core S&P 500 ETF464287200
    −0.38 pp0.8% → 0.4%
  3. HDHome Depot, Inc.
    −0.23 pp0.9% → 0.7%History
  4. NFLXNetflix Inc
    −0.19 pp0.5% → 0.3%History
  5. Vanguard S&P 500 ETF922908363
    −0.16 pp2.0% → 1.9%

Metrics

13F metrics for Q1 2022, computed only from the numbers in the filings. Definitions below.

Portfolio value
$190.2B
−$5.29B (−2.7%) vs. prior quarter
Positions
3,673
+47 vs. prior quarter
Top 10 concentration
23.6%
Top 10 as share of value
Turnover
2.3%
Q1 2022, one quarter
Average holding period
5.0 quarters
Weighted by value

How these are calculated

  • Portfolio value: the market value of all long positions in the 13F, as reported at quarter end, excluding options.
  • Top 10 concentration: the combined value of the 10 largest positions as a share of portfolio value.
  • Turnover: the smaller of this quarter's estimated purchases and estimated sales, divided by the average of this and last quarter's portfolio value. Estimates multiply the change in shares by the quarter-end price implied by the filing (market value divided by shares); new positions use this quarter's value and sold-out positions last quarter's. Only positions reported in shares count, and it is not calculated when the previous quarter was not filed.
  • Average holding period: how many consecutive quarters each current position has been held (including this one; a quarter without the position or without a filing starts the count over), weighted by this quarter's value. Counting starts with the first 13F in Livermore (Q1 2021), so positions held before then are understated.

13F filings by quarter

5 quarters, going back to Q1 2021. Bars show each quarter's 13F portfolio value; quarters without a filing are left blank.

Peak $195.5B (Q4 2021)

Q1 2021: $174.3BQ2 2021: $178.4BQ3 2021: $176.0BQ4 2021: $195.5BQ1 2022: $190.2B
Q1 2021Q1 2022
13F filings of Parametric Portfolio Associates LLC by quarter
QuarterFiledPositionsValueTop 3 holdingsChangesFiling
Q1 2022May 16, 20223,673$190.2BMSFTAAPLAMZNvs. Q4 2021SEC
Q4 2021Feb 15, 20223,626$195.5BMSFTAAPLAMZNvs. Q3 2021SEC
Q3 2021Nov 15, 20213,598$176.0BMSFTAAPLAMZNvs. Q2 2021SEC
Q2 2021Sep 3, 2021Amended3,554$178.4BMSFTAAPLAMZNvs. Q1 2021SEC
Q1 2021May 17, 20214,046$174.3BMSFTAAPLAMZN–SEC

13D and 13G filings

Companies where Parametric Portfolio Associates LLC reports owning 5% or more on Schedule 13D or 13G, and its latest filings.

Current stakes of 5% or more

Parametric Portfolio Associates LLC does not currently report owning 5% or more of any company.

Latest filings

34 filings on file made by Parametric Portfolio Associates LLC or listing it as a reporting person; the latest 20 are shown.

Schedule 13D and 13G filings by Parametric Portfolio Associates LLC
CompanyFiled (ET)FilerFormStakeChangeEvent dateFiling
EMDWestern Asset Emerging Markets Debt Fund Inc.Aug 12, 20263:56 PM ETMorgan Stanleyand 1 other13G/A8.70%5.04M shares+2.20 ppfrom 6.50%Jun 30, 2026SEC
MEGINYLI CBRE Global Infrastructure Megatrends Term FundAug 12, 20263:41 PM ETMorgan Stanleyand 1 other13G/A6.50%3.37M shares+1.10 ppfrom 5.40%Jun 30, 2026SEC
IGRCbre Global Real Estate Income FundAug 12, 20263:22 PM ETMorgan Stanleyand 1 other13G/A3.80%5.77M shares–Below 5%Jun 30, 2026SEC
RABrookfield Real Assets Income Fund Inc.May 11, 20264:07 PM ETMorgan Stanleyand 1 other13G6.00%3.32M shares+1.60 ppfrom 4.40%Mar 31, 2026SEC
BOEBlackRock Enhanced Global Dividend TrustMay 11, 20264:04 PM ETMorgan Stanleyand 1 other13G/A6.10%3.38M shares+1.00 ppfrom 5.10%Mar 31, 2026SEC
BTXBlackRock Technology & Private Equity Term TrustMay 11, 20263:32 PM ETMorgan Stanleyand 1 other13G5.30%6.20M sharesNewMar 31, 2026SEC
FTFFranklin Ltd Duration Income TrustMay 11, 20261:46 PM ETMorgan Stanleyand 1 other13G/A7.50%3.02M shares+1.20 ppfrom 6.30%Mar 31, 2026SEC
HIOWestern Asset High Income Opportunity Fund Inc.May 11, 202612:52 PM ETMorgan Stanleyand 1 other13G6.20%5.85M shares+0.40 ppfrom 5.80%Mar 31, 2026SEC
AODabrdn Total Dynamic Dividend FundMay 11, 202612:40 PM ETMorgan Stanleyand 1 other13G/A8.20%8.60M shares−1.30 ppfrom 9.50%Mar 31, 2026SEC
ACPabrdn Income Credit Strategies FundMay 11, 202611:39 AM ETMorgan Stanleyand 1 other13G/A6.50%8.18M shares+1.20 ppfrom 5.30%Mar 31, 2026SEC
MEGINYLI CBRE Global Infrastructure Megatrends Term FundFeb 12, 20262:53 PM ETMorgan Stanleyand 1 other13G5.40%2.83M shares+0.40 ppfrom 5.00%Dec 31, 2025SEC
NPCTNuveen Core Plus Impact FundFeb 12, 20262:44 PM ETMorgan Stanleyand 1 other13G/A8.00%2.29M shares−1.00 ppfrom 9.00%Dec 31, 2025SEC
FCTFirst Trust Senior Floating Rate Income Fund IIFeb 11, 202612:02 PM ETMorgan Stanleyand 1 other13G/A4.10%1.06M shares−1.00 ppfrom 5.10%Below 5%Dec 31, 2025SEC
EMDWestern Asset Emerging Markets Debt Fund Inc.Nov 7, 20252:51 PM ETMorgan Stanleyand 1 other13G/A9.70%5.64M shares+4.40 ppfrom 5.30%Sep 30, 2025SEC
BWGBrandywineGLOBAL-Global Income Opportunities Fund IncNov 7, 202512:38 PM ETMorgan Stanleyand 1 other13G/A10.30%1.73M shares−1.10 ppfrom 11.40%Sep 30, 2025SEC
ACPabrdn Income Credit Strategies FundNov 7, 202511:42 AM ETMorgan Stanleyand 1 other13G5.30%6.59M shares+0.60 ppfrom 4.70%Sep 30, 2025SEC
NCZVirtus Convertible & Income Fund IINov 7, 202511:39 AM ETMorgan Stanleyand 1 other13G/A10.20%1.95M shares−1.10 ppfrom 11.30%Sep 30, 2025SEC
FCTFirst Trust Senior Floating Rate Income Fund IIAug 7, 202511:42 AM ETMorgan Stanleyand 1 other13G5.10%1.33M shares–Jun 30, 2025SEC
NCZVirtus Convertible & Income Fund IIAug 6, 20253:42 PM ETMorgan Stanleyand 1 other13G/A11.30%2.16M shares–Jun 30, 2025SEC
WIWWestern Asset Inflation-Linked Opportunities & Income FundAug 5, 20253:29 PM ETMorgan Stanleyand 1 other13G/A8.50%5.22M shares+4.40 ppfrom 4.10%Jun 30, 2025SEC