Associate Professor Geoff Warren

geoff warren

RSFAS

Research School of Finance, Actuarial Studies & Statistics

Position
Associate Professor
Email
geoff.warren@anu.edu.au
Phone number
+61 2 612 51526 Mobile +61 411 241 091
Office
4.02, CBE Bld (26C)
Research areas

INVESTMENTS in general, with specific expertise in the following:

  • Superannuation and retirement - default products; governance
  • Funds management - performance, capacity, active vs passive
  • Portfolio construction, including utlity functions , asset allocation
  • Evaluation of investments - asset classes and strategies
  • Valuation
  • Long-term investing
  • Taxation - imputation, managed funds
Biography

Associate Professor Geoff Warren is  Fund Convenor of the ANU Student Managed Fund. He is an active researcher who focuses on investment-related areas with an applied emphasis, including: superannuation, funds management, portfolio construction, long-term investing, and the evaluation and taxation of investments. Prior to pursuing an academic career, Geoff spent over 20 years in investment markets, including as the Director of Capital Markets Research at Russell Investments; as an analyst, Chief Strategist and Head of Research with investment bank Ord Minnett / JP Morgan Australia; and as an equity portfolio manager at AMP Capital. He is currently a member of the Salvation Army Investment Advisory Board, the Atlas Infrastructure Investment Governance and Macro Advisory Boards, the ASIC Consultative Panel, the Super Consumers Australia Research Committee, and the Brandes Institute Asia-Pacific Advisory Board. Geoff has a PhD from the AGSM, and a BComm (Hons) with the University Medal from UNSW. 

CV

Research publications

33. Elimelakh, S., Gillman, B. and Warren, G.J., “Another Use for Active Share – Understanding Portfolio Exposures”, Journal of Investing (forthcoming), June 2020.

32. Warren, G.J., “Active Investing as a Negative Sum Game: A Critical Review”, Journal of Investment Management (forthcoming), January 2020.

31. Cao, Y., von Reibnitz, A. and Warren, G.J., “Return Dispersion and Fund Performance: Australia - the Land of Opportunity?”, Pacific Basin Finance Journal (forthcoming), January 2020.

30. Warren, G.J. “Choosing and Using Utility Functions in Forming Portfolios”, Financial Analysts Journal, 75(3), 2019, 39-69.

29. Butt, A., Khemka, G. and G.J., “What Dividend Imputation Means for Retirement Savers”, Economic Record, 95(309), June 2019, 181-199.

28. Chen, Z., Gallagher, D.R., Harman, G. and Warren, G.J. and Xi, L., “How Much Does Tax Erode Fund Excess Returns?”, Accounting and Finance, forthcoming (https://doi.org/10.1111/acfi.12254)

27. O’Neill, M.J., Schmidt, C.H. and Warren, G.J. “Capacity Analysis for Equity Funds”, Journal of Portfolio Management, 44(5), Spring 2018, 36-49.

26. Butt, A., Donald, M.S., Foster, F.D., Thorp, S. and Warren, G.J. “One Size Fits All: Tailoring Retirement Plan Defaults”, Journal of Economic Behavior and Organization, 145 (January), 2018, 546-566.

25. O’Neill, M.J. and Warren, G.J. “Evaluating Fund Capacity: Issues and Methods”, Accounting and Finance, S1 (April), 2019, 773-800.

24. Gallagher, D.R, Gapes, T.M and Warren, G.J., “In-House Asset Management in the Australian Superannuation Industry”, Accounting and Finance, Accounting and Finance, S1 (April), 2019 -655.

23. Chen, Z., Gallagher, D.R. and Warren, G.J., “Effect of Data Availability in Measuring Fund Managers’ After-Tax Alphas”, Accounting and Finance, Accounting and Finance, S1 (April), 2019 411-448.

22. Butt, A., Donald, M.S. Foster, F.D., Thorp, S. and Warren, G.J., “Design of MySuper Default Funds: Influences and Outcomes”, Accounting and Finance, 57(1), 2017, 47–85

21. Gallagher, D.R., Harman, G., Schmidt, C.H. and Warren, G.J., “Global Equity Fund Performance: An Attribution Approach”, Financial Analysts Journal, 73(1), 2017, 56-71

20. Warren, G.J., “Performance Evaluation for Long-Term Value-Based Investors”, Journal of Performance Measurement, 20(3), Spring 2016

19. Bennett, S., Gallagher D.R., Harman, G., Warren G. and Xi, Y., “A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings”, Accounting and Finance, published online 30 March, 2016

18. Humphrey, J.E, Warren, G.J. and Boon, J, “What is Different about Socially Responsible Funds? A Holdings-Based Analysis”, Journal of Business Ethics, 138(2), 2016, 263–277

17. Ainsworth, A., Partington, G. and Warren, G., “The Impact of Dividend Imputation of Share Prices, the Cost of Capital and Corporate Behaviour”, JASSA, Issue 1 (March) 2016, 37-44

16. Foster, F.D. and Warren, G.J., “Interviews with Institutional Investors: The How and Why of Active Investing”, Journal of Behavioral Finance, 17(1), 2016, 60-84

15. Bennett, S., Gallagher, D.R., Harman, G., Warren, G.J. and Xi, Y., “Alpha Generation in Portfolio Management: Long-Run Australian Equity Fund Evidence”, Australian Journal of Management, 41(1), 2016, 107-140

14. Butt, A., Donald, M.S. Foster, F.D., Thorp, S. and Warren, G.J., “The Australian Superannuation System Post Stronger Super: Views from Fund Executives”, Law and Financial Markets Review, 9(2), 2015, 106-112

13. Siau, S., Sault, S. and Warren, G.J. “Are Imputation Credits Capitalised Into Stock Prices?”, Accounting and Finance, 55(1), 2015, 241-277

12. Foster, F.D. and Warren, G.J. “Why Might Investors Choose Active Management?”, Journal of Behavioural Finance, 16(1), 2015, 20-39

11. Warren, Geoffrey J., “MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged”, Applied Finance Letters 3(2), 2014, 2-11

10. Arnott, R., Li, F. and Warren, G.J. “Clairvoyant Discount Rates”, Journal of Portfolio Management, 40(1), (Fall) 2013, 109-123

9.   Fan, F.J., Fleming, G. and Warren, G.J. “The Alpha, Beta and Consistency of Private Equity Reported Returns” Journal of Private Equity, 16(4) (Fall), 2013, 21-30

8.   Warren, G.J. “Can Investing in Volatility Help Meet Your Portfolio Objectives?”, Journal of Portfolio Management, 38(2) (Winter), 2012, 82-98

7.   Ezra, D. and Warren, G.J. “When Should Investors Consider an Alternative to Passive Investing?”, Journal of Portfolio Management, 36(4) (Summer), 2010, 5-6

6.   Warren, G.J. “Equity Home Bias in Australian Superannuation Funds”, Australian Journal of Management, 35(1), 2010, 69-93

5.   Warren, G. “Portfolio Consequences of Fixed Income Exposures", Journal of Portfolio Management, 35(4) (Summer), 2009, 52-59

4.   Warren, G. “An Alternative for Structuring Fixed Income Investments”, JASSA, Special Issue, 2008, 40-45

3.   Warren, G. and Radcliffe, D. “Emerging Market Equities: An Australian Perspective”, JASSA, 1, 2008, 40-47

2.   Warren, G.J. “Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset”, International Review of Finance, 8(3-4), 2008, 125-157

1.   Warren, G.J. "Interval and Sampling Variation in Beta Estimation", Accounting Research Journal, 16(1), 2003, 156-168

Research grants and awards

  • CIFR Research Grant F016: In-house Funds Management by Superannuation Funds; (team leader); $22,500 cash component; awarded October 2015; joint with David Gallagher and Tim Gapes, CIFR (internal project)
  • CIFR Research Grant F004: The Dividend Imputation System: Efficiency and Effectiveness; (team leader); $24,060 ($10,260 cash component); awarded May 2015; joint with Andrew Ainsworth and Graham Partington, University of Sydney
  • CIFR Research Grant T003: Investing for the Long Run; (team leader); $140,000 ($80,000 cash component); awarded November 2013; joint with Stephen Gilmore, Will Hetherton and Nigel Wilkin-Smith, the Future Fund
  • CIFR Research Grant SUP002: Structure and Responsibilities in Default Superannuation Funds: Influences and Effectiveness” (team leader); $164,705 ($80,000 cash component); awarded September 2013; joint with: Adam Butt, ANU; Scott Donald, UNSW; Doug Foster, UTS; Susan Thorp, UTS
  • ARC Linkage Project LP0669252: The Determinants and Impacts of Analyst Activity in Australian Equity Markets; $255,000; awarded July 2006; joint with Baljit Sidhu (team leader), John Roberts, David Simmonds, Tom Smith (then AGSM); industry partner: ASX

Research engagement and outreach

Editor - finance area, Accounting & Finance

External engagement related to the Student Managed Fund

Regular presenter at investment industry conferences (see cv, file linked)

Member of various advisory bodies: ASIC Consultative Panel; Super Consumers Australia Research Committee; Salvation Army Investment Advisory Board; Atlas Infrastructure Investment Governance and Macro Advisory Boards; Brandes Institute Asia-Pacific Advisory Board.

Teaching

FINM3009/FINM6009 Student Managed Fund

FINM3010/FINM6010 Student Managed Fund Extension