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
- Long-term investing
- Taxation - imputation, managed funds
Dr Geoff Warren is an Associate Professor at the Australian National University, where he is Fund Convenor of the ANU Student Managed Fund. He is a member of various investment and research advisory boards, including for Atlas Infrastructure, ASIC Consultative Panel, Brandes Institute, Conexus Institute, FMAA, Salvation Army and Super Consumers Australia. Geoff is an active researcher who focuses on investment-related areas with an applied emphasis, including: superannuation, retirement, fund management, portfolio construction, long-term investing, and evaluation and taxation of investments. Prior to pursuing an academic career, he 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. Geoff has a PhD from the AGSM, and a BComm (Hons) with the University Medal from UNSW.
40. Forsberg, D., Gallagher, D.R. and Warren, G.J. “Capacity Constraints in Hedge Funds: The Impact of Cohort Size on Fund Performance”, Financial Analysts Journal, forthcoming (accepted 18 October 2021)
39. Gallagher, D.R, Harman, G., Schmidt, C.H. and Warren, G.J., “Global Equity Fund Performance Evaluation with Equity and Currency Style Factors”, Accounting and Finance, posted 30 July 2021, https://onlinelibrary.wiley.com/doi/epdf/10.1111/acfi.12831.
38. Warren, G.J. “Design of Comprehensive Income Products for Retirement Using Utility Functions”, Australian Journal of Management, posted 2 February 2021, https://doi.org/10.1177%2F0312896220985327.
37. Khemka, G., Tang, Y. and Warren, G.J., “The ‘Right’ Level for the Superannuation Guarantee: A Straightforward Issue by No Means”, Accounting and Finance, 61(3), September 2021, 4435-4474.
36. Warren, G.J., “Active Investing as a Negative Sum Game: A Critical Review”, Journal of Investment Management, 19(2), Second Quarter, 2021.
35. Lung, E., Roodt, C., Ryan, L., Warren, G. and Wymer, K., “A Framework for Designing Investment Strategies for Default Retirement Plans”, Journal of Retirement, 8(3), Winter 2021, 40-60.
34. Forsberg, D., Gallagher, D.R. and Warren, G.J. “Identifying Hedge Fund Skill Using Peer Cohorts”, Financial Analysts Journal, 77(2), April 2021, 97-123.
33. Khemka, G. Steffensen M. and Warren, G.J., “How Sub-Optimal Are Age-Based Life-Cycle Investment Products?”, International Review of Financial Analysis, 73, January 2021, 101619.
32. 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, 60 (4), December 2020, 3407-3446.
31. Elimelakh, S., Gillman, B. and Warren, G.J., “Another Use for Active Share – Understanding Portfolio Exposures”, Journal of Investing, 29(6), October 2020, 7-22.
30. Cao, Y., von Reibnitz, A. and Warren, G.J., “Return Dispersion and Fund Performance: Australia - The Land of Opportunity?”, Pacific Basin Finance Journal, 60, April 2020, 101269.
29. Warren, G.J. “Choosing and Using Utility Functions in Forming Portfolios”, Financial Analysts Journal, 75(3), July 2019, 39-69.
28. Butt, A., Khemka, G. and Warren G.J., “What Dividend Imputation Means for Retirement Savers”, Economic Record, 95(309), June 2019, 181-199.
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, 615-655.
23. Chen, Z., Gallagher, D.R. and Warren, G.J., “Effect of Data Availability in Measuring Fund Managers’ After-Tax Alphas”, Accounting and Finance, S1, April 2019 411-448.
22. 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, 58(1), March 2018, 91-125.
21. 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), March 2017, 47–85
20. Gallagher, D.R., Harman, G., Schmidt, C.H. and Warren, G.J., “Global Equity Fund Performance: An Attribution Approach”, Financial Analysts Journal, 73(1), January 2017, 56-71.
19. Warren, G.J., “Performance Evaluation for Long-Term Value-Based Investors”, Journal of Performance Measurement, 20(3), Spring 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”, Australasian Journal of Applied Finance (formerly JASSA), Special Issue, 2008, 40-45.
3. Warren, G. and Radcliffe, D. “Emerging Market Equities: An Australian Perspective”, Australasian Journal of Applied Finance (formerly 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; Financial Management Association of Australia (ANU representative on the Board)
FINM3009/FINM6009 Student Managed Fund
FINM3010/FINM6010 Student Managed Fund Extension