Associate Professor Geoff Warren
PhD, BComm (Hons)
Honorary Associate Professor
ANU College of Business and Economics
T:
+61-411 241 091
Areas of expertise
- Financial Economics 140207
Research interests
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 asset allocation
- Evaluation of investments - asset classes and strategies; valuation
- Long-term investing
- Taxation - imputation, managed funds
Biography
Geoff Warren is an Honorary Associate Professor at the Australian National University and Research Fellow with the Conexus Institute - a not-for-profit research centre focused on superannuation and retirement. Geoff is an active researcher who focuses on investment-related areas with an applied and policy emphasis, including: superannuation, funds management, portfolio construction, long-term investing, and the evaluation and taxation of investments. 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.
Researcher's projects
Fund Management
- Alpha profiles and determinants
Retirement
- Retirement strategies - design and delivery
- Drivers of retirement outcomes
Superannuation
- Member switching
- Scale impacts
Publications
- Forsberg, D, Gallagher, D & Warren, G 2022, 'Capacity Constraints in Hedge Funds: The Relation Between Fund Performance and Cohort Size', Financial Analysts Journal, vol. 78, no. 2, pp. 57-77.
- Butt, A, Khemka, G & Warren, G 2022, 'Heterogeneity in optimal investment and drawdown strategies in retirement', Pacific-Basin Finance Journal, vol. 74.
- Gallagher, D, Harman, G, Schmidt, C et al. 2021, 'Global equity fund performance adjusted for equity and currency factors', Accounting and Finance, vol. 62, no. S1, pp. 1535-1565.
- Lung, E, Roodt, C, Ryan, L et al. 2021, 'A framework for designing investment strategies for default retirement plans', The Journal of Retirement, vol. 8, no. 3, pp. 40-60.
- Forsberg, D, Gallagher, D & Warren, G 2021, 'Identifying Hedge Fund Skill by Using Peer Cohorts', Financial Analysts Journal, vol. 77, no. 2, pp. 97-123.
- Khemka, G, Steffensen, M & Warren, G 2021, 'How sub-optimal are age-based life-cycle investment products?', International Review of Financial Analysis, vol. 73.
- Warren, G 2021, 'Design of comprehensive income products for retirement using utility functions', Australian Journal of Management, vol. 47, no. 1, pp. 105-134.
- Elimelakh, S, Gillman, B & Warren, G 2020, 'Another Use for Active Share – Understanding Portfolio Exposures', The Journal of Investing, vol. 29, no. 6, pp. 7-22.
- Chao, Y, Von Reibnitz, A & Warren, G 2020, 'Return dispersion and fund performance. Australia: The land of opportunity?', Pacific-Basin Finance Journal, vol. 60.
- Chen, Z, Gallagher, D, Harman , G et al. 2019, 'How much does tax erode fund excess returns?', Accounting and Finance, pp. -.
- Warren, G 2019, 'Choosing and Using Utility Functions in Forming Portfolios', Financial Analysts Journal, vol. 75, no. 3, pp. 39-69.
- Butt, A, Khemka, G & Warren, G 2019, 'What Dividend Imputation Means for Retirement Savers', Economic Record, vol. 95, no. 309, pp. 181-199.
- Butt, A, Donald, M, Foster, F et al. 2018, 'One size fits all? Tailoring retirement plan defaults', Journal of Economic Behavior and Organization, vol. 145, pp. 546-566pp.
- O'Neill, M, Schmidt, C & Warren, G 2018, 'Capacity Analysis for Equity Funds', Journal of Portfolio Management, vol. 44, no. 5, pp. 36-49pp.
- Gallagher, D, Gapes, T & Warren, G 2017, 'In-House Asset Management in the Australian Superannuation Industry', Accounting and Finance.
- O'Neill, M & Warren, G 2017, 'Evaluating fund capacity: Issues and methods', Accounting and Finance, vol. online, pp. 1-28pp..
- Gallagher, D, Harman , G, Schmidt, C et al. 2017, 'Global Equity Fund Performance: An Attribution Approach', Financial Analysts Journal, vol. 73, no. 1, pp. 56-71pp.
- Ainsworth, A, Partington, G & Warren, G 2016, 'The Impact of Dividend Imputation on Share Prices, the Cost of Capital and Corporate Behaviour', Journal of the Australian Society of Security Analysts (JASSA), no. 1, pp. 41-49.
- Warren, G 2016, 'Performance Evaluation for Long-Term Value-Based Investors', Journal of Performance Measurement, no. Spring 2016, pp. 28-41.
- Chen, Z, Gallagher, D & Warren, G 2016, 'The effect of data availability in measuring fund managers' after-tax alphas', Accounting and Finance, vol. Online, pp. 35pp.
- Humphrey, J, Warren, G & Boon, J 2016, 'What is Different about Socially Responsible Funds? A Holdings-Based Analysis', Journal of Business Ethics, vol. 138, no. 2, pp. 263-277.
- Foster, F & Warren, G 2016, 'Interviews with Institutional Investors: The How and Why of Active Investing', Journal of Behavioral Finance, vol. 17, no. 1, pp. 60-84.
- Warren, G, Bennett, S, Gallagher, D et al. 2016, 'A new perspective on performance persistence: Evidence using portfolio holdings', Accounting and Finance, pp. 1-35.
- Butt, A, Warren, G, Foster, D et al. 2015, 'The Australian Superannuation System Post Stronger Super: Views from Fund Executives', Law and Financial Markets Review, vol. 9, no. 2, pp. 106-112.
- Bennett, S, Gallagher, D, Harman , G et al. 2016, 'Alpha generation in portfolio management: long-run Australian equity fund evidence', Australian Journal of Management, vol. 41, no. 1, pp. 107-140.
- Butt, A, Donald, M, Foster, F et al. 2017, 'Design of MySuper default funds: Influences and outcomes', Accounting and Finance, vol. 57, no. 1, pp. 47-85.
- Siau, K, Sault, S & Warren, G 2015, 'Are Imputation Credits Capitalised Into Stock Prices?', Accounting and Finance, 55(1), 241-277 .
- Warren, G & Foster, D 2015, 'Why Might Investors Choose Active Management?', Journal of Behavioral Finance, 16(1), 20-39
- Warren, G 2014, 'MySuper Vs. KiwiSaver: Retirement Saving For The Less Engaged', Applied Finance Letters, vol. 3, no. 2, pp. 2-11.
- Arnott, R, Li, F & Warren, G 2013, 'Clairvoyant Discount Rates', Journal of Portfolio Management, vol. 40, no. 1, pp. 109 - 123.
- Fan, F, Fleming, G & Warren, G 2013, 'The Alpha, Beta and Consistency of Private Equity Reported Returns', Journal of Private Equity, vol. 16, no. 4, pp. 21 - 30.
- Warren, G. 2012, 'Can Investing in Volatility Help Meet Your Portfolio Objectives?', Journal of Portfolio Management, vol 38, no.2, pp. 82-98
- Warren, G & Ezra, D 2010, 'When should investors consider an alternative to passive investing?', Journal of Portfolio Management, vol. 36, no. 4, pp. 5-6.
- Warren, G. 2010, 'Equity home bias in Australian superannuation funds', Australian Journal of Management, vol. 35, no. 1, pp. 69-93.
- Warren, G. 2009, 'Portfolio Risk Consequences of Fixed-Income Exposures', Journal of Portfolio Management, vol. 35, no. 4, pp. 52-59.
- Warren, G. & Radcliffe, D. 2008, 'Emerging Market Equities: An Australian Perspective', Journal of the Australian Society of Security Analysts (JASSA), vol. 1, pp. 40-47.
- Warren, G. 2008, 'An Alternative for Structuring Fixed Income Investments', Journal of the Australian Society of Security Analysts (JASSA), vol. Special, no. 2, pp. 40-45.
- Warren, G. 2008, 'Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset', International Review of Finance, vol. 8, no. 3-4, pp. 125-157.
- Warren, G. 2003, 'Interval and Sampling Variation in Beta Estimation', Accounting Research Journal, vol. 16, no. 1, pp. 156-168.
Projects and Grants
Grants information is drawn from ARIES. To add or update Projects or Grants information please contact your College Research Office.
- Investment Risk Metrics for Retirees and/or Considerations of Lifetime Income in Portfolio Design (Primary Investigator)
- Structure and Responsibilities in Default Superannuation Funds: Influences and Effectiveness (Secondary Investigator)
