Curriculum Vitae

Geoffrey John Warren

Associate Professor, Australian National University

Contact DetailsMobile: (0411) 241-091

Email:

Work: Research School of Finance, Actuarial Studies and Statistics

Australian National University

Room 4.02, CBE Building (26C)

Kingsley Street, Acton

Canberra, ACT, 0200

Phone: (02) 6125 5458

Home: 23 Bonnet Avenue

Como, NSW, 2226

Phone: (02) 9528 3797

Education

2002 – 2005PhD in Finance, Australian Graduate School of Management, University of NSW

1984 – 1986Diploma, Securities Institute of Australia (now Finsia)

1979 – 1983Bachelor of Commerce (Honours - First Class), University of NSW

Employment History

January 2017 – CurrentResearch School of Finance, Actuarial Studies and Statistics

College of Business and Economics, Australian National University

Responsibilities:

Fund Convenor, ANU Student Managed Fund (0.5 position)

Director, External Research Engagement, CBE (0.2 position)

Teaching: Student Managed Fund courses (FINM3009 and FINM3010)

Research interests: Investments in general. Specific areas include asset pricing, fund management, superannuation, portfolio construction, asset allocation, asset class analysis, valuations, taxation of investments and governance.

July 2013 – December 2016Centre for International Finance and Regulation (CIFR):

Research Director: January 2014 – December 2016

Research Fellow: July 2013 to December 2013

Responsibilities:

Undertake selected CIFR research projects

Involvement in formation and oversight of CIFR targeted research projects

Contributing to CIFR’s public profile

October 2009 – December 2013Senior Lecturer, School of Finance, Statistics and Actuarial Studies, ANU

Teaching: FINM 3005 Corporate Valuation

FINM 3008 Applied Portfolio Construction

February 2007 – June 2009Director of Capital Markets Research, Russell Investments

Responsibilities:

Prepare and present research on issues related to portfolio investment

Provide advice to investment clients

Build Russell’s reputation as a thought leader in the industry

Manage research team (up to 4.5 people)

Achievements:

Production of 18 in-depth research reports (including consulting post Jun’09)

August 2005 - January 2007Postdoctoral Fellow, AGSM, University of NSW

Responsibilities:

Notional allocation of approximately 50% research and 50% teaching.

Teaching responsibilities: Investments, Corporate Valuations (MBA)

Achievements:

Good teaching reviews.

March 2002 - July 2005Full-time doctoral student, AGSM, University of NSW

Achievements:

Thesis: “Expectations and Asset Prices: A Numerical Investigation”

Thesis completed 3¼ years; passed unconditionally by all 3 examiners.

Course work included 6 subjects for credit, achieving 5 High Distinctions and 1 Distinction. An additional 3 subjects were undertaken on an audit basis.

June 1999 - March 2002Head of Strategy Research, JP Morgan Australia (previously Ord Minnett)

Responsibilities:

Manage a research team of 5 strategists and economists

Production and presentation of research on financial markets

Provision of advice on portfolio composition and stock selection

Target client audience: major institutional investors in Australia and overseas

Secondary responsibility included providing training in company analysis to JP Morgan research analysts throughout the Asian region.

Achievements:

Team was rated in Top 3 based on surveys of institutional investors

February 1998 - June 1999Head of Research, Ord Minnett

Responsibilities:

Manage department of approximately 55 staff, including 35 analysts

Director of Ord Minnett Group and Ord Minnett Securities

Member of Management Committee (executive management group)

July 1995 - February 1998Equity Portfolio Manager/Analyst, AMP Investments

Responsibilities:

Team Leader of Long Term Equity Fund (team of 3 managers/analysts)

Management of ~$1.5 billion in funds actively invested in Australian equities

Primary responsibility for covering banks and telecommunication sectors

Member of Asset Allocation Committee during 1997-8

January 1984 - June 1995Analyst, Ord Minnett (various roles)

Director of Ord Minnett Securities, 1992-1995

Responsibilities:

Roles at various times included company analyst, economist and strategist

These roles required production and presentation of research on companies, the economy and financial markets respectively

Provision of advice on portfolio composition and stock selection

Target client audience: major institutional investors in Australia and overseas

Achievements:

Rated No.1 strategist in surveys of institutional investors, 1990-1995

1981 - 1983Full time university - Bachelor of Commerce (Honours), University of NSW

Achievements:

Awarded first class honours and University Medal

Honours thesis: “Can excess volatility be exploited by trading rules?”

1979 - 1980Audit Clerk - Hungerford, Hancock & Offner (chartered accountants)

Part-time university: Bachelor of Commerce, University of NSW

Research

Published and Accepted Academic Papers

27. O’Neill, M.J., Schmidt, C.H. and Warren, G.J. “Capacity Analysis for Equity Funds”, Journal of Portfolio Management, accepted December 2017 (forthcoming, Spring 2018)

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 Behaviour and Organization, accepted November 2017 (forthcoming)

25. O’Neill, M.J. and Warren, G.J. “Evaluating Fund Capacity: Issues and Methods”, January 2017 Accounting and Finance, published online 7 April, 2017

24. Gallagher, D.R, Gapes, T.M and Warren, G.J., “In-House Asset Management in the Australian Superannuation Industry”, Accounting and Finance, published online 7 February, 2017

23. Chen, Z., Gallagher, D.R. and Warren, G.J., “Effect of Data Availability in Measuring Fund Managers’ After-Tax Alphas”, Accounting and Finance, published online 8 January, 2017

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 Behavioural 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

Other Working Papers, including Manuscripts under Review

  • Gallagher, D.R, Harman, G., Schmidt, C.H. and Warren, G.J., “Global Equity Fund Performance Evaluation with Equity and Currency Style Factors”, working paper, September 2017 (under review at Journal of Banking and Finance)
  • Chen, Z., Gallagher, D.R., Harman, G. and Warren, G.J and Xi, L, “How Much Does Tax Erode Fund Excess Returns?”, working paper, April 2017 (under review at Accounting and Finance)
  • Forsberg, D, Gallagher, D.R. and Warren, G.J. “Relative Hedge Fund Skill and the Informativeness of Cohort Alpha”, working paper, December 2017
  • Forsberg, D, Gallagher, D.R. and Warren, G.J. “Capacity Constraints in Hedge Funds: The Impact of Cohort Size on Fund Performance”, working paper, November 2017
  • Warren, G.J. “Investment Horizon Investment Horizon, Risk Drivers and Portfolio Construction”, working paper, December 2017
  • Liu, W-M., Soo, J.I.Z. and Warren, G.J., “The Impact of Broker Structure on Stock Liquidity”, working paper, September 2016 (currently being reworked)

Other Notable Academic Papers

  • Smith, T., Walsh, K. and Warren, G., “Cost of Capital Estimation: Something Better Than the Standard CAPM?”, working paper, ANU, 2009
  • Warren, G.J., “Expectations and Asset Prices: A Numerical Investigation”, PhD Dissertation, AGSM, 2005
  • Warren, G., “Beta Estimation: Dealing With the Issues”, AGSM Working Papers, 2002

Applied Research

CIFR Research Working Papers (project; comments)

  • O’Neill, M. Schmidt, C. and Warren, G. “Capacity Analysis”, CIFR Research Working Paper, No. 129/2016, December 2016 (F017, paper #3)
  • O’Neill, M. and Warren, G. “Capacity Management for Institutional Asset Owners”, CIFR Research Working Paper, No. 125/2016, October 2016 (F017, paper #2)
  • O’Neill, M. and Warren, G. “Evaluating Fund Capacity: Issues and Methods”, CIFR Research Working Paper, No. 124/2016, September 2016 (F017, Paper #1)
  • Gapes, T., Gallagher, D. and Warren, G., “In-House Investment Management: Making and Implementing the Decision”, CIFR Research Working Paper, No. 094/2016, March 2016 (F016, winner of Savvy Investor Award for Best Superannuation Paper, 2016)
  • Warren, G., “Portfolio Construction and Performance Evaluation for Long-Term Investors”, CIFR Research Working Paper, No. 056/2015, August 2015 (T003, paper #5)
  • Butt, A., Donald, S. Foster, D., Thorp, S. and Warren, G., “CIFR Project SUP002 on Default Superannuation Funds: Summary of Main Findings and Implications”, CIFR Research Working Paper, No. 069/2015, August 2015 (SUP002, paper #6: project summary)
  • Butt, A., Donald, S. Foster, D., Thorp, S. and Warren, G., “Delegation, Trust and Defaulting in Retirement Savings: Perspectives from Plan Executives and Members”, CIFR Research Working Paper, No. 065/2015, July 2015 (SUP002, paper #5)
  • Neal, D. and Warren, G. “Long-Term Investing as an Agency Problem”, CIFR Research Working Paper, No. 063/2015, June 2015 (T003, Paper #4)
  • Ainsworth, A., Partington, G. and Warren, G. “Do Franking Credits Matter? Exploring the Financial Implications of Dividend Imputation”, CIFR Research Working Paper, No. 058/2015, June 2015 (F004, submitted to tax review)
  • Butt, A., Donald, S. Foster, D., Thorp, S. and Warren, G., “MySuper: A Stage in an Evolutionary Process”, CIFR Research Working Paper, No. 048/2014, December 2014 (SUP002, paper #4)
  • Warren, G., “Designing an Investment Organization for Long-Term Investing”, CIFR Research Working Paper, No. 40/2014, October 2014 (T003, Paper #3)
  • Warren, G., “Benefits (and Pitfalls) of Long-Term Investing”, CIFR Research Working Paper, No. 40/2014, October 2014 (T003, Paper #2)
  • Warren, G.J., “MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged”, CIFR Research Working Paper, No. 037/2014, September 2014 (SUP002, paper #3)
  • Butt, A., Donald, S. Foster, D., Thorp, S. and Warren, G., “The Superannuation System and its Regulation: Views from Fund Executives”, CIFR Research Working Paper, No. 030/2014, July 2014 (SUP002, paper #2)
  • Warren, G., “Long-Term Investing: What Determines Investment Horizon?”, CIFR Research Working Paper, No. 024/2014, May 2014 (T003, Paper #1)
  • Chant, W., Mohankumar, M. and Warren, G. “MySuper: A New Landscape for Default Superannuation Funds”, CIFR Research Working Paper, No. 020/2014, July 2014 (SUP002, paper #1)

CIFR Projects

  • Evaluating Capacity in Funds Management (F017) – with Michael O’Neill, Investors Mutual; Camille Schmidt, CIFR
  • In-house Funds Management by Superannuation Funds (F016) – with David Gallagher and Tim Gapes, CIFR
  • The Dividend Imputation System: Efficiency and Effectiveness (F004) – with Andrew Ainsworth and Graham Partington, University of Sydney
  • Investing for the Long Run (T003) – collaboration with the Future Fund
  • Structure and Responsibilities in Default Superannuation Funds: Influences and Effectiveness (SUP002) – Joint with Adam Butt (ANU), Scott Donald (UNSW), Doug Foster (UTS) and Susan Thorp (UTS)

Applied Publications (not peer reviewed)

  • Brandes Institute, “Organizational Design and Long-Term Investing”, White Paper, December 2017, forthcoming
  • Willis Towers Watson Thinking Ahead Institute, “Patience: Not Merely a Virtue, But an Asset”, White Paper, December 2017 (with Tim Hodgson and Liang Yin)
  • Brandes Institute, “What Does It Mean To Be A Long-Term Investor”, White Paper, July 2016
  • Investment Magazine, contributed article, “In-house Investment: An Unstoppable Trend”, 16/05/16
  • Cuffelinks, “How to make in-house investment management work”, 5/5/16
  • Australian Financial Review, opinion piece, “Axing Dividend Imputation May Not Be Worth The Risks”, 11/2/16
  • Cuffelinks, “Do Franking Credits Matter? Some Context on the Policy Debate”, 3/7/15
  • Warren, Geoff, “Investing in Illiquid Assets – Not For All Investors, Or All Times”, Journal of Superannuation Management, 7(1), 2015, pp. 32-35
  • Cuffelinks, series of articles on long-term investing (21/11/14; 12/12/2014; 30/1/15; 6/3/15)
  • The Conversation, “Explainer: Are Share Buybacks Good for Investors?” 10 February, 2014
  • Ezra, Don and Warren, Geoff, “When Should Investors Consider an Alternative to Passive Investing”, Investments & Wealth Monitor, Investment Management Consultants Association, March/April 2014, pp. 37-41
  • The Conversation, “Explainer: Are Share Buybacks Good for Investors?” 10 February, 2014
  • Warren, Geoff, “Can Investing in Volatility Help Meet Your Portfolio Objectives?”, Fink Center Bulletin, UCLA Anderson School of Management, No.1, 2012, pp. 4-7. (Invited ‘Academic Perspective’)
  • The Conversation, “Global Economic Shakeout: The Zig-Zag Market Heralds Nasty Times Ahead”, 10 August, 2011

Russell Research Reports

The Capital Market Research role and subsequent consulting work for Russell Investments involved production of in-depth reports (listed below), many of which might be described as ‘applied academic research’. These reports are peer-reviewed by other Russell associates, a number of whom had a PhD. Some reports formed the basis of the journal publications cited above.

  • Investing in Volatility, July 2011 (with Chris Inman)
  • When Should You Choose an Alternative to Passive Investing?, January 2010 (with Don Ezra)
  • Value Tilts for Australian Equity Portfolios, July 2009 (with Kathy Cave)
  • Home Bias? It’s A Matter of Perspective, March 2009
  • Strategic Tilting Idea: Investment Grade Credit, April 2009 (with Andrew Pease)
  • Strategic Tilting: What, If, When and How?, January 2009 (with Andrew Pease)
  • Diversification with Attitude - Part A: Improving Your Asset Class Mix, August 2008
  • Diversification with Attitude - Part B: The Search for Excess Returns, August 2008
  • Russell's Core Investment Beliefs, August 2008 (with Scott Donald)
  • Future of Fixed Income: An Alternative for Structuring Your Investment, May 2008
  • Is Your Portfolio Adequately Diversified?, April 2008
  • Should Australian Investors Go Global in Listed Property?, February 2008 (with Rob Pereira)
  • Is Credit Good For Your Portfolio?, January 2008
  • Do You Need an Australian Fixed Income Portfolio?, January 2008
  • Active Currency Management: Strategy for Australian Investors, December 2007 (with Rob Pereira)
  • Illiquidity: A Story of Haircuts and Perms, August 2007 (with Andrew Leung)
  • Emerging Market Equities: An Australian Perspective, May 2007 (with Daniel Radcliffe)
  • Clustering with Style: Piecing Together the Australian Equities Manager Jigsaw, May 2007 (with Jon Eggins)

Academic Awards and Prizes

  • Savvy Investor Award for Best Superannuation Paper 2016 (for Gapes, T., Gallagher, D. and Warren, G., “In-House Investment Management: Making and Implementing the Decision”)
  • Best Paper Award, 16th Asian Finance Association Conference, Kuala Lumpur, 11-13 July 2005 (for “Re-examining the Equity Risk Premium and Risk-Free Rate Puzzles from a Multi-Period Perspective”)
  • FIRN Best Paper Award for PhD Students and Younger Researchers, 17th Australasian Banking and Finance Conference, Sydney, 15-17 December, 2004 (for “A Numerical Approach for Estimating Asset Prices and Expected Returns”)
  • Best Educational Note, Accounting Research Journal, 2003
  • University Medal, Accounting and Finance, University of NSW, 1982

Research Grants

  • 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, AGSM

­ Industry partner: ASX

Education

ANU (2017)

Teaching responsibilities relate to two new linked courses, FINM3009 Student Managed Fund and FINM3010 Student Managed Fund Extension, and the related fund. These courses involve a limited number of top students who take responsibility for the management of actual endowment money that has been donated to support scholarships and prizes, subject to oversight by an external Investment Committee and with the guidance of course convenors. As Fund Convenor, holds primary responsibility for overseeing the fund and its investments, including implementing the investment recommendations of students and acting as Chair of the Investment Advisory Committee. The fund and the related courses commencing in Semester 2, 2017.

ANU (2010 to 2013)

Teaching responsibilities included FINM 3005 Corporate Valuation and FINM 3008 Applied Portfolio Construction. Both were 3rd year undergraduate; although in two cases included a smaller cohort of masters students. Summary statistics from student reviews appear in the table below.

Student Feedback: Summary Scores (out of 5) – Geoff Warren, ANU

Subject / Semester / Number Enrolled / Number of Respondents / Experience of Teaching / Experience of Learning
Applied Portfolio Construction / 1/2010 / 83 / 32 / 3.9 / 3.7
Corporate Valuation / 2/2010 / 282 / 120 / 3.6 / 3.5
Corporate Valuation / 1/2011 / 103 / 32 / 4.4 / 4.3
Applied Portfolio Construction / 2/2011 / 285 / 94 / 4.4 / 4.3
Applied Portfolio Construction (tutoring) / 2/2011 / 94 / 33 / 4.7
Corporate Valuation / 1/2012 / 81 / 30 / 4.3 / 4.3
Applied Portfolio Construction / 2/2012 / 177 / 50 / 4.1 / 4.1
Applied Portfolio Construction (tutoring) / 2/2012 / 26 / 7 / 4.3
Corporate Valuation / 1/2013 / 116 / 35 / 4.3 / 4.2
Applied Portfolio Construction / 2/2013 / 181 / 53 / 4.5 / 4.4
Applied Portfolio Construction (tutoring) / 2/2013 / 23 / 10 / 4.5
Student Managed Fund / 2/2017 / 8 / 4 / 5.0 / 4.8
Median / 4.35 / 4.3

Teaching at AGSM (2005 to 2006)