Geoff Warren

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Senior Lecturer

CBE Building 26C

Kingsley Sreet, Acton

Canberra, ACT 0200

Australia

SCHOLARLY PAPERS

49

DOWNLOADS
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in Total Papers Downloads

13,728

SSRN CITATIONS
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SSRN RANKINGS

Top 17,486

in Total Papers Citations

42

CROSSREF CITATIONS

36

Scholarly Papers (49)

Long-Term Investing: What Determines Investment Horizon?

CIFR Paper No. 39
Number of pages: 41 Posted: 23 Oct 2014
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 908 (47,778)
Citation 9

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Long-Term Investing: What Determines Investment Horizon?

CIFR Paper No. 024/2014
Number of pages: 41 Posted: 28 May 2014 Last Revised: 19 Mar 2017
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 539 (94,454)
Citation 1

Abstract:

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2.

Interviews with Institutional Investors: The How and Why of Active Investing

FIRN Research Paper
Number of pages: 52 Posted: 25 Feb 2013 Last Revised: 18 Mar 2017
F. Douglas Foster and Geoff Warren
The University of Sydney - Discipline of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 763 (61,397)
Citation 3

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Active Management, Manager Selection, Multi-manager, Interviews

3.

What Dividend Imputation Means for Retirement Savers

Number of pages: 31 Posted: 05 Sep 2018
Adam Butt, Gaurav Khemka and Geoff Warren
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 687 (70,300)
Citation 1

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Retirement, Dividend Imputation, Life-Cycle Models, Portfolio Construction, Home Bias

4.

In-House Investment Management: Making and Implementing the Decision

CIFR Paper No. 094/2016
Number of pages: 41 Posted: 04 Mar 2016 Last Revised: 18 Mar 2017
David R. Gallagher, Tim Gapes and Geoff Warren
Bond University, Centre for International Finance and Regulation (CIFR) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 598 (83,736)

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Global Equity Fund Performance: An Attribution Approach

Number of pages: 30 Posted: 23 Feb 2015 Last Revised: 06 Mar 2016
Bond University, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 363 (150,697)

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global equity funds, performance attribution, market efficiency, emerging markets, portfolio management

Global Equity Fund Performance: An Attribution Approach

Financial Analysts Journal, Vol. 73(1): 56-71, 2017
Number of pages: 30 Posted: 12 Mar 2016 Last Revised: 10 Feb 2017
Bond University, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 211 (262,602)
Citation 1

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6.

Identifying Hedge Fund Skill Using Peer Cohorts

Forsberg, David and Gallagher, David R. and Warren, Geoffrey J., Identifying Hedge Fund Skill Using Peer Cohorts (15 April 2021). Financial Analysts Journal, 2021, 77(2): 97-123. Available at SSRN: https://ssrn.com/abstract=3104261 or http://dx.doi.org/10.2139/ssrn.3104261
Number of pages: 70 Posted: 25 Jan 2018 Last Revised: 04 Oct 2021
Rozetta Institute, Bond University and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 543 (94,646)
Citation 2

Abstract:

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Hedge funds, performance evaluation, performance persistence, manager selection, portfolio construction, cluster analysis

7.

Investment Risk for Long-Term Investors

Number of pages: 25 Posted: 07 Apr 2021 Last Revised: 14 May 2021
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 533 (96,859)

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investment risk, investment horizon, long-term investing

8.

Evaluating Fund Capacity: Issues and Methods

CIFR Paper No. 124/2016
Number of pages: 45 Posted: 28 Sep 2016
Michael O'Neill and Geoff Warren
Bond University - Bond Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 529 (97,753)
Citation 4

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9.

Active Investing as a Negative Sum Game: A Critical Review

Journal of Investment Management, Forthcoming
Number of pages: 20 Posted: 23 Aug 2019 Last Revised: 22 Jan 2020
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 517 (100,550)

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fund management, active versus passive, zero-sum game

10.

Benefits (and Pitfalls) of Long-Term Investing

CIFR Paper No. 40
Number of pages: 56 Posted: 23 Oct 2014
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 487 (108,174)
Citation 3

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11.

MySuper: A New Landscape for Default Superannuation Funds

CIFR Paper No. 020/2014
Number of pages: 23 Posted: 28 May 2014 Last Revised: 29 May 2014
Warren Chant, Mano Mohankumar and Geoff Warren
Chant West, Chant West and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 471 (112,559)
Citation 16

Abstract:

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12.

Do Franking Credits Matter? Exploring the Financial Implications of Dividend Imputation

CIFR Paper No. 058/2015
Number of pages: 42 Posted: 03 Jun 2015
University of Wollongong - School of Accounting, Economics & Finance, University of Sydney - School of Business - Finance Discipline and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 458 (116,637)
Citation 3

Abstract:

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13.

Why Might Investors Choose Active Management?

Number of pages: 49 Posted: 24 Feb 2011 Last Revised: 20 Feb 2013
Geoff Warren and F. Douglas Foster
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and The University of Sydney - Discipline of Finance
Downloads 397 (137,324)
Citation 4

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Investment Management, Active versus Passive, Manager Selection

14.

Long-Term Investing as an Agency Problem

CIFR Paper No. 063/2015
Number of pages: 13 Posted: 01 Oct 2015 Last Revised: 19 Mar 2017
David Neal and Geoff Warren
Future Fund and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 371 (148,204)
Citation 5

Abstract:

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15.

Global Equity Fund Performance Evaluation with Equity and Currency Style Factors

CIFR Paper No. 123/2016
Number of pages: 37 Posted: 18 Oct 2016 Last Revised: 19 Apr 2021
Bond University, Russell Investments, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 321 (173,453)

Abstract:

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Global Equities, Performance Evaluation, Active Management, Currency

16.

Portfolio Construction and Performance Evaluation for Long-term Investors

CIFR Paper No. 56/2015
Number of pages: 21 Posted: 18 Mar 2015 Last Revised: 28 Aug 2015
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 313 (178,064)

Abstract:

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17.

When Should Investors Choose an Alternative to Passively Investing in a Capitalization-Weighted Index?

Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Number of pages: 22 Posted: 17 Jul 2010
Don Ezra and Geoff Warren
Russell Investments - New York and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 309 (180,449)
Citation 1

Abstract:

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Investment management

18.

Designing an Investment Organization for Long-Term Investing

CIFR Paper No. 41
Number of pages: 54 Posted: 23 Oct 2014 Last Revised: 19 Mar 2017
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 307 (181,702)
Citation 3

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19.

The ‘Right’ Level for the Superannuation Guarantee: A Straightforward Issue by No Means

Number of pages: 31 Posted: 04 Feb 2020
Gaurav Khemka, Yifu Tang and Geoff Warren
Australian National University (ANU), Australian National University and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 306 (182,325)
Citation 1

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Alpha Generation in Portfolio Management: Long-Run Australian Equity Fund Evidence

Number of pages: 44 Posted: 31 Aug 2012 Last Revised: 02 Aug 2013
Northern Trust Asset Management, Bond University, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 291 (191,101)
Citation 10

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performance evaluation, active management, portfolio holdings, trades, alpha generation

Alpha Generation in Portfolio Management: Long-Run Australian Equity Fund Evidence

Australian Journal of Management, Vol. 41, No. 1, 2016
Posted: 29 Jan 2016
Northern Trust Asset Management, Bond University, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management

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active management, alpha generation, performance evaluation, portfolio holdings, trades

21.

What Does it Mean to Be a Long-Term Investor?

Brandes Institute Research Paper No. 2016-04
Number of pages: 10 Posted: 08 Sep 2017
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 281 (199,314)
Citation 1

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22.

MySuper: A Stage in an Evolutionary Process

CIFR Paper No. 048/2014
Number of pages: 65 Posted: 13 Dec 2014
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 236 (237,049)
Citation 1

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23.

Principles and Rules for Translating Retirement Objectives into Strategies

Number of pages: 8 Posted: 18 Feb 2021
Adam Butt, Gaurav Khemka and Geoff Warren
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 234 (239,029)

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Retirement savings, portfolio choice, drawdown strategies, product design, financial planning

24.

Capacity constraints in hedge funds: The relation between fund performance and cohort size

Forsberg, David and Gallagher, David R. and Warren, Geoffrey J., Capacity constraints in hedge funds: The relation between fund performance and cohort size (7 March 2022). Financial Analysts Journal, 2022, 78(2): 57-77. DOI: 10.1080/0015198X.2021.1996200. Available at SSRN: https://ssrn.com/abstrac
Number of pages: 37 Posted: 01 Dec 2017 Last Revised: 16 May 2022
Rozetta Institute, Bond University and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 210 (264,640)
Citation 3

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Hedge Funds; Capacity Constraints; Implementation Shortfall; Peer Groups; Performance

25.

Capacity Management for Institutional Asset Owners

CIFR Paper No. 125/2016
Number of pages: 18 Posted: 24 Oct 2016 Last Revised: 18 Jan 2017
Michael O'Neill and Geoff Warren
Bond University - Bond Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 206 (269,399)
Citation 1

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26.

MySuper vs. KiwiSaver: Retirement Saving for the Less Engaged

Forthcoming, Applied Finance Letters, CIFR Paper No. 037
Number of pages: 14 Posted: 27 Aug 2014 Last Revised: 30 Sep 2014
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 197 (280,566)

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Superannuation, MySuper, KiwiSaver, regulation, portfolio construction, fees

27.

Delegation, Trust and Defaulting in Retirement Savings: Perspectives from Plan Executives and Members

CIFR Paper No. 065/2015, FIRN Research Paper No. 2638998
Number of pages: 37 Posted: 05 Aug 2015
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 196 (281,756)
Citation 2

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28.

How Sub-Optimal Are Age-Based Life-Cycle Investment Products?

Number of pages: 22 Posted: 10 Jul 2019 Last Revised: 30 Jul 2019
Gaurav Khemka, Mogens Steffensen and Geoff Warren
Australian National University (ANU), University of Copenhagen and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 194 (284,405)

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life-cycle models, portfolio optimization, investment product design, target date funds

29.

Design of comprehensive income products for retirement using utility functions

Number of pages: 26 Posted: 01 Jan 2020 Last Revised: 04 May 2020
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 181 (302,660)
Citation 1

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Retirement, pensions, portfolio construction, utility functions, investment products, behavioral

30.

The Effect of Data Availability in Measuring Fund Managers’ After-Tax Alpha

CIFR Paper No. 100/2016
Number of pages: 35 Posted: 24 Mar 2016 Last Revised: 18 Mar 2017
Zhe Chen, Zhe Chen, David R. Gallagher and Geoff Warren
University of New South Wales (UNSW)Acadian Asset Management, Bond University and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 181 (302,660)
Citation 1

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active fund management, performance evaluation, data sources, trading, taxation

31.
Downloads 170 (319,822)

Capacity Analysis

CIFR Paper No. 129/2016
Number of pages: 50 Posted: 06 Dec 2016
Michael O'Neill, Camille Schmidt and Geoff Warren
Bond University - Bond Business School, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 170 (319,643)
Citation 1

Abstract:

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Capacity Analysis

CIFR Paper No. 129/2016
Posted: 12 Apr 2017
Michael O'Neill, Camille Schmidt and Geoff Warren
Bond University - Bond Business School, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Abstract:

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32.

How Much Does Tax Erode Fund Excess Return?

Number of pages: 54 Posted: 22 Feb 2016 Last Revised: 02 Feb 2018
University of New South Wales (UNSW)Acadian Asset Management, Bond University, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 152 (351,667)
Citation 1

Abstract:

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after-tax fund performance, active management, portfolio holdings, trades

33.

The Superannuation System and Its Regulation: Views from Fund Executives

CIFR Paper No. 030/2014
Number of pages: 18 Posted: 08 Jul 2014 Last Revised: 13 Jul 2017
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 151 (353,580)
Citation 3

Abstract:

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34.

Return Dispersion and Fund Performance: Australia – The Land of Opportunity?

Number of pages: 50 Posted: 10 May 2019 Last Revised: 01 Apr 2022
Ying Cao, Anna Helen von Reibnitz and Geoff Warren
Australian National University (ANU) - College of Business and Economics, Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 150 (355,389)
Citation 2

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mutual funds, return dispersion, cross-sectional volatility, active management

35.

A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings

Number of pages: 34 Posted: 13 Oct 2013 Last Revised: 21 Sep 2015
Northern Trust Asset Management, Bond University, Russell Investments, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Macquarie Graduate School of Management
Downloads 130 (397,844)

Abstract:

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performance persistence, active management, portfolio holdings, trades

36.

Socially Responsible Investing in a Student-Managed Investment Fund: A Case Study

Number of pages: 15 Posted: 08 Apr 2022
Anna Helen von Reibnitz and Geoff Warren
Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 119 (425,263)

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Socially responsible investing, ESG, student-managed investment funds

37.

How Investment Risk Evolves with Horizon

Number of pages: 27 Posted: 19 Oct 2018
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 107 (460,142)

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investment horizon, investment risk, investment process

38.

The Impact of Broker Market Structure on Stock Liquidity

Number of pages: 47 Posted: 12 Jul 2016 Last Revised: 29 Sep 2016
Wai-Man Liu, Joshua Soo and Geoff Warren
Australian National University, Deloitte Australia and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 104 (469,576)
Citation 1

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Market liquidity, Stockbroking, Industrial organization

39.

Scale Diseconomies and Capacity in Fund Management: Variation Across Equity Markets

Number of pages: 27 Posted: 18 May 2022
Bond University - Bond Business School, Mercer, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and University of Queensland
Downloads 96 (495,652)

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Equity mutual funds, capacity constraints, economies of scale

40.

Do Superannuation Fund Members Benefit from Large Fund Size?

Number of pages: 27 Posted: 20 Apr 2023
Scott Lawrence and Geoff Warren
Lawrence Investment Consulting and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 89 (520,132)

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Pension funds, superannuation, internalization, capacity, economies of scale

41.

Investment Option Switching Behaviour and Impact for Pension Fund Members Around the COVID Pandemic

Number of pages: 27 Posted: 24 Aug 2023 Last Revised: 10 Mar 2024
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Australian National University (ANU), Australian National University (ANU), Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and Aware Super
Downloads 69 (607,437)

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Pension funds, superannuation, investment switching, individual behaviour

42.

A Buy-Hold-Sell Pension Saving Strategy

Number of pages: 27 Posted: 24 Jul 2023
Gaurav Khemka, Mogens Steffensen and Geoff Warren
Australian National University (ANU), University of Copenhagen and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics
Downloads 53 (686,345)

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Lifecycle investing, pensions, retirement savings, portfolio construction, withdrawals

43.

Primer on Retirement Income Strategy Design and Evaluation

Society of Actuaries - Research Report 2023
Posted: 25 Jan 2023
Adam Butt, Gaurav Khemka, William Lim and Geoff Warren
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Australian National University (ANU), Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Abstract:

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Retirement income strategies

44.

Heterogeneity in optimal investment and drawdown strategies in retirement

Pacific-Basin Finance Journal, Forthcoming
Posted: 20 Jan 2021 Last Revised: 27 Jun 2022
Adam Butt, Gaurav Khemka and Geoff Warren
Australian National University - Research School of Finance, Actuarial Studies & Statistics, Australian National University (ANU) and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

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Retirement, Annuities, Utility Functions, Optimisation, Dynamic Programming

45.

Another Use for Active Share – Understanding Portfolio Exposures

Journal of Investing Vol 29, Issue 5 (October), 2020 DOI: https://doi.org/10.3905/joi.2020.1.149
Posted: 06 May 2020 Last Revised: 25 Sep 2020
Simon Elimelakh, Barry Gillman and Geoff Warren
MLC Asset Management, Brandes Investment Partners and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

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Active share, active portfolio management, risk management, portfolio construction

46.

Capacity Analysis for Equity Funds

Posted: 22 May 2019
Michael O'Neill, Camille Schmidt and Geoff Warren
Bond University - Bond Business School, SuperRatings and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Abstract:

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Capacity, equity mutual funds, alpha, portfolio construction, manager selection, scale

47.

One Size Fits All? Tailoring Retirement Plan Defaults

Journal of Economic Behavior and Organization, 145, 546-566, January 2018
Posted: 12 Dec 2018
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, The University of Sydney Business School and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

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Pensions, Default, Financial Services, Regulation

48.

Choosing and Using Utility Functions in Forming Portfolios

Financial Analysts Journal, Volume 75, Issue 3, 2019, pp. 39-69
Posted: 25 Jul 2018 Last Revised: 14 Aug 2019
Geoff Warren
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

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utility function, portfolio construction, investment horizon

49.

The Australian Superannuation System Post Stronger Super: Views from Fund Executives.

Law and Financial Markets Review, 2015, 9(2), 96-102
Posted: 13 Dec 2017
Australian National University - Research School of Finance, Actuarial Studies & Statistics, UNSW Law, The University of Sydney - Discipline of Finance, Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics and The University of Sydney Business School

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