geoff warren cv - jan 2020 · $v dw -dqxdu\ 3djh

$: Geoff Warren CV - Jan 2020 · $v dw -dqxdu\ 3djh$
As at 21 January, 2020 Page 1

Curriculum Vitae

Geoffrey John Warren

Associate Professor, Australian National University

Contact Details Mobile: +61 411 241-091 Email: [email protected]

Work: Research School of Finance, Actuarial Studies and Statistics College of Business and Economics Australian National University Room 4.02, CBE Building (26C) Kingsley Street, Acton

Canberra, ACT, 0200

Education

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

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

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

Employment History

January 2017 – Current Research 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) Teaching: Student Managed Fund courses (FINM3009 and FINM3010) Director, External Research Engagement, CBE (March 2017 - March 2018)

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 2016 Centre 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 2013 Senior Lecturer, School of Finance, Statistics and Actuarial Studies, ANU

Teaching: FINM 3005 Corporate Valuation FINM 3008 Applied Portfolio Construction

February 2007 – June 2009 Director 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 2007 Postdoctoral 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 2005 Full-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 2002 Head 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 1999 Head 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 1998 Equity 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 1995 Analyst, 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 - 1983 Full 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 - 1980 Audit Clerk - Hungerford, Hancock & Offner (chartered accountants) Part-time university: Bachelor of Commerce, University of NSW

Research

Published and Accepted Academic Papers

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

Other Working Papers, including Manuscripts under Review

Khemka, G., Tang, Y. and Warren, G, “The ‘Right’ Level for the Superannuation Guarantee: A Straightforward Issue by No Means”, working paper, December 2019

Warren, G.J. “Utility Functions and Design of Investment Options: A Demonstration for ‘MyRetirement’ Products”, working paper, December 2019.

Forsberg, D, Gallagher, D.R. and Warren, G.J. “Relative Hedge Fund Skill and the Informativeness of Cohort Alpha”, working paper, November 2019

Warren, G. “Is Active Investing Doomed as a Negative Sum Game? A Critical Review”, working paper, November 2019

Khemka, G. Steffensen M. and Warren, G.J., “How sub-optimal are age-based life-cycle investment products?”, working paper, July 2019

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, October 2018

Warren, G.J. “How Investment Risk Evolves with Horizon”, working paper, October 2018

Industry version: “How Investment Risk Evolves with Horizon – Research Overview”

Warren, G.J. “Investment Horizon, Risk Drivers and Portfolio Construction”, working paper, February 2018

Forsberg, D, Gallagher, D.R. and Warren, G.J. “Capacity Constraints in Hedge Funds: The Impact of Cohort Size on Fund Performance”, working paper, December 2017

Other Notable Academic Papers

Liu, W-M., Soo, J.I.Z. and Warren, G.J., “The Impact of Broker Structure on Stock Liquidity”, working paper, September 2016

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 and Articles (not peer reviewed)

i3 Insights, “Designing Menus for Retirement Defaults”, 16/1/20

www.austaxpolicy.com, “What Dividend Imputation Means for Retirement Savers”, 26/9/19

Top1000 Funds and Investment Magazine, “Is active investing doomed?” 3/9/19 and 17/9/19

Cuffelinks, “Review Creates Challenges for Super Outcomes”, 31/7/2019 (on APRA Capability Review)

Top1000 Funds and Investment Magazine, “Risk aversion Matters: Life-cycle Design” 30/7/19

The Conversation, “The Productivity Commission inquiry was just the start. It’s time for a broader review of super and how much it is needed”, 14/1/2019

Cuffelinks, “How Imputation Changes Will Hit Retirees”, 6/9/2018 (with Adam Butt and Gaurav Khemka)

ANU Reporter, “Laying Bare an Abuse of Trust”, Opinion Piece (In the Community), July 2018

Iverson, David and Warren, Geoff, “Ten Ideas to Foster Long-Term Investing”, Brandes Institute, April 2018

Iverson, David and Warren, Geoff, “Organizational Design and Long-Term Investing”, Brandes Institute, March 2018

Willis Towers Watson Thinking Ahead Institute, “Patience: Not Merely a Virtue, But an Asset”, White Paper, December 2017 (with Tim Hodgson and Liang Yin)

Warren, Geoff, “What Does It Mean To Be A Long-Term Investor”, Brandes Institute, 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

MDUF Research Award, March 2019 (Warren, G.J. “Choosing and Using Utility Functions in Forming Portfolios”)

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



Applied Portfolio Construction (tutoring) 2/2011 94 33 4.7







Student Managed Fund 2/2017 8 4 5.0 4.8




Student Managed Fund 2/2019 19 9 5.0 5.0 Average 4.5 4.4

Teaching at AGSM (2005 to 2006)

Teaching responsibilities as a Postdoctoral Fellow at AGSM included Investments and Corporate Valuations in the full-time MBA program; and Investments in Hong Kong part-time MBA program. Summary statistics from student reviews appear below.

Student Feedback: Summary Scores (%) – Geoff Warren, AGSM

Subject Term/Year No. in class

% approval for lecturer

% approval for course

% recommended

Investments 4/2005 23 86 81 76

Investments (P/T MBA, Hong Kong) 1/2006 17 81 81 81

Corporate Valuation (F/T MBA, Sydney) 1/2006 27 79 92 81

Investments (F/T MBA, Sydney) 3/2006 18 84 71 78

Corporate Valuation (F/T MBA, Sydney) 3/2006 12 75 78 83

Average 81 82 80


Supervision

PhD: Zhangxin Frank Liu – ANU; completed 2013 Lihui Yuki Xi – MGSM / CMCRC; completed 2013 Camille Schmidt – MGSM / CMCRC; completed 2013 David Forsberg – Macquarie University / CMCRC; submitted December 2017 Duy To – Bond University; current candidate Jiancong Liu – ANU; current candidate Yifu Tang – ANU; current candidate Donghui Wu – ANU; current candidate

Honours: Karen Chow – UNSW; 2005; second class honours, division 1 Andrew Tan – UNSW; 2005; first class honours Shaun Siau – ANU; 2011; awarded university medal Junyan Boon – ANU; 2012; first class honours Frank Fan – ANU; 2012; first class honours Joshua Soo – ANU; 2013/4; awarded university medal Ying (Zoe) Cao – ANU, 2018, second class honours, upper division Olaide Yinka-Kehinde – ANU, 2018, first class honours Jak Carty – ANU, 2019, first class honours Jiaqi (Karen) Mao – ANU 2019/20 Shenchang (Albert) Zhang – ANU 2020

Engagement, Outreach and Service

ANU-Related Service

Director of External Research Engagement for ANU College of Business and Economics, March 2017 – March 2018

ANU Finance Committee, September 2015 – March 2017

ANU Investment Advisory Committee, 2010-2015

Provided ongoing assistance to ANU students aiming to foster a Student Managed Fund; 2012-2016

Informal adviser to finance-based student associations at ANU over period 2010-2013, including Finsoc and the Trading and Investment Collective (TIC); helped organise a number of guest presenters

ANU staff adviser for CFA Institute Research Challenge; 2011-2013

ANU Open Day presenter (on finance and related course offerings); 2011-2012

External Service

Salvation Army, Investment Advisory Board, appointed 2017

Atlas Infrastructure, Macro Advisory Board, appointed 2017; Investment Governance Board, appointed 2020

Brandes Institute, Asia-Pacific Advisory Board, appointed 2015

Macquarie Applied Finance Centre, Advisory Group, Graduate Diploma in Retirement Outcomes, 2015-2016

Member’s Default Utility Function (MDUF) working group, 2016-17 (http://membersdefaultutilityfunction.com.au/)

Salvation Army Investment Advisory Board Member, appointed 2017

Editorial and Reviewing

Editor, Accounting and Finance, appointed 2017

Reviewed for the following journals: Accounting and Finance (7); Australian Actuarial Journal (1); Australian Journal of Management (6); Economic Analysis and Policy (1); Economic Papers (1); Journal of Behavioral Finance (1); Journal of Economic Dynamics and Control (1); JASSA (2); Pacific Basin Finance Journal (1); Quarterly Review of Economics and Finance (1), Review of Behavioural Finance (1).

Australian Research Council – ERA Peer Reviewer, 2018

PhD thesis marking: Marked doctoral theses for University of Technology, Sydney (2012), Queensland University of Technology (2014), University of Queensland (2015), Western Sydney University (2016)


Presentation Activity

Presentations and workshops conducted since commencing an academic career in October 2009 are listed below.

Presentations to clients and industry conferences were an integral component of the job when an industry researcher prior to October 2009. These earlier presentation events are too numerous to list.

Forthcoming:

114. Melbourne Money & Finance Conference, Brighton, 13-14 July 2020 (Right level for the SG)

113. Active 2020 Conference, Melbourne 26 February and Sydney 27 February 2020 (Active vs. passive management)

112. CFA Society Lunchtime Seminar, Sydney, 18 February July 2020 (Design of retirement products)

Past:

111. 27th Annual Colloquium on Pensions and Retirement, UNSW, 2-3 December 2019 (Utility functions and CIPR design)

110. iPARM Australia - Investment Performance Forum, Sydney, 25-26 November 2019 (Long-term performance evaluation)

109. Conexus Fiduciary Investors Symposium, Healesville VIC, 18-20 November 2019 (Utility Functions)

108. i3 Pensions Portfolio Construction Forum, Melbourne, 31 October 2019 (Utility functions and CIPR design)

Awarded “Best Presenter” based on participant feedback

107. JP Morgan Quantference, Sydney, 25 September, 2019 (Life-cycle products design, balance and risk aversion)

106. Research presentation to CFA candidates, Sydney, 18 July, 2019 (Performance evaluation - global equity managers)

105. Investment Management Research Workshop, Sydney, 15 May, 2019 (Panelist - superannuation system)

104. Macquarie University Research Seminar, 1 May 2019 (Utility functions)

103. Conexus Roundtable, Impact of Financial Innovations and Global Market Inefficiencies, Sydney, 28 March 2019

102. i3 Podcast (discussing my research), 20 March 2019, https://i3-invest.com/podcasts/i3-podcast-interview-with-geoff-warren/

101. i3 Equities Forum, Melbourne, 26-27 February, 2019 (Hedge fund research)

100. Vanguard Australia, Executive Workshop, Webconference, 2 November 2018 (Imputation – value to retirees)

99. Alliance for a Fairer Retirement, Retirement Summit, Sydney, 30 October 2018 (Imputation – value to retirees)

98. Productivity Commission, Roundtable and Focus Group, Review into Superannuation Competitiveness and Efficiency, Melbourne, 25 October 2018 (Capacity)

97. AustralianSuper, Executive Workshop, Webconference, 23 October, 2018 (Horizon and risk; utility functions)

96. JP Morgan Quantference, Sydney, 10 October, 2018 (Utility functions)

95. Investment Management Research Conference, UTS, Sydney, 20-21 September, 2018 (Utility functions)

94. i3 Seminar, Capacity for Equity Funds, Sydney, 18 September, 2018 (Capacity)

93. Q-Group Workshop, Sydney, 15 August, 2017 (Utility functions)

92. i3 Seminar, Capacity for Equity Funds, Melbourne, 31 July, 2018 (Capacity)

90. MFS Seminar, Alignment in Investment Industry, Melbourne, 27 July, 2018 (Long-term Investing)

89. 26th Annual Colloquium on Pensions and Retirement, UNSW, 2-3 July 2018 (Utility functions)

88. Productivity Commission Public Hearings for Superannuation Review, Sydney 20 June 2018, (Superannuation system)

87. RSFAS Brown Bag Seminar Series, ANU, Canberra, 25 May 2018, (Choosing and Using Utility Functions)

86. i3 Equities and Equities Alternatives Forum, Sydney, 27-28 February 2018 (In-house Management, panel member)

85. Institute of Actuaries Australia, Seminar, Sydney, 8 February 2018 (Investment Horizon, Risk and Portfolio Construction)

84. Willis Towers Watson Topical Day, Sydney, 28 November, 2017 (Is the investment ecosystem working for investors?)

83. Productivity Commission, Roundtable, Review into Superannuation Competitiveness and Efficiency, Melbourne, 22 September 2017 (Superannuation – Economies of Scale)

82. RMIT Finance Day, Melbourne, 22 September 2017 (Global Fund Performance)

81. MFS Investment Forum, Sydney, 24 August, 2017 (Global Fund Performance)

80. Lonsec – Internal Presentation, Sydney/Melbourne, 4 August 2017 (Capacity)

79. CFA Society Lunchtime Seminar, Sydney, 18 July 2017 (Global Fund Performance)

78. CFA Society Lunchtime Seminar, Sydney, 18 July 2017 (Capacity)

77. Conexus Fiduciary Investors Conference, Blue Mountains, 16-17 May 2017 (Capacity)

76. i3 Investment Strategy Forum, Torquay Victoria, 3-5 May, 2017 (Capacity)

75. AustralianSuper, Invited Internal Seminar, Melbourne, 19 April, 2017 (Global Fund Performance)

74. IMCA Seminar, Melbourne, 19 April, 2017 (Capacity)

73. IMCA Seminar, Sydney, 4 April, 2017 (Capacity)

72. JP Morgan Quantference, Sydney, 28 March 2017 (Capacity)

71. Conexus Post Retirement Conference, Sydney, 14 March, 2017 (Members Default Utility Function launch)

70. ITG Seminar, Sydney, 9 March 2017 (Capacity)


69. Q-Group Workshop, Sydney, 15 February 2017 (Capacity)

68. Conexus Financial, Chair Forum 2017, Healesville Victoria, 29-31 January, 2017 (Long-Term Investing)

67. MFS Tokyo Sales Conference (by teleconference), 11 January 2017 (What Asset Owners Want from Managers)

66. Colonial First State Global Asset Management, 8 December 2016 (Capacity Analysis)

65. i3 Asset Management Leadership Roundtable, Melbourne, 30 November 2016 (In-house Management, Capacity)

64. CIFR seminar, Evaluating and Managing Fund Capacity, Sydney, 28 November 2016 (Capacity)

63. Fund Operations Network conference, panelist on fees and remuneration session, Sydney, 27 October, 2016

62. Centre for Investor Education, Investment Strategy Symposium, Surfers Paradise, 12-14 October, 2016 (In-house Management; Capacity)

61. AMP Capital – Internal workshop on in-house management and capacity, Sydney, 20 September 2016

60. Tria Breakfast Briefing, 13/15 September, Melbourne/Sydney (In-house Management; Capacity)

59. AIST Australian Superannuation Investment Conference, 6-7 September 2016 (In-house Management)

58. Productivity Commission, Roundtable, Review into Superannuation Competitiveness and Efficiency, Melbourne, 6 September 2016 (Superannuation)

57. Portfolio Construction Forum Conference, Sydney 24-25 August, 2016 (Long-Term Investing)

56. ACFS Funds Management and Superannuation Research Committee, 25 July 2016 (In-house Management)

55. UNSW Colloquium of Superannuation Researchers, Sydney, 4-5 July 2016 (In-house Management)

54. Productivity Commission, Roundtable and Focus Group, Review into Superannuation Competitiveness and Efficiency, Melbourne, 28 June 2016 (Superannuation)

53. Frontier Advisers Client Seminar, Melbourne, 21 June 2016 (In-house Management)

52. Bond University, research seminar, Gold Coast, 27 May 2016 (MySuper Design and Member Survey)

51. CIFR Investment Management and Markets Conference, Sydney, 24 May 2016 (In-house Management)

50. Colonial First State Strategy Day, Sydney, 23 May 2016 (In-house Management, Long-Term Investing)

49. ANZ Wealth, internal presentation, Sydney, 20 May 2016 (In-house Management)

48. i3, Investment Strategy and Governance Forum, Terrigal, 5-6 May 2016 (In-house Management)

47. QSuper, internal presentation, Brisbane, 12 April 2016 (In-house Management)

46. CIFR Superannuation Showcase, Sydney, 7 April 2016 (In-house Management)

45. Monash University, 7th Financial Markets and Corporate Governance Conference, Dividend Imputation (joint session, ACFS/CIFR), Melbourne, 31 March 2016

44. CIFR Seminar, Dividend Imputation (joint with ACFS), Sydney, 15 March 2016

43. Actuaries Institute “Insights’ Presentation, Sydney, 8 February, 2016 (Long-Term Investing)

42. Q-Group Workshop, Contextualizing Retirement Solutions, Sydney, 11 November 2015 (Superannuation)

43. Government Investment Corporation of Singapore, 21 October 2015 (Long-Term Investing)

40. i3, Global Investment Strategy Forum, Singapore, 19-20 October 2015 (Long-Term Investing)

39. Paul Woolley Center for Markey Dysfunctionality Conference, UTS, 8-9 October 2015 (Long-term Investing)

38. ASFA Seminar on Short-termism, Sydney 1 October 2105 (Long-Term Investing)

37. Australian Bureau of Statistics National Capital Accounting Workshops, Sydney/Melbourne/Canberra, 14/18/22 September 2015 (Long-Term Investing, ESG / Sustainable Investing)

36. Russell New Zealand Investment Conference, Auckland, 28 July 2015 (Long-Term Investing)

35. 23rd Annual Colloquium of Superannuation Researchers, UNSW, 6-7 July 2015 (MySuper Product Design)

34. IBJ Asset Allocation Conference, Sydney, 11-12 June 2015 (Long-Term Investing)

33. CFA Seminar, Sydney, 27 May 2015 (Long-Term Investing)

32. i3, Investment Strategy and Governance Forum, Terrigal, 30 April - 1 May 2015 (Long-Term Investing)

31. Q-Group Colloquium, Sydney, 28 April 2015 (Long-Term Investing)

30. Paul Woolley Centre Workshop, 23 April 2015 (How Super Funds Designed MySuper)

29. CIFR Financial System Inquiry Workshop III, 11 March 2015 (Chair, Superannuation and Retirement Session)

28. IMCA Roundtable, 5 February 2015 (Member Needs: The Perspective of Fund Executives, and Members)

27. CIFR Seminar, Melbourne, 29 October 2014 (Long-Term Investing: An Institutional Investor Perspective)

26. FEAL Conference, Sydney, 6-7 August 2014 (Interviews with Fund Executives)

25. CIFR Financial System Inquiry Workshop II, 21 August 2014 (Comments on Interim Report: Superannuation)

24. Macquarie Applied Finance Centre Seminar, Sydney, 24 September 2014 (Long-Term Investing: Investment Horizon)

23. Q-Group Colloquium, Sydney, 23 July 2014 (Long-Term Investing: Investment Horizon)

22. 22nd Annual Colloquium of Superannuation Researchers, UNSW, 8-9 July 2014 (MySuper & Super: Executive Views)

21. Foresight Global Coaching Conference, 14 May 2014 (Super: Philosophy, Regulation, Unintended Consequences)

20. CIFR Financial System Inquiry Workshop, 7 May 2014 (Long-Term Investing: Overview of CIFR Project T003)


19. AUT Business School, New Zealand Capital Market Symposium, Auckland, 10 April 2014 (Are Franking Credits Capitalised Into Share Prices? (Kiwisaver panel discussion member)

18. Quant Shop Conference, Sydney, 22 November 2013 (Are Franking Credits Capitalised Into Share Prices?)

17. IMCA Roundtable, Melbourne, 16 July 2013 (Insights into Manager Analysis and Selection)

16. IMCA Roundtable, Sydney, 10 July 2013 (Insights into Manager Analysis and Selection)

15. 21st Annual Colloquium of Superannuation Researchers, UNSW, 9-10 July 2013 (Equity Manager Selection)

14. i3 Seminar, Melbourne, 30 May 2013 (Equity Manager Selection)

13. i3 Seminar, Sydney, 8 March 2013 (Equity Manager Selection)

12. Paul Woolley Center for Markey Dysfunctionality Conference, UTS 11-12 October 2012 (Equity Manager Selection)

11. JP Morgan Quant Conference, Sydney, 26 July 2012 (Are Imputation Credits Capitalised into Share Prices?)

10. Q-Group Colloquium, Sydney, 15 June 2012 (Portfolio Risk: What Lies Beneath?)

9. UNSW School of Risk and Actuarial Studies Seminar Series, UTS, 20 April 2012 (Investing in Volatility)

8. Paul Woolley Center for Markey Dysfunctionality Workshop, UTS, 19 April 2012 (Investing in Volatility)

7. Q-Group Colloquium, Sydney, 21 September, 2011 (When Choose an Alternative to Passive Investing)

6. Q-Group Seminar, Sydney, 22 July 2011 (Investing in Volatility)

5. Institute of Australian Actuaries Biennial Conference, Sydney, 10-13 April 2011 (Beyond the Benchmark: Perspectives on Adding Value to the Investment Process - panel member)

4. ANU RSFAS Research Camp, Murramarang, December 2010 (Why Might Investors Choose Active Management?)

3. ACFS/Finsia Banking and Finance Conference, Melbourne, 30 September - 1 October, 2010 (When Choose an Alternative to Passive Investing)

2. 18th Annual Colloquium of Superannuation Researchers, UNSW, 12-13 July 2010 (When Choose an Alternative to Passive Investing)

1. Russell Investments, Summit, Wellington, November 2009 (When Choose an Alternative to Passive Investing)

Consulting and Industry Engagement

BT Financial Group – Joint project on design of lifecycle defaults, including use of utility functions

Christian Super – invited to present at a Board strategy day to discuss the Financial System Inquiry and policy issues in the superannuation industry, 11 June 2015

Delaware Investments – Macquarie Investment Management – review and development of capacity models (2017)

Investors Mutual – advice on modelling capacity (2013)

MFS Investment Management – general arrangement to provide input to MFS, and assist with partnership program (current)

Mine Wealth + Wellbeing (previously AUSCOAL Super) invited to present to Board Investment Committee on long-term investing, 15 June 2015 discussion of Productivity Commission superannuation review with executive team, 6 September 2016

MTAA Super – workshop around default fund design (12 August, 2019)

Productivity Commission – Advice on benchmarking of superannuation fund returns, August 2017 and August 2018

Russell Investments external member of “Strategic Tilting Committee” various research projects on contract basis (2009-2013)

Schroder Investment Management commissioned report on investment style in Australian equities (2010) advice on valuation theory and modelling (2013) project on asset allocation practices of Australian super funds (2015)

Sunsuper – panelist in Beyond 2020 Think-tank Roundtable Discussion, 19 February 2015

Government Submissions and Hearings

Treasury Retirement Incomes Review – Submission 14th January 2020 (with Gaurav Khemka)

House of Representatives Standing Committee on Economics, Inquiry into the Implications of Removing Refundable Franking Credits

Submission, 10 October 2018. Presentation at Public Hearing, Canberra, 26th March 2019

Productivity Commission Review into Competition and Efficiency in Superannuation


CIFR first submission, 19 April 2016 CIFR second submission, Comments on Draft Report, 31 August 2016 CIFR third submission, Alternative Default Models, 26 October 2016 Presentation at Public Hearing, Sydney, 20 June 2018 Submission on Stage 3, Draft Report, 28 June 2018

CIFR submission to Treasury on Objective for Superannuation, 5 April 2016

Paper on imputation credits submitted into tax review (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)

CIFR submission to the Financial System Inquiry, 26 August 2014 (superannuation section)

Memberships

CFA Society

Q-group Australia

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Documents