Person

Geoff Warren

Items authored

Working paper

30 Oct 2016

The management of capacity is considered from the perspective of institutional asset owners. How capacity differs across asset classes is outlined. Investment strategies that offer greater capacity are identified. A discussion of capacity management for multi-asset portfolios highlights how asset owners should manage investments according...

Working paper

30 Sep 2016

This report examines the evaluation of capacity in an investment management context, outlining the key issues and various methods of analysis. We address the following question: “how large can a fund get before it is unable to create additional value for its investors?” In doing...

Working paper

3 Sep 2016

We propose a method for global equity fund performance evaluation that extends existing research by addressing both equity and currency factor exposures. Returns in excess of the risk-free rate are decomposed into contributions arising from the market, exposure to six equity and three currency ‘style...

Working paper

30 May 2016

The literature on investment horizon is reviewed in order to enhance the understanding of potential influences on long-term investing by institutional investors. Investment horizon reflects an inter-connected web of influences related to an investor’s circumstances, the design of the investing environment, and the choices that...

Working paper

30 Mar 2016

We model the tax drag from active funds management by simulating portfolios based on reported monthly holdings of 207 active Australian equity funds between July 2000 and December 2010, and then compare both pre-tax- and after-tax fund returns versus those for passive indices modeled under...

Items authored

19

Items published/produced

Associated content