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Geoff Warren


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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...

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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 so, we frame the...

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Working paper

03 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 ‘...

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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...

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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...

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Video podcast

30 Mar 2016

We propose a framework that asset owners can use for making and implementing any decision to manage
investments in-house. It involves addressing four elements: capabilities, costs, alignment and governance;
with key aspects identified for consideration within each element. The...

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Working paper

03 Mar 2016

We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime source of excess return...

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Working paper

29 Feb 2016

We examine potential sources of measurement error when evaluating the after-tax performance of fund managers based on periodic snapshots of their holdings alone, compared to when daily transactions data are also available. To do this, we compare portfolio return estimates based on imputed trades...

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Working paper

31 Jul 2015

We combine survey data from retirement plan members with information from interviews with plan executives to get both perspectives on who accepts the default plan and default investment option and why. We use a natural experiment in default construction where a new regulatory framework required...

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Working paper

30 Jun 2015

We examine the implications of the imputation system for stock prices and returns, cost of capital, project evaluation, capital structure, payout policy and investor portfolios. We also discuss potential impacts if the imputation system was dismantled or adjusted, perhaps in conjunction with a...

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