Geoffrey J. Warren

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Discussion paper

What dividend imputation means for retirement savers

A stochastic life-cycle model is used in this report to examine the implications for Australian retirees of full access to dividend imputation credits. We find that the availability of imputation credits can justify a significant bias towards Australian equities in retirement portfolios, largely at the...
Working paper

Capacity management for institutional asset owners

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

Evaluating fund capacity: issues and methods

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

Global equity fund performance evaluation with equity and currency style factors

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

Long- term Investing: what determines investment horizon ?

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...