Geoff Warren is Associate Professor at the Australian National University and a former asset manager. He has done extensive research on equity fund capacity, insourcing asset management functions and investing for the long term. [i3] Insights editor Wouter Klijn speaks with Geoff about his past and upcoming research.
Overview Geoff Warren podcast:
2:00 Why switch from a well-paid investment job to a career in academia
2:30 Students managing real money
4:00 Research into long term investing
5:30 As a long term investor, should you sell an asset that you have held for a short time, but that has gone up massively in value?
7:00 Agency problems are a big issue in long term investing
8:50 The problem with the long term is that it is the long term and so it won’t arrive for a long time
10:30 You can’t judge purely on performance numbers; you’ve got to go deeper.
13:30 Momentum can be a long term strategy
14:30 Moving asset management in-house
16:30 Most funds started doing in-house management in small part of their portfolio
17:00 When boards get too comfortable with in-house management that is the time we should start worrying
23:00 How style affects capacity
24:00 Looking at Investors Mutual data
26:00 Are there hard limits on capacity?
27:17 Capacity is lower than the headline alpha number suggests
29:00 New research looks at retirement strategies, using a utility-based approach
31:00 Mean-variance optimisation doesn’t work when you look at retirement solutions
35:00 You need to understand the individual investor first before you can apply a utility function
40:00 Upcoming research
About the [i3] Podcast
The [i3] Podcast is a conversation with some of the leading institutional investors around the world, discussing their philosophy towards investing, in particular towards portfolio construction and investment strategy. The [i3] podcast is available on iTunes, Google Podcast, Spotify, Stitcher or your favourite podcast platform.