Luncheon: Capacity Analysis for Equity Funds

Dr Geoffrey Warren, Australian National University

Luncheon: Capacity Analysis for Equity Funds

Investors know from experience that exceeding the limitations of an equity strategy’s capacity will ultimately destroy much of the generated alpha. But when constraints are put in place, whether they are hard or soft closes, the limitations are often rather fluid in nature.

At this luncheon, Geoff Warren, Associate Professor at the Australian National University, will provide a practical road map to investors for assessing equity fund capacity, based on research conducted using real life data provided by an Australian equity fund. Geoff will demonstrate how the drivers of capacity vary with a fund’s investment process, and can extend well beyond just constraints on trading.

About the Speaker:

Dr Geoff Warren is an academic at the Australian National University, where he is Convenor of the ANU Student Managed Fund and a Director of External Research Engagement for the College of Business and Economics. He is an active researcher who focuses on investment-related areas with an applied emphasis, including: funds management, superannuation, portfolio construction, long-term investing, the evaluation and taxation of investments.

Geoff returned to ANU after three years as Research Director at the Centre for International Finance and Regulation until its funding expired at the end of 2016. Prior to pursuing an academic career, he spent over 20 years in investment markets, including as the Director of Capital Markets Research at Russell Investments; as an analyst, Chief Strategist and Head of Research with investment bank Ord Minnett / JPMorgan Australia; and as an equity portfolio manager at AMP Capital.

Geoff has a PhD from the AGSM, and a BComm (Hons) with the University Medal from UNSW.