29: ANU's Geoff Warren - Equity fund capacity, long term investing and insourcing

[i3] Institutional Investment Podcast

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 is 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