COVID is killing conference mojo overall, but we were able to host a short and sweet "Democratize Quant" conference this morning. The speakers were terrific and I personally learned a lot from them.

This post is a recap of what we heard and some resources we can make available to the public.

Session 1: State of the Asset Management Industry (with a focus on the ETF aspect)

We started the day with Eric Balchunas who gave the group his "hot ETF takes."

Here is what I learned:

  • ETFs are continuing to vacuum up assets at an increasing pace.
  • Direct indexing has a lot of hype, but not a lot of bite (in terms of actual assets vs. ETFs). At least not yet...
  • Mutual funds are alive because of market beta. Organic growth is a train wreck.
  • ESG is growing but Eric doesn't predict it will be as big as market commentators suggest.

You can follow Eric via the following channels:

Session 2: Long Term Factor Investing Research -- The Definitive Study

Prof. Guido Baltussen presented their paper, "Global Factor Premiums."

Here is what I learned:

  • Factor premiums are extremely robust out of sample.
  • Trend/Momentum are the strongest factors in the market.
  • If you feel yourself thinking, "Maybe this time is different?"...You should read this research.
  • The relationship between interest rates and the value premium is non-existent.

You can follow Prof. Guido via the following channels:

Dr. Liqian Ren served as the discussant to this paper and she provided some great insights and can be followed via the following channels:

Session 3: Thematic ETFs

Prof. Francesco Franzoni presented their paper, "Competition for Attention in the ETF Space."

Here is what I learned:

  • The ETF market is segmenting into two channels: low-cost commodity (i.e., Walmart) and higher-cost high-quality (i.e., Starbucks)
  • Thematic ETFs have historically been launched around past performance and media hype. They tend to hold stocks with high valuations.
  • Thematic ETFs have historically underperformed by large margins (~6% per year). Buyer beware.

You can follow Prof. Francesco via the following channels:

Jay Jacobs served as the discussant to this paper and provided a compelling argument that not all thematic ETFs are created equal. He also highlighted the potential behavioral benefits of thematic ETFs vs. "stock-picking."

You can follow Jay via the following channels:

Conclusions and How to Follow the Conference

We are hopeful that next year we can host the live event in collaboration with our friends at Villanova University and continue a tradition of providing authentic investor education and debate around academic research concepts that are relevant to practitioners.

You can get notifications for the next Democratize Quant Conference via the following:

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