We recently hosted our Democratize Quant Conference (sign up here for updates).

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

Democratize Quant 2022 Agenda/Outline

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

Dave Nadig presented on the current state of the ETF business and much more!

Here is what I learned:

  • ETFs are continuing to vacuum up assets at an increasing pace.
  • Advisors are looking for solutions to inflation, income, ESG, active/smart beta.
  • Target date funds are a powerful fund flows engine.
  • Comment on FINRA rule to ensure they don’t close off a large part of the market/innovation

You can follow Dave via the following channels:

Session 2: Passive Investing and Market Efficiency

Prof. Marco Sammon presented on “Passive Ownership and Price Informativeness”

Here is what I learned:

  • Passive ownership has contributed to a significent decrease in individual stock efficiency
  • Passive investors are paying less attention to fundamentals
  • Earnings release volatility has significantly increased and the option market has picked up on this fact
  • Passive ownership has dramatically influenced how and when individual stocks trade (check out the Russell charts!)

You can follow Prof. Sammon via the following channels:

Mike Green served as the discussant to this paper and provided some incredible insights and additional avenues of research for Marco. The back and forth conversation between Prof. Sammon and Green was incredibly interesting and a little bit frightening. The days of suggesting, “passive doesn’t matter,” are numbered. I am personally a buyer of what they are selling and I think it is important to consider their arguments and how it might affect your investment portfolio decisions.

Follow Mike via the following links:

Session 3: Predictable Price Pressure and Market Returns

Prof. Sam Hartzmark just about blew my mind with this paper, “Predictable Price Pressure.”

Here is what I learned:

  • Heavy dividend distributions days lead to strong broad market returns. Yes, you heard that right.
  • The flow effect is strong in both US and international markets

You can follow Prof. Hartzmark via the following links:

Nicole Boyson provided a compelling discussion on the topic and helped clarify the key results and why they are so stunning. Incredible work!

You can follow Nicole via the following channels:

Session 4: Practical Investing Ideas for Advisors and Investors

Tommi Johnsen started with an evidence-based discussion related to investing in inflationary times

Here is what I learned:

  • Trend-follow.
  • Buy factors.

You can follow Tommi Johnsen via the following links:

Jack Vogel walked through the pitch for value at this juncture in the investing cycle.

Here is what I learned:

  • Buy value. Concentrated. Maintain a long horizon.

You can follow Jack via the following links:

How to Follow the Conference

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