We recently hosted our 6th Annual Democratize Quant Conference (sign up here for updates).

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

The agenda for the 2023 conference is outlined below:

Date Time Topic Presenter Notes
5/18 09:30 – 09:45 Introduction Wes Gray CEO Alpha Architect
5/18 09:45 – 10:15 ETF Industry Update Eric Balchunas Senior ETF Analyst, Bloomberg
5/18 10:15 – 10:40 The Value Factor; Presenter Cliff Asness CIO, AQR
5/18 10:40 – 10:50 The Value Factor; Discussant Kai Wu CIO, Sparkline Capital
5/18 10:50 – 11:00 Q&A Audience
5/18 11:00 – 11:10 Break/Q&A Audience
5/18 11:10 – 11:35 Reimagined Indexing; Presenter Que Nguyen CIO, RAFI Equities
5/18 11:35 – 11:45 Reimagined Indexing; Discussant Corey Hoffstein CIO, Newfound Research
5/18 11:45 – 12:00 Q&A Audience
5/18 12:00 – 12:15 Conclusion/Event Ends Wes Gray CEO Alpha Architect

Session 1: State of the ETF Industry

Eric Balchunas presented on the current state of the ETF business and much more!

Here is what I learned:

  • ETFs are growing at a rapid pace and there is nothing to slow it down.
  • Active and thematic ETFs are coming to a theater near you.

You can follow Eric via the following channels:

Session 2: Value Factor Valuation Spreads

Cliff Asness presented “Value: The End of the Beginning”

  • Paper / Slides (unavailable)

Here is what I learned:

  • No matter how you cut it, value is relatively cheap versus history.

You can follow Cliff via the following:

Kai Wu, of Sparkline Capital, served as the discussant on Cliff’s research. Kai focused on an in-depth discussion of intangible value and highlighted that intangibles may explain at least a portion of the value factor spread.

Follow Kai via the following links:

Session 3: Reimagining Indexing

Que Nguyen discussed RAFI’s latest research on improving upon cap-weighted indexes.

Here is what I learned:

  • Weighing stocks by economic footprint can improve index performance and decrease turnover.

You can follow Que and the RAFI team at the following links:

Next up was Corey Hoffstein, who did a deep dive into the details of the strategy. His conclusion is that the strategy is a value/market cap factor screen and that the results may be subject to timing luck due to the annual rebalance in March and potential factor style drift over time.

You can follow Corey via the following channels:

How to Follow the Conference

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

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About the Author: Wesley Gray, PhD

Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.

Important Disclosures

For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice.  Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.

The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).

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