ACADEMIC RESEARCH. EXPLAINED.


The Democratize Quant mission is to turn academic insights into investment performance.

The event is a joint effort between Alpha Architect and Villanova University and serves as a complement to the long-standing MARC academic conference, which is hosted by the Villanova Finance Department. (Recent event recap here. Recent coverage of the event is available here and here.)



Benefits of the conference:

  • No costs
  • Intimate environment (screened access)
  • The pursuit of intellectual truth (no product-hawking; no jerks)

Who should attend? Investors looking to improve their knowledge:

  • Independent advisors
  • Family offices
  • Do-it-yourself HNW
  • Academic and practitioner-researchers

TOMORROWS IDEAS. TODAY.

Are you a Financial Professional Looking to Learn More?

Your Research Experts

Topic #1: The Future of the ETF Industry

Link to Paper

Dave Nadig

ETF Industry Pioneer

Dave Nadig is Chief Investment Officer and Director of Research of ETF Trends and ETF Database. Nadig comes with 25 years of ETF experience, most recently as Managing Director of ETF.com, where he helped grow the business and provide expert commentary for the past decade. Before that, he managed mutual funds at startup MetaMarkets.com, and was a Managing Director at Barclays Global Investors in the 1990s. He’s widely leveraged by media and institutions as a key expert in the field. Dave has been involved in researching, reporting and analyzing the investment management industry for more than 20 years, and recently co-authored a definitive book on ETFs, “A Comprehensive Guide To Exchange-Traded Funds,” for the CFA Institute.

  • Introduction
    • Presenter: Wes Gray
    • 1015-1030
  • ETF Industry Update
    • Presenter: Dave Nadig
    • 1030-1100
  • Does Passive Investing Make Prices Less Efficient?
    • Presenter: Marco Sammon (HBS)
    • Discussant: Mike Green
    • 1100-1150
  • Do Flows Predict Price Changes?
    • Presenter: Sam Hartzmark
    • Discussant: Nikki Boyson
    • 1200-1250
  • Practical Factor Investing
    • Presenter: Tommi Johnsen
    • Presenter: Jack Vogel
    • 1300-1400

Topic #2: Passive Investing and Stock Prices

Link to Paper

Marco Sammon, PhD

Finance Professor, Harvard

Marco Sammon is an assistant professor in the Finance Unit at Harvard Business School. He teaches FIN2 in the required curriculum. His research is focused on asset pricing. Currently, he is working on several projects regarding the factors that affect the incorporation of information into stock prices, including the rise of passive ownership and financial journalism. Professor Sammon holds a PhD in Finance from the Kellogg School of Management and a BA in Quantitative Economics from Tufts University. Prior to Kellogg, he worked in Supervision, Regulation and Credit at the Federal Reserve Bank of Boston.

Discussant

Mike Green, CFA

Portfolio Manager, Simplify

Michael has been a student of markets and market structure, for nearly 30 years. His proprietary research into the shift from actively managed portfolios and investment funds to systematic passive investment strategies has been presented to the Federal Reserve, the BIS, the IMF and numerous other industry groups and associations.

Michael joined Simplify in April 2021 after serving as Chief Strategist and Portfolio Manager for Logica Capital Advisers, LLC.  Prior to Logica, Michael managed macro strategies at Thiel Macro, LLC, an investment firm that manages the personal capital of Peter Thiel. Prior to Thiel, Michael founded Ice Farm Capital, a discretionary global macro hedge fund seeded by Soros Fund Management. From 2006-2014, Michael founded and managed the New York office of Canyon Capital Advisors, a $23B multi-strategy hedge fund based in Los Angeles, CA, where he established their global macro strategies, managing in excess of $5B of exposure across equity, credit, FX, commodity and derivative markets.

In addition to his work as a market theorist and portfolio manager, Michael has been noted for his work as a public speaker and financial media participant. He is a graduate of the Wharton School at the University of Pennsylvania and a CFA holder.

Topic #3: Do Flows Predict Price Changes?

Link to Paper

Sam Hartzmark, PhD

Finance Professor, Chicago

Samuel M. Hartzmark studies asset pricing and behavioral finance. His research has appeared in the Quarterly Journal of Economics, Journal of Finance, Review of Financial Studies, the Journal of Financial Economics, the Quarterly Journal of Finance, and the Review of Asset Pricing Studies. He has received a number of awards including the DFA prize for best asset pricing paper published in the Journal of Finance, the Exeter prize (the first finance paper to win), the AQR Insight Award, best paper Utah Winter Finance Conference, the Jack Treynor prize, the Research Affiliates Best Paper Award, the Moskowitz Prize, the BNP Paribas Best Paper Award, the Charles Brandes Prize, Best Paper in the Review of Asset Pricing Studies, 2nd prize Fama-DFA award for best paper in asset pricing research in the Journal of Financial Economics, the Hillcrest Behavioral Finance Award in 2015 and 2018, the UBS Global Asset Management Award, the Michael J. Barclay young scholar award, the SIX Best Paper Award Swiss Society for Financial Market Research, and he was a finalist for the 2014 AQR Insight award. His work has been covered by a variety of media outlets including CNBC, Forbes, the Wall Street Journal, and Bloomberg among others.

Hartzmark holds a PhD from Marshall School of Business at the University of Southern California, a MBA from the University of Chicago Booth School of Business and a BA in mathematics/economics (summa cum laude) with a double major in religion from Emory University.

Discussant

Nicole Boyson, PhD

Finance Professor, Northeastern

Nicole Boyson has been at Northeastern University since 2004. Her teaching expertise is in Investments, Alternative Investments, and Fixed Income. Her research focuses on institutional investors, with a current interest in conflicts of interest among financial advisors. She also has a significant body of work related to hedge fund activism, regulatory arbitrage, financial crises, and mutual funds, much of it published in the elite finance journals.

She currently serves as a co-editor for Financial Analysts Journal and is on the board of directors for the Eastern Finance Association.

Boyson has served on several program committees of professional organizations such as the Western Finance Association and the Financial Management Association, has been a track chair for the Financial Management Association and the Eastern Finance Association, and acts as an ad-hoc referee for journals including The Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and The Journal of Financial and Quantitative Analysis.

A CPA, her prior work experience includes 8 years in industry, at KPMG Peat Marwick, Third Federal Savings and Loan Association of Cleveland, Pension Consulting Services, and Ernst & Young.

Boyson has presented her work at prestigious academic and industry conferences, and is passionate about expanding the relation between academic work and industry practice. She regularly and frequently engages with the media (often via Twitter), and has been featured on Bloomberg television, NPR Marketplace, and numerous podcasts. She is also regularly cited in publications such as the Wall Street Journal and Barrons.

In her spare time, Boyson enjoys reading, tending to her flower garden, and spending time with her husband and children. She is a member of the Milton Library Foundation Board and the Board of Trustees for the First Congregational Church in Milton.

Topic #4: Practical Factor Investing for Advisors

Inflation Investing

Tommi Johnsen, PhD

Alpha Architect Consultant

Tommi Johnsen, until retirement in 2017, was the Director of the Reiman School of Finance and a tenured faculty at the Daniels College of Business at the University of Denver.She has worked extensively as a consultant and investment advisor in the areas of quantitative methods and portfolio construction. She taught at the graduate and undergraduate level and published research in several areas including: capital markets, portfolio management and performance analysis, financial applications of econometrics and the analysis of equity securities. Her publications have appeared in numerous peer-reviewed journals. See our consulting page for more information.

Time for Value?

Jack Vogel, PhD

Co-CIO/CFO Alpha Architect

Jack conducts research in empirical asset pricing and behavioral finance. Dr. Vogel is a co-author of DIY FINANCIAL ADVISOR: A Simple Solution to Build and Protect Your Wealth and QUANTITATIVE MOMENTUM: A Practitioner’s Guide to Building a Momentum-Based Stock Selection System. His academic background includes experience as an instructor and research assistant at Drexel University in both the Finance and Mathematics departments, as well as a Finance instructor at Villanova University. He has a Ph.D. in Finance and an MS in Mathematics from Drexel University. Dr. Vogel graduated summa cum laude with a BS in Mathematics and Education from The University of Scranton.

Democratize Quant Event Logistics

Dates

Practitioner: March 24, 2022
10:15am-2:00pm EST
Academic: March 25, 2021
8:15am-4:45pm
Optional

MARC Information

Costs

No Costs

Lodging

N/A. We are on Zoom this year!

Location

In your office on Zoom!

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