Let’s Democratize Quant…Together

Democratize Quant is a joint effort between Alpha Architect and Villanova University that seeks to turn academic insights into investment performance.

The mission of Democratize Quant is to help a select group of motivated investors leverage academic finance research to improve their investment processes. The event is education-focused and serves as a compliment to the long-standing MARC academic conference, which is hosted by the Villanova University Finance Department.

Benefits of the conference:

  • Low-cost admission (At-cost; Excess “profits” go to Villanova)
  • Intimate environment (Limited invitations; Screened applications)
  • The pursuit of intellectual truth (No product-hawking; No story-telling; No jerks)

Who should attend? Investors looking to improve their knowledge:

  • Practitioner Researchers
  • Academic Researchers
  • Independent Advisor CIO/PM
  • Do-It-Yourself Investors

Improve Your Knowledge

Your Research Experts

Discussion #1: The Future of the ETF Industry

Presenter

Ben Johnson

Director of Global ETF Research at Morningstar

Ben Johnson, CFA, is director of global ETF and passive strategies research. Before assuming his current role, he was director of ETF research for Europe and Asia. He also previously served as a senior equity analyst, covering the agriculture and chemicals industries. Before joining Morningstar in 2006, he worked as a financial advisor for Morgan Stanley. Johnson holds a bachelor’s degree in economics from the University of Wisconsin. He also holds the Chartered Financial Analyst® designation. In 2015, Fund Directions and Fund Action named Johnson among the 2015 Rising Stars of Mutual Funds.

Discussant

Eric Balchunas

Senior ETF Analyst at Bloomberg

Eric Balchunas is Senior ETF Analyst for Bloomberg Intelligence where he writes research for the Bloomberg Terminal. He also co-hosts the first-ever ETF TV show called “Bloomberg ETF IQ” as well as a podcast called “Trillions.” He is also a Bloomberg Opinion contributor and has authored “The Institutional ETF Toolbox,” which was published by Wiley in March 2016. Eric holds a bachelor’s degree in Journalism and Environmental Economics from Rutgers University.

Discussion #2: Who's on Other Side?

Presenter

Antti Ilmanen

Principal at AQR Capital Management

Antti manages AQR’s Portfolio Solutions Group, which advises institutional investors and sovereign wealth funds, and develops the firm’s broad investment ideas. Before AQR, Antti spent seven years as a senior portfolio manager at Brevan Howard, a macro hedge fund, and a decade in a variety of roles at Salomon Brothers/Citigroup. He began his career as a central bank portfolio manager in Finland. Antti earned M.Sc. degrees in economics and law from the University of Helsinki and a Ph.D. in finance from the University of Chicago. Over the years, he has advised many institutional investors, including Norway’s Government Pension Fund Global and the Government of Singapore Investment Corporation. Antti has published extensively in finance and investment journals and has received a Graham and Dodd award, the Harry M. Markowitz special distinction award, and multiple Bernstein Fabozzi/Jacobs Levy awards for his articles. His book Expected Returns (Wiley, 2011) is a broad synthesis of the central issues in investing. Antti received the CFA Institute’s 2017 Leadership in Global Investment Award.

Discussant

Corey Hoffstein

CIO NewFound Research

Corey Hoffstein is co-founder and Chief Investment Officer at Newfound Research, a quantitative asset management firm specializing in risk-focused tactical asset allocation. At Newfound, Corey is responsible for portfolio management, oversight of research, and communication of the firm’s views to clients. Corey received his BS in Computer Science from Cornell University and his MS in Computational Finance from Carnegie Mellon University.

Keynote Presenters

Day 1: “Pracademic” Keynote

Rich Evans, PhD

Associate Professor at The Darden School of Business (University of Virginia)

Richard Evans’ research deals broadly with investment decisions, and his current research projects explore fund manager compensation and incentives, exchange-traded funds, corporate political activity and stock performance, short-selling and quantitative vs. fundamental investment strategies.  His work has been published in the Journal of Finance, the Journal of Financial Economics and the Review of Financial Studies and has been cited by the financial press (New York Times, the Wall Street Journal, The Economist, and Forbes magazine) as well as regulatory agencies (Securities and Exchange Commission, US General Accounting Office and the White House Council of Economic Advisors).

He has presented his research to the SEC, Federal Reserve, Social Security Administration, and the American Finance Association.  He currently serves on the Editorial board of the Financial Analysts Journal and he has taught executive education courses for investment professionals from Merrill Lynch, Morgan Stanley, and Citizens Bank and is the advisor to Darden Capital Management, Darden’s student-run investment funds. He has been the recipient of a Santander Research Fellowship at Cambridge University, a Senior Research Fellowship at the Long-Term Investors think tank at the Università di Torino, and he has served as a visiting faculty member at Nova Universidade de Lisboa.  He holds bachelor’s and master’s degrees in chemistry from the University of Utah and a master’s degree and doctorate in finance from the Wharton School of the University of Pennsylvania.

Day 2: Academic Keynote

Laura Starks, PhD

Charles E. & Sarah M. Seay Regents’ Chair in Finance at The University of Texas

Laura T. Starks, Charles E. and Sarah M. Seay Regents Chair in Finance and co-Executive Director of Social Innovation@McCombs. She teaches undergraduate and graduate courses on environmental, social and governance investing, global financial strategies, and other finance topics. She has previously served as interim Dean, Associate Dean for Research, Chairman of the Department of Finance and Graduate Advisor. She was also an editor of the Review of Financial Studies from 2008-2014 and has won a number of research and teaching awards in her career.

Her current research focuses on mutual funds, corporate governance institutional investors and environmental, social and governance investing. She has served on the Boards of Directors of the four national academic finance organizations: the American Finance Association, the Financial Management Association (FMA), the Society of Financial Studies (SFS) and the Western Finance Association (WFA). She is past president of the FMA and WFA and is currently President of the SFS. She is a past Chairman of the Graduate Assembly for the University of Texas at Austin, the elected faculty council that governs the University’s graduate programs, and served on the Executive Committee of the University Faculty Council.

She is an independent director for CREF Retirement Accounts and TIAA-CREF Mutual Funds, serves on the Investment Advisory Committee for the Employees Retirement System of Texas, the Board of Governors of the Investment Company Institute, and the Governing Council of the Independent Directors Council. She has also served on the 2013 Strategy Council and the 2014 Expert Panel for the Norwegian Government Pension Fund (the largest sovereign wealth fund in the world).

Discussion #3: What's Up with Momentum?

Presenter

Andrew Berkin, PhD

Head of Research, Bridgeway Capital Management

Andrew Berkin, Ph.D., is director of research and oversees the development and implementation of Bridgeway’s statistically driven, evidence-based efforts. Andrew joined Bridgeway in 2013. Prior to joining Bridgeway, Andrew was co-chief investment officer and director of research for Vericimetry Advisors. He previously was a senior member and director of the quantitative research group at First Quadrant, where he spent 14 years in a variety of responsibilities, including the development and implementation of stock selection models in both taxable and tax-exempt portfolios primarily for institutions.

Andrew earned his Bachelor of Science with honors in physics from the California Institute of Technology and a Doctor of Philosophy in physics from the University of Texas, where he concentrated his studies in general relativity and astrophysics. Andrew also serves on the editorial board of the Financial Analysts Journal.

Discussant

Mikhail Samonov

Founder, Two Centuries Investments

Mikhail Samonov is the founder of Two Centuries Investments, a quantitative asset management firm in Princeton, New Jersey. His prior roles included managing institutional quantitative equities for PineBridge Investments, running an alternative data company OctoQuant, and managing multi-asset and alternative factor strategies for Forefront Analytics. Mikhail is a published author and a frequent speaker on the topics of factor investing, asset allocation, quantitative innovation and socially responsible investing. Mikhail is a creative thinker and an educator frequently involved in helping investors and asset managers transform, innovate and grow. Mikhail is a graduate of Brown University and the Wharton Business School. Mikhail is a CFA Charterholder.

Discussion #4: A New Asset-Pricing Technology: The ZCAPM

Presenter

Jim Kolari, PhD

JP Morgan Chase Professor of Finance at Texas A&M

Jim Kolari is the Director of the Global Corporate Banking Program in the Department of Finance at Texas A&M University.  He has taught financial institutions and markets classes there since 1980 and been active in international education, consulting, and executive education.  Receiving a PhD in Finance from Arizona Station University in 1980, he today holds the JP Morgan Chase Professorship in Finance in the Mays Business School.  In 1986 he was a Fulbright Scholar at the University of Helsinki and he Bank of Finland.  He has served as a Visiting Scholar at the Federal Reserve Bank of Chicago in 1982-1983, Senior Research Fellow at the Swedish School of Business and

Economics (Hanken), Finland, and Faculty Fellow with the Mortgage Bankers Association of America, in addition to being a consultant to the U.S. Small Business Administration, American Bankers Association, Independent Bankers Association of America, and numerous banks and other organizations.  He has worked as an advisor on the North American Free Trade Agreement for the State of Texas, as a consultant for the Mexican government in financing technology, and as a member of the Academy of Sciences for Higher Education in Russia.  With over 100 articles published in refereed journals, numerous other papers and monographs, 15 co-authored books, and over 100 competitive papers presented at academic conferences, he ranks in the top 1-2 percent of finance scholars in the United States, according to recently published guides of research productivity among finance professors.  His papers have appeared in such domestic and international journals as the Journal of Finance, Journal of Business, Review of Financial Studies, Review of Economics and Statistics, Journal of Money, Credit and Banking, Journal of Banking and Finance, Journal of Financial Research, Real Estate Economics, Journal of International Money and Finance, and the Scandinavian Journal of Economics.  Papers in Russian, Finnish, Dutch, Italian, and Spanish have appeared outside of the United States.  He is a co-author of leading college textbooks in introductory business, global business, and commercial banking courses.

Discussant

Liqian Ren, PhD

Director of Modern Alpha, WisdomTree

Liqian Ren, Ph.D., is the Director of Modern Alpha at WisdomTree Asset Management. She is a former portfolio manager in the Vanguard Quantitative Equity Group (QEG), where she managed Vanguard’s factor funds and conducted research on factor strategies. Liqian started at Vanguard in 2007 in its Investment Strategy Group, where she focused on economic forecasting, investor behavior, the Vanguard Capital Markets Model® (VCMM), strategic research for Vanguard Managed Payout Fund and Vanguard’s annuity products, and research on investor behavior. Earlier in her tenure at QEG, she worked on portfolio construction, sector rotation and factor strategies, and attribution models.

Before joining Vanguard, Liqian was an associate economist at the Federal Reserve Bank of Chicago. She earned her M.B.A. and Ph.D. in economics from the University of Chicago Booth School of Business. She holds an M.A. in economics from Indiana University–Purdue University Indianapolis and a B.S. in computer science from Peking University in China.

Fireside Chat: Jeremy and Jim  

Jim O’Shaughnessy Shares His Lessons from a Life as a “Quant”

Moderator

Jeremy Schwartz

Global Head of Research, WisdomTree Investments, Inc.

Jeremy S. Schwartz is the Global Head of Research at WisdomTree Investments, Inc. He had been the Director of Research at WisdomTree Investments, Inc. since October 2008.

Mr. Schwartz was previously the Deputy Director of Research at the firm from February 2007 to October 2008. From May 2005 to February 2007, he was a Senior Analyst at the firm. Mr. Schwartz is responsible for construction process and oversees research across the WisdomTree equity family. Prior to this, he had been a Senior Analyst at Index Development Partners Inc. since July 2005. Prior to that, Mr. Schwartz was Professor Jeremy Siegel’s Head Research Assistant and helped with the research and the writing of Stocks for the Long Run and The Future for Investors. He is also the co-author of the Financial Analysts Journal paper, “What Happened to the Original Stocks in the S&P 500?” and the Wall Street Journal article, “The Great American Bond Bubble.”

Mr. Schwartz is a registered representative of Foreside Fund Services, LLC. He received a BS in Economics from the University of Pennsylvania – The Wharton School in 2003.

Honored Guest

Jim O’Shaughnessy

Chairman and Chief Investment Officer of O’Shaughnessy Asset Management

Jim O’Shaughnessy is the Chairman and Chief Investment Officer of O’Shaughnessy Asset Management (OSAM). As founder and Chief Investment Officer of the firm, Jim is ultimately responsible for OSAM’s investment strategies. Jim is an equity owner in OSAM and a member of the firm’s Executive Committee.

Prior to founding OSAM, Jim was the Director of Systematic Equity at Bear Stearns Asset Management and a Senior Managing Director of the firm. Prior to Bear Stearns, he was the CEO and Chairman of O’Shaughnessy Capital Management (Netfolio).

Long recognized as one of America’s leading financial experts and a pioneer in quantitative equity analysis, he has been called a “world beater” and a “statistical guru” by Barron’s. In February 2009, Forbes.com included Jim in a series on “Legendary Investors” along with Benjamin Graham, Warren Buffett, and Peter Lynch.

Jim is the author of four books on investing. Forbes pronounced his first book Invest Like the Best “awesome” and named it one of the best financial books of the year. His next book, What Works on Wall Street, is a BusinessWeek and New York Times Business bestseller and called “An indisputable classic…downright momentous” by TheStreet.com. Financial Analysts’ Journal said it was “indisputably a major contribution to empirical research on the behavior of common stocks in the United States…conceivably, the influence of What Works on Wall Street will prove immense.”

Jim’s third book, How to Retire Rich, was a New York Times Business and BusinessWeek bestseller. Jim’s most recent book, Predicting the Markets of Tomorrow, was published in 2006. Jim was named “manager of the year” in Gordon Pape’s 2004 Buyers Guide to Mutual Funds for his management of the Royal Bank (RBC) of Canada’s O’Shaughnessy Funds, and the Canadian Investment Awards named the RBC O’Shaughnessy U.S. Value Fund “U.S. Equity Fund of the Year” in 2004 and 2005. Jim has a B.A. in Economics from the University of Minnesota.

Jim is the former Chairman of the Board of the Chamber Music Society of Lincoln Center and currently serves as the Chairman of the Capital Campaign for CMS. Jim is married with three children and two grandchildren and lives in Greenwich, Connecticut.

Dinner with Annie Duke

Annie Duke

Author, Speaker, and Decision Strategist

Annie Duke is an author, and experienced corporate speaker and consultant on the behavior of decision making. In 2018, Annie’s first book for general audiences, “Thinking in Bets: Making Smarter Decisions When You Don’t Have All the Facts” was released by Portfolio, an imprint of Penguin Random House. It quickly became a national bestseller. As a former professional poker player, she has won more than $4 million in tournament poker. During her career, Annie won a World Series of Poker bracelet, and is the only women to have won the World Series of Poker Tournament of Champions, and the NBC National Poker Heads-Up Championship. A mom of four, she has written five books and raised more than $18 million for charities. Annie is a cofounder of HowIDecide.org, a member of the National Board of After-School All-Stars and a member of the NationSwell Council. In 2016 she joined the board of directors of the Franklin Institute, one of America’s oldest and greatest science museums. She has also won a televised championship in rock-paper-scissors.

“Thinking in Bets”

Meet Some of Your Faculty

We’ll take your knowledge to the next level

Laura Starks, PhD

UT Austin

Corey Hoffstein

NewFound

Andy Berkin, PhD

Bridgeway

Wesley R. Gray, PhD

Alpha Architect

Jack Vogel, PhD

Alpha Architect

Jeremy Schwartz

WisdomTree

Ben Johnson

Morningstar

Mikhail Samonov

Two Centuries Investments

Eric Balchunas

Bloomberg

Bryan Johanson

RBC

Rich Evans, PhD

UVA

Jim Kolari, PhD

Texas A&M

Liqian Ren, PhD

WisdomTree

Antti Ilmanen

AQR

Mike Pagano, PhD, CFA®

Villanova University

Chris Hempstead

DB

Democratize Quant Agenda

Two Days of Intense Study (Day 2 is Optional)

30-minute presentation; 10-minute discussant; 10-minute Q&A

Day 1 Agenda

*Business casual attire

Time Event Lead Faculty
9:00 Registration and Coffee Session  N/A
9:40 Dean’s Welcome and Opening Remarks Villanova Dean
10:00 The Future of the ETF Landscape  Ben Johnson / Eric Balchunas
10:50 Break  N/A
11:15 Who is On the Other Side? Ilmanen/Hoffstein
12:05 Break  N/A
12:20 Panel: Facts, Fiction and Transaction Costs  Pagano & Panelists (Hoffstein/Ilamen/Hempstead/Johanson)
12:50 Lunch/Keynote Rich Evans
2:10 What’s Up with Momentum?  Berkin/Samonov
3:00 Break  N/A
3:30 A New Asset-Pricing Technology: The ZCAPM Kolari/Ren
4:20 Break N/A
4:40 Panel: New Ideas in Asset Pricing Vogel & Panelists (Kolari/Berkin/Ren/Samonov)
5:10 Break N/A
5:25 Fireside Chat O’Shaughnessy/Schwartz
5:55 Closing Remarks Gray
6:00 Reception N/A
7:00 Dinner Annie Duke

Day 2 Agenda

Here is the official schedule on the Villanova Site.

Time Event Lead Faculty
8:15 Registration and Coffee Session  N/A
8:40 Opening Remarks Pagano
8:45 Dean’s Welcome N/A
9:00 Financial Markets Session Multiple
10:15 Distinguished Speaker Allen Berger
10:45 Coffee Break N/A
11:00 Investments Session Multiple
12:15 Lunch and Keynote Laura Starks
1:30 Corporate Finance Session Multiple
2:45 Distinguished Speaker Russ Wermers
3:15 Coffee Break  N/A
3:30 Financial Institutions Session Multiple
4:45 Reception N/A

Democratize Quant Event Logistics

Dates

  • Pre-Event BBQ: March 20, 2019
    • 6:30pm – 9:30pm
    • 213 Foxcroft Road, Broomall, PA 19008
  • Practitioner: March 21, 2019
    • 9:00am-9:00pm
  • Academic: March 22, 2019
    • 8:15am-4:45pm
    • Optional
MARC Information

Costs

Conference is managed “at-cost:”

  • $500/attendee
  • 2-Day Conference Access
  • Meals Included (hotel/air excluded)
  • Excess “profits” donated to Villanova
Read about Villanova

Lodging

The Radnor Hotel

  • 591 E. Lancaster Avenue
  • Wayne, PA 19087

Mention “MARC” for a discount

Hotel Information

Location

Villanova School of Business

  • Bartley Hall (Map Here and here)
  • 800 E. Lancaster Avenue
  • Villanova, PA 19085

Parking details

Directions

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