February 17, 2023 | The Sherman Show

TSS Episode 133: Quadratic’s Nancy Davis on Selling Vol, Yield Curve Hand Signals and Deflation

DoubleLine Deputy Chief Investment Officer Jeffrey Sherman and Portfolio Manager Samuel Lau welcome back Nancy Davis, Founder, Managing Partner and Chief Investment Officer of Quadratic Capital Management, to The Sherman Show. Messrs. Sherman and Lau, and Ms. Davis kick things off with a discussion of Quadratic’s IVOL ETF, the strategy behind it and the fund’s TIPS allocation (1:22) before moving to a broad macro discussion. Topics covered include the interest-rate swaps curve (7:13), the benchmark Agg’s composition (12:32), having to use your hands to illustrate the inverted yield curve’s directionality (18:57) and the risk of deflation (20:17). On the division in market investors’ mentality, Ms. Davis notes, “Credit and equities are behaving like maybe things are OK. The yield curve is trading like there are UFOs in the sky, and it’s like the end of the world.”

In addition to talking about the pronounced division in market messaging (26:41), the three get a little nerdy over selling vol (32:54) and wonder how so little is said about the Fed’s balance sheet (35:20), and Ms. Davis shares her experience as a business owner (40:48). This episode was recorded Feb. 14, 2023.



  • Jeffrey Sherman, CFA

    Jeffrey Sherman, CFA

    As DoubleLine’s Deputy Chief Investment Officer, Jeffrey Sherman oversees and administers DoubleLine’s Investment Management sub-committee coordinating and implementing policies and processes across the investment teams. He also serves as lead portfolio manager for multi-sector and derivative-based strategies. Mr. Sherman is a member of DoubleLine’s Executive Management and Fixed Income Asset Allocation Committees. He can be heard regularly on his podcast “The Sherman Show” (Twitter @ShermanShowPod, where he interviews distinguished guests, giving listeners insight into DoubleLine’s current views. In 2018, Money Management Executive named Jeffrey Sherman as one of “10 Fund Managers to Watch” in its yearly special report. Prior to joining DoubleLine in 2009, Mr. Sherman was a Senior Vice President at TCW where he worked as a portfolio manager and quantitative analyst focused on fixed income and real-asset portfolios. He was a statistics and mathematics instructor at both the University of the Pacific and Florida State University. Mr. Sherman taught Quantitative Methods for Level I candidates in the CFA LA/USC Review Program for many years. He holds a B.S. in Applied Mathematics from the University of the Pacific and an M.S. in Financial Engineering from the Claremont Graduate University. Mr. Sherman is a CFA® charterholder.

  • Samuel Lau

    Macro-Asset Allocation

    Samuel Lau

    Macro-Asset Allocation

    Mr. Lau joined DoubleLine in 2009. He is a Strategist on the Fixed Income Asset Allocation (FIAA) Committee and a contributing member on the Global Asset Allocation and Macro committees. Mr. Lau is a Portfolio Manager on DoubleLine’s strategic commodity strategy while working in portfolio management and trading for derivatives-based and multi-asset strategies, including DoubleLine's Shiller Enhanced CAPE®, Shiller Enhanced International CAPE®, Real Estate and Income, and Multi-Asset Trend strategies. He also co-hosts the Sherman Show (Twitter @ShermanShowPod, and Monday Morning Minutes (Twitter @DLineMinutes, podcasts. Prior to DoubleLine, Mr. Lau was a Vice President at TCW where he worked under Jeffrey Gundlach as a Research Analyst in the Mortgage Group. He holds a B.S. from the University of Wisconsin, Madison and an MBA from the Marshall School of Business at the University of Southern California.