This week's guest may be new to Twitter (@nancy__davis), but she's certainly not new to the wide world of volatility in all its wonderous “fruit” forms, including of course rates and fixed income volatility. In this Derivative episode, Jeff sits down with one of the "100 Most Influential Women in U.S. Finance," Nancy Davis. Nancy, who started her career at Goldman Sachs, is the founder of Quadratic Capital, portfolio manager for the IVOL and BNDD ETFs, and a frequent finance commentator on Bloomberg and CNBC.

In this engaging chat, Nancy is talking TIPS (inflation, duration exposure, plus real yields, and yield curve control), debit card vs credit card investing, why most bond investors are short mortgage calls, the purpose of IVOL, the day-to-day of running an ETF (the Vanguard of Convexity), a mother's love for options, what it takes to make it as a female in finance, why having a P&L is the key to meritocracy, and much more. Plus, we're playing two truths and a lie where we find out if she has a strong poker face or if that's just a reference to her doppelganger — SEND IT!

Chapters:

00:00-01:29 = Intro

01:30-20:26 = Everything TIPS: a single inflation index, duration exposure, real yields & yield curve control

20:27-30:56 = Debit Card Investing: Risk Management budgets & Orders of Operation

30:57-47:31 = The Purpose of IVOL, Mortgage rates & Bond portfolios, & Rate Risk vs Spread risk

47:32-55:13 = Running an ETF: The Vanguard of Convexity

55:14-01:04:58 = Goldman’s not a Squid, A mothers love for Options & What it takes to make it

01:04:59-01:12:17 = Two Truths & a Lie: Gaga edition

Follow Nancy on Twitter @nancy__davis and for more information on Quadratic Capital visit quadraticllc.com

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Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visit www.rcmalternatives.com/disclaimer