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.
16 фев 2023
