Candès, Hastie, Hogan, Kahn, Luo, and Spector develop a novel framework to measure whether thematic baskets capture real, coherent risks that matter for investors. Their findings challenge conventional risk models and highlight both the dangers and opportunities of betting on investment “themes.” Thematic Investing: a Risk-Based Perspective was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience.| Alpha Architect
Buffer ETFs have become one of the fastest-growing product lines in finance. But what risks are buffer investors carrying without realizing it? Let's zoom in on the two areas where they fall short and propose potential solutions that seek to address these issues. Improving Buffer Strategies: Pay Attention to the Tails! was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience.| Alpha Architect
A sufficient portfolio consists solely of a ladder of inflation-indexed bonds, such as U.S. Treasury Inflation-Protected Securities (TIPS), and a stock market index fund. We explain theoretically and demonstrate empirically how this strategy is less risky and more effective at maximizing lifetime retirement income than are methods commonly used by financial advisors. A TIPS Ladder Plus Stocks: Retirement Planning Solved? was originally published at Alpha Architect. Please read the Alpha Archi...| Alpha Architect
On the surface, buffer ETFs appear attractive: they seek to capture some upside while mitigating a portion of losses. However, this does not mean they are risk-free. In fact, under certain market conditions, these products can significantly underperform. The Problem with Buffer ETFs: Cap the Upside & Expose the Downside was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience.| Alpha Architect
Our friends Corey Hoffstein and Rodrigo Gordillo over at Return Stacked have done some interesting research on the potential for gold to improve your run-of-the-mill 60/40. You'll need to hit them directly on their site to get their full report. However, I read their very detailed white paper, and I thought the concept was intriguing [...] A Golden Opportunity to Upgrade a 60/40? was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience.| Alpha Architect
In our latest video of Research Insights, we were honored to host Jan Krämer from the University of Passau to delve into a pressing issue within the digital economy—social logins and their broader implications on data sharing, market efficiencies, and the strategic positioning of platforms. This session provided a comprehensive overview of Jan’s insights derived […]| Digital Markets Competition Forum
A Theory of Replacement of Humans by Digital Technologies in Organizational Scanning, Interpretation, and Learning In our latest research insights video we we welcome Ioanna Constantiou from Copenhagen Business School, Mayur Joshi from the University of Ottawa, and Marta Stelmaszak from Portland State University to discuss about their recent paper “Organizations as Digital Enactment Systems: […]| Digital Markets Competition Forum
In our latest research insights discussion, we delve into Gianluigi Giustiziero’s research, specifically his paper “Hyperspecialization and hyperscaling: A resource-based theory of the digital firm,” co-authored with Tobias Kretschmer, Deepak Somaya, and Brian Wu. Gianluigi, Assistant Professor of Strategy at IE Business School, dissects the dual concepts of hyperspecialization and hyperscaling, offering a fresh lens […]| Digital Markets Competition Forum
We had a conversation with Bruno Carballa Smichowski on whether traditional market definition is an obsolete conceptualisation in the age od digital ecosystems. An economist, researchers at the Joint Research Centre of the European Commission (unit B6 – Digital Economy), Bruno specialises on data economics and platforms. In his recent research, “When ’the’ Market Loses […]| Digital Markets Competition Forum
The Quadratic Interest Rate Volatility and Inflation Hedge ETF (Ticker: IVOL) delivered a strong performance in the first half of 2025, as the US interest rate curve began to normalize. This steepening of the spot and forward 2s10s curves has caused IVOL to outperform in the first half of the year: IVOL +12.26%. After posting […]| KFA Funds
Is volatility (the standard deviation of returns) a good measure of the risk that investors actually care about?| Alpha Architect
Nancy Davis, founder and CIO of Quadratic Capital Management, believes the market is finally returning to a more normal state—and that’s exactly why the Quadratic Interest Rate Volatility and Inflation Hedge ETF’s (Ticker: IVOL) is performing so well. IVOL is up 11.82% YTD compared to the Bloomberg TIPS index which has returned 2.89% and the Bloomberg […]| KFA Funds
The Quadratic Interest Rate Volatility and Inflation Hedge ETF’s (Ticker: IVOL) NAV is up +13.46% YTD, whereas the Bloomberg TIPS index is up 2.36% YTD as of April 21st.1 What has been happening in 2025 is not a tail event. It is just the start of the normalization of the interest rate markets. Note that […]| KFA Funds
In the rates market, the start of 2025 could not be more different than the start of 2024. Last January, the forward curve was expected to steepen, meaning the curve was priced to be higher in the future. Instead, the curve steepened far less than expected and flattened the forwards. For instance, the 18 month […]| KFA Funds
Yield curve inversions have historically been associated with impending recessions. The Federal Reserve Bank of NY maintains a chart tracking its perception of the probability of a recession over the next 12 months based on the shape of the yield curve. Currently, the NY Fed sees a 67.3% likelihood of a recession in the upcoming […]| KFA Funds
Nancy Davis of Quadratic Capital Management recently joined Maggie Lake’s “My Life in Four Trades” to discuss pivotal moments that guided her career path. After trading her Southern upbringing for a career in New York, Davis shared her experience navigating the European debt crisis, lessons learned from shorting Japan, and her research challenging gold as […]| KFA Funds
Over the years, permanent jobs for change managers and related roles have become increasingly common in organizations. Here's how the market is evolving.| www.prosci.com
Transcript Hi, I’m Nancy Davis. I’m the founder of Quadratic Capital and the portfolio manager for the Quadratic Interest Rate Volatility and Inflation Hedge ETF ticker IVOL, I-V-O-L. TIPS and the Founding of Quadratic Capital Management When I started my career in the late 90s at Goldman Sachs, that was right when the U.S. Treasury […]| KFA Funds
Index and Sector Performance The KFA MLM Index, which is tracked by the KraneShares Mount Lucas Managed Futures Index Strategy ETF, finished the quarter up 4.0%. Commodity (+3.9%) and Currency (+0.3%) markets contributed to performance, while Global Fixed Income (-1.5%) markets detracted from results. Interest income added 134bps. For the twelve months ending March 2024, […]| KFA Funds
What are managed futures? Futures markets were created over 150 years ago for a single purpose, to facilitate the transfer of price risk away from producers and consumers. A managed futures portfolio acts as an important market participant, accepting that price risk and providing liquidity to commercial interests. Futures markets are traded on public exchanges and are […]| KFA Funds
Bullish on bonds? Think rate cut expectations are too aggressive? Hoping to lock in today’s yields before they start falling? Want to add carry to your portfolio but leery of taking more credit risk? The Quadratic Deflation ETF (BNDD) is an actively managed government bond ETF that seeks to benefit from lower growth, deflation, lower […]| KFA Funds
Introduction KraneShares and Mount Lucas Management are pleased to announce that the KFA Mount Lucas Managed Futures Index ETF (Ticker: KMLM) achieved a three-year track record in December 2023. This anniversary marks a significant milestone for the fund, which has delivered consistent uncorrelated returns since its inception. In recent years, managed futures strategies have grown in popularity […]| KFA Funds
Index and Sector Performance The KFA MLM Index, which is tracked by the KFA Mount Lucas Managed Futures Index Strategy ETF (Ticker: KMLM), finished the quarter up 6.8%. Global Fixed Income (+3.3%) and Commodity (3.2%) markets contributed positively to performance, while Currency (-1.1%) markets detracted. Interest income added 133bps. For the twelve months ending September […]| KFA Funds
