Convexity Maven Research Hub

Harley Bassman’s research underscores the critical importance of operational transparency in the ETF ecosystem, specifically regarding the mechanics of the creation and redemption process and its impact on shareholder value. A central concern is the persistent risk of negative convexity inherent in daily leveraged ETFs, which often masks significant slippage and performance decay for retail investors. Furthermore, the analysis highlights how opaque fee structures within derivative-heavy fund-of-funds strategies and misleading distribution yields can obscure the true cost of these instruments. By scrutinizing these technical vulnerabilities, the research provides a framework for identifying structural risks that undermine effective NAV management. Ultimately, the synthesis of these observations points toward a broader macro thesis where persistent fiscal deficits mandate a defensive posture. Consequently, Bassman advocates for the inclusion of hard assets like equities and gold to mitigate long-term volatility and structural market risks.