Nancy Davis would modify the famous dictum always be closing, from Glengarry Glen Ross, David Mamets play about capitalism, to always be monetizing. Davis practices an unusual style of derivatives-based macro investing that she began developing during her seven years on the proprietary risk arbitrage desk at Goldman Sachs Group in New York. This strategy involves keeping the vast majority of her capital in cash, making investments through options and swaptions, and constantly harvesting gains. Its a disciplined, low-risk and highly uncorrelated approach. But low-risk doesnt equal low-return, and shes attracting investor interest in her new firm, Greenwich, Connecticutbased Quadratic Capital Management. Davis, 37, grew up in Tampa, Florida, and earned a BA in economics from George Washington University. She joined Goldman straight out of college and worked there for a decade before moving to New Yorkbased hedge fund firm Highbridge Capital Management in 2008. At Goldman, Davis ran one of the worlds largest buy-side volatility portfolios.