Dipsea Capital employs relative value trading strategies in short duration US equity index and single name options and large capitalization stocks. The portfolio consists of long and short positions managed to tight position and portfolio risk limits, including low net exposures.
Risk management is also a built-in feature of the investment strategy, specifically in its use of short-dated options, which Chris embraces as highly effective in offsetting confirmation bias and systematically de-risking the portfolio. Short-dated options also frequently present attractive volatility risk premia extremes.
Dipsea Capital’s returns on a day-to-day basis reflect the robustness of our strategy over 4.5 + years with a stock market correlation of approximately 0.10, two-thirds positive days, and positive returns on nearly three-quarters of down market days.
Dipsea’s differentiated approach within the most liquid equity and options markets has resulted in uncorrelated, low volatility returns with a high Sharpe ratio.
Uncorrelated returns: The strategy has been effective at protecting capital during market downturns such as in February 2018 ("Volmageddon"), and the May 2019 (-6.35%) and fourth quarter 2018 (-13.52%) S&P 500 selloffs, most recently, resulting in a track record with zero correlation to equities and negative correlation to bonds.
Independent, third-party risk reporting: Portfolio transparency is available to investors with full risk reporting, including Fama-French factor exposures (showing a lack of beta to, for example, equity volatility, value, momentum, and credit spreads).
Low volatility: The Fund’s low volatility, combined with its high Sharpe ratio, allows for a superior wealth compounding - liquidity combination.
Liquid: The Fund offers investors monthly liquidity.
Tax benefit: For onshore investors, a significant portion of gains historically have qualified for long-term capital gains treatment.