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 a built-in feature of the investment strategy, specifically in its use of short-dated options, which Chris embraces as highly effective in offsetting cognitive biases and systematically de-risking the portfolio. Short-dated options frequently present attractive volatility risk premia extremes.
Dipsea Capital’s returns on a day-to-day basis reflect the robustness of our strategy. Over 5+ years, Dipsea's strategy exhibits a stock market correlation of approximately -0.10, with 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 Sharpe ratio above 3.