During bull markets, the primary task of the strategy is to deliver a return in excess of the BCOMTR by positioning the portfolio to take advantage of those markets where the best risk-reward profiles are to be found.
During bear markets, the primary task is to minimize any market exposure that may result in a significant drawdown in the investor’s capital. In extreme circumstances, where no reasonable risk-reward opportunities can be identified, or the asset class is at high risk of price dislocation, the strategy may avoid market exposure entirely. The fund may also deploy short positions but will never be net short.
The investment philosophy of GDC is discretionary rules-based, and the investment process is centered on a belief in the efficacy of holistic market analysis. This means that portfolio positioning is determined by a repeatable and consistent combination of rigorous top-down macroeconomic, bottom-up commodity-specific, technical, and sentiment analyses.
Given that an integral component of the GDC is to attempt to preserve capital, tracking error is not included in the investment framework. For those investors whose primary concern is beta exposure across the range of market outcomes, Gresham’s NTA and TSM strategies are more suitable.