Summary

The DCS utilizes several different proprietary futures and options trading strategies in an attempt to achieve consistent profitable returns while diversifying a traditional asset portfolio. Major strategies include: i) Long‐Term Trend Following; ii) Calendar‐Based Trading; iii) Intra-Day Scalping; iv) Spread Trading; v) Delta Neutral Strategies, vi) Swing Trading. The DCS is a purely discretionary strategy, though it incorporates processes to help manage risk by using various techniques combining volatility measures, flow of funds, price target stops and timing stops. The DCS implements various short and long futures/options to create an overall position that is buffered from increases in volatility. Furthermore, positions are strategically placed across different calendar months providing an overall net long volatility position. These core elements combined with strict adherence to risk parameters result in a balanced strategy. The DCS uses both options and futures and a mix of short and long term trades hoping to achieve a strategy that can be profitable in flat or volatile market conditions. Stop-limits derived as a function of account value and real-time monitoring of positions are the primary risk controls. The program primarily trades a combination of futures and options on United States regulated exchanges, but the DCS may in some instances trade either futures or options in isolation depending on market conditions. Galico analyzes most commodity futures markets in the United States but focuses the trading of the DCS on currencies, financials, soft commodities, metals, grains, meats, agricultural products and stock indices. The DCS evaluates and may trade in approximately 60 different domestic commodity interests. Galico currently does not trade on international exchanges and does not trade FOREX. Although the program is primarily technical and rule based, Galico does give consideration to available fundamental data in order to give the best risk/reward possible and therefore, will exercise a certain level of fundamental-inspired discretion over the program. Decisions on whether or not to act upon a trade signal depends upon a combination of technical timing, fundamental considerations and potential risk points associated with trades.