LCA Capital, LLC (formerly known as Connors Capital, L.L.C.)  (the “Advisor”) is a limited liability company that was organized under the laws of the State of Delaware in July, 2002.  The Advisor was registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity trading advisor (“CTA”) on October 9, 2003, and became a member of the National Futures Association (“NFA”) on October 22, 2003.  It withdrew its registration and NFA membership in July 2004 and became re-registered as a commodity trading advisor and commodity pool operator on May 5, 2008.  Since June 2004, the Advisor has managed a hedge fund, C2 Flagship, LP, which operates pursuant to an exemption from registration as an investment company.  C2 Flagship trades equities and equity options and has refined its trading model through proprietary trading.

The Advisor has decided to reestablish its futures management business with the addition of two veteran trading principals that have developed and tested a model driven quantitative investment strategy to capture short-term moves in the S&P futures market.   

The Advisor’s trading strategy utilizes a quantitative approach in the futures market based on short term market behavior.  Its statistically backed investment style seeks consistent attractive returns with low volatility and low correlation to both traditional and alternative investments.  Through extensive testing and actual trading of its proprietary account – the results of which are displayed at the end of this disclosure document – the Advisor has shown the ability to capture much of the alpha that exists in the marketplace while lowering beta.  The Advisor believes its approach as refined over the past fifteen months is capable of producing consistent returns along with minimal monthly drawdowns, offering investors relatively low market, sector and corporate risks. 

Trading Program Description
The Advisor utilizes a dual-pronged technical approach.  Its primary investment objective is to make above average returns in any economic environment.  As such, the Advisor has developed a trading system that identifies potentially profitable trading opportunities, which is combined with a diligent risk management policy to create a robust investment vehicle that maximizes risk-adjusted returns for investors.

Investment Approach. To identify and profit from behavior exhibited in the S&P futures market, the Advisor employs a model driven quantitative strategy through the use of multiple computer generated signals.  The programs continuously scan various indicators and conditions in the marketplace, subsequently generating trade signals only when certain parameters have been identified.  This allows for a more disciplined and methodical approach to investing.  As a result, discretion, which is often clouded by emotions, is eliminated from the decision making process.  The entire trading system has been tested against over a decade of price data as well as traded in a live proprietary account for over a year.  

The trading program will consist of two strategies.  The first can be classified as a market timing-based strategy that seeks to capture short-term moves in the S&P futures market through the purchase and short sale of equity index futures when the model perceives the market to be exhibiting short term overbought or oversold characteristics.  Historically, certain market factors, behave in a specific way, relative to one another during periods when the equity markets are overextended on a short-term basis.  The index futures program scans equity and market price data for specific values and relationships that, historically, have exhibited a favorable degree of accuracy at predicting short-term reversals in the S&P 500.  The equity index futures program will trade in the S&P E-mini near-month contract, which will be analyzed by the model.  The S&P E-mini contracts are based on the same leading S&P 500 index as S&P 500 futures, the most actively traded stock index contract in the world, but are one-fifth of the size.

The equity index futures program generates positions with fixed entry and exit signals an average of approximately four to eight trades per month.  The Advisor initiates a position upon receiving its first signal and will scale into a full position over time only if its proprietary algorithm generates additional signals.  The majority of these trades are expected to be profitable in nature but are short in duration —typically lasting between one to four days.  Approximately 5% to 20% of account equity will be committed to margin at any given time.  The remaining cash in the accounts will generally be held in segregated accounts with the FCMs pursuant to the Commodity Exchange Act, as amended (“CEA”), and CFTC regulations and will generally be invested in U.S. government securities, including Treasury bills and  Treasury repurchase agreements, high quality money market funds registered under the Investment Company Act of 1940, municipal securities, and securities issued by U.S. government agencies.  Clients should note that maintaining the account’s cash reserves in these instruments does not reduce the risk of loss from commodity trading and such assets are subject to liquidation as margin requirements in the account may necessitate.

A full position size will be 10 E-mini contracts that will be scaled into as the signals generated become stronger over a period of days.  It is expected that a $100,000 account (one unit) will never exceed ten E-mini contracts.

When buy or sell signals occur, they are automatically generated near the close of the trading day.  Immediately thereafter, trades are manually initiated and executed electronically at the prevailing market price.  The position is held until the model issues a sell signal.

The second strategy can be classified as an intraday momentum strategy.  The Advisor’s algorithms, backed by statistical evidence, have identified conditions in the market that tend to precede outsized intraday moves in the S&P index.  When its models are signaling the potential for a powerful intraday move in the S&P, this component of the Advisor’s program will seek to take advantage of such conditions by taking positions in the S&P E-Mini contract.  The Advisor will initiate positions in this strategy when its models are indicating little or no market bias in the intermediate term.  As a result, positions initiated within this strategy will not be held overnight.  The Advisor believes its Intraday Momentum Strategy is a complimentary trading methodology to the LCA S&P Program, its market timing based strategy.