Tri-Valley Capital

Tri-Valley Capital Futures Program

Program Description: The Tri-Valley Capital Futures Program is an Adaptive Computational approach to ultra-short-term futures trading. Typical positions in the S&P 500 Index futures last several hours, and we do not carry positions overnight. In the Adaptive Computational methodology, daily trading operations are managed by our proprietary trading software and quantitative risk-management model. Our trading is based on a portfolio of eleven different quantitative models that we have developed, each of which represents a unique approach to the market. Discretion is only used to reduce risk under extreme market conditions. The adaptive component of our methodology comes in on a monthly basis. Every month we research each quantitative model in our portfolio to determine if any adjustments need to be made. Wherever possible, the models themselves are adaptive. This research and trading methodology gives us the discipline and risk-management benefits of a quantitative approach, plus the added flexibility of a discretionary approach. The program is managed by Bob Rogers, who has a Ph.D. in physics from Harvard University. The program provides four key benefits: 1. Unique Adaptive Computational approach 2. Strict risk-management methodology 3. Strong track record since 1994 4. Low correlation to the market and other futures programs Please note: Returns prior to September 2002 are pro-forma returns from a proprietary trading account, and reflect a 2% annual management fee and a 20% incentive fee. Returns from September 2003 forward are the actual combined returns of the Tri-Valley Capital Futures Program.