Price Capital LP - FX Strategies

PRICE CAPITAL L.P.A Global Macro Strategy for Consistent Growth and Income

PRICE CAPITAL LLC, GENERAL PARTNER

Price Capital L.P.Price Capital LLC, General Partner© 2015 by Price Capital LLC. All rights reserved.

1DISCLAIMER

This presentation is not to be construed as an offer to sell securities of or any interest in Price CapitalL.P. or as an invitation or solicitation for offers to buy securities of or any interest in Price Capital L.P.

Nothing to the contrary withstanding contained herein, potential investors are cautioned that theymay rely only upon information contained in the forthcoming Private Offering Memorandum andrelated documents.

“Given the impact of bubbles and ongoing global economic uncertainty on asset prices, present-day strategies no longer provide consistent growth and income to investors.

“Buy and Hold” is now “Buy and Hold Your Breath”. ”THE PROBLEM 2

Before mid‐1990’s:Before mid‐1990’s: Since mid‐1990’s:Since mid‐1990’s:• Higher real interest rates.

• Relatively stable asset prices.

• Volatile asset prices.

• Low real interest rates.


3

03 Meaningful ExitsOur profit targets are based upon monthly pivots, and not an average true range or a static range. As a result, exits occur at tested support or resistance levels.

04 Risk ManagementPosition sizes are limited to 1% of the total pool of investable funds. Orders for a security are subdivided across varying profit target ranges. Used margin is limited to less than 30% of the pool size.

HOW WE SOLVE THE PROBLEM

01 Validated PositionsOur strategy only takes L/S positions when a trend has been validated, and takes profits while the trend is still strong. We avoid overtrading, which racks up high commissions and fees.

02 Smart EntriesIf a market is choppy or a direction is too fresh, our algorithm waits for more favorable and established conditions. This helps us avoid whipsaws and positions that don’t advance to profit.

Price Capital L.P.’s strategy seeks consistent annual profits in today’s inconsistent markets with minimal risk by using:


Currencies

Futures

Stocks

Indices

4BIG OPPORTUNITY BECAUSE OF MANY USE CASES

This strategy works in multiple exchange‐traded markets. It profits wherever directional price movement exists.

Factors that impact directional price movements include:

1. Supply and Demand – Impacts commodities, currencies, and other assets.

2. Speculation and Outlook – Fear and expectation over the future direction of prices.

3. International Flow of Funds – Net import/export status impacts a country’s currency and economy.

4. Government Actions – Fiscal and monetary policy, and a country’s actions toward other countries, creates trends.


Michelle Price• Started Price Capital, LLC in 2010, nine years after

joining Morgan Stanley’s Quantitative Strategies and Portfolio Risk Analysis team.

• Has since consulted on billion dollar portfolio risk and trading technology projects at Goldman Sachs, PIMCO, and Lehman Holdings (where she was SVP of Financial Planning and Analysis).

• BS and MS degrees in Electrical Engineering from Rice and Stanford Universities. National Science Foundation Fellowship recipient.

Founder and Managing Principal

SkillsTechnical

Investing

Logic

Passion

80%

90%

95%

100%

HOW DID WE GET HERE? 5

The idea for this strategy came during a January 2015 meeting between the founder and a client. Michelle – who runs Price Capital LLC, a NY an TX state‐registered investment advisor – explained to her client how sectors and markets can fall in and out of favor year to year.

She had an idea, and set out to create a 24‐hour automated strategy that hunted for profitable trends in any market to have another way of providing consistent alpha opportunities for her clients.


6HOW TYPICAL TRADING ALGORITHMS WORK

The founder has observed the following 4 major themes among live trading algorithms on Wall Street:

TECHNICAL ANALYSIS SYSTEMSHarmonic Patterns, Woodie’s CCI/Pivots, Price Action Swings, Bollinger Bands with Stochastics and RSI, Point and Figure Analysis, Volume/Price Action

FUNDAMENTALLY‐BASED SYSTEMSMacro/Micro Economic Analysis, Security Valuation Metrics, Industrial and Demographic Trends, Monetary/Fiscal Policy Analysis, Economic News

SPEED‐BASED SYSTEMSStatArb/Pairs Trading, High Frequency/Low Latency Trading

TECHNICAL‐FUNDAMENTAL SYSTEMSMarket Profile Value Area Analysis, Open Range Analysis, Neural Networks, Machine Learning

Complexity tends to be king in today’s strategies…but can you tell what to do here?


7THE PROBLEM WITH OTHER APPROACHES

TOO SUBJECTIVE

Systems based on fundamental factors suffer from key person risk. They are notoriously difficult to backtest and scale, and are often market‐specific.

HISTORICALLY OVERFIT

Technically‐based systems are tweaked based uponhistorical data – in particular, pattern‐searching algortihms. However as market conditions change, these systems fail.

OVERLY COMPLEX

Managers mistakenly layer on correlated technical and fundamental factors to their position entry conditions. These systems eventually fail under the weight of their complexity.

QUESTIONABLE TARGETS

Managers often use a less thoughtful approach for taking profits vs making entries, and frequently use a fixed profit target or average true range. Thesetechniques may leave money on the table.

TOO SUBJECTIVE

HISTORICALLY OVERFIT

OVERLY COMPLEX

QUESTIONABLE TARGETS

0

5

10

15

20

25

JAN‐07

FEB‐07

MAR

‐07

APR‐07

MAY

‐07

JUN‐07

JUL‐07

AUG‐07

SEP‐07

OCT

‐07

NOV‐07

DEC‐07

JAN‐08

FEB‐08

MAR

‐08

APR‐08

MAY

‐08

JUN‐08

JUL‐08

AUG‐08

SEP‐08

OCT

‐08

NOV‐08

DEC‐08


01 Trend AnaylsisDoes the security have a clear direction, or is it experiencing chop?

02 QualificationDoes the trend have momentum? Only proceed if momentum exists.

03 Entry Signal GenerationSignals are generated from a lower timeframe in the main trend’s direction.

04 Sizing/Margin AnalysisAvailable margin is a factor in deciding to act on the entry signal. Account size

dictates the size of the position.

05 Position ManagementTargets are set and adjusted according to pivot points. Exit signals are

constantly monitored.

06 Exit Signal GenerationIf the trend changes against the position before a profit target is hit, an exit signal

is generated.

Six Keys for the SuccessHOW OUR STRATEGY WORKS 8

TREND ANALYSIS

QUALIFICATION ENTRY SIGNAL GENERATION

SIZING/MARGIN ANALYSIS

POSITION MANAGEMENT

EXIT SIGNAL GENERATION

STEP 1: STEP 2: STEP 3: STEP 4: STEP 5: STEP 6:


9SAMPLE ENTRIES/EXITS

Below is a snapshot of an actual entries and profit target exits on a volatile FX pair ($ZARJPY) to demonstrate the strategy. Notice that as profits accrue, the position size increases (from 61,000 to 82,000):

Short entry after short trend validation.

Profit target exit before bigger trend change.

Another short and quick exit.

After a short trend validation, a series of shorts and profit target exits occur.

No long entry –false uptrend.

Another series of profitable shorts.

No more shorts exactly when trend ends.

No entry during sideways movement.

Long entry and exit exactly when trend changes.

Another series of profitable shorts after short trend validation.


10UNDER THE HOOD OF THE STRATEGY

TREND ANALYSIS ENGINELONG TIMEFRAME BAR UPDATE

STRONG TREND?

SHORT TIMEFRAME BAR UPDATE

NO

SIGNAL GENERATION ENGINE

ENTRY SIGNAL?

NO

POSITION SIZING/MARGIN ANALYSIS POSITION MANAGER

PROFIT TARGET OR

EXITSIGNAL?

YES

• Profit Target Monitoring• Exit Signal Monitoring

YES

YES

TREND QUALIFICATION ENGINE

NO

ENOUGH MARGIN?

YES

NO

While main trend is strong, check for entries using a lower timeframe:

OfficeBank of America Center

700 Louisiana St Suite 3950Houston, TX 77002

Phone(646) 770-0630 (p)

Email / [email protected]

www.pricecapitalcorp.com

PRICE CAPITAL L.P.A Global Macro Strategy for Consistent Growth and Income

PRICE CAPITAL LLC, GENERAL PARTNER

Documents

Price Capital LP - FX Strategies