O'Brien Investment Group
Quantitative Global Macro Futures
Principals:
Dr. Michael Johannes, Portfolio Manager
Quantitative / Global Macro / Diversified | Trend Following
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Month Performance
+3.08%
Aug 2026
YTD Return
-9.56%
Through Aug 2026
AUM
$17,000,000
Assets Under Management
Overview
The O'Brien Investment Group (OBIG) Quantitative Global Macro Futures Program is a systematic strategy diversified across 45 different financial and commodity futures markets
including global stock indices, global interest rates, currencies, metals, energies, grains, softs and meats. The foundation of the strategy are long-term trend following models seeking to
capture absolute returns. Trend following has historically generated "crisis alpha" during times of stress in the markets. The strategy also incorporates a series of options on futures
models with a goal of smoothing out the return stream and to generate positive returns when implied volatility levels are attractive. The option models will not sell naked short open
positions. Only covered positions or long puts / long call positions are considered.
Program Details
| Inception Date | Jul 2017 |
| Trading Style | Trend Following |
| Holding Period | Long Term, Medium Term, Short Term |
| Markets Traded | Diversified |
| Margin | 9.04% |
| Minimum Investment | $3,000,000 |
| Management Fee | 1.00% |
| Performance Fee | 20.00% |
This is a snapshot only. Investors should read Disclosure/Offering documents to determine suitability of investment.
GROWTH OF $1,000 VAMI
Program vs. Autumn Gold CTA Index
About the Autumn Gold CTA Index:
The Autumn Gold CTA Index is a non-investable index comprised of performance from CTA programs included in the Autumn Gold database and does not represent the complete universe of CTAs.
Hypothetical growth of $1,000 based on reported monthly returns.
PERFORMANCE SUMMARY
Annual Returns (Net)
| YEAR | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|
| RETURN | -9.65% | +19.38% | -0.38% | +10.73% |
Maximum Drawdown Since Inception
-21.59%
Past performance is not indicative of future results.
Performance / Program Note
Pro-Forma Performance Adjusted for a 1% Management Fee and 20% Incentive Fee.
Investor Eligibility
What is a QEP?
A Qualified Eligible Person (QEP) is an investor or entity that meets the eligibility requirements described in CFTC Regulation 4.7. The applicable requirements vary by investor type and may include financial, portfolio, professional, or institutional qualifications.
This information is provided for general reference only. QEP status is
self-identified here and should be determined by reviewing the applicable
regulation and, when appropriate, with your professional advisers.
FUTURES, OPTIONS, CRYPTO, AND FOREX TRADING INVOLVES RISK AND MAY NOT BE SUITABLE FOR ALL INVESTORS. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.