Tracking CTAs since 1994
O'Brien Investment Group
Quantitative Global Macro Futures
Principal(s): Dr. Michael Johannes, Portfolio Manager
Strategy: Quantitative / Global Macro / Diversified
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
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.
Dr. Michael Johannes, Portfolio Manager has served as the Director of Fundamental and Quantitative Research at OBIG since 2015 and as PM of the Quantitative Global Macro Futures Program since July 2017 (since inception). He has served in a similar capacity for Clarke Capital Management (an affiliated company) since 2012. Dr. Johannes con-currently serves as a Professor of Finance and Economics at Columbia University's Graduate School of Business. He has been at Columbia since receiving his Ph.D. in Economics from the University of Chicago in 2000.
Dr. Yiqun (Ethan) Mou has been a Senior Quantitative Analyst at OBIG since 2015. He has served in a similar capacity for Clarke Capital (an affiliated company of OBIG) since 2013 and is responsible for performing a wide range of research-related duties associated with quantitative trading. From 2011 to 2013, Dr. Mou worked at Bank of American Merrill Lynch in Hong Kong as FX and Rate Strategist. Dr. Mou received his Ph.D in Finance from Columbia University, his MS degree in Statistics from University of Minnesota-Twin City, and his BA in Math from Tsinghua University. Analyst at OBIG since 2015. He has served in a similar capacity for Clarke Capital (an affiliated company of OBIG) since 2013 and is responsible for performing a wide range of research-related duties associated with quatitative trading. From 2011 to 2013, Dr. Mou worked at Bank of American Merrill Lynch in Hong Kong as FX and Rate Strategist. Dr. Mou received his Ph.D in Finance from Columbia University, his MS degree in Statistics from University of Minnesota-Twin City, and his BA in Math from Tsinghua University.
N/A
The O'Brien Investment Group (OBIG) has been registered with the Commodity Futures Trading Commission (CFTC), since 2017, as a Commodity Trading Advisor (CTA) and has been a member of the National Futures Association (NFA) since 2017. OBIG is headquartered in suburban Chicago and has 4 professionals decided to the portfolio management, research, trading, operations, compliance and marketing of the Pecus Digital Assets Fund, LP and the OBIG Quantitative Global Macro fund and managed account program. OBIG has considerable experience developing and managing quantitative trading strategies. The Pecus Digital Assets Fund, LP will have a significant capital allocation to quantitatively trading.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.40% | 2.92% | – | – | – | – | – | – | – | – | – | – | 2.51% | -0.40% |
| 2025 | 1.09% | -5.92% | -2.87% | 3.82% | -5.11% | -2.89% | -2.32% | -3.33% | 4.12% | 1.40% | -0.65% | 3.22% | -9.65% | -17.45% |
| 2024 | 0.00% | 9.23% | 0.56% | 5.15% | -3.42% | 1.45% | 0.00% | 1.13% | 4.24% | -6.99% | 7.47% | 0.10% | 19.38% | -6.99% |
| 2023 | -2.51% | -0.15% | -4.05% | 6.49% | 4.56% | -0.04% | -2.04% | -4.38% | 3.08% | -3.64% | -2.39% | 5.50% | -0.38% | -9.22% |
| 2022 | 1.99% | 3.80% | 8.78% | 2.89% | -0.26% | 0.83% | -3.85% | -0.10% | 3.72% | 1.20% | -8.23% | 0.44% | 10.73% | -8.23% |
| 2021 | -0.25% | 9.78% | -1.28% | 3.12% | -2.48% | -1.22% | 2.08% | 0.57% | 3.92% | 1.97% | -2.74% | -3.94% | 9.12% | -6.58% |
| 2020 | -0.30% | 0.53% | 1.51% | -1.33% | -1.56% | -2.74% | 9.72% | -1.12% | -1.35% | 1.90% | -2.66% | 1.59% | 3.64% | -5.53% |
| 2019 | 1.30% | 1.08% | 0.93% | 2.42% | -1.10% | 1.54% | 1.39% | 2.55% | -1.67% | -1.79% | -0.06% | 0.95% | 7.69% | -3.49% |
| 2018 | 5.58% | -5.63% | -0.47% | 1.06% | -1.99% | -2.26% | 1.25% | 2.24% | 1.79% | -4.19% | -1.79% | 1.80% | -3.11% | -9.85% |
| 2017 | – | – | – | – | – | – | 0.22% | -1.70% | -4.36% | 3.75% | -0.24% | 1.54% | -0.98% | -5.99% |
Accounting Notes: The strategy was opened up to outside investors in July 2017. The first external managed account began trading July 19, 2017. The performance for July 2017 does not represent a full month. Furthermore, the actual trading results for July 2017 and going forward are pro forma and net of all trading costs to a 1% Management Fee and a 20% Incentive Fee paid quarterly. Separately Managed Account performance can be higher or lower than the below reported performance of the program depending upon several factors such as commission and fee levels, investment amount, duration, the actual prices received and government taxes (if applicable). The results are based on pro forma adjustments assuming the above stated fee structure. In reality, accounts may have different fee structures, higher or lower commission rates and can be traded with a higher or lower leverage which could result in significant different performance in an actual account.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.