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O'Brien Investment Group - Quantitative Global Macro Futures



Principal(s): Dr. Michael Johannes, Portfolio Manager
Strategy: Quantitative / Global Macro / Diversified
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Statistics & Program Information

Nov 2025 Return   -0.65% Worst Drawdown (2)    -17.45% Minimum Investment   $3,000,000
YTD Return: -12.66% Losing Streak (3):  -13.41% AUM (5):  $19,800,000
Annualized CROR(1)  4.28% Sharpe Ratio 4% RF ROR(4):  0.03 Calmar Ratio (6):  N/A
2) Annualized ACROR is based on compounding. Please see Footnotes for more information.
Trading Methodology
100% Systematic
 Style Sub-Categories
Absolute Return

Absolute Return 		Trading Style
100% Trend Following
Market Sector
100% Diversified
 Holding Period
10% Long Term
30% Medium Term
60% Short Term
 Geographic Sector

Contracts:
Futures
Options
Start Date   Jul-2017 Currency   US Dollar Management Fee    1.00%
Accepting New Accounts   Yes Min Investment    $3,000,000 Incentive Fee    0.00
NFA Member    Yes Fund Minimum    $0 Other Fees   None
NFA Number    0501431 Margin (7)   9.04% Avg Comm (8)   
Notional Funds    Yes Round Turns Per Million (10)    1,200 Max Comm (9)   
Starting Date:  Jul-2017 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $19,800,000
Open to US Investors:  Yes Annualized CROR:  3.6%
Minimum Fund Investment:  $0
Minimum Managed Account:  $3,000,000 Current Losing Streak:  -13.41 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio: 4% RF ROR  0.03
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  1.00% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Selling Fee:  0.00% FINRA Member:  No
Other Fees:  None Other Memberships:  None
Type of Fund:
 Domicile:
 Strategy:

Correlations:

Growth of $1,000 VAMI and Monthly Returns

Trading Description, Risk Strategy & Background

Trading Description

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.

Risk Strategy

N/A

Background

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

Pro-Forma Performance Adjusted for a 1% Management Fee and 20% Incentive Fee.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecRORMax DD
2025 1.09% -5.92% -2.87% 3.82% -5.11% -2.89% -2.32% -3.33% 4.12% 1.40% -0.65%   -12.47% -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%

Annual Performance

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Footnotes

1. The Annualized Compounded ROR ("Rate of Return") is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % the time-period. 3. Sharpe Ratio uses a 4% Risk Free ROR (Rate of Return) 4. Calmar Ratio Uses last 36 months of Data 5. The hypothetical growth of $1,000

++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

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.