Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Dr. Michael Johannes, Portfolio Manager
Strategy: Quantitative / Global Macro / Diversified
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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, LLC (OBIG) is registered with the CFTC as a Commodity Trading Advisor. OBIG is also a member of the NFA. OBIG has offices in New York and Chicago.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.09% | -5.92% | -2.87% | -7.63% | -8.62% | |||||||||
| 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% | ||||||
| Years | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 |
|---|---|---|---|---|---|---|
| ROR | -0.98% | -3.11% | 7.69% | 3.64% | 9.12% | 10.73% |
| Max DD | -5.99% | -9.85% | -3.49% | -5.53% | -6.58% | -8.23% |
| Years | 2023 | 2024 | 2025 YTD |
|---|---|---|---|
| ROR | -0.38% | 19.38% | -7.63% |
| Max DD | -9.22% | -6.99% | -8.62% |
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.