O'Brien Investment Group : O'Brien Investment Group Discretionary Global Macro Futures Program

Year-to-Date
5.05%
Sep Performance
3.01%
Min Investment
$ 2,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
4.41%
Sharpe (RFR=1%)
3.16
CAROR
-
Assets
$ 11.0M
Worst DD
N/A
S&P Correlation
-0.14

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Sep Qtr YTD 1yr 3yr 5yr 10yr Since
6/2017
O'Brien Investment Group Discretionary Global Macro Futures Program 3.01 3.68 5.05 - - - - 5.05
S&P 500 1.93 3.96 12.36 - - - - 1.99
+/- S&P 500 1.08 -0.28 -7.31 - - - - 3.06

Strategy Description

Summary

The O'Brien Investment Group (OBIG) Discretionary Global Macro Futures Program, managed by Monica Fuentes, Ph.D.  is a discretionary strategy that opportunistically seeks event-driven trades, thematic trades and trades based on valuations relative to the macro environment (relative... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
3.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
770 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
3.97%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
60.00%
1-30 Days
30.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Stock Indices
17.00%
Interest Rates
15.00%
Energy
12.00%
Precious Metals
8.00%
Grains
7.00%
Softs
7.00%
Livestock
5.00%
Industrial Metals
2.00%
VIX
2.00%
Composition Pie Chart

Summary

The O'Brien Investment Group (OBIG) Discretionary Global Macro Futures Program, managed by Monica Fuentes, Ph.D.  is a discretionary strategy that opportunistically seeks event-driven trades, thematic trades and trades based on valuations relative to the macro environment (relative value). The Portfolio Manager can express the trades across a wide range of financial and commodity futures markets. The portfolio will typically be concentrated in 10 to 20 different positions. Trades are held anywhere from 3 days to 8 months. Event driven trades are usually held for a shorter duration while relative value and thematic trades are held for a longer period. Capital usage is expected to be low at any given time with the average margin to equity in the 10% range.

Risk Management

The program expects 10 to 20 positions with a targeted margin-to-equity of 10%. The first step in risk management is conservative position sizing. VaR is monitored daily and notional exposure at the position level, sector level and overall portfolio level. The PM is responsible for managing the portfolio within the predetermined risk guidelines. John W. O'Brien, Jr. has the ultimate authority of all of the OBIG portfolios and can reduce exposure when risk levels are exceeded.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Compound RoR:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Consecutive Gains

Run-up Length (Mos.) Start End
5.05 4 6/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month
Number of Periods4.00
Percent Profitable100.00
Average Period Return1.25
Average Gain1.25
Average Loss
Best Period3.01
Worst Period0.18
Standard Deviation1.27
Gain Standard Deviation1.27
Loss Standard Deviation
Sharpe Ratio (1%)0.91
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)0.11
Downside Deviation (5%)
Downside Deviation (0%)
Sortino Ratio (10%)7.37
Sortino Ratio (5%)
Sortino Ratio (0%)

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.