O'Brien Investment Group : Pecus Program L/S Bitcoin Trading Program

Summary

OBIG began trading an external account in September 2019. Although the external client was a non-employee, the account was affiliated with OBIG as it was an extended family member of the PM. The trading level of that account was $200,000 in 2019. That same client opened a second account to begin trading in January 2020 with an additional $200,000 for a total of $400,000 of committed capital as of April 1, 2020. The performance listed above is actual trading results of the previously mentioned combined accounts net of commissions and net of a pro forma fee of 1% annual management and 25% performance fee.

Investment Strategy

The trading strategy for the Pecus program is approximately 50% discretionary and 50% systematic. The program will initially trade CME traded Bitcoin futures and options on futures of Bitcoin as additional liquidity develops. As other Bitcoin exchanges develop and if the CME begins trading other cryptocurrencies, the traders may consider those as well. Both short and long positions in Bitcoin will be equally considered. Traditional short, intermediate and long-term trend and momentum indicators will be used. Order flow and delta divergences from other major crypto venues and exchanges is a key component of the discretionary trading. The program will also incorporate global macro fundamentals and significant global macro events that the traders believe will have an impact to the price of Bitcoin. The holding period of each trade may last from 1 day to a couple weeks or longer if a significant trend develops. Lastly, it’s anticipated that the average margin to equity of the program will be greater than 50%. The unit size will be $500,000 and maximum position sizing, long or short, is 10 Bitcoin futures contract per unit.

Risk Management

Every position will have a working stop order in place. The max. number of bitcoin contracts per $500,000 unit will be 10.