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

Year-to-Date
1.41%
Jun Performance
-11.20%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
25.92%
Sharpe (RFR=1%)
0.73
CAROR
-
Assets
$ 900k
Worst DD
-13.14
S&P Correlation
-0.25

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
9/2019
Pecus Program L/S Bitcoin Trading Program -11.20 -11.20 -1.41 15.20 - - - 15.20
S&P 500 1.84 19.95 -4.04 5.39 - - - 17.59
+/- S&P 500 -13.04 -31.15 2.63 9.81 - - - -2.39

Strategy Description

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... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission
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 3800 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 75.00%
Intraday 25.00%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Composition

Other
100.00%
Composition Pie Chart

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.

   

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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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

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-13.14 2 - 4/1/2020 6/1/2020
-1.90 2 1 12/1/2019 2/1/2020
-1.29 1 2 9/1/2019 10/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
15.70 2 3/1/2020 4/1/2020
15.28 1 9/1/2019 9/1/2019
2.69 2 11/1/2019 12/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.14 2 5/1/2020 6/1/2020
-1.90 2 1/1/2020 2/1/2020
-1.29 1 10/1/2019 10/1/2019
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable50.0087.50
Average Period Return1.675.63
Average Gain6.667.92
Average Loss-3.32-10.43
Best Period15.2814.52
Worst Period-11.20-10.43
Standard Deviation7.488.81
Gain Standard Deviation6.646.45
Loss Standard Deviation4.44
Sharpe Ratio (1%)0.210.61
Average Gain / Average Loss2.010.76
Profit / Loss Ratio2.015.32
Downside Deviation (10%)3.854.13
Downside Deviation (5%)3.693.77
Downside Deviation (0%)3.663.69
Sortino Ratio (10%)0.331.07
Sortino Ratio (5%)0.431.43
Sortino Ratio (0%)0.461.53

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.