O'Brien Investment Group : Quantitative Global Macro Futures Program

Year-to-Date
6.71%
Oct Performance
-1.81%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.76%
Sharpe (RFR=1%)
0.04
CAROR
1.02%
Assets
$ 16.3M
Worst DD
-9.84
S&P Correlation
0.39

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2017
Quantitative Global Macro Futures Program -1.81 -0.99 6.71 6.68 - - - 2.39
S&P 500 2.04 1.92 21.16 12.01 - - - 21.90
+/- S&P 500 -3.85 -2.91 -14.45 -5.32 - - - -19.51

Strategy Description

Summary

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.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
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
1200 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Summary

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 option positions. Only covered positions or long puts / long call positions are considered.

   

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
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
-9.84 10 9 1/1/2018 11/1/2018
-5.99 2 4 7/1/2017 9/1/2017
-3.45 2 - 8/1/2019 10/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
7.75 5 12/1/2018 4/1/2019
7.21 2 12/1/2017 1/1/2018
5.58 3 6/1/2019 8/1/2019
5.37 3 7/1/2018 9/1/2018
3.75 1 10/1/2017 10/1/2017
1.06 1 4/1/2018 4/1/2018
0.22 1 7/1/2017 7/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.07 2 2/1/2018 3/1/2018
-5.99 2 8/1/2017 9/1/2017
-5.90 2 10/1/2018 11/1/2018
-4.21 2 5/1/2018 6/1/2018
-3.45 2 9/1/2019 10/1/2019
-1.10 1 5/1/2019 5/1/2019
-0.24 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable57.1453.8560.8752.9463.64
Average Period Return0.120.591.401.262.14
Average Gain1.903.423.795.134.57
Average Loss-2.27-2.71-2.33-3.09-2.10
Best Period5.586.957.947.767.49
Worst Period-5.63-5.78-7.93-7.03-4.05
Standard Deviation2.533.613.984.833.76
Gain Standard Deviation1.271.882.642.501.78
Loss Standard Deviation1.631.832.562.311.73
Sharpe Ratio (1%)0.010.090.230.050.17
Average Gain / Average Loss0.841.261.631.662.17
Profit / Loss Ratio1.121.472.531.873.80
Downside Deviation (10%)2.032.933.455.886.52
Downside Deviation (5%)1.852.332.333.172.36
Downside Deviation (0%)1.802.192.102.591.56
Sortino Ratio (10%)-0.14-0.22-0.31-0.64-0.84
Sortino Ratio (5%)0.020.150.390.080.27
Sortino Ratio (0%)0.060.270.670.491.38

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.