O'Brien Investment Group LLC

Quantitative Global Macro Futures Program *QEP*


Monthly Performance (%)

Date Range: 06/17 - 06/22
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2022 1.99 3.80 8.78 2.89 -0.26 0.83 -3.85   14.57 
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  9.15 
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  3.66 
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  7.68 
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  -3.10 
2017 0.22 -1.70 -4.36 3.75 -0.24 1.54  -0.98 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The O’Brien Investment Group (OBIG) Quantitative Global Macro Program seeks to generate absolute returns from trading a systematic strategy in futures and options on futures. The strategy will execute trades in a diversified basket of 50+ financial and commodity futures markets including global stock indices, global interest rates, currencies, metals, energies, grains, softs, meats and bitcoin futures. The foundation of the strategy is 40 models focused on detecting trends and momentum. In late 2020, multi-time frame machine learning models were also added. Approximately 60% of the risk budget is dedicated to multi[1]time frame trend and breakout models. 40% of the risk budget is dedicated multi-time frame machine learning models. Integrated into the strategy is a series of covered options on futures models with a goal of smoothing out the monthly return stream. The option models will not sell naked short option positions, only covered options selling. The strategy’s risk budget is geared to a 15% volatility target.

Performance Statistics

Date Range: 06/17 - 06/22
  Program S&P 500 Coquest 40 
Total Return 39.29% 71.99% 33.84% 
Annualized Return 6.85% 11.26% 5.90% 
Annualized Std. Deviation 10.43% 16.67% 7.68% 
Correlation 0.05 0.67 
Sharpe Ratio (rf=2.5%) 0.42 0.53 0.44 
Worst Month -5.63% -12.35% -6.10% 
Date of Worst Month 02/2018 03/2020 02/2018 
Worst Drawdown -9.84% -19.95% -9.14% 
Date of Worst Drawdown 1/18 - 11/18 12/21 - 6/22 1/18 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 06/17 - 06/22
Year or YTD Program S&P 500 Coquest 40 
2022 14.57 -19.95 18.50 
2021 9.15 28.72 6.26 
2020 3.66 18.40 0.97 
2019 7.68 31.50 7.53 
2018 -3.10 -4.38 -4.29 
2017 -0.98 11.43 5.36 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 06/17 - 06/22
Date: 6/30/2022
Perf: $1,378.70 Date: 5/31/2022
Perf: $1,361.54 Date: 4/30/2022
Perf: $1,367.97 Date: 3/31/2022
Perf: $1,297.27 Date: 2/28/2022
Perf: $1,211.38 Date: 1/31/2022
Perf: $1,185.19 Date: 12/31/2021
Perf: $1,163.43 Date: 11/30/2021
Perf: $1,162.27 Date: 10/31/2021
Perf: $1,191.83 Date: 9/30/2021
Perf: $1,168.57 Date: 8/31/2021
Perf: $1,162.76 Date: 7/31/2021
Perf: $1,162.53 Date: 6/30/2021
Perf: $1,157.43 Date: 5/31/2021
Perf: $1,161.85 Date: 4/30/2021
Perf: $1,145.13 Date: 3/31/2021
Perf: $1,125.32 Date: 2/28/2021
Perf: $1,110.44 Date: 1/31/2021
Perf: $1,084.95 Date: 12/31/2020
Perf: $1,094.91 Date: 11/30/2020
Perf: $1,055.13 Date: 10/31/2020
Perf: $1,045.93 Date: 9/30/2020
Perf: $1,049.29 Date: 8/31/2020
Perf: $1,064.83 Date: 7/31/2020
Perf: $1,077.00 Date: 6/30/2020
Perf: $1,056.82 Date: 5/31/2020
Perf: $1,070.52 Date: 4/30/2020
Perf: $1,083.19 Date: 3/31/2020
Perf: $1,079.63 Date: 2/29/2020
Perf: $1,078.98 Date: 1/31/2020
Perf: $1,095.30 Date: 12/31/2019
Perf: $1,084.35 Date: 11/30/2019
Perf: $1,091.12 Date: 10/31/2019
Perf: $1,080.53 Date: 9/30/2019
Perf: $1,104.95 Date: 8/31/2019
Perf: $1,136.43 Date: 7/31/2019
Perf: $1,096.73 Date: 6/30/2019
Perf: $1,060.56 Date: 5/31/2019
Perf: $1,039.76 Date: 4/30/2019
Perf: $1,060.55 Date: 3/31/2019
Perf: $1,032.17 Date: 2/28/2019
Perf: $996.40 Date: 1/31/2019
Perf: $990.06 Date: 12/31/2018
Perf: $1,008.41 Date: 11/30/2018
Perf: $1,004.20 Date: 10/31/2018
Perf: $1,016.39 Date: 9/30/2018
Perf: $1,042.13 Date: 8/31/2018
Perf: $1,046.84 Date: 7/31/2018
Perf: $1,020.81 Date: 6/30/2018
Perf: $1,028.53 Date: 5/31/2018
Perf: $1,019.96 Date: 4/30/2018
Perf: $1,033.29 Date: 3/31/2018
Perf: $1,022.25 Date: 2/28/2018
Perf: $1,023.17 Date: 1/31/2018
Perf: $1,089.64 Date: 12/31/2017
Perf: $1,053.60 Date: 11/30/2017
Perf: $1,042.24 Date: 10/31/2017
Perf: $1,040.89 Date: 9/30/2017
Perf: $999.03 Date: 8/31/2017
Perf: $1,020.56 Date: 7/31/2017
Perf: $1,003.90 Date: 6/30/2017
Perf: $1,000.00 Date: 6/30/2022
Perf: $1,709.26 Date: 5/31/2022
Perf: $1,862.95 Date: 4/30/2022
Perf: $1,859.60 Date: 3/31/2022
Perf: $2,037.25 Date: 2/28/2022
Perf: $1,964.37 Date: 1/31/2022
Perf: $2,024.92 Date: 12/31/2021
Perf: $2,135.31 Date: 11/30/2021
Perf: $2,043.75 Date: 10/31/2021
Perf: $2,057.95 Date: 9/30/2021
Perf: $1,923.14 Date: 8/31/2021
Perf: $2,016.93 Date: 7/31/2021
Perf: $1,957.42 Date: 6/30/2021
Perf: $1,911.92 Date: 5/31/2021
Perf: $1,868.39 Date: 4/30/2021
Perf: $1,855.40 Date: 3/31/2021
Perf: $1,761.34 Date: 2/28/2021
Perf: $1,687.43 Date: 1/31/2021
Perf: $1,642.11 Date: 12/31/2020
Perf: $1,658.87 Date: 11/30/2020
Perf: $1,597.52 Date: 10/31/2020
Perf: $1,439.86 Date: 9/30/2020
Perf: $1,479.20 Date: 8/31/2020
Perf: $1,537.63 Date: 7/31/2020
Perf: $1,434.49 Date: 6/30/2020
Perf: $1,357.91 Date: 5/31/2020
Perf: $1,331.41 Date: 4/30/2020
Perf: $1,270.92 Date: 3/31/2020
Perf: $1,126.50 Date: 2/29/2020
Perf: $1,285.22 Date: 1/31/2020
Perf: $1,400.48 Date: 12/31/2019
Perf: $1,401.04 Date: 11/30/2019
Perf: $1,359.97 Date: 10/31/2019
Perf: $1,312.34 Date: 9/30/2019
Perf: $1,284.46 Date: 8/31/2019
Perf: $1,260.88 Date: 7/31/2019
Perf: $1,281.13 Date: 6/30/2019
Perf: $1,262.94 Date: 5/31/2019
Perf: $1,179.77 Date: 4/30/2019
Perf: $1,259.76 Date: 3/31/2019
Perf: $1,210.73 Date: 2/28/2019
Perf: $1,187.69 Date: 1/31/2019
Perf: $1,150.75 Date: 12/31/2018
Perf: $1,065.41 Date: 11/30/2018
Perf: $1,171.16 Date: 10/31/2018
Perf: $1,147.75 Date: 9/30/2018
Perf: $1,232.02 Date: 8/31/2018
Perf: $1,225.04 Date: 7/31/2018
Perf: $1,186.36 Date: 6/30/2018
Perf: $1,143.81 Date: 5/31/2018
Perf: $1,136.76 Date: 4/30/2018
Perf: $1,110.01 Date: 3/31/2018
Perf: $1,105.81 Date: 2/28/2018
Perf: $1,134.63 Date: 1/31/2018
Perf: $1,178.10 Date: 12/31/2017
Perf: $1,114.26 Date: 11/30/2017
Perf: $1,102.02 Date: 10/31/2017
Perf: $1,069.20 Date: 9/30/2017
Perf: $1,044.85 Date: 8/31/2017
Perf: $1,023.76 Date: 7/31/2017
Perf: $1,020.60 Date: 6/30/2017
Perf: $1,000.00 Date: 7/31/2022
Perf: $1,339.29 Date: 6/30/2022
Perf: $1,392.92 Date: 5/31/2022
Perf: $1,381.46 Date: 4/30/2022
Perf: $1,385.06 Date: 3/31/2022
Perf: $1,346.15 Date: 2/28/2022
Perf: $1,237.50 Date: 1/31/2022
Perf: $1,192.20 Date: 12/31/2021
Perf: $1,168.94 Date: 11/30/2021
Perf: $1,216.88 Date: 10/31/2021
Perf: $1,251.16 Date: 9/30/2021
Perf: $1,226.99 Date: 8/31/2021
Perf: $1,180.71 Date: 7/31/2021
Perf: $1,174.01 Date: 6/30/2021
Perf: $1,150.09 Date: 5/31/2021
Perf: $1,164.30 Date: 4/30/2021
Perf: $1,193.91 Date: 3/31/2021
Perf: $1,157.78 Date: 2/28/2021
Perf: $1,172.80 Date: 1/31/2021
Perf: $1,068.31 Date: 12/31/2020
Perf: $1,070.99 Date: 11/30/2020
Perf: $1,054.23 Date: 10/31/2020
Perf: $1,083.04 Date: 9/30/2020
Perf: $1,062.84 Date: 8/31/2020
Perf: $1,077.39 Date: 7/31/2020
Perf: $1,089.59 Date: 6/30/2020
Perf: $993.07 Date: 5/31/2020
Perf: $1,021.04 Date: 4/30/2020
Perf: $1,037.22 Date: 3/31/2020
Perf: $1,051.20 Date: 2/29/2020
Perf: $1,035.57 Date: 1/31/2020
Perf: $1,030.11 Date: 12/31/2019
Perf: $1,033.21 Date: 11/30/2019
Perf: $1,023.48 Date: 10/31/2019
Perf: $1,024.10 Date: 9/30/2019
Perf: $1,042.76 Date: 8/31/2019
Perf: $1,060.47 Date: 7/31/2019
Perf: $1,034.10 Date: 6/30/2019
Perf: $1,019.93 Date: 5/31/2019
Perf: $1,004.46 Date: 4/30/2019
Perf: $1,015.63 Date: 3/31/2019
Perf: $991.63 Date: 2/28/2019
Perf: $982.50 Date: 1/31/2019
Perf: $972.00 Date: 12/31/2018
Perf: $959.52 Date: 11/30/2018
Perf: $942.56 Date: 10/31/2018
Perf: $959.74 Date: 9/30/2018
Perf: $1,001.71 Date: 8/31/2018
Perf: $984.09 Date: 7/31/2018
Perf: $962.53 Date: 6/30/2018
Perf: $950.65 Date: 5/31/2018
Perf: $972.63 Date: 4/30/2018
Perf: $992.38 Date: 3/31/2018
Perf: $981.97 Date: 2/28/2018
Perf: $986.61 Date: 1/31/2018
Perf: $1,045.47 Date: 12/31/2017
Perf: $990.21 Date: 11/30/2017
Perf: $975.20 Date: 10/31/2017
Perf: $977.54 Date: 9/30/2017
Perf: $942.21 Date: 8/31/2017
Perf: $985.16 Date: 7/31/2017
Perf: $1,002.20 Date: 6/30/2017
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 06/17 - 06/22
Date: 7/31/2022
Return: -3.85 % Date: 6/30/2022
Return: 0.83 % Date: 5/31/2022
Return: -0.26 % Date: 4/30/2022
Return: 2.89 % Date: 3/31/2022
Return: 8.78 % Date: 2/28/2022
Return: 3.80 % Date: 1/31/2022
Return: 1.99 % Date: 12/31/2021
Return: -3.94 % Date: 11/30/2021
Return: -2.74 % Date: 10/31/2021
Return: 1.97 % Date: 9/30/2021
Return: 3.92 % Date: 8/31/2021
Return: 0.57 % Date: 7/31/2021
Return: 2.08 % Date: 6/30/2021
Return: -1.22 % Date: 5/31/2021
Return: -2.48 % Date: 4/30/2021
Return: 3.12 % Date: 3/31/2021
Return: -1.28 % Date: 2/28/2021
Return: 9.78 % Date: 1/31/2021
Return: -0.25 % Date: 12/31/2020
Return: 1.59 % Date: 11/30/2020
Return: -2.66 % Date: 10/31/2020
Return: 1.90 % Date: 9/30/2020
Return: -1.35 % Date: 8/31/2020
Return: -1.12 % Date: 7/31/2020
Return: 9.72 % Date: 6/30/2020
Return: -2.74 % Date: 5/31/2020
Return: -1.56 % Date: 4/30/2020
Return: -1.33 % Date: 3/31/2020
Return: 1.51 % Date: 2/29/2020
Return: 0.53 % Date: 1/31/2020
Return: -0.30 % Date: 12/31/2019
Return: 0.95 % Date: 11/30/2019
Return: -0.06 % Date: 10/31/2019
Return: -1.79 % Date: 9/30/2019
Return: -1.67 % Date: 8/31/2019
Return: 2.55 % Date: 7/31/2019
Return: 1.39 % Date: 6/30/2019
Return: 1.54 % Date: 5/31/2019
Return: -1.10 % Date: 4/30/2019
Return: 2.42 % Date: 3/31/2019
Return: 0.93 % Date: 2/28/2019
Return: 1.08 % Date: 1/31/2019
Return: 1.30 % Date: 12/31/2018
Return: 1.80 % Date: 11/30/2018
Return: -1.79 % Date: 10/31/2018
Return: -4.19 % Date: 9/30/2018
Return: 1.79 % Date: 8/31/2018
Return: 2.24 % Date: 7/31/2018
Return: 1.25 % Date: 6/30/2018
Return: -2.26 % Date: 5/31/2018
Return: -1.99 % Date: 4/30/2018
Return: 1.06 % Date: 3/31/2018
Return: -0.47 % Date: 2/28/2018
Return: -5.63 % Date: 1/31/2018
Return: 5.58 % Date: 12/31/2017
Return: 1.54 % Date: 11/30/2017
Return: -0.24 % Date: 10/31/2017
Return: 3.75 % Date: 9/30/2017
Return: -4.36 % Date: 8/31/2017
Return: -1.70 % Date: 7/31/2017
Return: 0.22 % Date: 6/30/2017
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 06/17 - 06/22
Return: 9.00 %
Count: 1 Return: 10.00 %
Count: 2 Return: -3.00 %
Count: 3 Return: 3.00 %
Count: 3 Return: -1.00 %
Count: 6 Return: 1.00 %
Count: 10 Return: -6.00 %
Count: 1 Return: 6.00 %
Count: 1 Return: 2.00 %
Count: 12 Return: 4.00 %
Count: 3 Return: -4.00 %
Count: 4 Return: -2.00 %
Count: 8 Return: 0.00 %
Count: 8

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 06/17 - 06/22
Date: 7/31/2022
Drawdown: -3.85 % Date: 6/30/2022
Drawdown: 0.00 % Date: 5/31/2022
Drawdown: -0.26 % Date: 4/30/2022
Drawdown: 0.00 % Date: 3/31/2022
Drawdown: 0.00 % Date: 2/28/2022
Drawdown: -1.09 % Date: 1/31/2022
Drawdown: -4.71 % Date: 12/31/2021
Drawdown: -6.57 % Date: 11/30/2021
Drawdown: -2.74 % Date: 10/31/2021
Drawdown: 0.00 % Date: 9/30/2021
Drawdown: 0.00 % Date: 8/31/2021
Drawdown: -1.11 % Date: 7/31/2021
Drawdown: -1.67 % Date: 6/30/2021
Drawdown: -3.67 % Date: 5/31/2021
Drawdown: -2.48 % Date: 4/30/2021
Drawdown: 0.00 % Date: 3/31/2021
Drawdown: -1.28 % Date: 2/28/2021
Drawdown: 0.00 % Date: 1/31/2021
Drawdown: -1.95 % Date: 12/31/2020
Drawdown: -1.71 % Date: 11/30/2020
Drawdown: -3.25 % Date: 10/31/2020
Drawdown: -0.60 % Date: 9/30/2020
Drawdown: -2.45 % Date: 8/31/2020
Drawdown: -1.12 % Date: 7/31/2020
Drawdown: 0.00 % Date: 6/30/2020
Drawdown: -6.36 % Date: 5/31/2020
Drawdown: -3.72 % Date: 4/30/2020
Drawdown: -2.19 % Date: 3/31/2020
Drawdown: -0.87 % Date: 2/29/2020
Drawdown: -2.35 % Date: 1/31/2020
Drawdown: -2.86 % Date: 12/31/2019
Drawdown: -2.57 % Date: 11/30/2019
Drawdown: -3.49 % Date: 10/31/2019
Drawdown: -3.43 % Date: 9/30/2019
Drawdown: -1.67 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: -1.09 % Date: 6/30/2019
Drawdown: -2.44 % Date: 5/31/2019
Drawdown: -3.92 % Date: 4/30/2019
Drawdown: -2.85 % Date: 3/31/2019
Drawdown: -5.15 % Date: 2/28/2019
Drawdown: -6.02 % Date: 1/31/2019
Drawdown: -7.03 % Date: 12/31/2018
Drawdown: -8.22 % Date: 11/30/2018
Drawdown: -9.84 % Date: 10/31/2018
Drawdown: -8.20 % Date: 9/30/2018
Drawdown: -4.19 % Date: 8/31/2018
Drawdown: -5.87 % Date: 7/31/2018
Drawdown: -7.93 % Date: 6/30/2018
Drawdown: -9.07 % Date: 5/31/2018
Drawdown: -6.97 % Date: 4/30/2018
Drawdown: -5.08 % Date: 3/31/2018
Drawdown: -6.07 % Date: 2/28/2018
Drawdown: -5.63 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: -1.20 % Date: 11/30/2017
Drawdown: -2.69 % Date: 10/31/2017
Drawdown: -2.46 % Date: 9/30/2017
Drawdown: -5.99 % Date: 8/31/2017
Drawdown: -1.70 % Date: 7/31/2017
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  O'Brien Investment Group LLC
Address: 191 N. Wacker Dr
City: Chicago
State: IL
Zip: 60606
Country: United States

Key People

Name:  John W. O'Brien Jr
Position:  Chief Executive Officer
Biography: 

John William O'Brien Jr. is the Chief Executive Officer of the Advisor and is responsible for operational and trading oversight, risk management, and day-to-day management of the Advisor. Previously, Mr. O’Brien was employed as a floor broker and trader with R.J. O’Brien & Associates from June 2003 to March 2008. Mr. O’Brien was an investment analyst at O’Brien International, LLC (the former parent company of Clarke Capital Management, Inc.), monitoring global macro- economic themes, performing due diligence on hedge funds and CTAs and investing the firm’s capital from March 2008 until May 2012. In May 2012, Mr. O’Brien joined Clarke Capital Management, Inc. as Chief Executive Officer. Mr. O’Brien also serves as managing partner in WAG Holdings, LLC, a real estate investment group since December, 2010. On June 25, 2012, Mr. O’Brien was approved as a trading principal of Clarke Capital Management, Inc. an affiliated firm of the O’Brien Investment Group. Mr. O’Brien graduated from DePaul University in March 2008 with a Bachelor’s degree in Economics.


Name:  Dr. Yiqun (Ethan) Mou
Position:  Director
Biography: 

Yiqun (Ethan) Mou, Ph.D. is the Director of Research at OBIG. Dr. Mou has been with 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 America 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 Cities, and his BA in Math from Tsinghua University.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Trend Following Yes 
 Macro-economic Yes 
 Systematic Yes 
 Diversified Yes 
 Quantitative Analysis Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $3,000,000 
 Margin / Equity Ratio:  
 Managed Account Availability: Open 
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