The O’Brien Investment Group (OBIG) Quantitative Global Fund, LP 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 and meats. The foundation of the strategy are quantitative models focused on detecting intermediate and long-term trends as well as short term momentum models. In 2020, multi-time frame machine learning models were also added. Trend following has historically generated “crisis alpha” during times of stress in the markets. Equally important, the strategy also incorporates a series of covered options on futures models with a goal of smoothing out the return stream. There are also models looking to take a long option position into events and when underlying futures positions are overbought or oversold and when implied volatility levels are attractive. The option models will not sell naked short option positions. Only covered options positions, long puts or long call positions will be considered.
Fund Inception: September 2017
Portfolio Manager: Ethan Mou, Ph.D
Memberships: National Futures Association (NFA)
Fund Administrator: NAV Consulting
Minimum Investment: $250,000
Incentive Fee: 10%
Management Fee: 1%
Virtual currency derivatives may experience significant price volatility and the initial margin for virtual currency derivatives may be set as a percentage of the value of a particular contract, which means that margin requirements for long positions can increase if the price of the contract rises. In addition, some futures commission merchants may pose restrictions on customer trading activity in virtual currency derivatives, such as requiring additional margin, imposing position limits, prohibiting naked shorting or prohibiting give-in transactions. The rules of certain designated contract markets impose trading halts that may restrict a market participant's ability to exit a position during a period of high volatility.
Portfolio Manager and Trader Bios
Dr. Yiqun (Ethan) Mou, Portfolio Manager has been at OBIG since 2015. Before assuming the role of Portfolio Manager, Dr. Mou was Director of Research at OBIG worked in a similar capacity for Clarke Capital (a prior affiliated company of OBIG) since 2013.He 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 American 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.
Quantitative Global Macro Investment Committee
John O’Brien, Jr – CEO
Michael Stendler – Managing Director
Dr. Yiqun (Ethan) Mou – Portfolio Manager