QUANTITATIVE GLOBAL
MACRO PROGRAM
Strategy Overview
The O'Brien Investment Group (OBIG) Quantitative Global Macro Futures seeks to generate absolute returns from trading an integrated and systematic strategy in futures and options on futures. The strategy will execute trades in a diversified basket of 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. 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.
Program Details
Program Inception: Began trading July 19, 2017
Portfolio Manager: Michael Johannes, Ph.D.
Senior Quantitative Analyst: Ethan Mou Ph.D.
Strategy AUM: $17.8 Million
Memberships: National Futures Association (NFA) and MFA
Registrations: CFTC
Total AUM of Firm: $31 Million
RT/Million: 1300 RT / Million
M/E: 5.54%
Investment Terms
Minimum Investment: $3 Million minimum trading level for a managed account
Incentive Fee: 20%
Management Fee: 1%
Program Liquidity: Daily
Strategy available in LP: Yes - $250,000 minimum (QP Level Investor Required)
Additional Details
Manager Bios
Michael Johannes, Ph.D., Portfolio Manager has served as the Director of Fundamental and Quantitative Research at OBIG since 2015 and as PM of the Quantitative Global Macro Futures Program since July 2017 (since inception). He has served in a similar capacity for Clarke Capital Management (an affiliated company) since 2012. Dr. Johannes con-currently serves as a Professor of Finance and Economics at Columbia University’s Graduate School of Business. He has been at Columbia since receiving his Ph.D. in Economics from the University of Chicago in 2000.
Yiqun (Ethan) Mou, Ph.D. has been a Senior Quantitative Analyst at 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.