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OBIG QUANTITATIVE GLOBAL

MACRO FUTURES FUND, LP

Strategy Overview

The O’Brien Investment Group (OBIG) Quantitative Global Macro 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, 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-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. 

 

Fund Details

Fund Inception:September 2017

CEO: John O'Brien, Jr., CEO

Portfolio Manager: Ethan Mou Ph.D.

Memberships: National Futures Association (NFA)

Registrations: CFTC

RT/Million: 1300 RT / Million

Fund Administrator:  NAV Consulting

Investment Terms

Minimum Investment: $250,000 

Incentive Fee: 10%

Management Fee: 1%

Fund Liquidity: Monthly with 15-day notice

Investor Qualification: QEP

Quantitative Global Macro Investment Committee

John O’Brien, Jr – CEO

Michael Stendler – Managing Director

Dr. Yiqun (Ethan) Mou – Portfolio Manager

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.

Manager Bios

John W. O’Brien, Jr is the CEO of OBIG and serves on the investment Committee of the OBIG Quantitative Global Macro Fund, LP. He has been the CEO of the O’Brien Investment Group since the firm’s inception (2016). He is responsible for operational and trading oversight, risk management, and day-to-day management of the Advisor. Previously, Mr. O’Brien was a floor broker and trader with RJO from 2003 to 2008. From 2008 to 2012, he was an investment analyst at O’Brien International. From 2012 to 2019, he was the CEO of Clarke Capital Management (a prior affiliated company of OBIG). Mr. O’Brien graduated from DePaul University in March 2008, with a Bachelor’s Degree in Economics. 

Michael G. Stendler, Managing Director and Investment Committee Member of OBIG Quantitative Global Macro Fund, LP. He has been with OBIG since the firm was launch in 2016. His experience working in managed futures / global macro started 2003. He has been in the investment industry for 38 years. Prior to 2003, he worked for a $4 billion small cap value investment management firm and as VP of mutual funds for a brokerage prior to that. Mike graduated from the Concordia University, Wisconsin in 1983 with a degree in Finance.  

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Dr. Yiqun (Ethan) Mou, Portfolio Manager since 2021 and Director of Research for Quantitative Trading since the inception of OBIG (2016). He had served in a similar capacity for Clarke Capital Management from 2013 to 2016. From 2011 to 2013, Dr. Mou worked at BAML in Hong Kong as FX and Rate Strategist. Dr. Mou received his Ph.D. in Finance from Columbia University, MS degree in Statistics from University of Minnesota, and his BA in Math from Tsinghua University

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 capability to exit a position during a period of high volatility.