O'Brien Investment Group LLC

Discretionary Global Macro Futures Program *QEP*


Monthly Performance (%)

Date Range: 05/17 - 11/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 -9.31 10.14 1.69 2.09 3.95 -1.21 0.04 -5.30 0.15 3.13 2.46   6.76 
2017 1.31 0.47 0.18 3.01 -1.48 0.15 -1.38  2.21 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The O'Brien Investment Group (OBIG) Discretionary Global Macro Futures Program, managed by Monica Fuentes, Ph.D. is a discretionary strategy that opportunistically seeks event-driven trades, thematic trades and trades based on valuations relative to the macro environment (relative value). The Portfolio Manager can express the trades across a wide range of financial and commodity futures markets. The portfolio will typically be concentrated in 10 to 20 different positions. Trades are held anywhere from 3 days to 8 months. Event driven trades are usually held for a shorter duration while relative value and thematic trades are held for a longer period. Capital usage is expected to be low at any given time with the average margin to equity in the 10% range .

Performance Statistics

Date Range: 05/17 - 11/18
  Program S&P 500 Altegris 40 
Total Return 9.12% 19.50% -2.33% 
Annualized Return 5.99% 11.91% -1.48% 
Annualized Std. Deviation 13.35% 9.53% 8.02% 
Correlation -0.64 -0.84 
Sharpe Ratio (rf=2.5%) 0.26 0.99 -0.50 
Worst Month -9.31% -6.84% -6.10% 
Date of Worst Month 01/2018 10/2018 02/2018 
Worst Drawdown -11.75% -6.84% -7.84% 
Date of Worst Drawdown 9/17 - 1/18 9/18 - 10/18 1/18 - 11/18 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 05/17 - 11/18

Year or YTD Program S&P 500 Altegris 40 
2018 6.76 5.11 -4.69 
2017 2.21 12.12 2.28 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 05/17 - 11/18
Date: 11/30/2018
Perf: $974.87 Date: 10/31/2018
Perf: $986.71 Date: 9/30/2018
Perf: $1,011.70 Date: 8/31/2018
Perf: $1,016.28 Date: 7/31/2018
Perf: $991.01 Date: 6/30/2018
Perf: $998.49 Date: 5/31/2018
Perf: $990.18 Date: 4/30/2018
Perf: $1,003.12 Date: 3/31/2018
Perf: $992.40 Date: 2/28/2018
Perf: $993.29 Date: 1/31/2018
Perf: $1,057.82 Date: 12/31/2017
Perf: $1,022.84 Date: 11/30/2017
Perf: $1,011.81 Date: 10/31/2017
Perf: $1,010.50 Date: 9/30/2017
Perf: $969.86 Date: 8/31/2017
Perf: $990.76 Date: 7/31/2017
Perf: $974.59 Date: 6/30/2017
Perf: $970.80 Date: 5/31/2017
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,178.42 Date: 10/31/2018
Perf: $1,154.87 Date: 9/30/2018
Perf: $1,239.66 Date: 8/31/2018
Perf: $1,232.63 Date: 7/31/2018
Perf: $1,193.72 Date: 6/30/2018
Perf: $1,150.90 Date: 5/31/2018
Perf: $1,143.81 Date: 4/30/2018
Perf: $1,116.89 Date: 3/31/2018
Perf: $1,112.67 Date: 2/28/2018
Perf: $1,141.66 Date: 1/31/2018
Perf: $1,185.41 Date: 12/31/2017
Perf: $1,121.16 Date: 11/30/2017
Perf: $1,108.86 Date: 10/31/2017
Perf: $1,075.83 Date: 9/30/2017
Perf: $1,051.33 Date: 8/31/2017
Perf: $1,030.11 Date: 7/31/2017
Perf: $1,026.93 Date: 6/30/2017
Perf: $1,006.20 Date: 5/31/2017
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,091.21 Date: 10/31/2018
Perf: $1,065.01 Date: 9/30/2018
Perf: $1,032.68 Date: 8/31/2018
Perf: $1,031.14 Date: 7/31/2018
Perf: $1,088.85 Date: 6/30/2018
Perf: $1,088.41 Date: 5/31/2018
Perf: $1,101.74 Date: 4/30/2018
Perf: $1,059.88 Date: 3/31/2018
Perf: $1,038.18 Date: 2/28/2018
Perf: $1,020.93 Date: 1/31/2018
Perf: $926.93 Date: 12/31/2017
Perf: $1,022.09 Date: 11/30/2017
Perf: $1,036.39 Date: 10/31/2017
Perf: $1,034.84 Date: 9/30/2017
Perf: $1,050.39 Date: 8/31/2017
Perf: $1,019.69 Date: 7/31/2017
Perf: $1,017.86 Date: 6/30/2017
Perf: $1,013.10 Date: 5/31/2017
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 05/17 - 11/18
Date: 11/30/2018
Return: 2.46 % Date: 10/31/2018
Return: 3.13 % Date: 9/30/2018
Return: 0.15 % Date: 8/31/2018
Return: -5.30 % Date: 7/31/2018
Return: 0.04 % Date: 6/30/2018
Return: -1.21 % Date: 5/31/2018
Return: 3.95 % Date: 4/30/2018
Return: 2.09 % Date: 3/31/2018
Return: 1.69 % Date: 2/28/2018
Return: 10.14 % Date: 1/31/2018
Return: -9.31 % Date: 12/31/2017
Return: -1.38 % Date: 11/30/2017
Return: 0.15 % Date: 10/31/2017
Return: -1.48 % Date: 9/30/2017
Return: 3.01 % Date: 8/31/2017
Return: 0.18 % Date: 7/31/2017
Return: 0.47 % Date: 6/30/2017
Return: 1.31 % Date: 5/31/2017
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 05/17 - 11/18
Return: -5.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: 2.00 %
Count: 3 Return: 10.00 %
Count: 1 Return: -9.00 %
Count: 1 Return: -1.00 %
Count: 3 Return: 3.00 %
Count: 2 Return: 1.00 %
Count: 1 Return: 0.00 %
Count: 6
Note: All performance data is since program inception.

Underwater Curve

Date Range: 05/17 - 11/18
Date: 11/30/2018
Drawdown: -0.96 % Date: 10/31/2018
Drawdown: -3.33 % Date: 9/30/2018
Drawdown: -6.27 % Date: 8/31/2018
Drawdown: -6.41 % Date: 7/31/2018
Drawdown: -1.17 % Date: 6/30/2018
Drawdown: -1.21 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: 0.00 % Date: 3/31/2018
Drawdown: -1.16 % Date: 2/28/2018
Drawdown: -2.80 % Date: 1/31/2018
Drawdown: -11.75 % Date: 12/31/2017
Drawdown: -2.69 % Date: 11/30/2017
Drawdown: -1.33 % Date: 10/31/2017
Drawdown: -1.48 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

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:  Dr. Monica Fuentes
Position:  Chief Investment Officer
Biography: 

Dr. Monica Fuentes is Chief Investment Officer of the Advisor and is responsible for portfolio management and trading for the Advisor as well as being portfolio manager for the O’Brien Investment Group Discretionary Global Macro Futures program and Global Macro strategy. She joined the Advisor in 2015 and has been involved in developing the O’Brien Investment Group Discretionary Global Macro Futures program and Global Macro strategy and related infrastructure. She was previously with Goldman Sachs for eight years in New York and London with their markets strategies team and on their global macro trading desk. She later joined London-based Comac Capital as portfolio manager for their $6.5 billion global macro fund. Dr. Fuentes received her PhD in economics from Columbia University.


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. Michael Johannes
Position:  Portfolio Manager
Biography: 

Dr. Michael Johannes, 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.


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
 Fundamental Analysis Yes 
 Macro-economic Yes 
 Discretionary Yes 
 Diversified Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Short Term Yes 
 Intra-Week Yes 
 Investment Terms & Information
 Managed Account Minimum: $2,000,000 
 Margin / Equity Ratio: 8% 
 Managed Account Availability: Open