O’Brien Investment Group LLC – Discretionary Global Macro Futures Program
Discretionary Global Macro Futures Program
Methodology: Discretionary
Strategy: Fundamental / Macro
Sub-Strategy: N/A
Market Focus: Diversified
Strategy Description
The O’Brien Investment Group Discretionary Global Macro Futures Program trades a diversified set of markets across all asset classes with a bias towards currencies and commodities. The manager uses fundamental macro analysis to identify major market themes, then looks to profit from potential events that display an asymmetric risk/return profile. Typically the portfolio will be comprised of 15-25 positions, representing approximately 5-6 macro themes. Trade duration for the program averages about 6-8 weeks, although positions representing long term themes may be held for over a year.
Risk Management
Risk is managed discretionarily, with positions sized relative to the perceived ratio between downside risks versus upside potential. While the program does not utilize stop losses, the manager attempts to size positions so that losses from individual trades would not exceed 5% under most adverse scenarios.
General Information
Management Fee: 0.00% Typical Trade Duration: Days to Weeks
Performance Fee: 25.00% Round Turns per Million: 400
Manager Assets: $57,800,000 Typical Margin‐to‐Equity: 6-12%
Strategy Assets: $15,600,000 Managed Account Minimum: $2,000,000
Performance Statistics
Date Range: 06/17 – 09/19 Maximum Drawdown: -12.15%
Annualized ROR: 3.25% Sharpe Ratio (0% RFR): 0.27
Standard Deviation: 12.00% Correlation to S&P 500: -0.21
Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.
Coquest Strategy Summary · O’Brien Investment Group LLC
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
