Summary

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