Altegris Clearing Solutions O'Brien Investment Group LLC Discretionary Global Macro Futures Program *QEP*
Monthly Performance (%)
Date Range: 05/17 - 11/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 1.31 0.47 0.18 3.01 -1.48 0.15 3.64
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 - 11/17
  Program SP500 TR Altegris 40
Total Return 3.64% 12.45% 1.37%
Annualized Return 3.64% 12.45% 1.37%
Annualized Std. Deviation 4.70% 3.13% 7.54%
Correlation -0.14 -0.86
Sharpe Ratio (rf=2.5%) 1.05 6.32 -0.02
Worst Month -1.48% 0.31% -2.92%
Date of Worst Month 10/2017 08/2017 06/2017
Worst Drawdown -1.48% 0.00% -3.01%
Date of Worst Drawdown 9/17 - 10/17 11/17 - 11/17 5/17 - 9/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 05/17 - 11/17
Year or YTD Program SP500 TR Altegris 40
2017 3.64 10.89 1.18
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 05/17 - 11/17
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: 11/30/2017
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: 11/30/2017
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 - 11/17
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 - 11/17
Return: -1.00 %
Count: 1 Return: 3.00 %
Count: 1 Return: 1.00 %
Count: 1 Return: 0.00 %
Count: 4
Note: All performance data is since program inception.

Underwater Curve
Date Range: 05/17 - 11/17
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.
Notes to Performance

Manager Information
Manager Name:  O'Brien Investment Group LLC
Address: 5215 Old Orchard Rd, Suite 630
City: Skokie
State: IL
Zip: 60077
Country: United States
Key People
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. 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.


Additional Information

The Program Performance information presented in this and other areas of the www.managedfutures.com website was prepared by Altegris Clearing Solutions, LLC, an affiliate within the Altegris Group of Companies, based upon information provided by each respective manager of commodity futures and foreign currency trading programs tracked by Altegris Clearing Solutions and its affiliates. The Program Performance information does not contain opinion or analysis of Altegris Clearing Solutions or any of its affiliates, and the completeness and accuracy of performance information reported to Altegris Clearing Solutions cannot in all cases be independently verified. See “Additional Information” at the end of this page for further details regarding the presentation of performance. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.