Research Manager

Berry W. Cox

**** ********** ****, ***** *** Cell 203-***-****

Stamford, CT 06901 Office 203-***-****

Email: *********@*****.***

SUMMARY

Senior research professional with broad and intensive experience in quantitative equity research. Expertise in building and deploying systematic trading strategies. Designed and programmed all aspects of alpha capture systems, from researching and detecting pricing anomalies, to building the infrastructure that captures them in real-time, to generating the resulting trades in a production environment. Developed state-of-the-art back-testing and portfolio analytic systems. Currently researching and implementing systematic equity strategies for a market neutral hedge fund. PROFESSIONAL EXPERIENCE

Abacus Analytics, Stamford CT 2001- Present

Founder and President

• Developed and deployed an innovative investment process for a market neutral hedge fund, Stock selection is based on dozens of stand-alone event driven models. The models are medium frequency and opportunistic, with each one targeting a specific pricing pattern or anomaly. With over 20 models in production, the fund can simultaneously exploit a variety of investment strategies from relative value, to statistical arbitrage, to return regularities around corporate actions. Many of these alpha generators are well-documented; others are proprietary.

• Constructed and marketed a comprehensive back-testing platform for quantitative equity strategies and systematic trading systems. This system attributes portfolio performance and risk across several dimensions and risk factors. The system also uses a double entry accounting framework to investigate the performance impact of different hedging strategies and operational parameters, including margin, transaction costs, position exit strategies, rebalancing thresholds, portfolio sizes, and rebalancing frequencies.

• Designed and marketed analyst evaluation systems for 10+ global securities firms and buy-side institutions. Identified and measured several dimensions of stock selection ability, allowing research managers to customize the criteria on which their analysts were evaluated.

• Developed methodologies to measure the profitability, frequency, and duration of alpha-generating signals. Determined optimal trading rules based on the statistical properties of the signals.

• Built products to measure portfolio performance across several dimensions, including profitability, breadth and reliability. Implemented performance attribution programs that trace portfolio performance to bullish stock selection, bearish stock selection, and sector rotation. UBS Investment Bank, New York, NY Jan 2010 – Sept 2011 Managing Director - Head of U.S. Quantitative Research

• Designed and tested trading strategies for the firm’s proprietary trading desks. Developed an extensive set of trading signals that combined earnings release data, technical analysis, and information from the firm’s industry analysts. These strategies integrated individual stock attributes with regime descriptors like volatility levels and market sentiment to enhance signal reliability.

• Built customized theme portfolios for the swaps and structured products desks. Designed these portfolios as pure play baskets on macro themes such as economic slowdowns, economic accelerations, and oil price shocks. Stock selection was based on correlations between stock returns and unexpected changes (surprises) in macroeconomic indicators.

• Designed, coded, and deployed a comprehensive research infrastructure that integrated the team’s data collection, data cleaning, indicator calculation, factor analytics, and portfolio tracking/attribution. The system was staffed around the clock, providing analytics, screens and trading signals for desks and clients in Asia, Europe and the Americas.

Berry W. Cox

• Managed the U.S. Quantitative Research Group. Developed the group’s client relationships, executed customized projects, wrote and presented the team’s research publications, built the group’s analytical infrastructure, and managed the personnel. Credit Suisse First Boston (CSFB), New York NY 1996 - 2001 Donaldson, Lufkin & Jenrette (DLJ)

Vice President - Director of Quantitative Equity Research

• Created an extensive library of equity factors that drew from the academic literature, our own proprietary research, and technical trading patterns. Designed comprehensive set of analytics to determine the value of these factors for alpha generation and/or risk measurement.

• Developed methodology for evaluating the quality of factor tilts in equity portfolios. This analysis went beyond standard performance attribution and addressed important but underappreciated is- sues of style investing such as the breadth and distribution of factor tilts within portfolios.

• Measured post-trade transaction costs for program trading clients and decomposed these costs using an implementation shortfall framework. Developed programs to recognize a program trade’s footprint within tick-by-tick data and distinguish between the trade’s impact and trend costs.

• Led and managed the quantitative research team at DLJ/CSFB. Introduced DLJ’s Quantitative Equity Review, a monthly publication that analyzed investment styles and recommended stocks based on models of return regularities. Institutional Investor ranked the team 5th among all sell-side quantitative analysts in 2001.

Salomon Brothers, New York NY 1992 - 1996

Vice President - Derivatives Research / Equity Portfolio Analysis

• Developed models for forecasting upside and downside earnings surprises. These models enjoyed a 60-70% hit rate and were used successfully for several years after my departure from Salomon.

• Monitored option volatility trends and highlighted derivative trading opportunities for Salomon’s clients worldwide. Recommendations exploited mispriced calendar spreads, spikes and drops in option volatilities, and unsustainable spreads between option implied index and individual stock volatilities (dispersion trades).

PanAgora Asset Management, Boston MA 1988 - 1991

Manager for Research and Product Development

• Created and implemented an econometric model of the U.S. capital markets. Outputs from this model dictated the weights in the firm’s flagship U.S. Asset Allocation product.

• Specified, estimated and deployed a global tactical asset allocation strategy that determined optimal allocations across the equity, bond and money markets of 19 EAFE countries. This project combined multi-country financial models with Markowitz optimization to produce optimal portfolios. EDUCATION

The Wharton School - Master of Business Administration (1987). University of Virginia - B.A. degrees in Economics and International Relation Graduated Phi Beta Kappa and Magna Cum Laude (1983). Page 2

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