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Jason Li

*** ******* ***, *********, ** *****, 201-***-****, ad0knf@r.postjobfree.com

SUMMARY

20+ years of full-cycle quantitative equity research experience, which includes developing infrastructure systems of financial data and evaluation metrics, designing & back-testing strategies, constructing models and portfolios, decomposing asset risk, analyzing market sentiment & momentum, and servicing clients.

Solid knowledge in statistics, finance and portfolio theory, accounting statements, and the markets of equities and derivatives. A creative, detail-oriented, self-motivated, strategic thinker with a passion for success.

Data expert in managing and using financial data feeds & platforms including FactSet, Bloomberg, Capital IQ Compustat, S&P, MSCI, FTSE Russell, and DataStream/Worldscope/IBES from Thomson Reuters/Refinitiv.

Hands-on experience in designing relational database objects and coding with R/RStudio, Python, SQL, Linux/Shell, MS Office/VBA, SAS, Ruby. Capable of transforming ideas and strategies into executable scripts.

Holder of FINRA securities broker/analyst licenses (S7, S63, S86, S87). EDUCATION

Ph.D., Marine Physics (Physical Oceanography), University of South Florida, Florida, USA

M.S., Fluid Dynamics and Applied Mathematics, Ocean University of China, China

B.S., Physics, Xiangnan University, China

CAREER

Citigroup -- Citi Institutional Clients Group, New York, NY, 05/2011 -- Present Vice President, Quantitative Analyst, Citi Research (11/2017 to Present)

Developed an evaluation system for global securities, using company fundamental data, security market data and analyst estimates of earnings. Was responsible for the daily operation of models, the creation and publication of research reports, and the client distribution of research files, customized screens and portfolios.

Researched the characteristics of security evaluation factors. Constructed factor ranking models and screens at the universe/sector/industry group levels and on different combination of factors which included revision of earnings estimates, earnings surprise, margin & growth, dividend, short interest ratio, free cash flow, value/growth score, beta, capital structure, momentum, information ratio, correlation with markets & macros.

Developed the weekly rebalanced Merger & Acquisition models for the US and Japan/Europe markets, back- tested different long and hedging strategies, and explored their performance sensitivities.

Developed the US activist ownership models with the activist (5+% ownership) 13D filing data, back-tested the long & hedge strategies in different cases of market cap, weighting schema, and rebalancing frequency.

Coded processes to diagnose market sentiment & momentum at the universe and sector levels, which included the studies of market internals, cross-sectional dispersions, and the averages of stock volatilities & correlations.

Have started to explore machine learning (ML) algorithms such as XGBoost/R for predictive model construction. Programming languages are R/RStudio, Python, MS SQL, Linux/Shell, and MS Office VBA. Vice President, Quantitative Analyst, Citi Markets (05/2011 to 11/2017)

Developed the Citi pure equity style total return index model on the universe of S&P500. This model produced the purified style indexes as tradable structured products for Citi Markets clients. The purified style indexes consisted of the components of value, growth, quality, price momentum, earnings momentum, risk, and size. Was responsible for the monthly rebalancing of these structured index products, and provided the turnover details of the monthly portfolios to Citi Markets traders and clients.

Developed the volatility weighted style models, which used the combination of the Citi US purified style indexes, to research portfolio stability in volatile periods of markets. Constructed models to test academic insights & ideas.

Developed a portfolio risk-decomposition model based on economic macros and industry sectors. Researched ad hoc arbitrage opportunities including the major US index rebalancing events.

Was responsible for the daily execution of quantitative models, the creation, publication and client distribution of research products. Serviced clients on their ad hoc research and screen requests.

Coding languages were R/RStudio, FAME, MS SQL, Linux/Shell, and MS Office VBA. 2

Barclays Capital, New York, NY, 09/2008 -- 04/2011 Senior Quantitative Analyst, Quantitative Equity Research

Was responsible for the daily production operation of the data and modeling systems that integrated the financial data from all sources, calculated the evaluation metrics, executed the quantitative models, and constructed stock screens and portfolios. Serviced clients on customized projects and requests for stock screens.

Constructed stock selection models on different evaluation metrics and themes. Back-tested long and long/short strategies in different universes & sectors. Coding languages used were SAS, Ruby, Linux/Shell, and SQL. Lehman Brothers, New York, NY, 08/2007 -- 09/2008

Senior Quantitative Analyst, Quantitative Equity Research

Developed the systems of financial data and security evaluation metrics, which served as the foundation for research and modeling. The data feeds included fundamental and market data, index data, and earnings estimates.

Participated the design of the evaluation metrics and the research of quantitative strategies, and coded the calculation scripts. Developed database objects such as tables, views, procedures and the quantitative tools for statistical analyses, model construction and stock screening. Used SAS, Ruby, Linux/Shell, SQL. Merrill Lynch, New York, NY, 05/2005 -- 08/2007

Assistant Vice President, Quantitative Developer

Developed the security warehouse of equities, options and futures, which included security reference and market data, and supported research, order routing & execution, and the trading of equities and derivatives.

Contributed routines to the analytical library that supported traders to calculate market internals and capture trading signals to gain market edge. Coding languages were R, C++, Perl, SQL, and Linux/Shell. Citadel, Chicago, IL, 2004 — 2005

Quantitative Developer

Researched security pricing impact and duration on corporate events with statistical analyses at high level of granularity in event timing, news coverage and intensity, and subject hierarchy.

Researched stock price & return time series for technical signals. Researched equity trading strategies such as pair trading, mean reversion, conditional probability trending, and spread trading. Used S+, Perl, C/C++. SQL, Linux/Shell.

Empirical Research Partners, New York, NY, 2002 -- 2004 Quantitative Analyst and Data Specialist

Played a critical role as one of the initial few employees in this start-up research firm which has been recognized as a top provider of research on portfolio strategy and quantitative topics by Institutional Investor.

Developed from scratch the infrastructure systems of financial data and security evaluation metrics, which served as the foundation for the research of portfolio strategies and quantitative topics.

Researched the characteristics of evaluation metrics. Constructed stock selection models and beck-tested the performances. Participated the monthly portfolio rebalancing of the US large cap model. Was responsible for the daily production operation of the data and modeling systems. Used SAS, C/C++, Perl, Excel/VBA. University of South Florida, FL, 1998 -- 2002

Postdoctoral Researcher/Research Associate

Researched the microstructure of oceanic thermal layers and the dynamic characteristics of turbulence. Developed models to simulate continental shelf circulation and track the dispersion of oil and industrial pollution.

Taught undergraduate and graduate courses in fluid dynamics, advanced math and statistical analysis, physical oceanography, ocean circulation modeling, Unix/Matlab/SQL/C/Fortran programming.

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