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Lead Quantitative Researcher, Consultant, Product & Portfolio Manager

Location:
Springfield Township, NJ, 07081
Posted:
February 12, 2022

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Resume:

Paul K. Lieberman

Springfield, NJ ***** 917-***-****

adp7m5@r.postjobfree.com www.linkedin.com/in/paulklieberman

Lead Quantitative Researcher Consultant Product & Portfolio Manager

Alpha & Risk Extraction Systematic Portfolio, Factor, Model and Strategy Execution

Innovative quantitative researcher, executing systematic strategies, portfolio analysis, factors, and models utilizing machine learning, econometrics, and linear algebra to extract alpha while minimizing risk and market impact cost from security, factor, asset, and strategy allocation. Extracting performance improvement from alternative, macro, technical, fundamental and options data using empirical research and sound economic rationale. Intraday systematic stat arb strategies to monthly and multi-year horizons across equities, equity derivatives (OTC and listed), ETFs, futures, credit, cryptos and governments. A rare combination of quantitative, programming, creative, business development, managerial and communication skills.

Asset Class & Data Expertise:

Equities ETFs Futures Options Credit Cryptos Govs Alternative Data Private Co. Data Macro Micro Fundamental Accounting B2B Payment Supply Chains Technical Data.

Strategy Expertise:

Systematic Stat Arb Portfolio Construction Factor and Multi-Factor Investing Long/Short Equity Macro-Thematic Tax-Loss Selling Indexing Vol Arb ETF Arb.

Modeling Expertise:

Multi-Factor Alpha and Risk Modeling ML CART Random Forest Portfolio, Factor, Strategy Risk Decomposition Factor Analysis Time Series Algo Dev. TCA Optimization Matrices.

Technical Skills

Languages:

R (dozens of packages), Python (Pandas, NumPy, Scikit-Learn), C#, VBA, SQL.

Databases:

MySQL, SQL Server, Hadoop, Hive.

Financial Databases, Software, Risk Models, Market Impact, Trading Platforms and Algorithms:

I/B/E/S, FirstCall, Compustat, CRSP, Refinitiv QA (Fastick tick data, options data, fundamental data, back-testing), FactSet, Axioma, BARRA Risk Models and Market Impact Models, Bloomberg API, PORT, TCA, Variety of OMS, EMS, SOR, VWAP, TWAP, Smart Limit Placement methods.

Operating Systems and Platforms:

DOS, Linux, UNIX, AWS.

Experience

SPY CAPITAL MANAGEMENT, LLC, New York, and New Jersey 1/2014 – Present

Systematic Quantitative Researcher, Portfolio and Risk Manager. Founding Member.

As a sub-advisor, develop and run systematic, stat arb strategies in U.S. equities. Track record available upon request.

Devise processes that generate combined annualized P&L of $3M+ with return / risk ratios of 2.8 to 4.3 net of all costs. Strategies are market and sector neutral with no overnight exposure. Net liquidity provider. Execute using client infrastructure.

Consultative quantitative research and product development for crypto asset management.

DUN & BRADSTREET, INC., Short Hills, New Jersey 5/2015 – 2/2021

Director of Analytics Innovation and Product Manager in Capital Markets, Financial Solutions & Risk

Conducted alpha and risk research, product development, and marketing. Presented white papers at alternative data conferences and to asset managers to demonstrate unique fundamental value of B2B payment, supply chains and corporate linkage for security selection.

Using the latest ML techniques, discovered dozens of unique, statistically significant equity and credit alpha and risk factors from the world’s largest B2B payment database.

Built $3M business with CAGR of 87%, growing each year by selling alpha and risk factors, data, and associated value proposition to asset managers. Guided indexers on developing new alpha / smart beta indices and macro indicators.

RAMIUS CAPITAL GROUP, LLC (A Cowen Group Company), New York 5/2010 – 11/2013

Director, Systematic Quantitative Trading and Research in the Quantitative Trading Group

Produced and traded systematic, quantitative strategies in equities, equity derivatives, futures, and ETFs.

Researched, developed, and traded U.S. long / short equity strategy that was market and sector neutral and up to $75M a side. As traded, model produced a return / risk ratio of 3.44. Risk analysis, TCA, and performance tracking across all Ramius strategies (billions of USD exposure).

Paul K. Lieberman adp7m5@r.postjobfree.com Page Two

RAMIUS CAPITAL GROUP, LLC (Continued)

Director, Head of Cowen Quantitative Strategy in Portfolio Trading & Equity Derivatives 5/2010 – 11/2013

Generated trade ideas, models, and products to support Program Trading, ETF Trading and Options Trading.

Developed Alpha-D, a large-cap stock selection model designed to predict daily price return. In production, model generated a 35% annualized return and a 2.8 return / risk ratio. Model was proprietarily traded and sold to clients.

Produced single-stock implied volatility / credit model, a covered-call writer product, a real-time earnings-move analyzer, S&P 500 addition forecast and several thematic reports and trade ideas. Introduced several new institutional options accounts.

VAN DER MOOLEN & CO., New York 7/2008 – 9/2009

Managing Director, Quantitative Portfolio Manager and Researcher in Proprietary Trading Group

Produced and executed equity and equity derivative models and strategies while managing risk for the proprietary trading desk.

Constructed and traded a new long / short stock quarter-end portfolio strategy and a new volatility arbitrage model.

Managed risks of illiquid options on other trading books. Delta hedged volatility arbitrage strategy.

Tailored long / short equity portfolios to capture macro effects like housing prices, presidential elections and deflation exposure.

BNP PARIBAS S.A., U.S., New York 7/2006 – 6/2008

Director, Head of U.S. Equity & Equity Derivatives Strategy

Delivered trade ideas, models and products to support OTC / Listed Flow Sales, OTC Swaps, Structured Products and Delta One sales and trading. Institutional clients and BNP trading desks executed strategies.

Added $5M in sales and trading P&L by executing strategies via swaps, options, certificates and structured products in 2007.

Built U.S. Equity & Equity Derivatives Strategy Group by leading recruitment, strategy generation, risk management and development of models, infrastructure, content and product.

Constructed CART (Classification and Regression Tree) model to forecast one-month realized S&P 500 volatility. With a 10-year back-tested out-of-sample forecasting power of 47%, the model produced active S&P 500 variance swap strategies.

BEAR STEARNS & CO., New York 6/2003 – 7/2006

Associate Director, Head of Quantitative Strategy in the U.S. Portfolio Trading Group

Enhanced and supported Portfolio Trading, Equities and Structured Products / Derivatives by generating strategies for clients, managing risk for traders and producing quantitative analysis on-demand.

Grew sales and trading P&L by $3M by executing strategies via swaps, structured products and portfolio trading in 2005. Team ranked Runner-Up for Institutional Investor in 2004.

Improved trading algos with market microstructure analysis of average aggregate market volume curves and deviations. Compared impact cost estimation, utilizing BARRA vs. in-house theoretical model to improve VWAP algorithms and intra-day price prediction.

Interviewed and featured on Bloomberg TV and CNBC. Quoted or featured in The Wall Street Journal, Barron’s, TheStreet.com, Sunday Business (U.K.), Derivatives Week, on various strategies.

Additional Experience

LEHMAN BROTHERS HOLDINGS, INC., New York

Vice President, Equity Derivatives Research and Quantitative Trading

Analyst, Fixed Income Strategies Group, ran the Lehman Brothers Global Bond Index.

Education

Master of Business Administration (MBA), Financial Engineering, MIT Sloan School of Management, Cambridge, MA

Post-Master’s Program in Statistic, Baruch Zicklin School of Business, New York, NY

Bachelor of Arts (BA), Overall Honors and Honors in Public Policy Studies, The University of Chicago, Chicago, IL

Additional Information

Series 3, 7 & 63 Registered. Member of IAFE, CQA, SQA.

Traveled and lived extensively throughout the world. Proficient in Spanish. US Citizen.



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