MFE-->>Quantitative Portfolio Management

[Neha Kapoor]

Hi,
I am planning to do a MFE course next year. I want to leverage my CFA (expect to clear L-3 next year with 2 yrs work exp) along with quantitative skills in an MFE program.

Now, if I am looking for a quantitative portfolio management role, can I find one after the MFE? I don't want a programming or a developer kind of role, but one where I can leverage quantitative skills on top of my finance knowledge. I have seen a lot of MFEs in quant developer kind of roles which have less to do with finance. So, is finding one which involves more of finance and mathematics and less of programming tough even from top schools or is this assumption misplaced? From the point of view of fees and other important considerations, I don't think Mfin would add much value to my profile right now.

Could anyone please help? Would be grateful

 

[QTMGMT]

Yes you can. Quant portfolio mgmt jobs are harder to come by than various other types of positions (my impression) but that is more nature of the industry.

 

[mhy]

You should be well-placed to find a job like that after doing an MFE since you would have taken portfolio optimization, time series, etc. But even though your job title might not be developer, you could still find yourself spending a lot of your time writing code or doing data analysis/programming (R, Matlab).

 

[MarekSabata]

Can someone please elaborate more on the roles we are talking about? What are they, what are the main responsibilites/possibilites, where to look for such positions etc.? What to focus on (subjects, CFA, societies etc.) in order to have the best possible shot at these positions.
Thanks a lot!

 

[QTMGMT]

Quantitative Portfolio management is an ambiguous term.

If you take the case of multi-asset global quantitative investor, a typical role from a fe program might be an investment analyst supporting pm's on track to become a pm. responsibilities might include designing and researching investment strategies and asset allocation models as well as assisting pm's with the management of portfolios.

Helpful skills and knowledge you can pick up in a fe program include operations research/optimization, and econometric/time series modeling and general product knowledge (fixed income, options, futures, other derivatives).

MATLAB and R/PYTHON are helpful to know for large scale data analysis.

A lot of people at large asset managers have completed CFA exams but they are not necessarily required.

 

[Neha Kapoor]

Quantitative Portfolio management is an ambiguous term.

If you take the case of multi-asset global quantitative investor, a typical role from a fe program might be an investment analyst supporting pm's on track to become a pm. responsibilities might include designing and researching investment strategies and asset allocation models as well as assisting pm's with the management of portfolios.

Helpful skills and knowledge you can pick up in a fe program include operations research/optimization, and econometric/time series modeling and general product knowledge (fixed income, options, futures, other derivatives).

MATLAB and R/PYTHON are helpful to know for large scale data analysis.

A lot of people at large asset managers have completed CFA exams but they are not necessarily required.

That being said, does any firm recruit for the position of equity research which can lead to portfolio management in 2-3 or maybe 5 years?
If someone can design investment strategies, won't the firm prefer that guy to have product knowledge as well-Behavioural Finance, Equity/FI Valuation Models, designing an IPS for a client?

 

[QTMGMT]

Certainly doesn't hurt to have more knowledge, but what you are describing (except for IPS which a portfolio manager isn't going to be doing) is more related to fundamental investing. Generally, guys that do fundamental equity investing (i.e. equity research) don't know much about what quantitative investing is much less what financial engineering is and they aren't going to try to recruit from there. If that is your end goal you're better off with an MBA or MS Finance as it is easier, will be seen as more relevant, and is more versatile.

 

[MarekSabata]

Quantitative Portfolio management is an ambiguous term.

That's why I was asking if someone can elaborate more on that topic.
My goal is to combine quantitative equity research with quantitative portfolio management. Do you have any experience/insights on these positions for example at large BB banks (GS IMD Quantitative investment strategies, JP Morgan Asset management, etc.), AM companies (e.g. Blackrock, Vanguard, Fidelity) or quant funds (such as D.E.Shaw, Two sigma, AQR)? Where do you think one would find such positions most?

 

[QTMGMT]

Every one of those firms recruits from a certain top 5 mfe program. They all probably recruit from all of them.

 

[MarekSabata]

The question was more about in which of those firms you think I am most likely to find what I am looking for. Thanks for suggestions!

 

[QTMGMT]

out of the ones you mentioned, GS, Blackrock, and AQR. But there are a lot more. I would recommend just googling asset management companies and hedge funds. Look at their websites especially their product lineups. You'll find there are a lot of firms doing quant equity research. I would also recommend considering other asset classes and in particular working across multiple asset classes