Portfolio construction job anything, currently, management

hardwork24

Anybody working in portfolio construction can share about the day-to-day, goods and bads or anything worth knowing about this role? most interesting/annoying aspects?
I’m currently working in the asset management arm of a BB. I’ve been here for 6 months, starting as an intern. Now my MD is setting up a portfolio construction team (the role doesn`t currently exists as such in my location) and wants me in it. For now it would be just me and another -much more experienced- guy, so at least I know I would participate directly in every aspect of the job.
Any commentary will be appreciated.

stockjaguar

Thanks, Iginla. I will take a look.
yuoska Wrote:
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I’m in the field of asset allocator i.e. pension.
In Australia, we’re called superannuation. The
strategic asset allocation is determined
predominantly by asset consultants. Our role is
really to ensure things go according to investment
policy statements. We also try to generate
investment ideas, fine tune portfolios etc. When
it comes to constructing a portfolio, anything
counts… from your SAA, DAA, TAA then your beta
exposure, risk composition down to transition
cost, rebalancing cost etc.

I believe in the field of fund manager, PIMCO,
Fidelity the type of the shops. The asset
allocation is more determined internally. The rest
should be similar.

I don’t have any recommendation in mind. It
depends on what type of portfolio you’re
constructing. To get you started, I think
Bridgewater has some good research online. SSgA
also has vision series that is available publicly.
Hope it helps.
It does really help. Thank you.
We mainly construct SMA mandates portfolios using 15 to 25 funds across different asset classes and sometimes some simple index following structured products. We have 5 templates based on different levels of equity exposure that then must be adapted to each particular mandate’s restrictions (usually none or very few). At the end we have something like a global mixed fund of funds. The average AUM for a mandate is around 1.5 MM €
In the near future we will also work with SICAVs (containing virtually anything) from 2 to 15 MM € and participate in some funds of funds with specific styles.
In our case, the asset allocation is decided internally by a reduced committee including us.

sabre

Is there a real difference between Tactical Asset Allocation and Dynamic Asset Allocation, or is it just marketingspeak for the same thing?

Daniel1985

I’m in the field of asset allocator i.e. pension. In Australia, we’re called superannuation. The strategic asset allocation is determined predominantly by asset consultants. Our role is really to ensure things go according to investment policy statements. We also try to generate investment ideas, fine tune portfolios etc. When it comes to constructing a portfolio, anything counts… from your SAA, DAA, TAA then your beta exposure, risk composition down to transition cost, rebalancing cost etc.
I believe in the field of fund manager, PIMCO, Fidelity the type of the shops. The asset allocation is more determined internally. The rest should be similar.
I don’t have any recommendation in mind. It depends on what type of portfolio you’re constructing. To get you started, I think Bridgewater has some good research online. SSgA also has vision series that is available publicly. Hope it helps.

jim8z3

As I said, the role doesn’t currently exists as such. Up till now we are doing all kinds of other stuff and using our own Excel and VBA models for this. Once all the company bureaucracy, business proposal and everything is dealt with, the role is explicitly set up and we can work full-time on it, we are suppose to asses which tools we need and/or can develop by ourselves.
Any recommendation about software, documentation or anything else will be welcomed.

Dapper425

Iginla2010 Wrote:
——————————————————-
It’s a great gig! I was a member of a similar team
a little while ago. We did asset allocation on a
macro level. Based on the mandate, you will either
be involved in creating pooled model portfolios
(eg: 60/40, 25/75, or just plain balanced), or you
wil be creating customized portfolios for SMA
platforms. The SMA mandate will provide you with
their guidance.
Yeah, we currently have 5 model funds portfolios based on equity exposure. We would be in charge of analyzing their risk, asset classes, geographic, etc exposure and propose changes regarding specific funds to add or remove, indicating the appropriated weights; adapt the model portfolios to every specific mandate; obtain the performance attribution of the portfolios and perform all kinds of ad-hoc analyses on them
Apart from the mandates, we will probably have to set up some specific funds of funds depending on demand.

rgonzalez

Palantir Wrote:
——————————————————-
Are these the guys that develop asset allocations?
I don’t know about other places, but in my team the idea is that a committee formed by portfolio managers, research guys and us will decide the asset allocation, mostly based on what the research guys think, and our job will be to set up the different risk-profile and investment style portfolios, specifying funds and weights. Besides that, as yuoska said, we would analyze the effects of adding/removing certain funds, the risk exposure of the portfolios and all kinds of quantitative stuff.

dreampak

Are these the guys that develop asset allocations?

mar350

I think portfolio construction is an exercise to reach a balance between these four thing (and more),
- ensure you are not breaching any risk limit
- managing cashflow
- build the portfolio to desired level
- reduce cost
Day to day life includes assessing what’s in your portfolio, how would adding something or removing something affect your risk composition. On the other hand, you also need to think about new investment opportunities. Managing cashflow is another thing, it can be tedious sometimes but managing cash is quite important…it’s free rebalancing tool!

pawn

well the cfa material esp level 3 should be quite useful…………..i assume ur bank has prop software so u should be fine there