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.

ramdabom

wow this sounds like a great opp dude i dont have any experience on this but i cant imagine why u would pass up this

Carson

Thanks, pimpineasy. I’m taking it for sure. I just want to know as much as possible about the role, its pros and cons, the skills and knowledge I should gain to do well in it,… anything useful about it. It seems hard to find anything on the internet besides some books and white papers, which look pretty interesting as well as dense, by the way.

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

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!

dreampak

Are these the guys that develop asset allocations?

rgonzalez

Palantir Wrote:
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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.

Dapper425

Iginla2010 Wrote:
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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.

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.

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.