Portfolio Manager
We’re looking for talented, enthusiastic people who share these same values.
CalPERS seeks a Portfolio Manager (PM) to work under the general direction of the Senior Portfolio Manager (SPM) of the Asset Allocation (AA). The PM assigned to the position identified above demonstrates the CalPERS Core Values (Quality, Respect, Integrity, Openness, Accountability, and Balance), works well as a member of a team, and takes initiative in effectively performing the following functions:
Duties include but are not limited to:
• Conduct the periodic review and analysis of the Investment Policy for Strategic Asset Allocation, as well as other designated aspects of active asset allocation.
• Lead the effort in establishing Tactical Asset Allocation strategy for the Total Fund. This includes: theoretical validation, empirical back-testing, model construction, setting-up rebalancing rules and procedures, establishing and negotiating trading routine with prime brokers, day-to-day running and monitoring of the model and making justifiable trading decisions, analyzing profit and loss and conducting performance attribution on a timely basis and continuously making refinement on the model, decision rules and procedures.
• Independently review and analyze new academic and industry research on quantitative asset allocation strategies and determine their potential application/impact on the total fund.
• Conduct and deliver required analysis to Senior Management Team in the areas of economic analysis in order to assess the economic cycle relative to asset prices, relative valuation and cross asset investment opportunities.
• Lead the development of a performance attribution system for the total fund and individual asset classes, covering both public and private asset classes.
• Manage several CalPERS internal Asset Allocation Investment staff.
Minimum Requirements and Experience:
• Bachelor’s degree in business administration, economics, finance, or a closely related field
• Five years of broad and extensive investment management experience for a major financial institution or firm, or government agency, including some experience leading or coordinating professional staff, and review of large and varied investment portfolio
Desirable Qualifications:
• Graduate degree in economics, finance, statistics or applied mathematics or other fields
• CFA charter holder or CFA Candidate
• Ability to perform quantitative analysis of very large data set using efficient algorithm
• Familiar with global equity, fixed income, commodities and derivatives market convention and trading and/or other private markets
• Strong experience in econometrics, optimization and risk analytics implementation
• MATLAB user, with particular focus on the following toolbox: Optimization, Statistics, Financial, Economertics, Data Feed, Fixed-Income, and Financial Derivatives
• Articulate and elegant technical and professional writing, able to explain technical (involving finance and economic theories) issues in layman language without sacrificing accuracy
• Excellent project management skills
• Ability to mentor junior staff
• Excellent communication skills, be an advocate for the role and function of Asset Allocation within investment office
For further information for this job and the Duty Statement, select: http://ow.ly/lVqBP
Final Filing Date: June 20, 2013
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