Portfolio Engineer

State of Wisconsin Investment Board
Madison, USA
Jun 09, 2021
Jul 09, 2021
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Essential activities:

Division Data Strategy Leadership & Development

Provide advice and leadership on data matters for the PMFA division. The division, which works with external partners, spans both private and public investments and has numerous dedicated data sources. Act as the subject matter expert on these data sources, and how they can be leveraged to support investment decision-making.
Collaborate with internal resources to ensure that data needs are addressed, and division data strategy is aligned with SWIB's data architecture.

Partner with Information Technology staff to help support the evolution of PMFA's core data infrastructure and the execution of division data strategy. Collaborate with IT on products and services and technical architectures that support PMFA and centralized data requirements.
Liaise with the Investment Information and Reporting Manager and Information Technology to ensure that PMFA's Data Strategy is aligned with SWIB's Reporting Strategy.
Partner with Data Owners, System Owners, Investment Information Architects, and data consumers to define new data sources to support PMFA needs.
Collaborate with the Investment Information Architects in their efforts to inventory data and standardize and operationalize target state data requirements in a centralized and controlled manner.

Use existing and new technologies to manage SWIB's complex data environment.
Across the enterprise data architecture, define and create data monitoring KPIs, metrics, and dashboards/scorecards that can be leveraged for trending, issue identification, and data status transparency. Monitor and analyze KPIs to identify and resolve or oversee others' work to resolve data issues.
Work with responsible parties to implement corrective/preventive actions.

Division Reporting & Analysis

Work with division CIO and portfolio managers to develop rigorous quantitative analyses and reporting Hedge Funds, Real Estate, Private Equity, Private Debt, Venture Capital, and Beta One (long-only) investments, utilizing advanced statistical techniques and investment insights to explain and improve performance.

Support investment and operations professionals by helping to code new reports and analysis, gather and manage data, document reporting, and run monitoring processes.

Develop division-wide and asset-class Tear Sheets and other reporting to articulate performance, attribution, exposure, and risk metrics. Maintain reports and articulate notable trends.
Evaluate and integrate data sources of different levels of granularity and periodicity into reporting and analytic tools.
Assist in the development of standardized reporting for communicating firmwide.
Develop division-wide and asset-class investment tagging methodologies to aid in performance attribution and analysis, with an eye to identifying investment risks and opportunities.
Build tools to aid in quantitative assessments including peer group benchmarking, exposure and risk analysis, and attribution analysis.
Contribute, as needed, to the analysis of the fit between investments and benchmarks.
Recommend and apply effective factor models and/or use existing factor models for both quantitative optimization and/or exposure management.
Assist division CIO and investment staff in analyzing performance attribution to improve decision-making.
Ad hoc projects as assigned.

The ideal candidate:

Advanced Degree in finance, quantitative finance, or another related field.
Overall post-degree work experience of 1 to 5 years, which may include internships.
Understanding of asset allocation, performance attribution, and risk measurement issues.
Proficiency in at least one programming language, such as Matlab, R, Python, SQL, or C++.
Proficiency with reporting tools including Snowflake, PowerBI, and/or Tableau.
Understanding of practical mathematical and quantitative techniques.
Understanding of quantitative investment portfolio concepts.
Understanding of analytical tools, including accounting, performance, and risk systems.
Understanding of industry-standard performance attribution and benchmarking practices and calculations.
CFA and/or FRM or other appropriate professional investment designation or progress towards appropriate designation.
Advanced analytical and quantitative skills.
Ability to work with and organize large data sets for statistical analysis including familiarity with database management.
Strong collaboration and influence skills.
Ability to communicate effectively and explain complex data to various audiences.
Creativity and a willingness to seek and present new ideas.
Excellent verbal and written communication skills.
An ability to be adaptive and thrive in a fast-paced, changing environment.
Superb work ethic, attention to detail, team orientation, and commitment to excellence.