Investment Manager, Global Fixed Income, Quantitative Analysis
Tom McDonagh, Investment Director Specific
California Public Employees' Retirement System, (CalPERS) established in 1932 is a state owned investment manager. The firm provides a variety of retirement and health benefit programs and services, and administers other programs dedicated to protecting the financial security of its members.
It also provides administrative support services; real estate asset management; real estate acquisitions and mortgage management; external management services; corporate relations; and internal research services.
The firm provides its services to public employees, retirees, and families. It manages equity, fixed income, alternative portfolios, and hedge funds for its clients. The firm invests in the public equity, private equity, fixed income, and hedging markets of the United States and across the globe. It also invests in cash equivalents and real estate.
The firm invests in emerging markets and small-cap companies for its externally and internally managed equity portfolios. It makes its domestic fixed income investments in investment grade securities that are rated at least Baa3 by Moody's or BBB- by S&P or Fitch Ratings. For its global fixed income investments, the firm invests in securities with a minimum rating of Ba3 by Moody's or BB- by S&P or Fitch Ratings.
CalPERS is based in Sacramento, California with additional offices in San Francisco, California; Glendale, California; San Bernardino, California; San Diego, California; San Jose, California; Orange, California; and Fresno, California.
As of July 31, 2016, CalPERS managed the largest public pension fund in the United States, with $301.8 billion in assets. Outside the U.S., CalPERS has been called "a recognized global leader in the investment industry", and "one of America's most powerful shareholder bodies".
With a stated mission to provide responsible and efficient stewardship of the system to deliver promised retirement and health benefits, CalPERS is dedicated to providing world-class customer service to more than 1.6 million members and more than 3,000 public agency employers.
For more information, please review the company website at: www.calpers.ca.gov
• Develop and lead a factor model approach for Global Fixed Income’s asset allocation in order to analyze all elements which drive portfolio performance. Create the necessary infrastructure and platforms for conducting quantitative analysis, and manage the development and implementation of model scenarios while conducting regular updates.
• Manage and lead the CalPERS internal cross-sector research and quantitative analysis staff within the Global Fixed Income team, focused on the completion of quantitative projects including financial engineering, model development, and the creation of various real time monitors and performance attribution systems.
• Collaborate with senior-level staff across asset classes to verify best portfolio management practices, validate risk positions, and provide an opportunity to synch core strategy with performance numbers in order to make timely investment decisions.
• Provide various types of time sensitive quantitative analyses in order to assess asset prices and valuation across various bond sectors relative to the economic cycle. Identify factors that correlate with the market behavior of cash bonds, derivatives, structured and securitized products.
• Provide independent review and analysis of new academic and industry research topics, to determine alpha potential for the overall fixed income allocation.
• Represent CalPERS at external industry forums and maintain appropriate contacts with professional peers in the investment and broker/dealer communities as a source of valuable investment information.
• Develop, implement, and lead cross-sector research. Serve as a thought leader relative to topics that periodically arise relative to the investment marketplace, quantitative analysis and CalPERS activities.
Qualifications & Experience
• Minimum of 10 – 15 years of relevant experience, preferably within an investment management firm.
• Mastery of quantitative financial/economic modeling tools, markets, data sources, and practices.
• Deep understanding of fixed income markets including experience with cash bonds, derivatives, structured, and securitized products.
• Completion of advanced degrees, academic papers, or responsibility for the design and implementation of significant, relevant projects.
• Understanding of current approaches in quantitative management, asset allocation, and risk management.
• Experience implementing various asset allocation approaches. Knowledge and experience in applying a factor model approach to allocation.
Leadership & Management Behavioral Competencies
• Ability to assemble, organize, and motivate a team. Experience leading and managing individuals with quantitative backgrounds.
• Able to influence and effectively motivate others to focus on the common goals of CalPERS Global Fixed Income team and the broader investment office.
• Capable and willing to work within a public and highly transparent environment.
• Ability to communicate investment related ideas and information in a wide array of venues and to audiences with varying degrees of financial and quantitative sophistication.
• Ability to create a collaborative working environment while inviting individuals into the decision-making process.
• Open and engaging – builds effective relationships and able to build credibility with and influence senior leadership and external parties.
• Patient, understanding and respectful of the intricacies of consensus building within a large organization.
• Ability to discuss investment theory while relying on facts and evidence in order to form investment decisions.
• Appreciation for and desire to work within a mission-driven organization.
Interested candidates may submit resumes and supporting documents to, Dvyas@heidrick.com .