I'm pursuing this strategy, except on the financial engineering side.

I started taking upper level coursework at a quant finance program and after a semester quickly realized a few things:

1. learning the material thoroughly wasn't inline with getting an A. And if you don't have the grades, employers won't care about what you know, making your degree useless.

2. the real value of the degree (and what you're paying for) is the credentialing. Not the knowledge or skillset, at least for me. There is no magic or 'secret sauce' that was being transfered from professor to student. Everything could be learned from the textbooks, scientific papers, and doing your own research. An MFE degree is basically a degree in linear algebra and stochastic calculus, sprinkled with financial applications.

3. Another aspect of the futility of an MFE degree is most employers don't care what degree it is, as long as its an advance degree in a hard science discipline. In fact, some firms respect an MS/PhD in CS, math, or statistics over MFE's. That says to me that all these advance degrees are merely tools to signal that you can work in a highly quantitative environment.

4. There are a few professors in the MFE program I admired, and I found that they were more than willing to speak with me, even if I was no longer a student. Once I demonstrated enough knowledge, interest, and skill, they were more than willing to open up, and talk to me about my goals, plans, and ideas. A few of the even admitted that some of what they teach had no practical applications in the real world, but must be taught in order to confer the degree.

So with a 4.0GPA, I stop taking classes, and started educating myself independently. I have a nice rapport with a few of the professors I admire (some are very accomplished, academically and professionally), and I've also made a few contacts with professional quants online.

So what I have found is, figure out what is important, and try get very good at that. In investments/quant finance, its building an edge. Many people (including me at one point) think the goal is having a 4.0GPA from a top flight school. I'm sure that helps you get in the game, but thats not what keeps you there.

Its much like VC in a way, if your startup is spitting out money, you won't have trouble attracting investments. And if it isn't, you'll have to convince them with your hoop jumping, educational background, degrees, prior success in different ventures, etc etc.

So your choice is to get profitable ASAP, or to play the game of building hype to garner VC attention. This is exactly how I view building real alpha-generating skills vs. getting an MFE degree.

The other thing thats helped is reaching out to practitioners and academics. It isn't as hard as I once thought, with the caveat that you bring something to the table. For me, I was able to demonstrate I had outpaced the students my professors were teaching. I even recommended a textbook that they became impressed with, and have incorporated it into their program.

If your goal is to be where MBA's are when they graduate, figure out what industry you want to be in, and try to get very skilled in that. If its investments, jakarta's post is really helpful. If its business, nothing says you know business like running one successfully. I definitely think the street vendors in NYC know more about business than my consulting/banking/PE friends.

Realize most of these degrees are signaling. They are a pretty lazy way for firms to do their due diligence when hiring. Of course, there are investment firms that hire specific signal processing and speech recognition experts to do things very specific with their academic backgrounds, but those are the minority. Most just want 'smart' people to 'figure things out'.