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I did this for a while but am moving back toward finance, honestly. The biggest gotcha for me is that a lot of times in data, you're working with non-technical people who think buzzwords like "AI" means "click of a button" even though there's a lot of work that goes in on the backend. I got really frustrated with people who don't know what they're doing essentially ordering off of a menu and then getting butthurt when I told them it'll take some time because technology is a not a synonym for magic.
I've used my data knowledge within finance to make my own life easier, but I personally don't want to be on the frontlines in a data role again. I also prefer being more on the business side and understanding the "so what" of data than the "how do we get there" piece. A lot of data, btw, is also ETLing, not actual analysis IME.