AQIF case studies
AQIF · Put your knowledge to work in context.
The AQIF is a professional certification aimed at people who apply quantitative and data-driven methods to investment decisions - portfolio analysts, risk specialists, quantitative researchers, and data scientists moving into asset management. It sits at the intersection of four skill sets that are usually taught separately: statistics and econometrics, market and instrument knowledge, machine learning applied to financial data, and the practical craft of building, backtesting and validating systematic strategies. The AQIF case studies are 5 cases and about 4,464 words.
1The Momentum T-Statistic That Isn't
A systematic equity strategy has 36 monthly excess returns (Jan 2022 – Dec 2024): mean 0.90%, standard deviation 2.40%, skewness −0.85, excess kurtosis 5.2, and a lag-1 autocorrelation of 0.35 that is significant at the 5% level. The portfolio rebalances monthly and ranks stocks on 12-month signals, so consecutive monthly holdings overlap heavily.
815 words, about 4 min2AUC 0.78 in Cross-Validation, 0.54 Out of Sample
An equity team builds a classifier predicting whether a stock will beat its sector ETF over the next 20 trading days. The dataset is 2010–2024 daily, about 1.4 million stock-days, with 1,150 features from prices, fundamentals and two alt-data vendors.
869 words, about 4 min3Nine Exceptions, All in One Bad Week
A $800m multi-asset portfolio runs a 99% one-day VaR from 60-day equally weighted historical simulation, with a 12% annualised volatility target. Over the last 250 trading days there were 9 VaR exceptions against an expectation of 2.5.
902 words, about 5 min4Small-Cap Value With No Dead Companies
A quant team presents a US small-cap value backtest for 2005–2024: 18.2% CAGR versus 9.1% for the Russell 2000 Value, Sharpe 1.1, maximum drawdown −28%. The universe is built by taking the names in today's Russell 2000 Value file and applying the value screens backwards.
971 words, about 5 min5The Composite That Only Contains Winners
An equity boutique launched a small-cap strategy four years ago and funded fourteen accounts. Three have since closed: two after performance-driven redemptions, and one because the client's IPS prohibited tobacco holdings and the PM declined to carve them out.
907 words, about 5 min