Milestone map
Milestone map
3 milestones
Estimate risk and correlation
1–2 weeks
For a set of at least 5 assets, estimate expected returns, volatility and correlations from historical data, and show how unstable these estimates are over time.
Proof required
Submit the notebook with the estimates and a chart showing how correlation or volatility changes across time windows.
What gets checked
- 5+ assets with sources
- Estimates shown for more than one window
- Instability noted, not ignored
Common mistakes
- One window treated as truth
- Too few assets
- No data source
Powstik Guide
Risk estimates with their uncertainty shown.
Steps
- Pick 5+ assets.
- Compute returns.
- Estimate mean, volatility and correlation.
- Repeat on rolling windows.
- Chart the changes.
Template
Assets: Windows: Most unstable estimate:
What gets sent back
- Single window only.
- Fewer than 5 assets.
- No source.
Resources
Foundationstart here
Depthgo deeper
What a verifier looks for
- Checked by the verifiers you invite to your panel (up to 3). Pick people who can judge the work, not friends.
- Check the time windows used
- Ask which estimate is least reliable
You'll sign in first, then come straight back here.
Build and test a portfolio
2 weeks
Build an optimised portfolio and compare it with equal weights out of sample. Measure risk with value at risk and drawdown, and include costs.
Proof required
Submit out-of-sample results for your portfolio and equal weights, with VaR, max drawdown and turnover.
What gets checked
- Compared to equal weights
- Tested on later data
- Risk shown three ways
Common mistakes
- In-sample optimisation shown as results
- No equal-weight comparison
- Ignoring turnover costs
Powstik Guide
An optimised portfolio tested fairly.
Steps
- Optimise on the early period.
- Hold weights into the test period.
- Build an equal-weight comparison.
- Compute VaR, drawdown, turnover.
- Compare honestly.
Template
Metric | optimised | equal weight Return Volatility VaR (95%) Max drawdown Turnover
What gets sent back
- In-sample only.
- No equal-weight benchmark.
- Missing risk measures.
Resources
Foundationstart here
Depthgo deeper
What a verifier looks for
- Checked by the verifiers you invite to your panel (up to 3). Pick people who can judge the work, not friends.
- Confirm weights were set before the test period
- Ask why the optimiser beat or lost to equal weights
You'll sign in first, then come straight back here.
Stress test and defend it
1–2 weeks
Run the portfolio through at least two historical stress periods and one made-up shock. Present the full model and defend it live to a reviewer with finance or quant experience.
Proof required
Submit the stress-test table and the review log, including the reviewer's toughest question and your answer.
What gets checked
- Two real stress periods and one scenario
- Limits of VaR named
- Reviewer has real finance or quant background
Common mistakes
- Only calm periods tested
- Treating VaR as a worst case
- A reviewer without the background
Powstik Guide
A portfolio model that faced stress and questions.
Steps
- Pick two stress periods.
- Design one shock scenario.
- Run all three.
- Present to a qualified reviewer.
- Log the questions.
Template
Review session log Date: Duration: Reviewer name: Reviewer role and experience: Challenge 1 (portfolio risk under stress): What they asked: My answer: Challenge 2: What they asked: My answer: Change I made after the session:
What gets sent back
- No stress test.
- No scenario.
- Unqualified reviewer.
Resources
Foundationstart here
Depthgo deeper
Masteryfor the dedicated
What a verifier looks for
- Checked by the verifiers you invite to your panel (up to 3). Pick people who can judge the work, not friends.
- Pick a stress period for them to run
- Ask what VaR misses
You'll sign in first, then come straight back here.
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