I am currently on the job market and have some sell side and buy side experience as an equity derivatives quant, for example implementing strategies that sell delta-hedged straddles. I am a CFA and want to qualify myself as a quant who develops systematic delta-one equity strategies. Showing that I can do quant equity research by writing a working paper could be helpful. Getting historical daily price data for equities is easy, so one can test price-based strategies such as momentum or low volatility. But getting historical fundamental data is more difficult. Furthermore, companies hiring equity quants prefer someone experienced with some of the following resources:data sources:Factset, Compustat, IBES, Worldscopeoptimization and risk tools:Barra, Northfield, Axiomaand statistical packages or languages:R, SAS, S-Plus, MATLABCan an individual get access to the data sources and optimization/risk tools mentioned? The situation is better for the stats packages and languages, since R and Octave are free and since a personal non-commercial Matlab license is not too expensive.

My suggestion: develop your equity strategy paper using Fama/French ideas: all the data for that is timely, updated, and available online at Ken French's website.