Apostolos Konstanteas

Master's

Financial Engineering

Calamos Investments

Quantitative Analyst Intern

Conducted backtesting on long-only and long-short systematic equity momentum strategies (equal- and value-weighted) on S&P1500 equities over a 29-year period, analyzing performance metrics such as annualized returns, Sharpe ratios, maximum drawdown, skewness, kurtosis, rolling correlations and industry concentration Researched new investment signals and developed four refined momentum strategies, including the use of three different RSIs, a constant volatility/risk managed strategy, a residual momentum strategy (via rolling FF3 regression), and a combined value-momentum strategy integrating earnings yield z-scores with the PM12M1M indicator Outperformed the raw momentum strategy across all refined versions, with the constant volatility strategy yielding improvements of +6.5% in annualized returns, -6.2% in volatility, +0.3 in Sharpe ratio, -49.6% in maximum drawdown, +1.5 in skewness, and -8.4 in kurtosis Leveraged Python for data analysis and Excel for report generation, presenting detailed performance metrics and visual analyses to senior management on a weekly basis