Mamdouh Medhat

Mamdouh Medhat, PhD

Senior Researcher and Vice President
Dimensional Fund Advisors
London, UK

Email (work): mamdouh.medhat@dimensional.com Email (private): mamdouh0802@gmail.comWebsite: https://sites.google.com/view/mamdouhmedhat/homeGoogle Scholar: https://scholar.google.com/citations?user=OjxEqnQAAAAJ&hl=enLinkedIn: https://www.linkedin.com/in/mamdouh-medhat-phd-7721a130/

Profile

I'm a quantitative researcher with 10 years of experience from both asset management and academia. Most of my work has been around backtesting return-based alpha signals in global stock and bond markets (momentum, reversal, seasonality, trend), enhancing such signals through their interactions with characteristics (liquidity, volatility, valuation, fundamentals), and designing their implementation in systematic strategies (weighting schemes, buy/hold spreads, and screens/ accelerators). My work on enhanced momentum and reversal strategies has been published in top academic journals and featured in the financial press. I grew up in Denmark to Egyptian parents and I'm currently based in London. I'm fluent in English, Danish, and Arabic.

Research Interests
Asset pricing | Systematic/Quantitative Strategies | Market Microstructure

Working papers

Understanding Private Fund Performance (with Kaitlin Hendrix)
We study the net performance of 6,000 private funds over 1980-2022, covering buyout, venture, credit, and real estate funds. We find wide dispersion in funds’ lifetime performance in all asset classes. Performance relative to public benchmarks depends crucially on the choice of benchmark, and the average fund’s public market equivalent is between 0.81x and 1.13x relative to style indices. Periodic returns are markedly more correlated with public factors following the adoption of fair value accounting, though a considerable fraction of their variation remains unexplained. Since private funds expand public investors’ opportunity set, the latter suggests considerable diversification benefits.

Publications

Reversals and the Returns to Liquidity Provision (with Wei Dai, Robert Novy-Marx, and Savina Rizova)
Financial Analyst Journal, January 2024. FAJ link. SSRN link. NBER link.
Notable conferences: 2023 Frontiers in Quantitative Finance Conference. Jacobs Levy Center at Wharton (Program). INQUIRE Practitioners Conference, February 2024.
Short-term Momentum (with Maik Schmeling)
Review of Financial Studies 35(3), March 2022, 1480-1526. RFS link. SSRN link.
1st place winner at the 2018 Chicago Quantitative Alliance (CQA) academic competition

Uncertainty Avoidance and Mutual Funds (with Aneel Keswani, Antonio Miguel, and Sofia Ramos)
Journal of Corporate Finance 65, December 2020. JCF link. SSRN link.

Cyclicality and Firm-size in Private Firm Defaults (with David Lando and Thais Lærkholm Jensen)
International Journal of Central Banking 13(4), December 2017, 97-145. IJCB link. SSRN link.

Additive intensity regression models in corporate default analysis (with David Lando, Mads S. Nielsen, and Søren F. Nielsen)
Journal of Financial Econometrics 11(3), 2013, 443-485. JFEcmtrcs link.

Other academic papers

Equity Financing Risk (with Dino Palazzo)
First draft: 10 November 2017. SSRN link.

Dissecting Announcement Returns (with Maik Schmeling)
First draft: 9 November 2017. SSRN link.

Industry papers

Systematically Evaluating Systematic Managers (with Savina Rizova and Wei Dai)
Dimensional Fund Advisors, July 2023. Dimensional link.
Q&A on Short-Run Reversals with Mamdouh Medhat and Robert Novy-Marx (with Robert Novy-Marx)
Dimensional Fund Advisors, February 2023. Dimensional link.
Few and Far Between: Why Pursuing Premiums at the Industry and Country Levels Does Not Add Value (with Audrey Dong and Mia Huang)
First draft: 24 March 2023. SSRN link.
All Day, Every Day, Multifactor All the Way (with Eric Geffroy)
Dimensional Fund Advisors, September 2022. Dimensional link.
US Inflation and Global Asset Returns (with Wei Dai)
First draft: 13 July 2021. SSRN link.