Mamdouh Medhat, PhD
Research Director and Vice President
Dimensional Fund Advisors
London, UK, and Copenhagen, Denmark
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 currently split my time between London, UK, and Copenhagen, Denmark. I'm fluent in English, Danish, and Arabic.Research Interests
Asset pricing | Systematic/Quantitative Strategies | Market Microstructure
Working papers
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: Jacobs Levy Center's 2023 Frontiers in Quantitative Finance Conference (YouTube recording of presentation by Robert Novy-Marx and discussion by Winston Dou). 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.