Natasa Todorovic

City University London - The Business School

Senior Lecturer

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 17,284

SSRN RANKINGS

Top 17,284

in Total Papers Downloads

5,972

TOTAL CITATIONS
Rank 41,774

SSRN RANKINGS

Top 41,774

in Total Papers Citations

16

Scholarly Papers (13)

1.
Downloads 2,666 (10,715)
Citation 1

US Sector Rotation with Five-Factor Fama-French Alphas

Number of pages: 27 Posted: 19 Jun 2017
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 2,242 (13,856)
Citation 1

Abstract:

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Fama-French Five Factor Model, US sectors, Performance, Sector Rotation

US Sector Rotation with Five-Factor Fama-French Alphas

Journal of Asset Management, Forthcoming
Number of pages: 31 Posted: 29 Nov 2017
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 424 (141,522)

Abstract:

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Fama-French Five Factor Model, US Sectors, Performance, Sector Rotation

2.

Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?

Review of Quantitative Finance and Accounting (Forthcoming)
Number of pages: 36 Posted: 24 Jul 2009 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Natasa Todorovic
Bayes Business School, City, University of London, Cyprus University of Technology and City University London - The Business School
Downloads 870 (57,686)

Abstract:

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Conditional variance forecasting, Trading rules, Realised volatility, Directional change prediction

3.

Macroeconomic Determinants of Cyclical Variations in Value, Size and Momentum Premiums in the UK

Number of pages: 37 Posted: 22 Mar 2015
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 356 (174,053)
Citation 1

Abstract:

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Size, Value and Momentum premiums, Markov Switching, Macroeconomic determinants, Trading strategy

4.

UK Equity Mutual Fund Alphas Make a Comeback

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 13 Jan 2016
Irina B. Mateus, Cesario Mateus and Natasa Todorovic
Aalborg University, Aalborg University Business School and City University London - The Business School
Downloads 302 (207,754)
Citation 6

Abstract:

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Fama-French, Carhart, adjusted alphas, UK equity funds performance

5.

Macroeconomic Determinants of Cyclical Variations in Value, Size and Momentum Premium in the UK

Number of pages: 28 Posted: 06 Jul 2014
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 283 (222,322)
Citation 1

Abstract:

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Size, Value and Momentum premium, Markov Switching, Macroeconomic determinants

6.

A Tale of Two States: Asymmetries in the UK Small, Value and Momentum Premiums

Applied Economics, Forthcoming
Number of pages: 40 Posted: 29 Jun 2016
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 238 (264,523)

Abstract:

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7.

Alphas in Disguise: A New Approach to Uncovering Them

Number of pages: 32 Posted: 22 Mar 2015 Last Revised: 29 Apr 2017
V. L. Chinthalapati, Cesario Mateus and Natasa Todorovic
University of Greenwich, Aalborg University Business School and City University London - The Business School
Downloads 236 (267,733)

Abstract:

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Performance evaluation, non-zero benchmark alphas, optimisation algorithm, Fama-French (Carhart) factor adjustment

8.

Review of New Trends in the Literature on Factor Models and Mutual Fund Performance

Number of pages: 34 Posted: 17 Nov 2018
Irina B. Mateus, Cesario Mateus and Natasa Todorovic
Aalborg University, Aalborg University Business School and City University London - The Business School
Downloads 228 (275,756)
Citation 7

Abstract:

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Standard Factor Models, Mutual Fund Performance, Augmented Models, Benchmark-Adjusted Models, Peer-Group Adjusted Models

9.

The Impact of Benchmark Choice on US Mutual Fund Benchmark-Adjusted Performance and Ranking

Number of pages: 30 Posted: 07 Aug 2017
Irina B. Mateus, Cesario Mateus and Natasa Todorovic
Aalborg University, Aalborg University Business School and City University London - The Business School
Downloads 220 (285,335)

Abstract:

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Prospectus benchmark selection, Mutual fund benchmark mismatch, Benchmark-adjusted alphas, Performance ranking

10.

UK Mutual Fund Performance Persistence with Active Peer Benchmarks

Number of pages: 35 Posted: 03 Aug 2017
Irina B. Mateus, Cesario Mateus and Natasa Todorovic
Aalborg University, Aalborg University Business School and City University London - The Business School
Downloads 209 (299,452)

Abstract:

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UK Equity Mutual Funds, Active Peer Benchmark, Performance ranking, Performance persistence

11.

A Guide to Survival of Momentum in UK Style Portfolios

Number of pages: 43 Posted: 22 Jun 2017
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 152 (397,516)

Abstract:

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Momentum survival, Style portfolios, Kaplan-Meier estimator, Trading strategies

12.

Does Equity Mutual Fund Factor-Risk-Shifting Pay Off? Evidence from the US

Number of pages: 36 Posted: 04 Aug 2021
Cesario Mateus, Natasa Todorovic and Sohan Sarwar
Aalborg University Business School, City University London - The Business School and University of Greenwich - Business School
Downloads 109 (514,612)

Abstract:

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Structural breaks; style risk; risk shifting; performance; mutual funds

13.

Searching For Mutual Fund Winners? The Strategy Is To Outbid Both, The Benchmark and The Peer Group

Number of pages: 30 Posted: 10 Jan 2023
Cesario Mateus, Irina B. Mateus and Natasa Todorovic
Aalborg University Business School, Aalborg University and City University London - The Business School
Downloads 103 (535,940)

Abstract:

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US Equity Mutual Funds, Benchmark-adjusted alphas, Peer-group-adjusted alphas, Performance ranking

Other Papers (2)

Total Downloads: 377
1.

Mutual Fund Performance: An Approach to Identifying the Top Performing Funds

Number of pages: 10 Posted: 16 Nov 2017
Irina B. Mateus, Cesario Mateus and Natasa Todorovic
Aalborg University, Aalborg University Business School and City University London - The Business School
Downloads 248 (173,022)

Abstract:

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US Equity Mutual Funds, Benchmark-Adjusted Alphas, Peer-Group-Adjusted Alphas, Performance Ranking

2.

Mutual fund performance: Shouldn’t clear winners outperform both, the benchmark and the peer-group?

Number of pages: 33 Posted: 08 Jul 2021
Cesario Mateus, Irina B. Mateus and Natasa Todorovic
Aalborg University Business School, Aalborg University and City University London - The Business School
Downloads 129 (397,370)

Abstract:

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US Equity Mutual Funds, Benchmark-adjusted alphas, Peer-group-adjusted alphas, Performance ranking