Natasa Todorovic

City University London - Sir John Cass Business School

Senior Lecturer

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

11

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CROSSREF CITATIONS

3

Scholarly Papers (11)

US Sector Rotation with Five-Factor Fama-French Alphas

Number of pages: 27 Posted: 19 Jun 2017
G Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University and City University London - Sir John Cass Business School
Downloads 1,302 (15,891)
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
G Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University and City University London - Sir John Cass Business School
Downloads 384 (83,379)

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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
Cass Business School, City University of London, Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 739 (36,800)

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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
G Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University and City University London - Sir John Cass Business School
Downloads 344 (95,391)
Citation 1

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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 and City University London - Sir John Cass Business School
Downloads 292 (114,170)
Citation 1

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
G Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University and City University London - Sir John Cass Business School
Downloads 277 (120,742)
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
G Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University and City University London - Sir John Cass Business School
Downloads 233 (143,951)

Abstract:

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7.

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 and City University London - Sir John Cass Business School
Downloads 207 (161,047)

Abstract:

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

8.

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 and City University London - Sir John Cass Business School
Downloads 199 (167,087)

Abstract:

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

9.

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 and City University London - Sir John Cass Business School
Downloads 164 (198,240)

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

10.

A Guide to Survival of Momentum in UK Style Portfolios

Number of pages: 43 Posted: 22 Jun 2017
G Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University and City University London - Sir John Cass Business School
Downloads 148 (216,048)

Abstract:

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

11.

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 and City University London - Sir John Cass Business School
Downloads 65 (372,974)

Abstract:

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