Natasa Todorovic

City University London - The Business School

Senior Lecturer

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • City University London - The Business School

SCHOLARLY PAPERS

13

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17

CROSSREF CITATIONS

3

Scholarly Papers (13)

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1.

US Sector Rotation with Five-Factor Fama-French Alphas

Downloads 2,365 (10,838)

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 1,950 (14,486)
Citation 1

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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 415 (121,788)

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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 839 (50,803)

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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 351 (148,310)
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 Business School and City University London - The Business School
Downloads 300 (175,256)
Citation 5

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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 282 (186,859)
Citation 1

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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 236 (223,072)

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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 Business School and City University London - The Business School
Downloads 218 (240,581)

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

8.

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 212 (246,893)

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

9.

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 208 (251,262)

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

10.

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 178 (288,829)
Citation 5

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

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 151 (332,133)

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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 94 (470,963)

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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 72 (552,328)

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

Other Papers (2)

Total Downloads: 358
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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 247 (173,022)

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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 111 (397,370)

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