Natasha Todorovic

Natasha started teaching at Cass Business School in September 1998 while doing her PhD and became a permantent member of staff in 2000. Her research interest is in the area of fund management, trading strategies and performance evaluation. Subjects taught include different areas of portfolio management both for fixed income and equities. She has delivered a number of professional training courses through Cass Executive education to clients such as Aviva Group and Invesco. Other responsibilities include admissions for Finance group of MSc programmes, supervision of undergraduate and postgraduate theses and doctoral students. Natasha works closely with Chartered Institute for Securities and Investments (CISI), where she is the Chief Examiner for Fund Management.

Qualifications

PhD (Cass), MSc (Cass) and BA (Westminster).

Visiting Appointments

• Panel Member/Examiner, Actuarial Committee, Professional Qualification in Actuarial Science, National Bank of Serbia - ongoing appointment, Jun 2008 – present
• Chief Examiner for Fund Management Paper, Chartered Institute for Securities & Investment, London, Sep 2005 – present
• Visiting Lecturer in Investments, University of Belgrade, Serbia, Jan 2005 – Jan 2013

Languages

Russian and Serbian.

Expertise

Primary Topics

• Fund Management
• Investment Management
• Portfolio Choice

Additional Topics

International Financial Markets

Geographic Areas

• Americas - North
• Europe
• Europe - Eastern

Research

Research topics included assessment of performance of dynamic trading strateges and portfolio performance evaluation, specifically:

• Determinants of cyclical behavior of value, size and momentum premia
• Re-defining alphas by modifying Fama-French factors
• Fund's self-reported benchmark selection error and impact on performance
• Passive ETFs, Smart beta ETFs vs. Mutual Funds performance

Research Topics

• Momentum Effects: G10 Currency Returns Survivals This paper analyses momentum effects in G10 currencies by applying survival analysis common in life time statistics to shed new light on market efficiency within the currency market.
• Risk Management in European Equity Funds Using a unique survey analysis we examine how risk management was conducted in European long-only equity funds and equity hedge funds during the recent financial crisis. We identify the main flaws and offer suggestions for improvement of existing practices.
• Macroeconomic Determinants of Cyclical Variations of Value, Size and Momentum premium in the UK The paper examines the asymmetries in size, value and momentum premium over the economic cycles in the UK and their macroeconomic determinants
• Passive equity ETFs vs smart beta ETFs Vs. equity mutual funds Comparative study
• Alphas in disguise: A new approach to uncovering them Adjustment of Fama-French factors for more accurate mutual fund performance measurement
• Finding the best of the new alphas for mesuring performance of US mutual funds Comparative study of several recently published methods for improved measurement of managers' stock picking skills

Chapter

Georgievska, A., Georgievska, L.J., Stojanovic, A. and Todorovic, N. (2011). Country Debt Default Probabilities in Emerging Markets: Were Credit Rating Agencies Wrong? In Kolb, R.W. (Ed.), Sovereign Debt: From Safety to Default (pp. 353–360). Wiley. ISBN 978-0-470-92239-2.

Journal Articles (10)

• Sarwar, G., Mateus, C. and Todorovic, N. (2017). A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49(5), pp. 456–476. doi:10.1080/00036846.2016.1200184.
• Mateus, I.B., Mateus, C. and Todorovic, N. (2016). UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44, pp. 98–110. doi:10.1016/j.irfa.2016.01.004.
• Fuertes, A.-.M., Kalotychou, E. and Todorovic, N. (2015). Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? Review of Quantitative Finance and Accounting, 45(2), pp. 251–278. doi:10.1007/s11156-014-0436-6.
• Fuertes, A.M., Kalotychou, E. and Todorovic, N. (2015). Daily volume, intraday and overnight returns for volatility prediction: Profitability or accuracy? Review of Quantitative Finance and Accounting, 45(2), pp. 251–278. doi:10.1007/s11156-014-0436-6.
• Clare, A., Motson, N., Sapuric, S. and Todorovic, N. (2014). What impact does a change of fund manager have on mutual fund performance? International Review of Financial Analysis, 35, pp. 167–177. doi:10.1016/j.irfa.2014.08.005.
• Laušev, J., Stojanović, A. and Todorović, N. (2011). Determinants of debt rescheduling in Eastern European countries. Economic Annals, 56(188), pp. 7–31. doi:10.2298/EKA1188007L.
• Fuertes, A.M., Kalotychou, E. and Todorovic, N. (2010). Translating overnight and intraday returns to improve daily volatility forecast accuracy (Lost in translation: Accuracy versus profitability of intraday, overnight and volume information for volatility-based trading). Hedge Funds Review, (July 2010) .
• Clare, A., Sapuric, S. and Todorovic, N. (2010). Quantitative or momentum-based multi-style rotation? UK experience. Journal of Asset Management, 10(6), pp. 370–381. doi:10.1057/jam.2009.19.
• Georgievska, A., Georgievska, L., Stojanovic, A. and Todorovic, N. (2008). Sovereign rescheduling probabilities in emerging markets: A comparison with credit rating agencies' ratings. Journal of Applied Statistics, 35(9), pp. 1031–1051. doi:10.1080/02664760802193112.
• Kos, H. and Todorovic, N. (2008). S&P Global Sector survivals: Momentum effects in sector indices underlying iShares. The Quarterly Review of Economics and Finance, 48(3), pp. 520–540. doi:10.1016/j.qref.2007.12.001.

Admissions Tutor

• 2008 - present, MSc Investment Management, MSc Finance, MSc Corporate Finance, MSc Banking and International Finance, MSc International Accounting and Finance, Admissions Tutor

• 2001 - 2005, MSc Investment Management, Admissions Tutor

Course Directorship

• 2001 - 2005, MSc Investment Management, Course Director

Editorial Activities (4)

• European Journal of Finance, Referee, 2015 – present.
• International Journal of Forecasting, Referee, 2013 – present.
• Frontiers in Finance and Economics, Referee, 2009 – present.
• Journal of Applied Finance, Referee, 2009 – present.