Portrait of Dr Natasa Todorovic Zrilic

Dr Natasa Todorovic Zrilic

Associate Professor of Finance

Bayes Business School , Finance

Contact

About

Overview

Natasha started teaching at Bayes Business School in September 1998 while doing her PhD and became a permanent member of staff in 2000. Her research interest is in the area of empirical asset management and she regularly publishes in internationally recognised peer-reviewed journals. Subjects taught include different areas of portfolio theory and management, including the more specific fixed income and equity portfolio management. She has delivered a number of professional training courses through Bayes Executive education to clients such as Aviva Group and Invesco. Natasha has been responsible for admissions for the Finance group of MSc programmes for 18 years, and she has supervised a large number of undergraduate, postgraduate and doctoral students. She has links with professional bodies, such as the Chartered Institute for Securities and Investments (CISI), where she was the Chief Examiner for Fund Management for 17 years. At present, Natasa is the Course Director of gloabally renowned MSc Finance prorgamme.

Qualifications

  • PG Certificate in Academic Practice, City St George's, University of London
  • PhD (Bayes), City, University of London, United Kingdom
  • MSc (Bayes), City, University of London, United Kingdom
  • BA (Westminster), University of Westminster, United Kingdom

Employment

  • Associate Professor of Finance, Bayes Business School, City St George's, University of London, United Kingdom, August 2023 - present
  • Senior Lecturer in Investment Management, Bayes Business School, City St George's, University of London, United Kingdom, August 2005 - July 2023
  • Lecturer in Investment Management, Bayes Business School, City St George's, University of London, United Kingdom, October 2000 - July 2005

Administrative roles

  • Course Director MSc Corporate Finance, Bayes Business School, August 2025 - present
  • Course Director MSc Finance, Bayes Business School, February 2024 - present
  • Admissions Tutor MSc Finance, Bayes Business School, February 2024 - present
  • Course Director PG Diploma in Public Financial Asset Management, Bayes Business School, August 2022 - July 2024
  • Admissions Tutor, MSc Finance, MSc Corporate Finance, MSc Investment Management, MSc Banking and International Finance, MSc International Accounting and Finance, Bayes Business School, August 2008 - July 2022
  • Course Director and Admissions Tutor MSc Investment Management, Bayes Business School, October 2001 - July 2005

Visiting appointments

  • Panel Member/Examiner, Actuarial Committee, Professional Qualification in Actuarial Science, National Bank of Serbia - ongoing appointment, June 2008 - March 2014
  • Chief Examiner for Fund Management Paper, Chartered Institute for Securities & Investment, London, September 2005 - September 2022
  • Visiting Lecturer in Investments, University of Belgrade, Serbia, January 2005 - January 2013

Fellowships

  • Senior Fellowship, HEA, June 2023 - present
  • Fellow, HEA

Awards

  • Bayes Business School (2010). Teaching Excellence Award
    Award for excellence in undergraduate and postgraduate teaching
  • Bayes Business School (2003). Teaching Excellence Award
    Award for excellence in undergraduate and postgraduate teaching

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 interest: empirical asset management

Recent research topics include:

- Determinants of cyclical behavior of value, size and momentum premia
- Re-defining mutual fund performance by modifying Fama-French factors
- Fund's self-reported benchmark selection error and impact on mutual fund performance
- Benchmark-adjusted and peer-group=adjusted mutual funds performance
- Benchmark-adjusted risk shifting of mutual funds

Research topics

Equity style investing and style rotation

Benchmark- and peer-group-adjusted mutual fund performance measurement

Application of new factor models in mutual fund performance and persistence in performance

Research students

Yijia Zhang

Attendance: February 2024 - present, full-time

Thesis title: Essays in Sustainable Investing

Role: 1st Supervisor

Hartwig Kos

Attendance: September 2009 - May 2015, full-time

Thesis title: Essays in Momentum Effects

Role: 1st Supervisor

Miguel Corte-Real

Attendance: September 2009 - present, full-time

Thesis title: Miguel Corte-Real

Role: 1st Supervisor

Slawa Roschkow

Attendance: October 2007 - May 2013, full-time

Thesis title: Empirical analysis of the micro- structural dynamics across cross- listed stocks on London and Moscow exchanges

Role: 2nd Supervisor

Svetlana Sapuric

Attendance: October 2005 - December 2009, full-time

Thesis title: Essays in Portfolio Perormance Management

Role: 1st Supervisor

Publications

Chapter

  1. 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 9780470922392.

Conference papers and proceedings (20)

  1. Todorovic, N., Fuertes, A.M. and Kalotychou, E. (2011). Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy? 28th GdRE Symposium on Money Banking and Finance Reading, UK.
  2. Todorovic, N. and Ana Maria Fuertes, E.K. (2010). Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy? British Accounting Association Conference Cardiff, United Kingdom.
  3. Fuertes, A.M., Kalotychou, E. and Todorovic, N. (2010). Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy? FMA (Europe) Hamburg.
  4. Todorovic, N. and Ana Maria Fuertes, E.K. (2010). Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy? FMA Annual Meeting New York, USA.
  5. Todorovic, N., Lausev, J. and Stojanovic, A. (2009). Determinants of Debt Rescheduling in Eastern European Countries. CICM Conference London Metropolitan University, London.
  6. Todorovic, N., Fuerters, A.M. and Kalotychou, E. (2009). Intraday Price and Volume Information for Volatility-Based trading: Does it Pay? EFMA Conference Milan, Italy.
  7. Todorovic, N., Fuertes, A.M. and Kalotychou, E. (2009). Intraday Price and Volume Information for Volatility-Based trading: Does it Pay? University of Essex Seminars University of Essex, UK.
  8. Todorovic, N., Roschkow, S. and Marsh, I. (2009). MICEX vs RTS-Battle of exchanges: Who wins the order flow supremacy? Emerging Markets Group Workshop London, UK.
  9. Todorovic, N., Clare, A. and Sapuric, S. (2009). The Impact of UK Manager Changes on Fund Performance and Fund Flow. EFMA Conference Milan, Italy.
  10. Todorovic, N., Clare, A. and Sapuric, S. (2009). The Impact of UK Manager Changes on Fund Performance and Fund Flow. FMA Europe Turin, Italy.
  11. Todorovic, N., Clare, A. and Sapuric, S. (2009). The Impact of UK Manager Changes on Fund Performance and Fund Flow. Multinational Finance Society Crete, Greece.
  12. Todorovic, N., Clare, A. and Sapuric, S. (2008). Quantitative or Momentum Based Multi Style Rotation? UK example. EFMA Conference Athens/Greece.
  13. Todorovic, N., Clare, A. and Sapuric, S. (2008). The Impact of Manager Changes on UK Fund Performance. EFM-EDHEC Risk and Asset Management Symposium Nice/France.
  14. Todorovic, N., Clare, A. and Sapuric, S. (2008). The Impact of Manager Changes on UK FUnd Performance. FMA Europe Prague.
  15. Todorovic, N., Lausev, J. and Stojanovic, A. (2007). Determinants of Sovereign Debt Rescheduling in Eastern European Countries. ICAFT 2007: 5th International Conference in Accounting and Finance for Countries in Transition 12-14 July, London, University of Greenwich.
  16. Todorovic, N. and Gokani, B. (2007). Profitability of Quantitative vs. Momentum Size and Style Roatation Strategies in the UK Equity Market. Euroepan Financial Management Association (EFMA) Vienna, Austria.
  17. Todorovic, N. and Gokani, B. (2007). Profitability of Quantitative vs. Momentum Style and Size Rotation in UK equity Market. Financial Management Association (FMA) Orlando, USA.
  18. Todorovic, N., Georgievska, A., Georgievska, L.J. and Stojanovic, A. (2006). Sovereign Debt Rescheduling Probabilities in Emerging Markets: A comparison with Credit Ratings Agencies’ Ratings. ICAFT 2006: 4th International Conference in Accounting and Finance for Countries in Transition 10-12 April, Univeristy of Adelaide, Australia.
  19. Todorovic, N. and Gokani, B. (2006). Profitability of Long�only and Long/Short Size and Style Rotation Strategies in the UK Equity Market. International Conference on Computing in Economic and Finance Limassol, Cyprus.
  20. Todorovic, N., Georgievska, A., Georgievska, L.J. and Stojanovic, A. (2005). Modelling Sovereign Debt Rescheduling Probabilities in Emerging Markets. ICAFT 2005: 3rd International Conference for Accounting and Finance in Trasition University of Greenwich, London.

Journal articles (20)

  1. Mateus, C., Mateus, I.B. and Todorovic, N. (2025). Mutual fund performance: the model for selecting persistent winners. The European Journal of Finance, 31(5), pp. 647-669. doi:10.1080/1351847x.2024.2425401

    [publisher’s website]

  2. Mateus, C., Sarwar, S. and Todorovic, N. (2023). Does equity mutual fund factor-risk-shifting pay off? Evidence from the US. The European Journal of Finance, 29(4), pp. 444-465. doi:10.1080/1351847x.2022.2071629

    [publisher’s website]

  3. Mateus, C., Mateus, I. and Todorovic, N. (2023). Searching for mutual fund winners? the strategy is to outbid both, the benchmark and the peer group. Applied Economics. doi:10.1080/00036846.2023.2175778

    [publisher’s website]

  4. Mateus, I., Mateus, C. and Todorovic, N. (2019). Use of Active Peer Benchmarks in assessing UK mutual fund performance and performance persistence. The European Journal of Finance, 25(12), pp. 1077-1098. doi:10.1080/1351847X.2019.1581639

    [publisher’s website]

  5. Mateus, I.B., Mateus, C. and Todorovic, N. (2019). Review of new trends in the literature on factor models and mutual fund performance. International Review of Financial Analysis, 63, pp. 344-354. doi:10.1016/j.irfa.2018.12.012

    [publisher’s website]

  6. Mateus, I.B., Mateus, C. and Todorovic, N. (2019). Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks. Journal of Asset Management, 20(3), pp. 250-250. doi:10.1057/s41260-019-00114-8

    [publisher’s website]

  7. Mateus, I.B., Mateus, C. and Todorovic, N. (2019). Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks. Journal of Asset Management, 20(1), pp. 15-30. doi:10.1057/s41260-018-0101-z

    [publisher’s website]

  8. Sarwar, G., Mateus, C. and Todorovic, N. (2018). A guide to survival of momentum in UK style portfolios. International Journal of Banking, Accounting and Finance, 9(2), pp. 192-192. doi:10.1504/ijbaaf.2018.092134

    [publisher’s website]

  9. Sarwar, G., Mateus, C. and Todorovic, N. (2017). US sector rotation with five-factor Fama–French alphas. Journal of Asset Management pp. 1-17. doi:10.1057/s41260-017-0067-2

    [publisher’s website]

  10. Chinthalapati, V., Mateus, C. and Todorovic, N. (2017). Alphas in disguise: A new approach to uncovering them. International Journal of Finance & Economics, 22(3), pp. 234-243. doi:10.1002/ijfe.1581

    [publisher’s website]

  11. 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

    [publisher’s website]

  12. 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

    [publisher’s website]

  13. 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

    [publisher’s website]

  14. 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

    [publisher’s website]

  15. 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

    [publisher’s website]

  16. 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)
  17. 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

    [publisher’s website]

  18. 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

    [publisher’s website]

  19. 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

    [publisher’s website]

  20. Mateus, I., Mateus, C. and Todorovic, N. UK Mutual Fund Performance Persistence with Active Peer Benchmarks. SSRN Electronic Journal. doi:10.2139/ssrn.3011829

    [publisher’s website]

Other (4)

  1. Todorovic, N., Stojanovic, A. and Lausev, J.(2011). Determinants of Sovereign Debt Rescheduling in Eastern European Countries.
  2. Roschkow, S., Marsh, I. and Todorovic, N.(2011). MICEX vs RTS; Battle of Exchanges: Who wins the order flow supremacy?
  3. Kos, H., Clare, A. and Todorovic, N.(2011). Momentun effects: G10 Currency Return Survivals.
  4. Corte Real, M. and Todorovic, N.(2010). Survey of risk management in UK quity funds.

Education

Admissions Tutor

2008 - 2022, MSc Investment Management, MSc Finance, MSc Corporate Finance, MSc Banking and International Finance, MSc International Accounting and Finance

2001 - 2005, MSc Investment Management

Course Directorship

2022 - present, PG Diploma in Public Financial Asset Management

2001 - 2005, MSc Investment Management

Professional activities

Consultancy (3)

  1. Invesco (Private Sector) (May 2014 - March 2016)
    Designing and delivering professional course for Invesco's sovereign wealth clients
  2. MP Asset Management, Slovenia (Private Sector) (September 2005 - September 2009)
    Member of Advisory Board
  3. Morley Fund Management and Norwich Union Life (now Aviva) (Private Sector) (September 2004 - May 2007)
    Executive training

Editorial activity (5)

  1. The European Journal of Finance, Associate Editor, 2020 - present.
  2. International Review of Financial Analysis, Referee, 2016 - present.
  3. European Journal of Finance, Referee, 2015 - present.
  4. International Journal of Forecasting, Referee, 2013 - present.
  5. Journal of Applied Finance, Referee, 2009 - present.

Events/conferences (25)

  1. University of Greenwich research centre series. (Seminar) London (2016).
    Paper: Alphas in disguise: A new approach to uncovering them
    Author: Chinthalapati V
    Co-authors: Mateus C. and N.Todorovic
  2. FMA Europe. (Conference) Venice (2015).
    Paper: Macroeconomic determinants of cyclical variations in UK size, style and momentum premiums
    Author: Sarwar G
    Co-authors: Mateus C and N. Todorovic
  3. EFMA. (Conference) Amsterdam (2015).
    Paper: Alhas in disguise: A new approach to uncovering them
    Author: Chinthalapati V
    Co-authors: Mateus C. and N. Todorovic
  4. Surrey-Fordham Conference "Banking, Finance, Money and Institutions: The Post Crisis Era". (Conference) Surrey, United Kingdom (2013).
    Paper: Risk Management of European Equity Asset Managers
    Author: Clare A
    Co-authors: Corte-Real, M. and Todorovic.N.
  5. 28th GdRE Symposium on Money Banking and Finance. (Conference) Reading, UK (2011).
    Paper: Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?
    Author: Todorovic N
    Co-authors: Fuertes A-M. and Kalotychou E.
  6. FMA (Europe). (Conference) Hamburg (2010).
    Paper: Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?
    Author: Fuertes A.M
    Co-authors: Kalotychou, E and Todorovic N.
  7. FMA Annual Meeting. (Conference) New York, USA (2010).
    Paper: Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?
    Author: Todorovic N.
    Co-authors: Ana-Maria Fuertes, Elena Kalotychou
  8. British Accounting Association Conference. (Conference) Cardiff, United Kingdom (2010).
    Paper: Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?
    Author: Todorovic N
    Co-authors: Ana-Maria Fuertes, Elena Kalotychou
  9. Cass Finance Semiars. (Seminar) Cass Business School, London (2009).
    Paper: Intraday Price and Volume Information for Volatility -Based trading: Does it Pay?
    Author: Todorovic N
    Co-authors: A.M. Fuertes, E. Kalotychou
  10. University of Essex Seminars. (Workshop) University of Essex, UK (2009). Invited speaker.
    Paper: Intraday Price and Volume Information for Volatility-Based trading: Does it Pay?
    Author: Todorovic N
    Co-authors: A-M. Fuertes, E.Kalotychou
  11. Multinational Finance Society. (Conference) Crete, Greece (2009). Invited speaker.
    Paper: The Impact of UK Manager Changes on Fund Performance and Fund Flow
    Author: Todorovic N
    Co-authors: A. Clare, S.Sapuric
  12. FMA Europe. (Conference) Turin, Italy (2009).
    Paper: The Impact of UK Manager Changes on Fund Performance and Fund Flow
    Author: Todorovic N
    Co-authors: A.Clare, S.Sapuric
  13. Emerging Markets Group Workshop. (Conference) London, UK (2009). Invited speaker.
    Paper: MICEX vs RTS-Battle of exchanges: Who wins the order flow supremacy?
    Author: Todorovic N
    Co-authors: S. Roschkow, I.Marsh
  14. EFMA Conference. (Conference) Milan, Italy (2009).
    Paper: The Impact of UK Manager Changes on Fund Performance and Fund Flow
    Author: Todorovic N
    Co-authors: A.Clare, S.Sapuric
  15. EFMA Conference. (Conference) Milan, Italy (2009).
    Paper: Intraday Price and Volume Information for Volatility-Based trading: Does it Pay?
    Author: Todorovic N
    Co-authors: A-M. Fuerters and E. Kalotychou
  16. CICM Conference. (Conference) London Metropolitan University, London (2009).
    Paper: Determinants of Debt Rescheduling in Eastern European Countries
    Author: Todorovic N
    Co-authors: J. Lausev, A.Stojanovic
  17. FMA Europe. (Conference) Prague (2008).
    Paper: The Impact of Manager Changes on UK FUnd Performance
    Author: Todorovic N
    Co-authors: Clare A. and Sapuric S.
  18. EFMA Conference. (Conference) Athens/Greece (2008).
    Paper: Quantitative or Momentum Based Multi Style Rotation? UK example
    Author: Todorovic N
    Co-authors: Clare A. and Sapuric S.
  19. EFM-EDHEC Risk and Asset Management Symposium. (Conference) Nice/France (2008).
    Paper: The Impact of Manager Changes on UK Fund Performance
    Author: Todorovic N
    Co-authors: Clare A. and Sapuric.S
  20. International Conference in Accounting and Finance for Countries in Transition. (Conference) London, University of Greenwich (2007). Invited speaker.
    Paper: Determinants of Sovereign Debt Rescheduling in Eastern European Countries
    Author: Todorovic N
    Co-authors: J. Lausev, A. Stojanovic
  21. Financial Management Association (FMA). (Conference) Orlando, USA (2007). Invited speaker.
    Paper: Profitability of Quantitative vs. Momentum Style and Size Rotation in UK equity Market
    Author: Todorovic N
    Co-authors: B. Gokani
  22. Euroepan Financial Management Association (EFMA). (Conference) Vienna, Austria (2007). Invited speaker.
    Paper: Profitability of Quantitative vs. Momentum Size and Style Roatation Strategies in the UK Equity Market
    Author: Todorovic N
    Co-authors: B.Gokani
  23. International Conference on Computing in Economic and Finance. (Conference) Limassol, Cyprus (2006). Invited speaker.
    Paper: Profitability of Long–only and Long/Short Size and Style Rotation Strategies in the UK Equity Market
    Author: Todorovic N
    Co-authors: B. Gokani
  24. International Conference on Accounting and Finance in Transition. (Conference) Univeristy of Adelaide, Australia (2006). Invited speaker.
    Paper: Sovereign Debt Rescheduling Probabilities in Emerging Markets: A comparison with Credit Ratings Agencies’ Ratings
    Author: Todorovic N
    Co-authors: A. Georgievska, LJ. Georgievska, A. Stojanovic
  25. International Conference for Accounting and Finance in Trasition. (Conference) University of Greenwich, London (2005). Invited speaker.
    Paper: Modelling Sovereign Debt Rescheduling Probabilities in Emerging Markets
    Author: Todorovic N
    Co-authors: A. Georgievska, LJ. Georgievska, A. Stojanovic