Dr Natasha Todorovic Zrilic
Senior Lecturer in Investment Management; Module Leader – Bond and Equity Analysis
Natasha started teaching at Cass Business School in September 1998, while studying for her PhD, and became a permanent member of staff in 2000.
Her research interest is in the areas of fund management, trading strategies and performance evaluation.
Natasha has delivered a number of professional training courses through Cass Executive Education to renowned clients such as Aviva Group and Invesco. She also works closely with Chartered Institute for Securities and Investments (CISI), in her role as Chief Examiner for Fund Management.
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
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 measuring performance of US mutual funds
Comparative study of several recently published methods for improved measurement of managers' stock picking skills
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