Richard B Spurgin

Clark University — United States

Economics, Econometrics and Finance · Social Sciences

12h-index684citations26works0.02yr avg
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Research Topics

Financial Markets and Investment Strategies(15), Market Dynamics and Volatility(8), Stochastic processes and financial applications(4), Financial Risk and Volatility Modeling(4), Complex Systems and Time Series Analysis(4)

Publications26 total

Managed Futures: A Composite CTA Performance Review
SSRN Electronic Journal·2013· 4 citedOpen Access
Managed Futures Research: <i>A Composite CTA Performance Review</i>
The Journal of Alternative Investments·2012· 6 cited
Gaining Exposure to Emerging Markets in Institutional Portfolios: The Role of Commodities
2009
Momentum in Asset Returns
The Journal of Alternative Investments·2008· 18 cited
Early Reporting Effects on Hedge Fund and CTA Returns
The Journal of Alternative Investments·2006· 8 cited
Timely Execution
The Journal of Trading·2006
Switching Investments Can Be a Bad Idea When Parrondo's Paradox Applies
Journal of Behavioral Finance·2005· 28 cited
How to Game Your Sharpe Ratio
The Journal of Alternative Investments·2001· 91 cited
Variance Estimators Using the Parkinson Approach
The Journal of Alternative Investments·2001· 1 cited
The Benefits of Index Option-Based Strategies for Institutional Portfolios
The Journal of Alternative Investments·2001· 39 cited
A method of estimating changes in correlation between assets and its application to hedge fund investment
Journal of Asset Management·2001· 16 cited
The Investment Benefits of the LMEX Index
The Journal of Alternative Investments·2000· 2 cited
A Study of Survival
The Journal of Alternative Investments·1999· 12 cited
Alpha, Alpha… Who's Got the Alpha?
The Journal of Alternative Investments·1999· 12 cited
Traditional and Alternative Investments
The Journal of Alternative Investments·1999· 3 cited
A Benchmark for Commodity Trading Advisor Performance
The Journal of Alternative Investments·1999· 37 cited
Closed–End Fund Performance
The Journal of Alternative Investments·1998· 3 cited
Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics
The Journal of Alternative Investments·1998· 189 cited
Skewness in Asset Returns
The Journal of Alternative Investments·1998· 11 cited
Managed Futures, Hedge Fund, and Mutual Fund Performance
The Journal of Alternative Investments·1998· 6 cited
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Frequent Co-authors

Thomas Schneeweis(16), David McCarthy(3), George A. Martin(3), Edward Szado(2), Maurry Tamarkin(1), Hossein B. Kazemi(1), David McCarthy(1), Sol Waksman(1), David McCarthy(1), William Dinning(1), Bhaswar Gupta(1)