Richard Spurgin
Associate Professor of Finance
Graduate School of Management
Clark University
Worcester, MA 01610-1477
Phone: 508-793-7596
Email: rspurgin@clarku.edu
Curriculum Vitae for Dr. Spurgin
PhD, University of Massachusetts
Teaching Courses
Investment Strategies
Fixed Income Securities
Key Publications and Presentations
Schneeweis, T., Spurgin, R., and Szado, E. (2013) Managed Futures Research, A Composite CTA Performance Review, The Journal of Alternative Investments, 15 (3).
Schneeweis, T., Kazemi, H., and Spurgin, R. (2008). Momentum in Asset Returns: Are Commodity Returns a Special Case? The Journal of Alternative Investments, 10 (4)
Schneeweis, T., Spurgin, R., and Waksman, S. (2006). Early Reporting Effects on Hedge Fund and CTA Returns, The Journal of Alternative Investments, 9 (2)
Martin, G., and Spurgin, R. (2009), Gaining Exposure to Emerging Markets in Institutional Portfolios: The Role of Commodities, in Risk Management in Commodity Markets, H. Geman (Ed), Wiley
Spurgin, R., and Schneeweis, T. (1999), Efficient Estimation of Intraday Volatility, a Method-of-Moments Approach Incorporating the Trading Range, in Financial Markets Tick by Tick, P. Lequeux, (Ed), Wiley
"A Review of Hedge Fund Benchmark Indices," Journal of Alternative Investments (1998)
"A Comparison of Return Patterns in Traditional and Alternative Investments," Alternative Investment Strategies (1998)
"Efficient Estimation of Intraday Volatility: A Method-of-Moments Approach Incorporating the Trading Range," Financial Markets Tick by Tick (1998)
"Benefits of Managed Futures," in Handbook of Managed Futures, Irwin Publishing (1997)
"Managed Futures and Hedge Fund Investment for Downside Equity Risk Management," reprinted in Handbook of Managed Futures, Irwin Publishing (1997); Derivatives Quarterly (1996)
"Comparison of Commodity and Managed Futures Benchmark Indices," Journal of Derivatives (1997)
"Information Content in Historical CTA Returns," Journal of Futures Markets (1997)
"Survivor Bias in CTA Performance," Journal of Futures Markets (1996)
"Investment through CTAs: An Alternative Managed Futures Investment," Journal of Derivatives (1996)