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Richard Spurgin
Richard Spurgin
Professor of Finance, Clark University
Adresse e-mail validée de clarku.edu
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Multifactor analysis of hedge fund, managed futures, and mutual fund return and risk characteristics
T Schneeweis, RB Spurgin
The Journal of Alternative Investments 1 (2), 1-24, 1998
1781998
How to game your Sharpe ratio
RB Spurgin
The Journal of Alternative Investments 4 (3), 38-46, 2001
1152001
Survivor bias in commodity trading advisor performance
T Schneeweis, R Spurgin, D McCarthy
The Journal of Futures Markets (1986-1998) 16 (7), 757, 1996
771996
Comparisons of commodity and managed futures benchmark indexes
T Schneeweis, RB Spurgin
The Journal of Derivatives 4 (4), 33-50, 1997
591997
Quantitative analysis of hedge fund and managed futures return and risk characteristics
T Schneeweis, R Spurgin
Evaluating and implementing hedge fund strategies, 1999
521999
The benefits of index option-based strategies for institutional portfolios
T Schneeweis, RB Spurgin
The Journal of Alternative Investments 3 (4), 44-52, 2001
472001
Commodity futures index and methods and systems of trading in futures contracts that minimize turnover and transactions costs
R Spurgin, T Schneeweis, H Kazemi, G Martin
US Patent App. 11/385,624, 2006
402006
Informational content in historical CTA performance
T Schneeweis, R Spurgin, D McCarthy
Journal of Futures Markets 17 (3), 317-339, 1997
391997
A benchmark for commodity trading advisor performance
R Spurgin
Journal of Alternative Investments 2 (1), 11-21, 1999
371999
Switching investments can be a bad idea when Parrondo's paradox applies
R Spurgin, M Tamarkin
The Journal of Behavioral Finance 6 (1), 15-18, 2005
342005
Managed futures and hedge fund investment for downside equity risk management
T Schneeweis, R Spurgin, M Potter
Derivatives Quarterly 3, 62-72, 1996
341996
Multi-factor models in managed futures, hedge fund and mutual fund return estimation
T Schneeweis, R Spurgin
Journal of Alternative Investments 1, 1-24, 1998
311998
Dealing with myths of managed futures
T Schneeweis
The Journal of Alternative Investments 1 (1), 9-17, 1998
28*1998
Hedge Funds: Portfolio risk diversifiers, return enhancers or both
T Schneeweis, R Spurgin
CISDM/Isenberg School of Management, University of Massachusetts, 2000
262000
A review of hedge fund performance benchmarks
D McCarthy, RB Spurgin
The Journal of Alternative Investments 1 (1), 18-28, 1998
251998
Alpha, alpha… Who's got the alpha?
T Schneeweis, RB Spurgin
The Journal of Alternative Investments 2 (3), 83-87, 1999
231999
A method of estimating changes in correlation between assets and its application to hedge fund investment
R Spurgin, G Martin, T Schneeweis
Journal of Asset Management 1, 217-230, 2001
222001
Managed futures, hedge fund and mutual fund return estimation: A multi-factor approach
T Schneeweis, R Spurgin
Amherst, MA, USA: Canter for International Securities and Derivatives …, 1997
221997
Momentum in asset returns: are commodity returns a special case?
T Schneeweis, H Kazemi, R Spurgin
The Journal of Alternative Investments 10 (4), 23, 2008
202008
A comparison of return patterns in traditional and alternative investments
T Schneeweis, R Spurgin, J Sohail
Alternative Investment Strategies 10, 157-188, 1998
171998
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