User profiles for Richard B Spurgin
Richard SpurginProfessor of Finance, Clark University Verified email at clarku.edu Cited by 1097 |
How to game your Sharpe ratio
RB Spurgin - The Journal of Alternative Investments, 2001 - pm-research.com
The Sharpe ratio is a commonly used measure of return/risk performance. However, the
Sharpe ratio is susceptible to gaming by managers. This article describes a derivative structure …
Sharpe ratio is susceptible to gaming by managers. This article describes a derivative structure …
The benefits of index option-based strategies for institutional portfolios
T Schneeweis, RB Spurgin - The Journal of Alternative …, 2001 - jai.pm-research.com
This study reviews the potential benefit of index option-based strategies as well as the
unique risk and return distributions that result from these strategies. The empirical results are …
unique risk and return distributions that result from these strategies. The empirical results are …
Alpha, alpha… Who's got the alpha?
T Schneeweis, RB Spurgin - The Journal of Alternative …, 1999 - jai.pm-research.com
Hedge funds have also been called “Absolute Return” strategies given their supposed
ability to achieve positive returns in a wide range of market environments. In addition, …
ability to achieve positive returns in a wide range of market environments. In addition, …
[PDF][PDF] Efficient Estimation of Intra-day Volatility: A Methodof-Moments approach incorporating Trading Range
RB Spurgin, T Schneeweis - Financial Markets Tick by Tick, 1999 - Citeseer
Measuring intraday volatility is one of the more difficult tasks facing financial researchers and
practitioners. There are a number of efficient methods of estimating volatility. However, the …
practitioners. There are a number of efficient methods of estimating volatility. However, the …
A Study of Survival
RB Spurgin - The Journal of Alternative Investments, 1999 - pm-research.com
There’s growing evidence that mutual funds that are more different from their benchmark
indices outperform. But how do we know whether or not a fund is truly unique? And how can we …
indices outperform. But how do we know whether or not a fund is truly unique? And how can we …
The Investment Benefits of the LMEX Index
T Schneeweis, RB Spurgin - The Journal of Alternative …, 2000 - pm-research.com
One of the most attractive aspects of commodity investment today is that there are now a
number of passive indexes that are fully investable. The LMEX index is a narrowly focused …
number of passive indexes that are fully investable. The LMEX index is a narrowly focused …
Traditional and Alternative Investments
T Schneeweis, RB Spurgin - The Journal of Alternative …, 1999 - pm-research.com
While traditional forms of investment products such as public funds still dominate the
investment industry, both traditional and alternative investments have experienced recent …
investment industry, both traditional and alternative investments have experienced recent …
Variance Estimators Using the Parkinson Approach
RB Spurgin - The Journal of Alternative Investments, 2001 - pm-research.com
Measuring return volatility remains a core issue not only in performance evaluation but also
in trading an underlying strategy. For those who desire a relatively straightforward approach, …
in trading an underlying strategy. For those who desire a relatively straightforward approach, …
[CITATION][C] A review of hedge fund performance benchmarks
D McCarthy, RB Spurgin - The Journal of Alternative …, 1998 - jai.pm-research.com
Benchmarks are used for two main purposes. One is to serve as a proxy for the return to some
asset class. This proxy can be used to decide how to allocate investments among broad …
asset class. This proxy can be used to decide how to allocate investments among broad …
[CITATION][C] Skewness in asset returns: does it matter?
GA Martin, RB Spurgin - The Journal of Alternative Investments, 1998 - pm-research.com
GEORGE A. MARTIN AND RICHARD SPURGIN n much of traditional asset return analysis,
an asset’s return distribution is assumed to be adequately described by its first two moments (…
an asset’s return distribution is assumed to be adequately described by its first two moments (…