PhD University of Massachusetts, Amherst, MA (USA) May AB Dartmouth College, Hanover, NH (USA) June 1981
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1 Richard Baird Spurgin Associate Professor of Finance Clark University Graduate School of Management 950 Main Street, Worcester, MA Tel: (508) Fax: (508) EDUCATION PhD University of Massachusetts, Amherst, MA (USA) May 1995 AB Dartmouth College, Hanover, NH (USA) June 1981 PROFESSIONAL EXPERIENCE Present Clark University, Graduate School of Management, Worcester, MA 2001 pres.: Associate Professor : Assistant Professor Thomson Financial Markets, Boston, MA : Director of Fixed-Income Research : Fixed-Income Analyst Perry-White & Assoc. Waltham, MA Consultant PUBLICATIONS AND PRESENTATIONS Refereed Journal Publications Schneeweis, T., R. Spurgin, and E. Szado (2013). Managed Futures Research: A Composite CTA Performance Review, The Journal of Alternative Investments, 15 (3) Schneeweis, T. H. Kazemi, and R. Spurgin (2008). Momentum in Asset Returns: Are Commodity Returns a Special Case? The Journal of Alternative Investments, 10 (4) Schneeweis, T., R. Spurgin, and S. Waksman (2006). Early Reporting Effects on Hedge Fund and CTA Returns, The Journal of Alternative Investments, 9 (2) Schneeweis, T., R. Spurgin and B. Gupta (2006). Timely Execution: Evidence From Physical Futures Markets, Journal of Trading, 1 (2) Spurgin, R., and M. Tamarkin (2005). Switching Investments Can Be a Bad Idea When Parrondo's Paradox Applies, Journal of Behavioral Finance, 6 (1)
2 Spurgin, R., (2003). How to Game Your Sharpe Ratio, The Journal of Alternative Investments, 6 (3) Spurgin, R., G. Martin, and T. Schneeweis (2001). A Method of Estimating Changes in Correlation Between Assets and its Application to Hedge Fund Investment, Journal of Asset Management, 1 (3) Spurgin, R (2000). A Study of Survival: Commodity Trading Advisors, , The Journal of Alternative Investments, 3 (3) Dinning, W., and R. Spurgin (1999). Closed-End Fund Performance: A Cross-Country Comparison, The Journal of Alternative Investments, 2 (3) Spurgin, R. (1999). A Benchmark for Commodity Trading Advisor Performance, The Journal of Alternative Investments, 1 (4) Schneeweis, T., and R. Spurgin (1999). Traditional and Alternative Investments: Market Structure, Product Structure, and Security Design, The Journal of Alternative Investments, 2 (1) Spurgin, R., and D. McCarthy (1998). A Review of Hedge Fund Benchmarks, Journal of Alternative Investments, 1 (4) Schneeweis, T., and R. Spurgin (1998). Quantitative Analysis of Hedge Fund and Managed Futures Return and Risk Characteristics, Journal of Alternative Investments, 1 (1) Martin, G, and R. Spurgin, (1998). Skewness: When Does it Matter? Journal of Alternative Investments, 1 (1) Schneeweis, T., and R. Spurgin (1997). Information Content in Historical CTA Returns, Journal of Futures Markets, 17 (3) Schneeweis, T., and R. Spurgin (1997). Comparison of Commodity and Managed Futures Benchmark Indices, Journal of Derivatives, 4 (4) McCarthy, D., T. Schneeweis, and R. Spurgin (1996). Investment through CTAs: An Alternative Managed Futures Investment, Journal of Derivatives, 3 (4)
3 Schneeweis, T., R. Spurgin, and D. McCarthy (1996). Survivor Bias in CTA Performance, Journal of Futures Markets, 16 (7) Non-refereed Journal Publications Schneeweis T., R. Spurgin and M. Potter, (1996). Managed Futures and Hedge Fund Investment for Downside Equity Risk Management, Derivatives Quarterly, 3 (2) Refereed Book Chapters Martin, G., and R. Spurgin (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 T. Schneeweis (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 Non-refereed Books Donohue, Garay, Jaffarian, Lhabitant, Mathonet, Mayer, Spurgin, and Stevenson (2009), CAIA Level II: Advanced Core Topics in Alternative Investments, (Wilkens-Christopher, ed.). Wiley. Non-refereed Book Chapters Schneeweis T., and R. Spurgin (2004), Quantitative Analysis of Hedge Fund and Managed Futures Risk and Return Characteristics, in Evaluating and Implementing Hedge Fund Strategies, Third Edition, R. Lake, (Ed), Euromoney Books T. Schneeweis and R. Spurgin (2000), Energy Futures and Alternative Energy Investments, in The Handbook of Alternative Investment Strategies: An Investor's Guide, T. Schneeweis and J. Pescatore, (Eds), Institutional Investor Publications T. Schneeweis and R. Spurgin (2000), Alternative Investments in the Institutional Portfolio, in The Handbook of Alternative Investment Strategies: An Investor's Guide, T. Schneeweis and J. Pescatore, (Eds), Institutional Investor Publications Schneeweis T., and R. Spurgin (1999), Quantitative Analysis of Hedge Fund and Managed Futures Risk and Return Characteristics, in Evaluating and Implementing Hedge Fund Strategies, Second Edition, R. Lake, (Ed), Euromoney Books
4 Schneeweis T., and R. Spurgin (1999) A Comparison of Return Patterns in Traditional and Alternative Investments, in Alternative Investment Strategies, C. Garnett, (Ed), Euromoney Books Schneeweis T., and R. Spurgin (1997), Benefits of Managed Futures, in Handbook of Managed Futures, C. Peters and B. Warwick, (Eds), Irwin Schneeweis T., R. Spurgin and M. Potter (1997) Managed Futures and Hedge Fund Investment for Downside Equity Risk Management, Reprinted in Handbook of Managed Futures, C. Peters and B. Warwick, (Eds), Irwin Refereed Conference Presentations Martin, G., R. Spurgin, and T. Schneeweis (2001) Alternative Investments in the Institutional Portfolio, Berkeley Program in Finance, Lake Tahoe, CA Schneeweis T., and R. Spurgin (2000) The Benefits of Hedge Funds, First World Congress of the Bachelier Finance Society, Paris, France Schneeweis T., R. Spurgin and M. Potter (1996). Managed Futures and Hedge Fund Investment for Downside Equity Risk Management, French Finance Association Annual Meeting, Geneva, Switzerland Schneeweis, T., and R. Spurgin (1995). Benchmarks for Commodity Trading Advisor Performance, French Finance Association Annual Meeting, Paris, France Spurgin, R. (1994). Using the Trading Range to Estimate the Variance of a Binomially Distributed Security, FMA Doctoral Seminar, Financial Management Association Annual Meeting, St. Louis Non-refereed Conference Presentations Schneeweis, T., Spurgin, R. (2006) Performance Persistence in Managed Futures Funds, EDHEC, London, February 2006 Spurgin, R. (2005), Bias in Correlation Measures and its Implication for Performance Measurement, CISDM Research Conference, Chicago Spurgin, R., (2005) Convex Indexing, CISDM Annual Conference, September 2005, Amherst, MA LPR/PRJ,LPR/PRO, LPR/OIC, DBS/PRJ, DBS/PRO, DBS/OIC, CP/PRJ, CP/PRO, CP/OI
5 Spurgin, R., T. Schneeweis, and G. Georgiev (2000) Benchmarking Commodity Trading Advisors with a Passive Futures-Based Index, CISDM Annual Conference, Amherst, MA C Spurgin, R (1999). A Benchmark for Commodity Trading Advisor Performance, CISDM Annual Conference, Amherst, MA Schneeweis T., R. Spurgin (1996).The Benefits of Managed Futures, Managed Futures International Conference, Paris, France TEACHING EXPERIENCE Clark University, Graduate School of Management Advanced Derivatives (MSF) Corporate Finance (Undergraduate) Derivative Securities (MBA) Derivatives Cases (MBA, MSF) Financial Econometrics (MSF) Financial Management (MBA) Fixed Income Securities (MBA, MSF) Investment Strategies (MBA, MSF) Investments (Undergraduate) Quantitative Techniques in Derivatives Valuation (MBA) Seminar in Finance Theory (MSF) Statistics (MBA) Stock and Bond Valuation (MBA) CONSULTING/EXECUTIVE EDUCATION Government Commodity Futures Trading Commission Federal Energy Regulatory Commission Financial Industry Barclays Bank UK Pension Fund Citibank Deutsche Banc Jefferies Bache Lyra Capital Merrill Lynch Morgan Stanley Northern Trust Prudential Financial Zurich Re
6 SERVICE Graduate School of Management, Clark University Chair, MS Program Review Committee, 2013 Chair, Finance Faculty Committee, 2011, 2012, 2013 Chair, Finance Search Committee, 2001, 2002, 2009, 2010, 2011 (2), 2013 Member, Dean s ad hoc Strategic Planning Committee, 2013 Chair, MSF Program Review Committee, 2011, 2012 Member, GSOM Dean Search Committee Member, Graduate Program Review Committee, 2004, 2006, 2008, 2009, 2010 Member, GSOM Admissions Director Search Committee 2008 Clark University Sexual Respect Committee, Community Center for International Security and Derivative Markets, University of Massachusetts at Amherst, Associate Director, 1996-present Editorial Board, Journal of Alternative Investments, 1998-present Reviewer, The Financial Review Reviewer, Journal of Futures Markets Reviewer, Journal of Alternative Investments Reviewer, Journal of Investing Professional Exam Committee and Curriculum Committee, Chartered Alternative Investment Analysts Association, 2003-present Grant Selection Committee, Foundation for Managed Derivatives Research, LME Metals Index Oversight Committee, London Metal Exchange, New York Mercantile Exchange Research and Education Committee, GRANT EUREX Research Grant, 2003 New York Board of Trade Research Support, 2002 Chicago Board Options Exchange Research Grant, 1999 London Metal Exchange Research Grant, 1999 New York Mercantile Exchange Research Grant, 1997 Foundation for Managed Futures Research Grant, 1996 Chicago Board of Trade Research Fellowship, 1996 University of Massachusetts FMA Dissertation Fellowship, 1994 AACSB Doctoral Fellowship, 1991
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