Joel Rentzler

Professor

Zicklin School of Business

Department: Bert Wasserman Dept Eco & Fin

Areas of expertise:

Email Address: joel.rentzler@baruch.cuny.edu

> View CV

Education

Ph.D., Finance, New York University

M.S., Operations Research, Columbia University

B.S., OR & Statistics, Columbia University

B.A., Mathematics, Columbia College

SemesterCourse PrefixCourse NumberCourse Name
Fall 2023FIN4750Options
Fall 2023FIN4720Futures Markets
Spring 2023FIN4750Options
Spring 2023FIN4720Futures Markets
Fall 2022FIN4750Options
Fall 2022FIN4720Futures Markets
Fall 2022FIN4720Futures Markets
Spring 2022FIN4720Futures Markets
Spring 2022FIN4750Options
Fall 2021FIN4750Options
Fall 2021FIN4720Futures Markets
Spring 2021FIN4720Futures Markets
Spring 2021FIN4750Options
Fall 2020FIN4750Options
Fall 2020FIN4720Futures Markets
Spring 2020FIN4750Options
Spring 2020FIN4720Futures Markets
Fall 2019FIN4720Futures Markets
Fall 2019FIN4750Options
Spring 2019FIN4750Options
Spring 2019FIN4720Futures Markets
Fall 2018FIN4750Options
Fall 2018FIN4720Futures Markets
Spring 2018FIN4750Options
Spring 2018FIN4720Futures Markets
Fall 2017FIN4750Options
Fall 2017FIN4720Futures Markets
Spring 2017FIN4750Options
Spring 2017FIN4720Futures Markets
Fall 2016FIN4720Futures Markets
Fall 2016FIN4750Options
Spring 2016FIN4720Futures Markets
Spring 2016FIN4750Options
Spring 2016FIN9883Options
Fall 2015FIN4750Options
Fall 2015FIN4720Futures Markets
Spring 2015FIN9883Options
Spring 2015FIN4750Options
Fall 2014FIN4720Futures Markets
Fall 2014FIN4750Options
Spring 2014FIN4720Futures Markets
Spring 2014FIN4750Options
Spring 2014FIN9883Options
Fall 2013FIN4750Options
Fall 2013FIN9797Options Markets
Fall 2013FIN9891Special Topics in Investments
Fall 2013FIN4720Futures Markets
Spring 2013FIN4720Futures Markets
Spring 2013FIN4750Options
Fall 2012FIN4720Futures Markets
Fall 2012FIN4750Options
Spring 2012FIN4720Futures Markets
Spring 2012FIN4750Options
Spring 2012FIN9797Options Markets
Fall 2011FIN4720Futures Markets
Fall 2011FIN4750Options
Spring 2011FIN4750Options
Spring 2011FIN4720Futures Markets
Fall 2010FIN4720Futures Markets
Spring 2010FIN4720Futures Markets
Spring 2010FIN4750Options
Fall 2009FIN4750Options
Fall 2009FIN4720Futures Markets
Spring 2009FIN4750Options
Spring 2009FIN4720Futures Markets
Fall 2008FIN4720Futures Markets
Fall 2008FIN4750Options
Spring 2008FIN4750Options
Spring 2008FIN4720Futures Markets
Fall 2007FIN4750Options
Fall 2007FIN4720Futures Markets
Summer 2007FIN4720Futures Markets
Spring 2007FIN4750Options
Spring 2007FIN4720Futures Markets
Fall 2006FIN4720Futures Markets
Fall 2006FIN4750Options
Summer 2006FIN4720Futures Markets
Summer 2006FIN4750Options
Spring 2006FIN4750Options
Spring 2006FIN4720Futures Markets
Fall 2005FIN4720Futures Markets
Fall 2005FIN4750Options
Spring 2005FIN4750Options
Spring 2005FIN4720Futures Markets
Fall 2004FIN4720Futures Markets
Fall 2004FIN4750Options
Spring 2004FIN4750Options
Spring 2004FIN9782Futures and Forward Markets
Fall 2003FIN9783Investment Analysis
Fall 2003FIN4720Futures Markets
Spring 2003FIN4720Futures Markets
Spring 2003FIN4750Options
Spring 2003FIN9782Futures and Forward Markets
Fall 2002FIN4720Futures Markets
Fall 2002FIN4750Options
Spring 2002FIN4750Options
Spring 2002FIN4720Futures Markets
Fall 2001FIN4720Futures Markets
Fall 2001FIN4750Options

Journal Articles

Rentzler, J., & Ferguson, R. (2022). An Early Example of Quantitative Security Analysis from the 1960s. Journal of Business and Social Science Review Issue, Vol. 3; No.8; August 2022. 47-50.

Rentzler, J., & Ferguson, R. (2022). An Example of Early Quantitative Fundamental Analysis: Forecasting Insured Losses Due to Catastrophes. Journal of Business and Social Science Review Issue, Vol. 3; No.8; August 2022. pp.1-26.

Rentzler, J., & Francis, J. (2022). The Evils of Cryptocurrencies. The Journal of Financial Transformation., 55. 82-93.

Rentzler, J. (2018). Chasing Performance and Identifying Talented Investment Managers. Journal of Investing, 27(1). 52-64.

Rentzler, J., ferguson, r., & meidan, d. (2014). The Dependence of Upside Capture Ratios and Downside Capture Ratios on the Length of the Measurement Interval, Beta, and Alpha. Journal of Investment Management,

(2010). Reexamining the Uncertain Information Hypothesis on the S&P 500 and SPDRs. Review of Quantitative Finance and Accounting, 34. pp. 1-21.

(2009). The Effect of Value Estimation Errors on Portfolio Growth Rates. Journal of Investing, 20.

(2006). Trading Strategy on EVA and MVA. Journal of Investing, 15(4). 88-94.

(2006). Intraday Price Reversal Patterns in Currency Futures Markets: The Introduction of GLOBEX and the Euro. Journal of Futures Markets, 26(11). pp. 1089-1130. In Progress.

(2006). Short-term Market Efficiency in the Futures Markets: TOPIX Futures and 10-year JGB Futures. Global Finance Journal, 16. pp. 330-353. In Progress.

(2005). Beyond Long-Term Returns, Mean-Variance Efficiency and CAPM Part II. Journal of Investment Management,

(2005). Beyond Long-Term Returns, Mean-Variance Efficiency and CAPM Part I. Journal of Investment Management,

(2005). Does Economic Value Added (EVA) Improve Stock Performance or Profitability. Journal of Applied Finance, 101-113.

(2005). NASDAQ 100 Index Futures: Intraday Momentum or Reversal. Journal of Investment Management,

(2004). Can Simple Buy and Sell Rules Increase Index Future Day Trading Profitability?. Journal of Investment Management, 2(1). 55-75.

(2004). Looking Back: Quantitative Investment Analysis Before Computers. Journal of Applied Finance, 14(1). 52-61.

(2004). Long/Short Investment Strategies May Not Be Factor Neutral. The Journal of Investing, 13(3). 44-53.

(1999). Winning the Performance Game Without Really Trying. Journal of Performance Measurement, 59-66.

(1989). New Public Offerings, Information, and Investor Rationality: The Case of Publicly Offered Commodity Funds. Journal of Business, 62(1). 1-15.

(1987). The Risks and Returns of Commodity Funds. American Association of Individual Investors Journal, IX(4). 10-16.

(1987). Professionally Managed Publicly Traded Commodity Funds. The Journal of Business, 60(2). 175-199.

(1986). Trading Treasury Bond Spreads Against Treasury Bill Futures - A Model and Empirical Test of the Turtle Trade. Journal of Futures Markets, 6(1). 41-61.

(1985). Employing Financial Futures to Increase the Return on Near Cash (Treasury Bill) Investments. Management Science, 31(3). 293-300.

(1984). Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market. Review of Economics and Statistics, 66(1). 129-137.

(1984). The Ex-Dividend Behavior of Stock Prices: A Re- Examination of the Clientele Effect: A Comment. Journal of Finance, 39(2). 551-556.

(1983). A Simple Examination of the Empirical Relationship Between Dividend Yields and Deviations from the CAPM. Journal of Banking and Finance, 7(1). 135-146.

(1983). The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation. Journal of Finance, 38(2). 525-537.

(1981). Testing the Hypothesis of Beta Stationarity. International Economic Review, 22(3). 577-587.

Book Chapters

Elton, N., Gruber, M., & Rentzler, J. (1997). Intra-day Tests of the Efficiency of the Treasury Bill Futures Market. In Malliaris, A. G. (Ed.), The Review of Economics and Statistics (pp. 343-352). Futures Markets/ Elsevier Science.

Presentations

Rentzler, J. (1988, October 20). . Discussant. New Orleans, LA.: Financial Management Association.

Rentzler, J. (1988, April 22). . Delivered paper. Florida: Eastern Finance Association.

Rentzler, J. (1985, August 15). . Delivered paper. Switzerland: European Economic Conference.

Rentzler, J. (1984, April 14). . Discussant. Orlando,Florida: Eastern Finance Association.

Rentzler, J. (1983, April 21). . Discussant. New York City: Eastern Finance Association.

Rentzler, J. (1982, December 29). . Delivered paper. NYC: American Finance Association.

Rentzler, J. (1982, April 24). . Discussant. Florida: Eastern Finance Association.

Rentzler, J. (1981, October 5). . Delivered one-day seminar on Interest Rate Futures. New York City: Management Bankers Trust Company.

Grauer, F., & Rentzler, J. (1980, June 30). Are Futures Contracts Risky. First Annual Sponsor's Conference-Frontiers in Futures.

Rentzler, J. (1979, November 15). . Delivered paper. New York City: Columbia University's Frontiers in Futures Conference.

Rentzler, J. (1978, May 1). . Discussant. : Joint National TIMS/ORSA session on Optimization in Investment Management.

Rentzler, J. (1977, December 31). . Delivered papera t the Spring l977 Seminar. : Institute for Quantitative Research in Finance in California.

Rentzler, J. (1977, May 13). . Delivered paper. : Salomon Brothers Center for the Study of Financial Institutions Conference on Options Trading.

Research Currently in Progess

Rentzler, J.(n.d.). Intraday Price Patterns Following Large Moves in European Stock Index Futures Market. In Progress.

Rentzler, J.(n.d.). Overreaction In European Stock Index Markets. In Progress.

Rentzler, J.(n.d.). Portfolio Growth Rates in the Presence of Value Estimation Error. In Progress.

Rentzler, J.(n.d.). Regression Analysis of Intra-Day Movements of NASDAQ 100 Index Futures. In Progress.

Rentzler, J.(n.d.). Stock Returns Following Large One-Day Price Movements on S&P 500 Stocks. In Progress.

Honor / AwardOrganization SponsorDate ReceivedDescription
Winner of Eastern Finance Association Outstanding Paper on Futures/Options Award1988
Harold W. MacDowell Award for Research ExcellenceNew York University1978
Teaching Fellowship in Finance New York University1976
Adam Jones Merit Award in Mathematical LogicColumbia1963
New York State Science and Engineering Scholarship1963
New York State Regents Scholarship1958

College

Committee NamePosition RoleStart DateEnd Date
Undergraduate Student AdvisorPresent
Observed classroom teaching of associate and assistant professors as well as adjunct professors and instructors. Submitted written reports to the Finance Department Executive CommitteePresent
Represented department in undergraduate and graduate commencement exercises.Attendee, MeetingPresent
Course consultant for the Finance 4720 Futures Markets coursePresent
Evaluated Transfer Credits for both domestic and foreign students. Done for both graduate and undergraduate students. Examined transcripts and course syllabuses. When a decision based on these could not be reached, individual written and oral examinations were given12/31/2002
Department committees to assess the qualifications of various faculty members including those requesting promotion to Associate Professor and those requesting tenure statusCommittee Chair12/31/2002
Department committees to assess the qualifications of various faculty members including those requesting promotion to Associate Professor and those requesting tenure statusCommittee Chair12/31/2001
Attended departmental seminars12/31/2001
Evaluated Transfer Credits for both domestic and foreign students. Done for both graduate and undergraduate students. Examined transcripts and course syllabuses. When a decision based on these could not be reached, individual written and oral examinations were given12/31/2001
Performed Graduate Finance Advisement. Consulted with students concerning their choice of courses, program changes, career goals, etc.12/31/2001
PhD dissertation committees12/31/2001
Attended departmental seminars12/31/2000
Evaluated Transfer Credits for both domestic and foreign students. Done for both graduate and undergraduate students. Examined transcripts and course syllabuses. When a decision based on these could not be reached, individual written and oral examinations were given12/31/2000
PhD dissertation committeesCommittee Member12/31/2000
Performed Graduate Finance Advisement. Consulted with students concerning their choice of courses, program changes, career goals, etc.12/31/2000
Economic and Finance Department’s Coordinator for the Assessment Committee. Developed assessments of the department’s curriculum, the undergraduate internship program and wrote a focus group questionnaire to determine student perceptions of their experiences with the department12/31/1999
Performed Graduate Finance Advisement. Consulted with students concerning their choice of courses, program changes, career goals, etc.12/31/1999
PhD dissertation committeesCommittee Member12/31/1999
Attended departmental seminars12/31/1999
Instrumental in forming the Study Group in Futures and Options Markets12/31/1988
Appointed Research Associate of the Center for the Study of Business and Government at Baruch College12/31/1983

University

Committee NamePosition RoleStart DateEnd Date
Appointed to the Doctoral Faculty of the Graduate School and the University Center's Ph.D. Program in Business.Present

Professional

OrganizationPosition RoleOrganization StateOrganization CountryStart DateEnd DateAudience
New Product Development Committee of the Coffee, Sugar and Cocoa ExchangeCommittee MemberPresent