Trading Relative Performance with Alpha Indexes
Posted: 23 Nov 2011
There are 2 versions of this paper
Trading Relative Performance with Alpha Indexes
Date Written: November 22, 2011
Abstract
Relative performance is central to investment management, and yet relative performance securities do not trade directly. Complex trading strategies must be devised to capture relative gains. The authors introduce a suite of relative performance indexes and index derivatives that offer new and attractive payoff structures. They demonstrate a variety of ways in which these products can provide a more efficient and cost-effective means of realizing investment objectives than can traditional futures and option markets.
Keywords: Derivatives: Futures Markets and Instruments, Options Markets and Instruments
Suggested Citation: Suggested Citation