Trading Relative Performance with Alpha Indexes

Posted: 23 Nov 2011

See all articles by Jacob S. Sagi

Jacob S. Sagi

University of North Carolina (UNC) at Chapel Hill - Finance Area

Robert Whaley

Vanderbilt University - Finance

Multiple version iconThere are 2 versions of this paper

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

Sagi, Jacob and Whaley, Robert, Trading Relative Performance with Alpha Indexes (November 22, 2011). Financial Analysts Journal, Vol. 67, No. 6, 2011, Available at SSRN: https://ssrn.com/abstract=1963356

Jacob Sagi (Contact Author)

University of North Carolina (UNC) at Chapel Hill - Finance Area ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

Robert Whaley

Vanderbilt University - Finance ( email )

401 21st Avenue South
Nashville, TN 37203
United States
615-343-7747 (Phone)
615-376-8879 (Fax)

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