Abstract

http://ssrn.com/abstract=1692738
 
 

References (21)



 


 



Trading Relative Performance with Alpha Indexes


Jacob S. Sagi


University of North Carolina Kenan-Flagler Business School

Robert E. Whaley


Vanderbilt University - Finance

May 12, 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. This paper introduces a suite of relative performance indexes and index derivatives that offer new and attractive payoff structures. We illustrate a variety of ways in which the products can provide a more efficient and cost-effective means of realizing investment objectives than can traditional futures and options markets.

Number of Pages in PDF File: 38

Keywords: Options and Futures on Relative Performance, Trading Correlation, Alpha Indexes

JEL Classification: G11, G12, G13

working papers series


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Date posted: October 16, 2010 ; Last revised: November 23, 2012

Suggested Citation

Sagi, Jacob S. and Whaley, Robert E., Trading Relative Performance with Alpha Indexes (May 12, 2011). Available at SSRN: http://ssrn.com/abstract=1692738 or http://dx.doi.org/10.2139/ssrn.1692738

Contact Information

Jacob Sagi
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States
HOME PAGE: http://public.kenan-flagler.unc.edu/faculty/sagij/

Robert E. Whaley (Contact Author)
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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References:  21

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