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

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

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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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