38 Pages Posted: 16 Oct 2010 Last revised: 23 Nov 2012
Date Written: 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.
Keywords: Options and Futures on Relative Performance, Trading Correlation, Alpha Indexes
JEL Classification: G11, G12, G13
Suggested Citation: Suggested Citation