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.
Sagi, J. S., & Whaley, R. E. (2011). Trading relative performance with alpha indexes. Financial Analysts Journal, 67(6), 77-93. doi:10.2469/faj.v67.n6.4
Note: Research papers posted on SSRN, including any findings, may differ from the final version chosen for publication in academic journals.