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...

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...

A number of seemingly unrelated commodities experienced simultaneous price spikes recently. Congress investigated the increase in prices and concluded that the price increases were not attributable to fundamentals but rather to commodity index investing. The purpose of this study is to evaluate...