PT - JOURNAL ARTICLE AU - Ananth N Madhavan TI - VWAP Strategies DP - 2002 Mar 20 TA - Trading PG - 32--39 VI - 2002 IP - 1 4099 - http://guides.pm-research.com/content/2002/1/32.short 4100 - http://guides.pm-research.com/content/2002/1/32.full AB - The performance of traders is often measured by their ability to trade at prices better than the volume-weighted average price (VWAP). The prevalence of VWAP benchmarks raises several natural questions. When is VWAP a sensible benchmark, and how does it compare with alternatives? How do traders adjust their trading strategies when measured against a VWAP metric? What are the advantages and disadvantages of alternative strategies to achieve execution close to VWAP? The author argues that while VWAP strategies are relatively straightforward from a conceptual viewpoint, their implementation is often more difficult than commonly believed.