RT Journal Article
SR Electronic
T1 VWAP Strategies
JF Trading
FD Institutional Investor Journals
SP 32
OP 39
VO 2002
IS 1
A1 Ananth N Madhavan
YR 2002
UL http://guides.pm-research.com/content/2002/1/32.abstract
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.