TY - JOUR T1 - VWAP Strategies JF - Trading SP - 32 LP - 39 VL - 2002 IS - 1 AU - Ananth N Madhavan Y1 - 2002/03/20 UR - http://guides.pm-research.com/content/2002/1/32.abstract N2 - 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. ER -