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- Nasdaq OMX Alpha Indexes measure the relative performance of an underlying stock or exchange-traded fund (ETF) against another benchmark ETF using a proprietary calculation. The first component in the index is the “Target Component”, such as Apple (AAPL), and the second component is identified as a “Benchmark Component”, such as the S&P 500 ETF (SPY). The Nasdaq OMX Alpha Indexes were developed by Jacob S. Sagi and Robert E. Whaley, both professors at the Owen Graduate School of Management, Vanderbilt University. They published a research paper “Trading Relative Performance with Alpha Indexes” in the November/ December 2011 issue of Financial Analysts Journal detailing the concept behind Alpha Indexes. Nasdaq OMX launched the live calculation and dissemination of Alpha Indexes on October 11, 2010. The Alpha Indexes were set at 100.00 as of January 1, 2010. Thus each disseminated index depicts a target component's return performance versus its benchmark since January 1, 2010. For example, the Alpha Index for AAPL with SPY as the benchmark, which trades under the symbol AVSPY, had a level of 199.91 on 11/09/12. This means that over the period between 1/1/2010 until 11/09/2012 an investment in AAPL outperformed an investment in SPY by +99.91% (en)
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