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Benchmarking For the Bear: A Love and Hate Affair With VWAP

Traders Magazine, February 2003

Nina Mehta

The VWAP, the trading industry performance yardstick, has many critics. And rightfully so - it is used not because it is the best measuring rod, but simply because it is the easiest way to gauge a trader's performance. Since the mid-1980s, VWAP, or volume-weighted average price, has been the most common benchmark to evaluate a trader's or broker's executions.

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