U.S. pension funds currently own about $1.3 trillion of domestic equities. About 30% of this is invested in index funds. Index funds deliver only the return of the index less a discount. A credible investment product that assures the return of a benchmark plus a premium is an attractive alternative to indexing. We analyze a knock-out call type investment performance fee arrangement that provides such a premium, eliminates counterparty risk, and significantly enhances risk management for investors. An important property of the fee structure is that it is only attractive to investment managers who believe they can outperform a chosen benchmark.