This study used simulation to evaluate the performance of alternative selection index configurations in the context of a breeding programme where a trait with a non-linear economic value is approaching an economic optimum. The simulation used a simple population structure that approximately mimics selection in dual purpose sheep flocks in New Zealand (NZ). In the NZ dual purpose sheep population, number of lambs born is a genetic trait that is approaching an economic optimum, while genetically correlated growth traits have linear economic values and are not approaching any optimum. The predominant view among theoretical livestock geneticists is that the optimal approach to select for nonlinear profit traits is to use a linear selection index and to update it regularly. However, there are some nonlinear index approaches that have not been evaluated. This study assessed the efficiency of the following four alternative selection index approaches in terms of genetic progress relative to each other: (i) a linear index, (ii) a linear index updated regularly, (iii) a nonlinear (quadratic) index, and (iv) a NLF index (nonlinear index below the optimum and then flat). The NLF approach does not reward or penalize animals for additional genetic merit beyond the trait optimum. It was found to be at least comparable in efficiency to the approach of regularly updating the linear index with short (15 year) and long (30 year) time frames. The relative efficiency of this approach was slightly reduced when the current average value of the nonlinear trait was close to the optimum. Finally, practical issues of industry application of indexes are considered and some potential practical benefits of efficient deployment of a NLF index in highly heterogeneous industries (breeds, flocks and production environments) such as in the NZ dual purpose sheep population are discussed.