CBOE teams up with Eurekahedge to launch hedge fund benchmarks


Chicago Board Options Exchange, part of CBOE Holdings, Inc (NASDAQ:CBOE), today announced it has launched four new benchmark indexes in partnership with Eurekahedge, a Singapore-based hedge fund research and data collection company.

Values for the new indexes will be available on CBOE’s and Eurekahedge’s websites, starting today – August 18.

The new indexes are launched in response to demands of institutional hedge fund investors seeking benchmarks that track the performance of distinct volatility-based strategies.

“Institutional investors are demonstrating an increased interest in volatility strategies,” noted Edward Provost, CBOE President and Chief Operating Officer. “These new indexes respond to that trend and will allow investors to more accurately gauge the performance of comparable funds.”

The CBOE Eurekahedge Volatility Indexes, which will be updated monthly, comprise a vast array of U.S.- and international-based funds in the volatility space. They include funds offered by firms that are well-known in the sector: 36 South Capital Advisors, Argentiere Capital, Artemis Capital Management, Assenagon Asset Management, BlueMountain Capital Management, Capstone Investment Advisors, Dominice & Co Asset Management, Fortress Investment Group, Harvest Volatility Management, JD Capital Management, Man Investments, Mariner Investment Group, Parallax Volatility Advisers and Picton Mahoney Asset Management.

UnknownThe CBOE Eurekahedge Volatility Indexes are equally weighted among their constituent funds and most have been reconstructed by Eurekahedge since 2005 using a rules-based methodology (CBOE Eurekahedge Tail Risk Index is reported from 2008). The current combined assets under management (AUM) of the constituent funds surpass $50 billion as of June 2015.

Below is a short description of the CBOE Eurekahedge Volatility Indexes:

  • CBOE Eurekahedge Short Volatility Index (Bloomberg Ticker: EHFI450) — The short volatility index is an equally weighted index of 15 constituent funds designed to provide a broad measure of the performance of underlying hedge fund managers who take a net short view on implied volatility with a goal of positive absolute return. The strategy often involves the selling of options to take advantage of the discrepancies in current implied volatility versus expectations of subsequent implied or realized volatility.
  • CBOE Eurekahedge Long Volatility Index (Bloomberg Ticker: EHFI451) — The long volatility index is an equally weighted index of 10 constituent funds designed to provide a broad measure of the performance of underlying hedge fund managers who take a net long view on implied volatility with a goal of positive absolute return.
  • CBOE Eurekahedge Relative Value Volatility Index (Bloomberg Ticker: EHFI452) — The relative value volatility index is an equally weighted index of 39 constituent funds designed to provide a broad measure of the performance of underlying hedge fund managers that trade relative value or opportunistic volatility strategies. Managers utilizing the strategy can pursue long, short or neutral views on volatility with a goal of positive absolute return.
  • CBOE Eurekahedge Tail Risk Index (Bloomberg Ticker: EHFI453) — The tail risk index is an equally weighted index of 8 constituent funds designed to provide a broad measure of the performance of underlying hedge fund managers who specifically seek to achieve capital appreciation during periods of extreme market stress.

Although the names of the funds and the aggregate performance of each index will be publicly accessible on Eurekahedge’s and CBOE’s websites, the performance of individual constituent funds will not be public. Only subscribers to Eurekahedge’s database who are accredited, professional and/or qualified investors will have access to the individual performance data used by Eurekahedge to create the indexes.

To view the official press release by CBOE, click here.

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CBOE teams up with Eurekahedge to launch hedge fund benchmarks

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