Chicago Board Options Exchange (CBOE) has launched four new benchmark indexes in collaboration with Eurekahedge, a Singapore-based hedge fund research and data collection company, that measures the performance of hedge funds that employ volatility-based investment strategies.
Values for the new indexes are available on CBOE’s and Eurekahedge’s websites beginning August 18.
The four new indexes were created to meet the demands of institutional hedge fund investors seeking benchmarks that measure the performance of distinct volatility-based strategies.
Hedge funds that invest in volatility-based strategies differ dramatically from one another and often have exposures on completely opposite ends of the volatility spectrum — some funds may be net long volatility, some net short and others neutral. CBOE Eurekahedge Volatility Indexes group specific funds into one of the four indexes that best correspond with a particular strategy.
“Institutional investors are demonstrating an increased interest in volatility strategies,” noted Edward Provost, CBOE president and COO. “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 – the CBOE Eurekahedge Short Volatility Index, CBOE Eurekahedge Long Volatility Index, the CBOE Eurekahedge Relative Value Volatility Index and the CBOE Eurekahedge Tail Risk Index – will be updated monthly and comprise a broad array of U.S.- and international-based funds in the volatility space.
CBOE Launches Hedge Fund Benchmark Indexes
The four new indexes, launched in collaboration with Eurekahedge, were created to meet the demands of institutional hedge fund investors seeking benchmarks that measure the performance of distinct volatility-based strategies.
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