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CBOE launches four hedge fund benchmark indexes with Eurekahedge
By Tali Rackner
Norfolk, Va., Aug. 18 – The Chicago Board Options Exchange announced the launch of four new benchmark indexes in collaboration with Eurekahedge, according to a press release. They were created to meet the demands of institutional hedge fund investors seeking benchmarks that measure the performance of distinct volatility-based strategies.
The indexes include the CBOE Eurekahedge Short Volatility index, CBOE Eurekahedge Long Volatility index, CBOE Eurekahedge Relative Value Volatility index and CBOE Eurekahedge Tail Risk index.
“Institutional investors are demonstrating an increased interest in volatility strategies,” CBOE president and chief operating officer Edward Provost said in the release.
“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 broad 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.
The 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 of the constituent funds exceed $50 billion as of June.
Values for the new indexes are available on CBOE’s and Eurekahedge’s websites beginning Tuesday.
CBOE is regulated by the Securities and Exchange Commission. Eurekahedge is a Singapore-based hedge fund research and data collection company.
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