Chicago Board Options Exchange (CBOE) has entered into an agreement with Eurekahedge, a hedge-fund research and data collection company, to collaborate on the development of a series of new benchmark indexes that will measure the performance of hedge funds that use volatility-based investment strategies.
The CBOE Eurekahedge Volatility Hedge Fund Index will be an equally weighted index of constituent hedge funds that engage in volatility strategies and are selected from a hedge fund database maintained by Eurekahedge.
The new index initially will comprise four sub-indices: the CBOE Eurekahedge Short Volatility Index, CBOE Eurekahedge Long Volatility Index, CBOE Eurekahedge Volatility Arbitrage Index and CBOE Eurekahedge Tail Risk Index. CBOE will provide ongoing input on the index construction and constituents and assist in the marketing of the index. Eurekahedge will calculate and disseminate the values of the index and sub-indices. Dissemination of index values is expected to begin in June 2015.
The index and sub-indices are designed to help investors better understand the marketplace of volatility-based hedge funds by providing useful benchmarks. The index will be unique in that it will segment volatility-based strategies based on distinct investor goals.
Based in Singapore, Eurekahedge is a subsidiary of Mizuho Bank, the second largest financial services group in Japan. Eurekahedge’s alternative asset funds databases are updated monthly and cover North America, Europe, Asia and Latin America.