The Chicago Board Options Exchange (CBOE) has partnered with Eurekahedge and launched four new benchmark indices in a bid to measure the performance of hedge funds via volatility-based investment strategies.
Eurekahedge is a Singapore-based hedge fund research and data collection group, having collaborated with the CBOE to foment a newly designed institutional offering. The indices themselves were designed to help meet the demands of institutional hedge fund investors who aimed at utilizing benchmarks that measure the performance of volatility-based strategies.
Given the propensity for hedge funds to invest based on a wide array of volatility, the CBOE Eurekahedge Volatility Indexes help aggregate desired levels of risk, whereby creating a more tailored strategy for institutional clients.
In an effort to maintain the highest degree of variance, the indices will be updated on a rolling monthly basis, and will constitute US and international-based funds in the volatility space. In particular, the indices are equally weighted amongst their constituent funds – overall the current combined assets under management (AUM) of the respective funds amount to nearly $50 billion as of June 2015. The initial tranche of the four indices include the following:
- CBOE Eurekahedge Short Volatility Index
- CBOE Eurekahedge Long Volatility Index
- CBOE Eurekahedge Relative Value Volatility Index
- CBOE Eurekahedge Tail Risk Index
According to Edward Provost, CBOE President and Chief Operating Officer in a recent statement on the launch, “Institutional investors are demonstrating an increased interest in volatility strategies. These new indexes respond to that trend and will allow investors to more accurately gauge the performance of comparable funds.”
Earlier this month, CBOE Holdings (NASDAQ: CBOE) reported its volumes for the month ending July 2015. The group revealed a total trading volume for options contracts on Chicago Board Options Exchange, C2 Options Exchange, and futures contracts on CBOE Futures Exchange of 106.5 million, up 7.4% MoM from 99.2 million contracts back in June 2015.