Chicago Board Options Exchange (CBOE) and Eurekahedge, a hedge-fund research and data collection company, have agreed to join forces to develop hedge fund benchmark indexes to measure performance of hedge funds that use volatility-based investment strategies.
The CBOE Eurekahedge Volatility Hedge Fund Index will comprise an equally weighted index of constituent hedge funds that use volatility strategies.
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The funds will be chosen from amongst a hedge fund database maintained by Eurekahedge.
The index will facilitate segmentation of volatility-based strategies on the basis of distinct investor goals.
Initially, the index will incorporate four sub-indices, namely the CBOE Eurekahedge Short Volatility Index, CBOE Eurekahedge Long Volatility Index, CBOE Eurekahedge Volatility Arbitrage Index as well as the CBOE Eurekahedge Tail Risk Index.
CBOE will offer ongoing input on the index construction and constituents, as well as will asssist in the index marketing.
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By GlobalDataEurekahedge will be responsible for calculation and dissemination of the values of the index and sub-indices.
Dissemination of index values is slated to start in this June.
Both the index and sub-indices have been designed to enhance investors’ understanding of the volatility-based hedge funds marketplace.
