Indices

Index Press Release - 18 August 2015

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

Press Release: Eurekahedge and CBOE launch four benchmark indices tracking volatility-based investment strategies

SINGAPORE (AUGUST 18, 2015) - Eurekahedge, a market leading alternative fund data provider and research house, together with Chicago Board Options Exchange (CBOE), the largest U.S. options exchange and home of the widely followed CBOE Volatility Index® (VIX® Index), announced today the launch of the "CBOE Eurekahedge Volatility Indexes," a collection of four new benchmark indices measuring the performance of hedge funds employing volatility-based investment strategies.

The indices were created to meet the demands of institutional hedge fund investors seeking more representative benchmarks that reflect the goals of distinct volatility-based strategies. As hedge funds that invest in volatility-based strategies differ quite dramatically, being net long volatility, net short and neutral, the CBOE Eurekahedge Volatility Indexes contain a broad number of funds in the volatility space. Eurekahedge has a history of providing highly specialised benchmarks such as the ILS Advisers Indices, Mizuho-Eurekahedge Indices, Eurekahedge 50, and MEBI Indices series for sophisticated investors. The CBOE Eurekahedge Volatility Indexes will command the same high-quality control standards and will be a valuable index that investors can build products around.

Among the funds listed in each index are funds offered by well-known firms: 36 South Capital Advisors, Argentiere Capital, Artemis Capital Management, Assenagon Asset Management, BlueMountain Capital Management, Capstone Investment Advisors, Dominice & Co Asset Management, Fortress Investment Group, Harvest Volatility Management, JD Capital Management, Man Investments, Mariner Investment Group, Parallax Volatility Advisers and Picton Mahoney Asset Management.

Alexander Mearns, CEO of Eurekahedge said, "In 2008 the global stock market went down 43%1 but long volatility funds were up 46%. After 7 years without a major correction in developed markets, investors are increasingly looking at volatility and downside protection, so to that end Eurekahedge are delighted to have teamed up with Chicago Board Options Exchange to offer this new suite of indices to address investors’ demands."

Edward Provost, President and Chief Operating Officer of CBOE Holdings, Inc. noted “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.

The CBOE Eurekahedge Volatility Indexes can be found at http://www.eurekahedge.com/indices/hedge_fund_volatility_indices along with a full list of the fund names and the index's aggregate performance returns to all registered subscribers. For more information on the CBOE Eurekahedge Hedge Fund Index methodology, please visit http://www.eurekahedge.com/Indices/CBOE-Eurekahedge-Volatility-Indexes-Methodology.

About the index

The equally weighted CBOE Eurekahedge Volatility Indexes comprise the following:

  • CBOE Eurekahedge Short Volatility Index (Bloomberg Ticker: EHFI450)
  • CBOE Eurekahedge Long Volatility Index (Bloomberg Ticker: EHFI451)
  • CBOE Eurekahedge Relative Value Volatility Index (Bloomberg Ticker: EHFI452)
  • CBOE Eurekahedge Tail Risk Index (Bloomberg Ticker: EHFI453)

Index performance:

The CBOE Eurekahedge Long Volatility and Tail Risk Indices were up 45.81% and 12.58% respectively in 2008, while underlying markets floundered with the average hedge fund losing 9.77% during the year. A similar result was evident  in 2011 when the Eurozone debt crisis came to the fore over fears that a Greek exit was imminent, with the average hedge fund declining 1.88% during the year. In contrast, long volatility and tail risk funds were up 12.83% and 7.50% respectively. In the relative calm that has since ensured in the markets on the back of active and coordinated intervention by various central banks, one volatility strategy in particular has been quite profitable. The CBOE Short Volatility Hedge Fund Index has consistently posted positive returns since 2012 and has outperformed the main Eurekahedge Hedge Fund Index consistently over this period. However, one volatility strategy has produced results that have largely been agnostic to the overall direction of volatility. With the exception of 2014, the CBOE Eurekahedge Relative Value Volatility Index has consistently generated positive returns since 2005 with an annualised return of 10.33% afforded at an annualised volatility of only 3.75%.

Year CBOE Eurekahedge Long Volatility Index CBOE Eurekahedge Short Volatility Index CBOE Eurekahedge Relative Value Volatility Index CBOE Eurekahedge Tail Risk Volatility Index Eurekahedge Hedge Fund Index
2008 45.81% (9.41%) 20.56% 12.58% (9.77%)
2009 2.98% 19.10% 10.97% (6.33%) 21.25%
2010 12.36% 11.35% 6.98% (21.20%) 11.49%
2011 12.83% (1.20%) 5.46% 7.50% (1.88%)
2012 0.27% 9.07% 8.81% (32.70%) 7.18%
2013 (4.44%) 9.53% 6.04% (34.65%) 8.99%
2014 1.58% 4.47% (0.36%) (24.08%) 4.42%
2015 (0.92%) 4.73% 5.12% (14.82%) 3.36%

Given the unique risk return characteristics of these volatility strategies, not only are they attractive in the form of stand-alone fund vehicles but they can also be used as part of an investors broader hedge fund portfolio in order to guard against downside risk and reduce overall portfolio volatility.

About Eurekahedge

Launched by financial professionals in 2001, Eurekahedge's proven track record spans over a decade - setting us apart as the world's largest independent data provider and alternative research firm. Specialising in hedge fund databases covering Asia, Europe, North America and Latin America, Eurekahedge is a subsidiary of Mizuho Bank, the second largest financial services group in Japan. Headquartered in Singapore with offices in New York and Cebu, the global expertise of our research team constantly adapts to industry changes and needs, allowing Eurekahedge to develop and offer a wide array of products and services coveted by accredited investor groups, financial institutions and media sources. In addition to market-leading hedge fund databases and analysis, Eurekahedge's other business functions include hedge fund publications, due diligence services, investor services, and an analytical platform service.

About CBOE

CBOE, the largest U.S. options exchange and creator of listed options, continues to set the bar for options and volatility trading through product innovation, trading technology and investor education. CBOE Holdings offers equity, index and ETP options, including proprietary products, such as S&P 500 options (SPX), the most active U.S. index option, and options and futures on the CBOE Volatility Index (the VIX Index). Other products engineered by CBOE include equity options, security index options, Weeklys options, FLEX options, and benchmark products such as the CBOE S&P 500 BuyWrite Index (BXM). CBOE Holdings is home to the world-renowned Options Institute and www.cboe.com, the go-to place for options and volatility trading resources

Contact Details

Christine Chng
Corporate Communications Manager
christine@eurekahedge.com
+65 6212 0574

Alexander Mearns
Chief Executive Officer
alex@eurekahedge.com
+65 6212 0925

Eurekahedge Pte Ltd
Nexus, #02-04
1 Fusionopolis Link
Singapore 138542
+65 6212 0900
www.eurekahedge.com