Index Description

A spotlight on the companies inventing the future of drug discovery developed by Lux Capital.

The Lux Bio + Tech Index is designed to track the performance of companies that are primarily engaged and involved in the biotechnology industry based on analysis of the products and services offered by those companies (including both pure play drug discovery and diagnostic / tools companies and software integrated platform companies).

Thesis

We at Lux are confident that the coming years will witness a new crop of historically important public healthcare technology companies that more closely resemble the tech mega-caps of today: platform-based innovation, highly scalable business models, network effects, high impact, and high value creation. The marriage between healthcare and technology has the potential to impact everything from how patients interact with care providers, to how diagnostic data is obtained and analyzed, to how intervention is recommended and executed, to how outcomes are measured and quantified. Technologies ranging from teleoperated devices, to wearable sensors, to machine learning and artificial intelligence are arming patients and healthcare providers with tools to make better and quicker clinical decisions.

Security Eligibility Criteria

Eligible security types

Eligible security types generally include common stocks, ordinary shares and depositary shares.

Multiple classes of securities

One security per issuer is permitted. If an issuer has multiple securities, the security with the highest three-month average daily dollar trading volume (ADDTV) will generally be considered for possible inclusion in the Index.

Eligible exchanges

A security must be listed on an Index Eligible Global Exchange as identified by the Nasdaq Index Eligible Stock Exchanges guide.

Industry or sector eligibility

An issuer must be involved in some aspect of the biotechnology industry which Lux broadly defines as drug discovery platforms, molecular diagnostics & tools, structural biology, omics devices and software, andsoftware integrated platform focused on R&D.

An issuer must be engaged in: an emerging modality of therapeutic delivery including cell and gene therapies, ASOs and OBMs, and Digital Tx, novel classes of drug targets and mechanisms including the gut biome as a target, RNAs as targets “the transcriptome”, historically “undruggable” targets, protein degraders, bispecifics, and cells as targets, Unbundling the “omics stack” including next gen DNA sequencing, single cell sequencing, RNA, proteomics, metabolomics, spatial transcriptomics, phenomics, and vivomics, Pushing the limits of structural biology and biochemistry including CryoEM, machine learning for structure and function prediction, DNA-barcoded discovery, generative protein design, and chemical engineering, and closed loop software integrated platforms with data moats and nonlinear increasing returns on platform R&D

We also include companies that best represent the confluence and integration of molecular and cell biology, omics, biochemistry, automation, software, imaging, and machine learning in our definition of bio + tech.

Per GECS industry coding, these companies are more than likely classified as Biotechnology, Drug Manufacturers - General, Drug Manufacturers - Specialty + Generic, Diagnostics & Research, or Scientific & Technical Instruments.

We exclude most if not companies categorized as Asset Management, Communications Equipment, Electronic Components, Healthcare Plans, Household & Personal Products, Insurance - Brokers, Medical Care Facilities, Medical Distribution, REIT - Healthcare Facilities, Semiconductors, Semiconductor Equipment & Materials, Medical Devices, Medical Instruments & Supplies, Software - Application, Software - Infrastructure, Specialty Industrial Machinery, Specialty Retail per GECS Industry coding.

Market capitalization eligibility

An issuer must have a market capitalization of at least $500 million (USD).

Liquidity eligibility

Each security must have a three-month ADDTV of at least $500 thousand (USD).

Seasoning eligibility

Each security must have traded for at least three months on an index-eligible exchange prior to the Reconstitution reference date.

Float eligibility

At least 25% of a security’s total shares outstanding must be publicly available for trading (float shares).

Other eligibility criteria

If, at reconstitution, Lux becomes aware that an issuer or security will soon undergo a fundamental change that makes it ineligible, Lux will remove the security from consideration. This includes entering into a definitive merger or acquisition agreement or other pending arrangement that would make it ineligible for Index inclusion, or a filing of bankruptcy or similar protection from creditors.

Index Calendar

Reconstitution schedule

Lux selects constituents quarterly in December, March, June and September.

Reconstitution reference dates

The Security Eligibility Criteria are applied using market data as of market close at the end of the first Friday during January, April, July, and October respectively.

Reconstitution announcement dates

Index Reconstitution changes are announced after market close on the second Friday during January, April, July, and October respectively

Reconstitution effective dates Index Reconstitution changes become effective at market open on the trading day after the second Friday in January, April, July, and October respectively

Rebalance schedule

The Index is rebalanced quarterly in conjunction with the Index Reconstitution in January, April, July, and October

Rebalance reference dates

The Index Rebalance uses market data as of market close at the end of the first Friday during January, April, July, and October, respectively

Rebalance announcement dates

Index Rebalance changes are announced after market close on the second Friday during January, April, July, and October respectively

Rebalance effective dates

Index Rebalance changes become effective at market open on the trading day after the second Friday in January, April, July, and October respectively

Constituent Selection

Constituent selection process

All securities that meet the applicable Security Eligibility Criteria are included in the Index.

Constituent Weighting

Constituent weighting scheme

The Index is a free float market capitalization equally weighted index.

The quarterly Reconstitution is carried out by Lux Health + Tech committee. The potential index constituents are provided for final verification, and changes are made accordingly to index membership.

Securities that meet the applicable Security Eligibility Criteria are included in the index.

In addition, for a security to be considered as a new addition to the Index, the security must:

Have grown annual revenue at least 10% for each of the last two full fiscal years (can exclude 2020 due to COVID).

For a security to stay in the Index, the security must:

Have grown annual revenue at least 7% in at least one of the last two fiscal years.

For securities that have fallen below the $500M market cap threshold (calculated as average mkt cap during the quarter) during rebalance sessions, are given a 1 quarter curing period for evaluation and recovery above $500M before removal

Index Maintenance

Deletion policy

If, at any time during the year other than the Index Reconstitution(s), an Index Security that no longer meets the Eligibility Criteria, or is otherwise determined to have become ineligible for inclusion in the Index, it is removed from the Index. This includes circumstances where an Index Security is determined to be ineligible for continued inclusion in the Index due to bankruptcy, delisting, or a definitive agreement that would likely result in the security no longer being Index eligible. We plan to reference Nasdaq’s Corporate Actions and Events Manual – Equities for detailed handling of the aforementioned event types.

Replacement policy

Index securities deleted at any time during the year other than the Index Reconstitution(s) are not replaced.

Corporate actions

In the interim periods between scheduled index reconstitution events, individual Index securities may be the subject to a variety of corporate actions and events that require maintenance and adjustments to the Index. Specific treatment of each type of corporate action or event is described in Nasdaq Corporate Actions and Events Manual – Equities, which is incorporated herein by reference.

In certain cases, corporate actions and events are handled according to the weighting scheme or other index construction techniques employed. Wherever alternate methods are described, the Index will follow the “Non-Market Cap Corporate Action Method.”

Index share adjustments

Other than as a direct result of corporate actions, the index does not normally experience share adjustments between scheduled index rebalance and reconstitution events.

Additional Information

Announcements

Lux announces Index-related information via the Lux Bio + Tech website at https://www.luxbiotechindex.com/

For more information on the general Index Announcement procedures, please refer to the Lux Index Methodology Policy.

Holiday Schedules

The Index is calculated Monday through Friday and does not close for holidays, as it is a Global Index.

Unexpected market closures

For information on Unexpected Market Closures, please refer to the Lux Index Methodology Policy.

Calculation types

For information on the Index calculation types as well as the mathematical approach used to calculate the Index(es), please refer to the Calculation Manual – Equities & Commodities.

Recalculation and restatement policy

For information on the Recalculation and Restatement Policy, please refer to the Lux Index Recalculation Policy.

Data sources

For information on data sources and the classification of dividends and associated tax rates, please refer to the Thematic Index Methodology Policy.

Contact information

For any questions regarding an Index, please contact Thematic at index@gothematic.com.

Index dissemination

Index values and weightings information are available through Lux Bio + Tech website.

For more detailed information regarding Index Dissemination, see the Lux Index Methodology Policy.

Index calculation and dissemination schedule

The Index is calculated five (5) days a week, Monday through Friday, starting with the earliest time zone (Asia/Tokyo) and closing with the latest time zone (America/New York), 12:30:01 Japan Standard Time to 17:16:00 Eastern Time.

Website

For further information, please refer to Lux Bio + Tech website.

FTP and dissemination service

Governance

Index governance

All Lux Indexes follow the same governance structure. For a detailed list of this information, please see the Lux Index Methodology Policy.

Lux Index Management Committee

The Lux Index Management Committee approves all new Index Methodologies. This committee is comprised of full-time professional members of Lux. The committee meets regularly, and reviews items including, but not limited to, pending corporate actions that may affect Index constituents, statistics comparing the composition of the indexes to the market, companies that are being considered as candidates for addition to an Index, and any significant market events.

For a detailed overview of the Index Management Committee, please see the Lux Index Methodology Policy.

Internal reviews of methodology

For a detailed description on internal reviews of the Methodology, please see the Lux Index Methodology Policy.

Communication with stakeholders and consultations

For a detailed description on Consultations and Communications with Stakeholders, please see the Lux Index Methodology Policy.

Index cessation

Lux has a documented procedure that is followed for Index Cessation that includes termination/retirement of an Index or Index Family.

For more information, please refer to the Lux Index Cessation Policy.

Discretionary adjustment

This Index Methodology was created by Lux to achieve the aforementioned objective of measuring the underlying purpose of each Index governed by this methodology document. Any deviations from this methodology are made in the sole judgment and discretion of Lux so that the Index continues to achieve its objective.

For more information on potential adjustments including Calculation and Pricing Disruptions, Expert Judgment, and Unexpected Reconstitution/Rebalances, please refer to the Lux Index Methodology Policy.

Glossary of Terms Used in This Document

For the glossary of key terms, please refer to the Lux Index Methodology Policy.

Disclaimer

Lux may, from time to time, exercise reasonable discretion as it deems appropriate in order to ensure Index integrity, including but not limited to, quantitative inclusion criteria. Lux may also, due to special circumstances, if deemed essential, apply discretionary adjustments to ensure and maintain the high quality of the index construction and calculation. Lux does not guarantee that any Index accurately reflects future market performance.

Neither Lux B+T, nor any of their affiliates makes any recommendation to buy or sell any security or any representation about the financial condition of any company. Investors should undertake their own due diligence and carefully evaluate companies before investing. The information contained herein is provided for informational and educational purposes only, and nothing contained herein should be construed as investment advice, either on behalf of a particular security or an overall investment strategy. Advice from a securities professional is strongly advised. All Rights Reserved.