Index description

Thematic’s VC & Hedge Fund family of indices tracks the public market portfolio of leading venture capital firms and hedge funds. As public, growth, and private investments continue to converge and venture capital firms are becoming Registered Investment Advisors (RIAs), we believe that tracking firm performance over time to be a meaningful and insightful exercise. To date, there is not a convenient and centralized way to track, compare, and maintain the underlying performance of these various leading asset managers.

Each Thematic index represents the performance of the post-IPO holdings of a specific venture capital firm or hedge fund, and is rebalanced as soon as new 13F's and filings are available.

The constituent securities for each index are derived using the following methodology:

For venture capital firms, the constituent securities are portfolio companies that the firm was the lead investor in in their Series A and/or Series B private round of financing beginning from 2015, according to Pitchbook, that have since become public companies. Since venture capital firms only need to make their holdings public if they own 5% or more of a company's equity, the Index is a proxy for long-term VC firm performance. All VC fund indices are equal weighted to equitably track the performance of the firm’s early stage investments as if the firm and its LPs continued a long-term hold strategy.

For hedge funds, the constituent securities and their weights are drawn from quarterly 13F filings via Whalewisdom.com. Please note that 13F filings are filed after the fact (they are due 45 days after quarter close), so each 13F filing is representative of the prior quarter and may no longer represent the current holdings in the fund. Hedge fund indices are custom weighted to best match the fund’s publicly disclosed portfolio.

Index creators

The VC & Hedge Fund Family of Indexes was created by and managed by the Investments team at Thematic.

Eligible security criteria

All companies in the index are publicly traded securities that meet the following conditions:

Market Capitalization	Each security’s market capitalization must, on average, maintain no less than $250m USD during the 3 months prior to index inception, or during the quarterly rebalancing period.
Liquidity	Each security must have a three-month Average Daily Dollar Trading Volume (ADDTV) of at least $500k USD.
Float	At least 25% of a security’s total shares outstanding must be publicly available for trading (float shares).
Seasoning	There is no seasoning requirement for securities included in the VC & Hedge fund indices.

Additional eligibility requirements

Eligible security types generally include common stocks, ordinary shares and depositary shares.
Only long positions are permitted.
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.
A security must be listed on an Index Eligible Global Exchange.
If, at reconstitution, Thematic becomes aware that an issuer or security will soon undergo a fundamental change that makes it ineligible, it will be removed 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 characteristics

Weighting

Venture capital indices have two versions. The first version is custom weighted based on market capitalization. We have also created equal-weight versions of each index, denoted by the suffix “EQ” at the end of the index name.
Hedge fund indices weighting will mimic the actual hedge fund portfolio. We will reconstitute and rebalance based off of quarterly 13F filings.

Return

The index is inclusive of total returns - dividends and other returns will be reinvested into the index or held as “cash value” until the next rebalancing date. The index return does not account for fees or tax withholding.

Index calendar

Reconstitution	Schedule	The indices will reconstitute each quarter after 13F filings are made available. 13F filings are filed no more than 45 days after the close of the quarter. Hence, the indices will reconstitute approximately in April, July, October, and January.
	Reference dates	The Security Eligibility Criteria are applied using market data as of the end of March, June, September, and December, respectively.
	Announcement dates	Index Reconstitution changes are announced in April, July, October, and January.
	Effective dates	Index Reconstitution changes become effective at market open on the trading day after the fourth Friday in April, July, October, and January, respectively.
Rebalancing	Schedule	The indices are rebalanced quarterly in conjunction with the Index Reconstitution in April, July, October, and January.
	Reference dates	The rebalance uses market data as of the end of March, June, September, and December, respectively.
	Announcement dates	Index Rebalance changes are announced in early April, July, October, and January.
	Effective dates	Index Rebalance changes become effective at market open on the trading day after the fourth Friday in April, July, October, and January, respectively.

If you are interested in adding a particular firm, please email us at hello@gothematic.com.