SemiLiquids Evergreen Private Equity Index: Rulebook 2.0

1.Objective

The SemiLiquids Evergreen Private Equity Index measures the net-of-fund-fee, NAV-based total return of evergreen (semi-liquid) private equity funds worldwide that are open to private-wealth investors.

It is a measure of the market, not a recommendation. It is not investable, and no product of SemiLiquids or of OverCap, which operates SemiLiquids, tracks or uses it (see Permitted use).

Defined terms

• Family: a strategy family (section 3).
• Representative vehicle and class: the vehicle and share class whose return represents the family.
• Review date: each calendar quarter-end (March, June, September, December).
• Effective month: the month after a review date (April, July, October, January).
• Clean monthly return: a completed month’s return that is not the class’s first reported month and does not follow a missing month (section 11).
• Final: a month that is no longer provisional (section 10).

2.Eligibility

A fund is eligible at a review date only if all of the following hold.

Scope

The fund is published in the SemiLiquids catalogue of semi-liquid funds: evergreen, interval and tender-offer funds, ELTIFs, LTAFs and similar vehicles that offer periodic subscriptions and redemptions at NAV, with gates and pro-rating allowed. Not in scope: listed vehicles, closed-ended or fixed-term funds, single-investor vehicles, funds investing mainly in other evergreen funds, and any fund managed, advised or sponsored by SemiLiquids or its affiliates.

Private equity as the main exposure

The fund’s main asset class in the SemiLiquids catalogue is private equity. SemiLiquids assigns each fund’s main asset class by judgment, not by an automated test, guided by these principles and by look-through allocations where they are available:

• private-markets investments make up most of the portfolio (around 60% of NAV or more, excluding cash, liquid credit and public equity sleeves);
• private equity makes up most of those investments (around 70% or more): buyouts, growth capital in established companies, secondaries, co-investments, primary fund interests and GP stakes. Funds without that concentration are private multi-asset funds and are not eligible;
• funds mainly invested in venture-backed companies are classified as Venture & Growth and belong to the planned sub-index (section 18), not the core index. The intent is to classify by company stage, not by the manager’s label.

Seasoning

The designated class has at least 12 clean monthly returns. Months before a fund enters, including its seasoning period, never count in the index, live or back-tested. Early months of new evergreen funds often carry seed-portfolio marks and discounts on secondaries bought at launch, which are the least representative part of a track record.

Fresh, consistent reporting

To enter, the latest clean monthly return is at most 3 months older than the review date, and at least 11 of the 12 months ending there are clean. Funds that report only quarterly are not eligible.

Size: entry and staying thresholds

Family AUM (section 3) of at least USD 250m to enter. An existing constituent stays while family AUM is at least USD 125m. The gap between the two avoids churn around a single line.

3.Strategy families

A strategy family is the set of vehicles from one manager group that pursue substantially the same strategy in substantially the same portfolio: master-feeder structures, parallel US, Luxembourg, ELTIF, LTAF or Cayman wrappers, and currency or hedged versions. Different strategies from the same manager are separate families but share the manager-group cap (section 6). SemiLiquids maintains the family map.

One vehicle per family

Each family counts once, through one representative vehicle: among the family’s vehicles that meet the seasoning and reporting rules, the one with the largest AUM, unless another such vehicle’s AUM is within 25% of it, in which case the one with the longer clean history is used. Once in the index, a constituent keeps its vehicle (section 9).

Family AUM and manager groups

Family AUM is the sum of the latest reported AUM of the family’s published vehicles in the catalogue, converted to US dollars at fixed reference exchange rates, with feeder holdings in a master counted once. AUM dates vary by fund, and some are older than others. A manager group is the fund’s manager or, where the catalogue records one, its parent manager (one level up), unless SemiLiquids sets a different group.

4.Share class, currency and fees

Share class

Within the representative vehicle, the designated class is chosen in this order:

1. a US dollar class;
2. then an institutional class;
3. then the class with the longest clean monthly history; when classes are within 2 months of each other, the fund’s main class is used.

Never used: classes with no management fee, and internal, closed, seed or gross classes. An incumbent’s class switches only to a class in a higher tier, going forward only. SemiLiquids can override a class choice for data-quality reasons; such changes are recorded in SemiLiquids’ internal governance log.

Mirror classes

A mirror class is a share class whose reported series copies another class’s returns (for example the same series published again under a feeder or a duplicate listing). Mirror classes are never chosen as a designated class and never counted as a separate constituent or data point: the original series is used once.

Currency

US dollar classes are preferred. Where a family has no usable US dollar class, the designated class’s return is used in its own currency, without conversion; the constituent list shows each class’s currency. Exchange rates are used only to convert AUM for weighting.

Fees

Returns are net of the fund’s management fees, performance fees and carried interest as accrued in NAV, and of fund expenses. They are before sales loads, platform, servicing and distribution fees charged outside NAV, and before investor taxes. Institutional classes carry lower fees than retail classes, so retail investors in the same funds would typically have earned less.

5.Return calculation

• Constituent return: the designated class’s clean monthly total return (NAV-based, distributions reinvested) from the SemiLiquids catalogue.
• Index return: the weighted sum of the returns of the constituents that reported for the month. Weights are renormalised over those that reported, and the manager-group cap is re-applied. The index level compounds from a base value of 100.
• Multi-month returns are never split or interpolated. The first return after a missing month is left out, because it may cover more than one month.
• Completed months only. A month is calculated only once it has ended.

6.Weighting and the manager cap

• Headline, capped AUM-weighted: at each effective month, a family’s target weight is proportional to its family AUM.
• Cap: no manager group may exceed 10% of the headline weights. The excess is redistributed pro rata to the other constituents, repeating until no group is over the cap.
• Small universes: with 10 or fewer manager groups, the cap becomes equal weight per manager group (one divided by the number of groups). While each group has a single family, the headline then equals the equal-weighted series; in the current back-test this is the case before 2023. The same applies in any month in which 10 or fewer manager groups report.
• Companion, equal-weighted: the same constituents, each with the same weight. It is always published next to the headline.
• Monthly reweighting: each month, weights are renormalised over the constituents that reported and the cap is re-applied, so a fund that has not reported does not count that month.

Weighting by size measures the experience of the average invested dollar and keeps small or young funds from moving the index; the cap stops any one manager group from dominating it. The equal-weighted series shows the experience of the average fund.

7.Review schedule

• Quarterly review: at each calendar quarter-end (March, June, September, December), using the data on file at that date.
• Effective: a review’s composition applies from the following month (April, July, October, January returns). Composition changes are never retroactive.
• Published changes: the additions and removals at each review are published on the index page, and the constituent list shows the current target weights.

8.Additions and no back-fill

• A fund that meets the eligibility rules at a review date is added from the next effective month. Additions follow the rules; SemiLiquids can exclude a fund only for data-quality or classification reasons. Every exclusion is recorded in SemiLiquids’ internal governance log, and a constituent removed this way is shown on the index page as “excluded by SemiLiquids”.
• No back-fill. Only returns from the effective month onward are included. Earlier returns, including the seasoning period, are never added to the index history, live or back-tested.
• A fund that leaves and later qualifies again re-enters under the same rules.

9.Incumbents, exits and gated funds

Incumbents are sticky

A constituent keeps its place, its vehicle and its share class through reporting delays. It leaves only when:

• it has gone 3 final months without a return;
• its family AUM falls below USD 125m, or is no longer known;
• it is no longer published in the catalogue, or no longer classified as private equity;
• its designated share class is no longer eligible; or
• SemiLiquids excludes it for data-quality or classification reasons.

Removals are decided at a quarterly review and apply from the next month.

Gated funds stay in

Pro-rated or gated redemptions are never a reason to remove a fund. Gating is part of the semi-liquid product, and removing gated funds would bias the index upward.

History is permanent

A removed constituent’s past returns stay in the index; nothing is removed after the fact. Each review’s constituents are stored as a point-in-time snapshot.

10.Provisional and final months

• Published once completed and reported: a month is published once it has ended and enough constituents have reported. The latest months are held back while fewer than half the usual number of constituents (the median of the six months before) have reported.
• Provisional: a month is provisional while fewer than all of its active constituents have reported, for up to the latest 3 completed months. The weight of the funds that have not reported is redistributed across those that have. Provisional months are updated as reports arrive and are flagged “p” on every chart and table.
• Final: a month is final once every active constituent has reported, or once it is older than the latest 3 completed months.
• Key figures (since start, 1 year, 3 years, volatility, drawdown) use final months only.

11.Data quality

Clean monthly returns

• completed months only;
• a class’s first reported month is left out, because launch-month returns often reflect seeding or a part month;
• the first return after a missing month is left out, because it may cover more than one month; points that a fund reports only quarterly are therefore excluded;
• mirror classes are not counted again (section 4).

Input hierarchy

When sources disagree, SemiLiquids corrects the catalogue in this order of preference:

1. Regulatory filings and audited statements (for example SEC N-PORT, N-CSR, N-2 and 10-K filings, and CSSF and AIF annual reports), and NAV statements from the administrator or transfer agent.
2. NAV per share or monthly total return published by the manager (factsheet, website, KID).
3. Data supplied by the manager under an agreement that permits aggregate use.
4. Third-party aggregators.

Checks on catalogue data

• Identity: the ISIN or ticker and the class name match the class.
• Dating: the return is stamped to the month it covers, never the publication date.
• Stale or copied values: a return identical to the prior month, or a run repeating the same months a year earlier, is flagged.
• Zeros and outliers: an exact 0.00%, or an unusually large monthly move, is checked against a second source.
• Currency: the class currency matches its ISIN.

Values that fail a check are reviewed by SemiLiquids, and corrected or removed from the catalogue; the index uses the catalogue as it stands at each calculation. For how the underlying dataset is sourced and standardised, see the data methodology.

AUM used for weights

Each fund’s latest reported AUM in the catalogue, converted to US dollars at fixed reference rates. AUM dates vary by fund, and some are older than others.

12.Start date and back-test

• Start date: the series starts in the first month with at least 5 reporting constituents. Trailing months with too few reporters are not shown.
• Back-test: history before launch applies these rules at each historical quarter-end, point in time and without back-fill, as far as the data allows. It is labelled “back-tested” everywhere. Until launch it is recalculated as catalogue data is corrected; from launch, published months are frozen.

13.Restatements

• Provisional months are revised as reports arrive.
• From launch, final months are frozen. If later data moves a final month’s return by more than 5 basis points, the month is restated; smaller moves are not applied.
• Every restatement is recorded in SemiLiquids’ internal governance log with the date, the month affected and the old and new values. Restatements are not yet published on the index page.
• Methodology changes apply going forward unless the announcement says otherwise. History is never silently recalculated; any deliberate recalculation of frozen history is recorded in the internal governance log.

14.Governance

In place today

• This rulebook, published with its version history.
• Published changes: the additions and removals at each quarterly review, on the index page.
• An internal governance log of methodology and settings changes, exclusions, class overrides, reconstitutions and restatements above the 5 basis-point threshold.
• No use by SemiLiquids or OverCap products: no product of SemiLiquids or of OverCap, which operates SemiLiquids, uses the index (section 17).
• The data-quality rules in section 11.
• Rules-based inclusion: constituents are set by these rules. Managers cannot pay for inclusion, weight or classification; a manager’s refusal to share data is not in itself a reason for exclusion, and agreeing to share data never buys inclusion.

Being established

• Index methodology committee: SemiLiquids is establishing an index methodology committee, to include an independent member (an index, performance-measurement or academic expert with no commercial relationship with SemiLiquids or any constituent manager). Its terms of reference and membership will be published once it is in place. Until then, SemiLiquids applies this rulebook as written.
• Conflicts of interest: SemiLiquids is setting up a conflicts register covering data agreements, outreach, commercial relationships with managers and SemiLiquids-affiliated products, with recusal for anyone involved in managing or raising money for an affiliated product, or in a commercial deal with a manager under review.
• Expert judgment is limited to classification edge cases, family mapping, data-quality resolution and extraordinary events. SemiLiquids will record each use with its reason.
• Complaints: questions and complaints about the index can be sent to info@semiliquids.com. A formal complaints procedure is being set up.
• Review: SemiLiquids intends to review adherence to this methodology at least once a year, and would seek an external review before any third-party licence or use.

The governance being put in place is modelled on the IOSCO Principles for Financial Benchmarks, applied in proportion to the index’s size and use.

15.Publication and transparency

• Published: this rulebook and its version history; the constituent list (fund, manager, strategy family, vehicle, domicile, share class, currency, target weight and the AUM used for weighting); monthly returns for both weightings, each month marked provisional or final; and the additions and removals at each review.
• Not published: constituent-level returns, which are restricted by data rights. The current constituents, share classes and target weights are published, so anyone with access to the funds’ public returns can recompute the current quarter; past reviews show the funds added and removed, not their weights.
• Coverage: the index page shows the number of constituents, strategy families and manager groups, and the AUM they cover. SemiLiquids intends to add a quarterly summary of known eligible funds that are not constituents, with the reason (size, seasoning, reporting cadence, missing data).
• Standing disclosures: appraisal-based NAVs smooth returns, so volatility and drawdown understate economic risk; gates, suspensions and liquidity limits; unaudited monthly data; back-test limitations; the fee gap between institutional and retail classes; conflicts; not investable; past performance is not a reliable indicator of future results.

16.Methodology changes and cessation

• Material changes (eligibility, thresholds, weighting, caps, calculation, the schedule, the restatement policy or the start-date rule) will be announced in advance and recorded in the version history on this page, with a new version number.
• Non-material changes (clarifications, typos) are recorded in the version history.
• Versions are numbered 2.0, 2.1 and so on. Each states its effective date, its reason, and whether history is affected (by default it is not).
• Cessation: if too few funds remain eligible, or the market the index measures changes structurally, SemiLiquids may cease or redesign the index. This would be announced in advance, and published history is kept.

17.Permitted use

• Tracking returns, setting asset allocation, and computing performance fees or hurdles are “use” of a benchmark under the EU and UK Benchmarks Regulations, and would be a conflict of interest.
• Any comparison-only reference by an affiliated fund would need prior legal sign-off and a disclosure of the conflict.
• Use by a third party would need a licence and a regulatory review under the Benchmarks Regulations in force at the time. No licence has been granted.

18.Venture & Growth sub-index (planned)

Families whose private equity exposure is mostly in venture-backed companies (section 2) belong to a separate Evergreen Venture & Growth sub-index, not the core index. It is planned and not yet published: it will be published only once at least 5 families from at least 4 manager groups are eligible, will always be labelled “narrow”, and follows the same rules as the core index.

19.Version history

1. 2.012 Oct 2026

   The nine-fund benchmark is replaced by the rules-based SemiLiquids Evergreen Private Equity Index: every eligible fund instead of a selection, one vehicle per strategy family, capped AUM weighting with an equal-weighted companion, 12-month seasoning, entry and staying thresholds, sticky incumbents, quarterly reconstitution with no back-fill, provisional and final months, a 5 basis-point restatement threshold, published additions and removals, and a ban on use by SemiLiquids and OverCap products.

   The SemiLiquids PE Selection, an editorial list announced alongside this version, was paused on 12 October 2026, before going live, pending a rules-based redesign.

   Adopted by SemiLiquids without a public consultation. An index methodology committee, to include an independent member, is being established.

   History: a new series, not a continuation of version 1.x.

   Version 1.x retired on 12 October 2026. It was a fixed list of nine funds that SemiLiquids chose in 2026 with the benefit of hindsight, so its back-tested record reflected that choice rather than the market. A rules-based index that takes in every eligible fund replaces it. The version 1.x series is no longer published and is not restated.

2. 1.17 Oct 2026

   Each constituent’s first reported month, and its first return after a missing month, are excluded, because launch-month returns often reflect seeding or a part month, and a return after a gap may cover more than one month.

3. 1.07 Oct 2026

   Launch of the SemiLiquids Private Equity Benchmark on 7 October 2026: nine semi-liquid private equity funds selected by SemiLiquids, one designated USD share class each, equally weighted, starting in the first month with at least five reporting constituents; back-tested before launch. Retired and replaced by version 2.0 (see above).