VRI Methodology
How the Venezuela Recovery Index Is Calculated
The Venezuela Recovery Index (VRI) is a rules-based, transparent synthetic index designed to track the performance of globally-listed companies positioned to benefit from Venezuela's economic recovery.
Methodology Overview
VRI employs a systematic approach to identify and weight companies with significant exposure to Venezuela's recovery scenario. The index is rebalanced quarterly and normalized to a base value of 100.
Investment Universe
The index universe consists of publicly-traded companies on major exchanges (NYSE, NASDAQ, LSE, Euronext) with demonstrable exposure to Venezuela through existing operations, historical presence, or strategic positioning for market re-entry.
Sector Allocations
Note: 10% is reserved for future expansion (Consumer Staples or other sectors as the recovery theme evolves).
Weighting Methodology
Constituents are weighted using a two-tier approach: sector allocation followed by float-adjusted market capitalization within each sector. A 14% single-name cap prevents concentration risk.
- •Sector allocation determines the total weight for each sector
- •Within each sector, weights are proportional to float-adjusted market cap
- •Maximum single-name weight: 14% (prevents concentration)
Index Calculation
The VRI is calculated using a daily close-to-close return methodology. Index return equals the sum of each constituent's weight multiplied by its daily return. All prices are converted to USD using prevailing FX rates.
Index Return Formula:
Rindex = Σ (wi × ri)
Where wi = weight of constituent i, ri = daily return of constituent i
Rebalancing Schedule
The index is rebalanced quarterly (March, June, September, December) with the possibility of event-triggered rebalancing following significant regulatory changes.
Data Sources
Price data is sourced from Tiingo. FX rates are obtained from major interbank feeds. Corporate actions and fundamental data are sourced from regulatory filings and exchange disclosures.