The index is maintained on a monthly basis in two phases:
The Determination Phase takes place during the third week of the month. It is the phase when the changes needed for the next Reconstitution Phase are determined.
- Additions and deletions: The tokens being added and deleted from the index calculation are determined during the third week of the month and published before monthly reconstitution.
- Weighting: Constituents are weighted following an optimization that balances multiple objectives while satisfying several constraints. The solution maximizes an aggregate score that is based on net yield and size of the yield opportunity. In addition, a concentration penalty tilts towards a more diversified basket. At the same time constraints enforce a feasible turnover at rebalancing.
Following publication of the Determination Phase outcome, the index composition will change to the new weights on the first working day of the following month: Components will be added or removed, and weights adjusted.
Any funds based on the PONY Index will be expected to execute any buy and sell transactions on or shortly after the index Reconstitution Date.