The failures are in it
Constituents are chosen using only what was known at each rebalance, and a vault that dies keeps its loss in the index permanently. That is the one thing every index in this asset class gets wrong: pick today’s survivors and the history looks wonderful, because the ones that blew up were quietly left out of it. No constituent has died inside the published series yet — which says more about its length than about the asset class.
Return means profit, not deposits
A vault’s account value rises when somebody deposits, so a series built on it measures fundraising. Returns here are trading profit against the capital that was there to earn it, compounded through the venue’s own observations. A vault whose venue does not report profit separately is excluded rather than guessed at.
One vault cannot be the index
Weights are capital-proportional but capped at 20%, because the largest agent vault is roughly a quarter of all machine-managed capital we track. The series also does not begin until 5 constituents can be measured; 14 earlier periods were too thin and are not published.
What we could not see
Coverage is the share of index weight actually observable in a period. The worst here was 73%, and 4 periods fell below 90%. A gap in our data is not a flat month, so it is printed rather than smoothed over.