Once he started his own business then your company officials realized and checked the data and noted.
He seems to be smart because he might have his own plans to start similar business and if so he might have grabbed the data earlier itself. I don't think you can do much if you have received the company assets like Laptop etc., issued the relieving lr etc.,
In case the company assets like Laptop etc., are still in his position, the no-dues certificate is not signed, final settlement is not made, relieving lr & Service certificate is not issued then you can initiate legal action.
Considering the data you have posted it seems that he is smart. If I am not wrong he might have started his business on somebody's name and shows that he is an employee where you can do nothing.
However suggest you to wait for the inputs from some more Seniors.
8th June 2017 From India, Hyderabad