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Performance Attribution

Benchmarking peer groups and understanding the role of asset selection vs allocation.
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Infrastructure Fundamentals

Understand why and how can infrastructure companies keep paying high dividends.

Q3 2020 Unlisted Infrastructure Index Release

Infra300tm Equity Index Performance (local currency returns)

This quarter 1-year 3-year 5-year 10-year Inception
Total Returns 1.84 -7.75 5.75 7.20 13.69 14.32
Excess Returns 1.85 -7.95 5.20 6.64 12.76 11.71
Volatility - - 10.58 9.95 12.50 11.85
Sharpe Ratio - - 0.49 0.67 1.02 0.99
Value-at-Risk - - 17.70 17.67 20.57 18.03

Q3 2020 Index Release Comment

Q3 2020 Index Release – Back in positive territory thanks to a strong cash yield. Roads are back in the black but airports struggle on. Contracted infrastructure continues to be a safe bet.

The unlisted infrastructure asset class is back to positive returns at the aggregate level, but only thanks to the strong cash yield of infrastructure companies.

The infra300 index which tracks a representative global sample of unlisted infrastructure equity investments worth approximately USD190bn, is up 1.84% on the quarter, after two negative quarters since the start of the year. On a year-on-year basis, the index is down -7.8%, including a -15.7% drop in capital return and 7.9% income return (cash yield).

At the sector level, performance is mixed. A value-weighted index of unlisted equity investments in the transport sector (TICCS®-IC60) registers total returns very close to zero on the quarter, thanks to positive returns in the road sector (2.38%) which have seen their revenue forecasts improve compared to Q2 and no increase in market risk premia. Airports continue to struggle with returns of -2.3% on the quarter, driven by higher risk premia and lower expected revenue. On a year-on-year basis, transport is down -16.66%, roads have total returns of -12.74%, and the airports report -19.01% total returns calculated in local currency.

Regulated utilities (TICCS®-IC80) also keep suffering with the corresponding EDHECinfra index showing -1.9% in Q3 2020 and -15.2% year-on-year. In contrast, contracted infrastructure (TICCS®-BR10) shows small but positive returns in Q3 and is down only -5.7% year-on-year due to an increase in risk premia but helped by lower interest rates and stable cash flows.

On a risk adjusted basis, the performance of contracted and regulated assets continues to be more appealing than merchant infrastructure (TICCS®-BR20) which has seen its Sharpe ratio halved since the start of the Covid-19 crisis.

Following the recent drawdowns in several sectors, the value-at-risk of the infra300 has been trending from 15% to more than 18% since Covid-19 started, but remains below the typical thresholds used in the Solvency frameworks.

Private Infrastructure debt indices are also published today. Thanks to lower spreads on infrastructure corporate debt at approx. 120bp down from 180bp two quarters ago, and flat project finance debt spreads (approx. 160bps), the broad market private infrastructure debt index continues to show stable albeit compressing returns, with 1.4% total return on the quarter and slightly more than 4% return year-on-year.

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The infra300 is the new EDHECinfra flagship equity index and is available free of charge on the platform and through Bloomberg. Please note that from 2020-03-31 the EDHECinfra Broadmarket Indices (equity and debt) are only available to index data licence holders. For more information please contact sales@edhecinfra.com.

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Research for Institutional Money Management

Six months of research in review, including peer group benchmarks and approaching ESG for infrastructure scientifically & TICCS® 2020.

Peer group Benchmarks

Who of large asset owners and large asset managers performs better than the market since 2010? Who has the best alpha? 

The characteristics of infra

An in-depth analysis of the cash flows and ratios of infrastructure firms  matched with comparable firms from other sectors. Is infrastructure different?

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Reporting standards follow a development pattern and ESG ones are only at the beginning in the infrastructure sector: can we have robust ESG criteria tomorrow? 

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