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The most benchmarks for infrastructure investors.

Combining the detail and quality of individual company analysis with the power and robustness of modern financial theory to create a deep understanding of the drivers of risk and return in the unlisted infrastructure asset class.

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Strategic Asset Allocation
with Unlisted Infrastructure Equity and Debtt

Better data for sensible results
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Avoid the wrong benchmarks

Listed proxies and appraisal-based benchmarks are not suited to asset allocation research and unsmoothing makes it worse...

USE Better data, get results

A mark-to-market approach to measuring returns provides superior guidance in making adequate and realistic strategic allocation decision.

the role of infrastructure

Infrastructure equity and debt have a significant role to play in a multi-asset class portfolio with allocations as high as 10% of the global portfolio.

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Latest research from the EDHECinfra team

Our team of researchers and analysts continues to explore the questions that matter to the infrastructure investment sector.

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Circle

Performance Attribution

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

Infrastructure Fundamentals

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

Q1 2021 Unlisted Infrastructure Index Release

Infra300tm Equity Index Performance (local currency returns)

wdt_ID - Latest quarter 1-year 3-year 5-year 10-year Inception
1 Total Returns -3.92 -2.61 4.08 5.03 13.46 13.84
2 Excess Returns -3.91 -2.60 3.65 4.55 12.63 11.31
3 Volatility - - 9.79 10.26 12.69 11.86
4 Sharpe Ratio - - 0.37 0.44 0.99 0.95
5 Value-at-Risk - - 17.14 19.73 21.22 18.36

Q1 2021 Index Release Comment

Q1 2021 EDHECinfra Release:
Bond-like characteristics?  

A quarter of rising interest rates highlights the role of duration in infrastructure investments.  

After a year which tested the resilience of infrastructure investments and their sensitivity to lower dividends in the transport sector and a higher equity risk premium across all sectors, Q1 2021 is a reminder of the role of interest rate risk in long-term investments that have “bond-like” characteristics.

As a point of reference, treasuries had the worst quarter in many years (-4.3%*) and the yield on 10-Year U.S. Treasuries, which started the year at 0.93% stood at c.1.7% at the end of March. Corporate bonds followed a similar trajectory (-3.4%*).

Likewise, private infrastructure debt exhibited higher yields at the end of the quarter than it did three months before. The average yield of the EDHECinfra broadmarket private infrastructure debt index stood at 1.88% on 31 Dec 2020 and at 2.3% on the 31st march, despite the fact that the average credit spread has remained steady at c.150bps. The index, which includes 1,000 instruments across infrastructure corporates and projects, is down -1.38% (Euro total returns) on the quarter but continues to exhibit total returns above 4% on a 3- or 5-year basis.

On the equity side, the infra300® was down -1.9% (Euro total returns) on the quarter on account of a slightly higher risk premia and an increase in yield from 8.2% to 8.8% (average across 300 constituents). The transport sector contributed the majority of the decrease, on account of both a long duration and continued Covid-related woes in the airport sector. Year-on-year a 1.45% performance is driven by a negative contribution to the index of transport and natural resources (gas) while all other sectors contribute positively to total returns. The year-on-year income return of the infra300 still stands at 7% while the year-on-year capital return is -5.5% (in Euros).

A comparison between infrastructure projects and corporates further highlights the differences in risk profile between different segments of the infrastructure universe. The expected return (or yield) of infrastructure project equity has increased by 50 basis points on average over the past year, whereas corporates have seen a rise of 80 basis points in their cost of equity. Moreover, corporates are more exposed to changes in the discount rate with a duration (sensitivity to rate changes) of about 2 years higher than project finance equity investments. In other words, for each increase in the discount rate of 1 percent, corporates make a NAV loss 2 percentage point higher than projects. Finally, their income returns are very different: the 5-year moving average cash yield of projects is now at 9% while corporates have seen their ability to distribute dividends curtailed both by high leverage and Covid-19 and their 5-year average cash yield now stands at 7.5%.

* Morningstar® US Government Bond Index and US-Core Bond Index

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Join us for a webinar on the impact of Covid-19 on unlisted infrastructure investment volatility on June 23rd at 10am GMT. Registrations here.

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.

 

Improving Strategic Asset Allocation to Unlisted Infrastructure

27th October 2020 Webinar Replay
 

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New Research

Towards a Scientific Approach to
ESG for Infrastructure Investors

Approaching ESG & Infrastructure Within the Portfolio
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A financial View on ESG

We examine the role of the ESG characteristics of infrastructure from the perspective of asset pricing.

Comprehensive Review

We review 17 ESG reporting schemes and compare them using a new taxonomy of ESG risks and Impacts.

Science-based Approach

Modern finance and information theory are the foundations of a framework to collect ESG data.

In the News

Announcements

INdex DoCumentation

2020 Updated Edition

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