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current quarter current annualised 1-year 3-year 5-year 10-year Inception
Total Returns 0.34% 1.35% 5.14% 7.70% 4.91% 8.58% 12.54%
Excess Returns -0.15% -0.61% 2.89% 5.98% 3.80% 7.89% 10.76%
Volatility 4.52% 9.04% 8.95% 9.31% 9.90% 13.44% 13.52%
Sharpe Ratio -0.034 -0.067 0.323 0.642 0.383 0.588 0.796
Value-at-Risk 11.31% 21.95% 17.92% 16.29% 20.60% 26.03% 22.29%

2019Q3 Release

As of 2019-09-30 the EDHECinfra Global Broad Market Unlisted Infrastructure Equity Index had a total market capitalisation of USD337.35bn, representing 516 firms. Since inception, a total of 621 firms have been included in this index.

Overall, expected returns continue to decrease at an average Index-level IRR (yield to maturity) of 6.7% per year. This continued decline in discount rates produced higher capital returns in Q3. On a local currency (fully hedged) basis, the index returned 3.75% in Q3, broadly in line with its Q2 gain of 3.60%. Infrastructure equity returns have been on the rise in 2019 and this trend continued into the second half. Lower market risk premiums bolstered performance, combined with interest rate cuts around the world.

USD index returns (above) have been on the decline, shrinking to 0.34% in Q3 from 1.46% in Q2. This stems from significant depreciation of the GBP against the USD and the weight of UK firms in the index as, overall, infrastructure equity returns in local currency increased in 2019. USD unlisted infrastructure equity index outperformed both public equity and listed infrastructure equity in Q3.

The Global unlisted infrastructure equity, value-weighted EDHECinfra index is a market value- weighted representation of the Global Private Infrastructure Equity Market. It covers all investable infrastructure sectors as defined by the TICCS classification. Index constituents include all business models and both infrastructure projects (SPVs) and corporates.

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The next generation of EDHECinfra indices is ready. They are computed quarterly, use meticulously curated private data for hundreds of companies in the 25 most active markets in the world, and cutting-edge fair value asset pricing methods. A key element in this project was the definition of the universe. Infrastructure may not be easily defined but infrastructure investment has to be.  When we started working on this topic at EDHEC we decided to focus more on what “infrastructure investment is like” i.e. what drives risk and less on what “infrastructure does” (move people or electricity from A to B, etc). This is because at the heart of any financial investment decision lies the trade-off between risk and future value. Even…

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