EDHECinfra Index Methodology
EDHECinfra indices and benchmarks aim to provide the representative, risk-adjusted performance of investments in unlisted infrastructure equity and private debt.
EDHECinfra produces calculated (as opposed to contributed) indices: our data and technology allows re-pricing hundreds of individual assets through time, using actual transaction prices to recalibrate expected returns (and discount rates).
This approach uses market inputs, thus avoiding the smoothing of returns caused by appraisal valuations and providing a genuine fair value assessment of performance.
Unlike other private indices, which only report an average performance, EDHECinfra indices include the effect of diversification and provide advanced risk metrics such as volatility, value-at-risk and risk factor prices. The index calculation method is summarised below in four key steps.
A modern approach to measuring risk and performance in private infrastructure investment
Indices and benchmarks
Private infrastructure investment indices are needed by asset owners, asset managers and regulators to determine their asset allocation to infrastructure, monitor risk-adjusted performance and calibrate prudential models. EDHECinfra’s eight broad market indices provide global coverage of unlisted infrastructure equity and private debt markets.
Four global unlisted infrastructure equity indices cover the broad infrastructure sector, the project finance sector and advanced and emerging infrastructure markets, respectively. Four other global indices cover the same segments for senior private debt investments.
A further 44 thematic unlisted equity sub-indices and 80 thematic private debt sub-index families are available, allowing detailed analysis of all the major segments of the private infrastructure asset class. Hundreds of custom benchmarks giving access to country or sector specific data, drilling down to business or credit risk sub-segments, can be created.
Data and analytics
The EDHECinfra database and asset pricing technology compute the metrics that investors and regulators need to understand private infrastructure in a multi-asset class context. Each index and sub-index family data series includes index values, time-weighted returns, index constituents and weights, and geographic and thematic segmentation (sector, business risk, credit risk, maturity). Within each index family, index data is available using several weighing schemes and reporting currencies.
EDHECinfra indices also include numerous key metrics that make unlisted infrastructure comparable with other investments on a risk-adjusted basis. Risk and performance metrics such as Sharpe ratios, value-at-risk, factor risk attributions and duration are all available as index analytics.