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

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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.

DISCLAIMER

  • The information contained on the EDHECinfra website (the “information”) has been prepared by EDHECinfra solely for informational purposes, is not a recommendation to participate in any particular investment strategy and should not be considered as an investment advice or an offer to sell or buy certain securities.

    All information provided by EDHECinfra is impersonal and not tailored to the needs of any person, entity or group of persons. The information shall not be used for any unlawful or unauthorised purposes. The information is provided on an “as is” basis.

    Although EDHECinfra shall obtain information from sources which EDHECinfra considers to be reliable, neither EDHECinfra nor its information providers involved in, or related to, compiling, computing or creating the information (collectively, the “EDHECinfra Parties”) guarantees the accuracy and/or the completeness of any of this information.

    None of the EDHECinfra Parties makes any representation or warranty, express or implied, as to the results to be obtained by any person or entity from any use of this information, and the user of this information assumes the entire risk of any use made of this information. None of the EDHECinfra Parties makes any express or implied warranties, and the EDHECinfra Parties hereby expressly disclaim all implied warranties (including, without limitation, any implied warranties of accuracy, completeness, timeliness, sequence, currentness, merchantability, quality or fitness for a particular purpose) with respect to any of this information.

    Without limiting any of the foregoing, in no event shall any of the EDHECinfra Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits), even if notified of the possibility of such damages.

    All EDHECinfra Indices and data are the exclusive property of EDHECinfra. Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past performance does not guarantee future results. In many cases, hypothetical, back-tested results were achieved by means of the retroactive application of a simulation model and, as such, the corresponding results have inherent limitations.

    The Index returns shown do not represent the results of actual trading of investable assets/securities. EDHECinfra maintains the Index and calculates the Index levels and performance shown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase the securities underlying the Index or investment funds that are intended to track the performance of the Index. The imposition of these fees and charges would cause actual and back-tested performance of the securities/fund to be lower than the Index performance shown. Back-tested performance may not reflect the impact that any material market or economic factors might have had on the advisor’s management of actual client assets.

    The information may be used to create works such as charts and reports. Limited extracts of information and/or data derived from the information may be distributed or redistributed provided this is done infrequently in a non-systematic manner. The information may be used within the framework of investment activities provided that it is not done in connection with the marketing or promotion of any financial instrument or investment product that makes any explicit reference to the trademarks licensed to EDHECinfra (EDHECinfra, Scientific Infra and any other trademarks licensed to EDHEC Group) and that is based on, or seeks to match, the performance of the whole, or any part, of a EDHECinfra index. Such use requires that the Subscriber first enters into a separate license agreement with EDHECinfra. The Information may not be used to verify or correct other data or information from other sources.

    The terms contained in this Disclaimer are in addition to the Terms of Service for users without a subscription applicable to the EDHECinfra website, which are incorporated herein by reference.

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