*as of 30th June 2021



+13.43% ten-year total return

+5.75% latest quarter return*

300

constituents

USD246.64bn

MArket Cap
The infra300tm Index -  The most representative view of unlisted infrastructure equity investment performance.

infra300tm Performance - 2020Q2

This quarter 1-year 3-year 5-year 10-year Inception
Total Returns -1.5 0.83 6.80 8.62 14.59 14.42
Excess Returns -1.52 0.47 6.20 8.01 13.62 11.78
Volatility - - 10.79 10.40 12.66 11.92
Sharpe Ratio - - 0.57 0.77 1.08 0.99
Value-at-Risk - - 18.12 17.77 20.33 18.17

Total returns include cash yield and price returns. Volatility is the standard deviation of total returns. The Sharpe Ratio is the ratio of excess returns to the standard deviation of returns. The Value-at-Risk is 99.5% Gaussian VaR. More metrics and analytics are available in the EDHECinfra data portal.

Q2 2021 Unlisted Infrastructure Index Release

wdt_ID - Latest quarter 1-year 3-year 5-year 10-year Inception
1 Total Returns 5.75 7.63 6.15 4.88 13.43 14.01
2 Excess Returns 5.76 7.68 5.77 4.44 12.65 11.51
3 Volatility - - 10.13 10.10 12.65 11.79
4 Sharpe Ratio - - 0.57 0.44 1.00 0.98
5 Value-at-Risk - - 16.95 19.60 21.17 18.11

Q2 2021 Index Release Comment

Q2 2021 EDHECinfra Release:
Resilience and recovery of infrastructure returns  

The unlisted infrastructure asset class is finally showing signs of recovery from Covid-19 with a significant drop in the equity risk premium in Q2 2021, ending six consecutive quarters of losses.

Since the onset of Covid-19, this quarter marks the first in which all segments of the infrastructure market have shown a positive return, even as interest rates remain at the highest level seen in more than a year amid ongoing fears of rising inflation.

The infra300® index, which tracks a representative global sample of unlisted infrastructure equity investments worth approximately USD 250bn, rose 5.75% in Q2 (in local currency), resulting from a combination of a 40bps drop in the average equity risk premium and largely unchanged interest rates. On a year-on-year basis, the capital return of the index is close flat, with the cash yield explaining the bulk of the 7.63% total return.

At the sector level, while all segments registered positive performance in the quarter, longer duration assets such as utilities (TICCS® – IC80), which are more sensitive to changes in the equity risk premium, led the sector level returns with an average return of 7.77% (in euros). In the transport sector (TICCS® – IC60), airports and roads registered lower positive returns in Q2 of 2% and 1% (in euros) respectively, as their short-term revenue projections continued to be marred by the impacts of Covid-19.

Contracted infrastructure companies (TICCS® – BR10) have proven resilient during the past year of crisis and continue to perform well. On a five-year basis, they generated a 5.66% return (in euros) with a Sharpe ratio of 0.70, outperforming the broader unlisted infrastructure equity market. Looking at corporate governance buckets (TICCS® – CG), infrastructure corporates outperformed project-financed companies over the quarter by more than 3 percentage points (in euros); however, they are still lagging on a year-on-year basis. Corporates were severely affected by Covid-19 but now show a stronger recovery, with their average equity risk premium shrinking by 55bps compared to just 25bps for infrastructure projects.

On the private infrastructure debt side, the picture is quite different. After a sharp spike in yield in Q1, in line with the rest of the debt market, the broad-market index returned 1.25% In Q2 and a modest 1.16% on a year-on-year basis (in euros). This index includes more than 1,000 senior debt instruments across infrastructure corporates and projects and has an average modified duration of 5.5 years.

Average credit spreads for all private infra debt now stand at more than 150bps, closer to the pre-pandemic level, resulting in average yields dropping by around 10bps on the quarter to 2.37%. Spreads are now 16% tighter than the widest level seen last year in the early phase of the pandemic.

However, there continue to be stark differences between Global Project Finance Debt and Global Corporate debt indices. The credit spreads for the project financed debt stand at 188bps after barely moving during Q2, resulting in a muted quarterly return of 0.36% (in euros). By comparison, corporate debt spreads are back at their pre-pandemic level (123bps) with a reduction of more than 20bps on the quarter. This translates into a quarterly return of 1.96% (in euros) for the Global Corporate debt index.

Download the index factsheet: USD returns | Local currency returns  

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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.

The infra300™ index is designed to track the different TICCS® segments of the unlisted infrastructure reference universe identified as the 22 national markets qualifying as 'principal' or most active markets (IFRS 13).

The index is equally weighted. Its coverage of each TICCS® pillar of the investable universe reflect the availability of data and the trade-off made to match each segment as accurately as possible while restricting the index to 300 constituents.

(Bloomberg ticker: infra300)

Access the Infra300 on our data & analytics portal

infra300tm TICCS® Coverage

The bar charts below show the TICCS® structure of the universe using average values for the 2015-2020 period, compared to the TICCS® coverage of the Infra300 Index (data as of 2020Q1). The universe size and structure follows the EDHECInfra Infrastructure Universe Standard and TICCS® taxonomy.

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