This paper presents the first results of an ambitious applied research project to create and compute fully fledged private infrastructure equity investment benchmarks. The indices we created span 14 European countries over 16 years, going back to 2000. In this paper we focus on three questions:

1. How does a “broad market” index of private infrastructure equity investments perform relative to a public equity market reference index?

2. Is there a difference between the risk-adjusted performance of contracted, merchant, and regulated infrastructure, or between investing in “project finance” vehicles and “infrastructure corporates”?

3. How much diversification of investment specific risk can be achieved in portfolios of private infrastructure equity investments?