## A modern approach to measure fair value in private investments

Without direct comparators, a discounted cash flow approach is needed for unlisted infrastructure assets. But single factor discount models (e.g. CAPM) and listed infrastructure proxies fail to capture the true drivers of expected returns. Our approach makes it possible to calibrate discount rates to match current market conditions and achieve better, IFRS-13 compliant valuations.

### A representative index of investible infrastructure in 25 countries

Based on in-depth market research, the universe used to compute the EDHECinfra indices aims to capture 50% of the investible market over time in those countries that exhibit at least 20% of secondary/primary marlet activity, ensuring the representative constituents and discount rates.

We use advanced statistical techniques and the largest database of historical infrastructure cash flows in the world to produce robust equity and debt payout forecasts. Out-of-sample, we predict future cash flows with very high accuracy.

### Rich performance metrics

Using the valuations we produce for each asset, we compute a series of essential index performance metrics. Performance is reported in local or international currencies, and three choices of index weighing schemes.  Updated quarterly.

Index total return is calculated as the percentage value change plus net income accrual relative to the initial value of the asset.

Index total returns $= \sum\limits_{i}^{n} w_{i;t-1} (\frac{V_{i;t;RepCCY} + D_{i;t;RepCCY}}{V_{i;t-1;RepCCY}} - 1)$

where w represents weights, V a constituent fair value expressed in the reporting currency and D a coupon or dividend payment.

### Unique Risk Metrics

We also produce a model-driven index volatility measure. This risk measure takes into account the significant diversification (return co-variance) that is available whthin the infrastructure universe, as well as the significant bid-ask speads that characterises the prices of highly illiquid assets.

At the index level the portfolio risk is estimated by relying on the multi-factor model used to compute asset values and returns. In the multi-factor model, the expected excess return of each asset can be represented as:

$r_i=E(R_{i})-R_f=\beta_{i;1}f_1+\dots+\beta_{i;K}f_K+\epsilon_{i}$

where $\beta_{i;k}$ is the asset exposure to factor k; fk is the factor return to be estimated and $\epsilon_i$ is the specific return.

Portfolio risk can then be calculated as: $\hat{\sigma}_P=\sqrt{w^{T}\Omega_{}w}$ where w is a n x 1 weights matrix of the assets and $\Omega$ is a n x n covariance matrix of assets.

### Private Debt Indices

Our indices cover both unlisted equity and private debt performance for all the constituents identified in the universe.

Debt indices include the same performance and risk metrics than equity indices as well as specific credit risk analystics.

### Broad Market and Thematic Indices

EDHECinfra indices are TICCS-compatible and can be sliced and diced following sector, business risk, corporate governance or geographic segments.

Thematic infrastructure indices (2005=1000)

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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.

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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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