Essential tools for long-term investors

EDHECinfra produces quarterly indices reflecting the fair value of unlisted infrastructure investments. They are calculated using a robust multi-factor methodology that uses the latest available secondary market information to calibrate discount rates and compute key performance and risk metrics.

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.

Market discount rates are estimated using secondary transaction prices and a five-factor model of expected returns

 

Find out more about our approach to asset pricing

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. 

Advanced payout forecasting

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.

Find out more about our cash flow forecasting approach.

 

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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It's free and super quick to sign up to the EDHECinfra platform. All registered users get free access to eight broadmarket indices going back 20 years.

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