Building benchmarks for infrastructure investors

with the support of

Index Performance

Live index constituents are required to meet a minimum size condition (see methods section below).

Index Performance Metrics

Returns are time-weighted. Volatility is the standard deviation of returns. The Sharpe ratio is equal to excess returns divided by return volatility. In some years, the risk-free rate used to compute excess returns can be negative. Maximum drawdown is the worst peak to through drop in value in any given year.

Public Equity Market Reference

The public equity market reference index uses an identical weighing scheme as the index.

Analytics


Index Description

Universe Coverage

Country Breakdown

Sector Group Breakdown

Business Model Breakdown

Maturity Profile

Constituents Currency Profile




Index and Market Benchmark Returns



Index and Market Benchmark Sharpe Ratios



Annual Index Dividend Yield



Index IRR


The IRR is a "money-weighted" measure i.e. always value-weighted.



Index Summary Risk Statistics


Public Equity Market Summary Risk Statistics

VaR is the 99.5%, one-year Value-at-Risk. Volatility is the standard deviation of returns. Maximum drawdown is the worst peak to through drop in value in any given year. Duration expresses asset price sensitivity to interest rate risk and is the option-adjusted (effective) duration. It is not avaiable for the public equity reference index


Annual Index and Market Return Volalities



Index and Market 99.5% one-year Return VaR (Gaussian)



Annual Index Duration



Index Top Ten Holdings




Index Weight Profile




Factor Loadings



In each reporting period, we estimate the sensitivity of individual constituent excess returns to year-on-year changes in interest rate level, term structure slope and convexity, as well as cash flow volatility changes. Unexplained variability is attributed to current 'market conditions', including the evolution of investor preferences and country specific factors e.g. regulatory changes in certain constituent countries in the index.


Changes in these factors can have a positive (negative) effect, meaning that a positive change increases (decreases) excess returns. The net effect is always equal to 1.

Index Map

This map represents the physical infrastructure corresponding to the firms in each index. Large colored areas indicate the service area of a utility or distribution/transmission business.

Index Data


Download the index factsheet


Index returns : download a comma-separated file of the annual return values of the index
Index prices : download a comma-separated file of the annual price values of the index
Index constituents and weights download a comma-separated file of the current constituents and weight values in the index