Mean-variance spanning tests are used to determine whether adding a listed infrastructure proxy bucket to an existing investment portfolio significantly increases diversification opportunities. We present below the results of the Kan and Zhou (2012) two-stage test: The test consists in examining whether the rejection of the Huberman and Kandel (1987) (hereafter H&K) null hypothesis, i.e. whether the efficient frontier is improved when including new assets, is due to differences in the tangency or the global minimum variance as a result of the addition of the listed infrastructure assets.
If the mean-variance efficient frontiers are not statistically different the new asset cannot be said to constitute a new asset class. The p-value indicates the probability with which the null hypothesis of there being no difference cannot be rejected.