We introduce 2026 Capital Market Assumptions (CMAs) utilising infraMetrics® and privateMetrics®, including the flagship infra300® and private2000® indices. Our capital market assumptions tool and Excel add-in allow one to download the monthly prices across indices, compute returns, volatility, and correlation across asset classes. The tool allows for building optimal asset allocation using the inputs obtained from privateMetrics and infraMetrics, combined with public markets data. The indices are comprised of private companies, built with representative industry and geographic allocations. This represents an improvement over applying arbitrary premiums to listed markets or using appraisal NAV based indices, which can produce misleading CMA inputs due to inaccurate return, volatility, and correlation estimates.

Private Infrastructure CMAs Highlights

Median expected returns and volatility¹ for the infra300² index are 11.31% and 8.84%, respectively. For the infra100 Global index, expected returns and volatility are 11.75% and 12.15%, respectively. Finally, for the infraGreen index, expected returns and volatility are 10.15% and 7.95%. Expected returns across the three indices are in line with the total annualized returns observed over the past 3 years. During this period, asset prices have adapted to a changing interest rate regime, with higher bond yields. Additionally, we provide expected returns at the Industrial level.

Private Equities CMAs Highlights

For private equities, we provide discount rates for the private2000 index and for the Activity Class (sector) level of the index. Median expected return and volatility for the private2000 index is 12.2% and 17.3%³, respectively. Recent private equities returns have been weak. Nonetheless, current expected returns reflect appropriate compensation for risk taken in the private equities market, assuming assets are marked to market. Moreover, by providing discount rates at the sector level, we enable a more granular assessment of return expectations across sectors.

Market CMAs

We compare the infraMetrics and privateMetrics indices expected returns and volatilities assumptions against those provided by other market participants⁴. Longer term private infrastructure expected return assumptions range from 7%-11%. Volatility assumptions were wider, ranging from 10%-19%. For private equities, expected returns from investment houses ranged from 10%-13%, with volatility estimates very wide, from 11%-32%.

Footnotes:

¹Volatility assumption is based on 10 year realized volatility of indices.
² Equal weight and LCU returns for infra300, infra100 Core, and infraGreen indices as of 30 November 2025.
³ Private2000 value weighted index 10 year realized volatility.
⁴ Latest CMAs from BlackRock, JP Morgan, Morgan Stanley, Amundi, Allianz, PGIM, Northern Trust, State
Street.