From Alpha to Market Beta in Private Market Funds Investors in private asset funds, such as private equity and private infrastructure funds, aim to select top-performing fund managers. However, by definition, only 25% of funds can be in the top quartile, leaving most investors (Limited Partners, or LPs) with lower-performing ...

The privateMetrics asset pricing model enables the fair market value of unlisted private equity investments to be estimated in a robust and dynamic manner. It solves the twin problems in private markets of smoothed reported NAVs, that are not convincingly marked-to-market or capture risk, and of the absence of a ...

The infraMetrics asset pricing model allows estimating the fair market value of unlisted infrastructure equity investments in a robust and dynamic manner. It improves greatly on traditional approaches which tend to generate backward-looking or ‘stale’ net asset values that are not aligned with the level of market prices at the ...

We examine two issues relevant to diversification and infrastructure investment: portfolio construction and what it means to build a “well-diversified” portfolio of unlisted infrastructure equity; strategic asset allocation, examining the potential diversification benefits gained by adding infrastructure to the asset classes that make up a typical portfolio. ...

This paper proposes a factor model based solution that, when calibrated with transaction data and novel risk factors, can transform sparse, noisy, and biased transaction data into meaningful information that aids asset allocation, benchmarking, and monitoring of private investments. ...

In this paper, we ask what investors in Thames Water – and its holding company Kemble Water – would have learned about the level of risk of their investment and its likely market value had they compared its characteristics to market and peer group data. ...

As part of the government’s policy to promote economic growth, the UK Department for Work and Pensions (DWP) wants to build an evidence base around how defined benefit (DB) pension schemes could increase the amount invested in productive asset classes including infrastructure. In its response to DWP, EDHEC Infra & Private ...

We examine the impact on the risk profile of wind and solar power investments of the increasing dominance of renewables in the energy mix of a given country, using the case of the UK whose economy has made a rapid transition to renewables and away from coal. ...

Using asset- and fund-level data, we highlight important differences between infrastructure assets and funds, and compare their historical performance and cash flow characteristics with both public and other private investments. An infrastructure asset’s age, sector, business risk and corporate structure all influence the asset’s risk-return profile. We examine the sensitivity ...

This report, produced in collaboration with Ares Asset Management, illustrates that private infrastructure assets can provide resilience in the current rising rate and high inflation macroeconomic environment. The primary structural reason for this resilience is the ability of private infrastructure assets to increase revenues along with inflation.  ...

In this paper, we examine the impact on realised performance of the permanent shift in investor preferences for low carbon energy investments, and how it relates to the expected returns of green power investments. ...

In this paper, we compare the behaviour of unlisted infrastructure equity investments with that of traditional assets, with a focus on the effects of shocks such as recessions, financial market crises and policy shocks. These findings have risk management and prudential implications. ...

In this paper, we examine the drivers of the volatility of unlisted infrastructure equity investments. Our analysis uses the EDHECinfra database of unlisted infrastructure equity investment data, which covers hundreds of firms over 20 years and a new approach to measure the market value of these investments over time. ...

As more investors consider allocations to unlisted infrastructure, the need to bring the asset class into the mainstream of risk management, asset allocation and prudential regulation is increasing rapidly. Recent advances in data collection and asset pricing techniques now enable the evolution of fair market prices to be estimated. ...