TICCS® 2020 √ PRIVATE DEBT MARCH 2020
The EDHECinfra Private Infrastructure Debt Indices Methodology describes the approach used to design and compute indices of private infrastructure debt investments. It describes the main procedures, methods, and rules governing the EDHECinfra definition and computation of these indices. Our aim is to provide a transparent view of the private infrastructure debt market, matching best practices in mainstream investment measurement and performance assessment across asset classes.
In the absence of a large pool of traded infrastructure debt, EDHECinfra indices are calculated indices.
A calculated index of private infrastructure debt can also help avoid sample biases found in primary market spread data for example and deliver better risk and performance measurement. Methodological robustness is paramount to this approach.
Producing a calculated index requires computing the financial performance of each index constituent using a unified methodology, as described in the EDHECinfra Unlisted Infrastructure Asset-Pricing Methodology. We rely on International Financial Reporting Standards (IFRS) guidance, industry practices, and academic principles, thus providing adequate measures of performance and risk for the purpose of computing a market index.
It also requires collecting data which is described in the EDHECinfra Data Collection Standard.
Table of Contents
- Index Data
- Index Analytics
- Historical Volatility
- Cross-Sectional (Model) Volatility
- Excess Returns
- Sharpe Ratio
- Index VaR
- Index Duration
- Index Yield to Maturity (IRR)
- Price return
- Income return
- Free cash flow yield
- Index-Level Expected Loss
- Average Maturity
- Weighted-average yield curve
- Effective number of TICCS
- Price and cash returns contribution