TICCS® 2020 √ UNLISTED EQUITY MARCH 2020
The EDHECinfra Unlisted Equity Infrastructure Indices Methodology describes the approach used to design and compute indices of unlisted infrastructure equity 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 unlisted infrastructure market, matching best practices in mainstream investment measurement with performance assessment across asset classes.
Unlike most private equity investment indices, EDHECinfra indices are not contributed but calculated indices. Contributed indices simply aggregate reported performance measures provided by asset owners and managers to an index provider. With unlisted infrastructure, reported metrics are often considered unreliable and difficult to compare and aggregate. Contributed indices face significant data paucity and cannot provide index users with metrics supporting meaningful comparisons across asset classes.
A calculated index of private infrastructure investments can avoid sample biases 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, relying 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
- Maximum Drawdown
- Risk Premium Contribution
- Weighted-average yield curve
- Effective number of TICCS
- TICCS Contributions
- Price and cash returns contribution