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Constructing an investment return series for the UK unlisted infrastructure market: estimation and application

Author

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  • Luke R. Hartigan
  • Ritesh Prasad
  • Anthony J. De Francesco

Abstract

The global infrastructure investment community is hamstrung by a lack of adequate data surrounding unlisted infrastructure performance outside Australia. In response, this paper aims to estimate a UK unlisted infrastructure series. This is achieved by creating a synthetic return series drawing on information from different asset classes and geographical markets. The estimated unlisted return series determined to be the most appropriate has lower volatility relative to UK listed infrastructure and lower correlation with both UK listed infrastructure and UK equities. Additionally, it is based on data from the same geographical market and the same underlying asset market. A working application of the return series is presented in the context of infrastructure’s asset allocation in a balanced portfolio and across infrastructure investment segments for the UK investment market. Findings suggest that infrastructure investment has a significant role to play in investors’ balanced portfolios. Furthermore, results indicate target allocations of 80% and 20% for unlisted and listed infrastructure respectively.

Suggested Citation

  • Luke R. Hartigan & Ritesh Prasad & Anthony J. De Francesco, 2010. "Constructing an investment return series for the UK unlisted infrastructure market: estimation and application," Journal of Property Research, Taylor & Francis Journals, vol. 28(1), pages 35-58, September.
    • Handle: RePEc:taf:jpropr:v:28:y:2010:i:1:p:35-58
    DOI: 10.1080/09599916.2011.544148
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    Cited by:

    1. Wouter Thierie & Lieven Moor, 2016. "The characteristics of infrastructure as an investment class," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 277-297, August.
    2. Louis Chakkalakal & Ulrich Hommel & Wenwei Li, 2018. "Transport infrastructure equities in mixed-asset portfolios: estimating risk with a Garch-Copula CVaR model," Journal of Property Research, Taylor & Francis Journals, vol. 35(2), pages 117-138, April.
    3. Muhammad Jufri Marzuki & Graeme Newell, 2020. "A global investment opportunity in non-listed infrastructure for institutional investors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 39(3), pages 239-255, May.

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