Is Infrastructure Shockproof? : The Resilience of Infrastructure Equity Investments During Market Downturns, 2000-2022

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. We compare the return correlations and drawdown characteristics of geographically comparable indices of unlisted infrastructure equity, listed equity, treasuries and corporate bonds. We then examine their return drawdown and co-variance, as well as higher co-moments of returns (co-skewness and cokurtosis), to determine the presence or absence of joint extreme risks. To make this analysis possible, we use 22 years of monthly returns from infraMetrics® to proxy unlisted infrastructure returns. We build geographically comparable public equity and bond indices to use as as our comparators.