为机构投资者提供非上市基础设施的全球投资机会

IF 1.6 Q3 BUSINESS, FINANCE
M. Marzuki, G. Newell
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引用次数: 5

摘要

目的基础设施投资是为数不多的在机构投资者的投资组合中具有突出地位的高水平真实另类资产之一,尤其是那些采用负债驱动投资策略的投资者。由于多元化收益和通胀对冲能力等原因,机构投资者对基础设施的兴趣增加,导致非上市和上市投资产品大幅增长,提供基础设施资产类别,并通过直接投资补充现有路线。本文旨在评估2008年第3季度至2019年第2季度非上市基础设施的投资属性,并与其他全球上市资产(基础设施、房地产、股票和债券)进行比较。设计/方法/方法季度总回报来自2008年第二季度至2019年第三季度基于估值的MSCI全球非上市季度基础设施资产指数,然后对其进行过滤,以减少估值平滑效应。还为其他全球资产类别收集了一组类似的回报数据。然后计算并比较了非上市基础设施和其他资产投资类别的平均年回报率、年风险、风险调整后的业绩和投资组合多元化收益。最后,进行了约束最优资产配置分析,验证了全球非上市基础设施在混合资产投资框架中的绩效提升作用。FindingsGlobal非上市基础设施的年平均总回报率表现最为强劲,跑赢了其他资产类别,并为投资者提供了与通胀密切相关的总回报。全球非上市基础设施也为投资者提供了波动最小的投资回报之一,因为它能够确保可预测的总回报。这意味着,在夏普比率风险调整回报的基础上,非上市基础设施也是表现最强劲的资产。这一表现也为所有资产带来了显著的投资组合多元化优势,导致非上市基础设施为整个投资组合风险范围的混合资产投资组合做出了贡献。实际含义除了更好的风险回报权衡外,机构投资者对能够提供其他投资收益(如可预测的长期业绩和与通胀挂钩的回报)的替代资产的投资组合越来越长期。通过用真正的替代资产丰富现有投资组合,可以进一步提高业绩和多样化效益,其中一种是基础设施资产类别。对于机构投资者来说,接触并参与基础设施资产的开发、交付和管理非常重要,因为它们是少数在社会、经济和投资需求方面具有重大意义的实物资产之一。原创性/价值这是第一篇在全球范围内实证研究非上市基础设施投资属性的研究论文。这项研究使基础设施资产类别的机构投资者能够做出经验验证、更知情和更实际的决策,特别是通过非上市途径。本文的最终目的是实证验证非上市基础设施作为一种重要的替代资产在机构实物资产投资空间以及整体投资组合中的战略作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A global investment opportunity in non-listed infrastructure for institutional investors
PurposeInfrastructure investment is one of the few high-calibre real alternative assets with a strong prominence in the portfolios of institutional investors, especially those with a liability-driven investment strategy. This has seen increased institutional investor interest in infrastructure for reasons such as diversification benefits and inflation hedging abilities, resulting in the substantial growth in non-listed and listed investment products offering access to the infrastructure asset class, and complementing the existing route via direct investment. This paper aims to assess the investment attributes of non-listed infrastructure over Q3:2008–Q2:2019, compared with other global listed assets of infrastructure, property, stocks and bonds.Design/methodology/approachQuarterly total returns were derived from the valuation-based MSCI global non-listed quarterly infrastructure asset index over Q2:2008–Q:2019, which were then filtered to decrease the valuation smoothing effects. A similar set of returns data was also collected for the other global asset classes. The average annual return, annual risk, risk-adjusted performance and portfolio diversification benefits for non-listed infrastructure and other asset investment classes were then computed and compared. Lastly, a constrained optimal asset allocation analysis was performed to validate the performance enhancement role of global non-listed infrastructure in a mixed-asset investment framework.FindingsGlobal non-listed infrastructure delivered the strongest average annual total return performance, outperforming the other asset classes and provided investors with total returns that linked strongly with inflation. Global non-listed infrastructure also provided investors with one of the least volatile investment returns because of its ability to ensure predictable total returns delivery. This means that on the Sharpe ratio risk-adjusted return basis, non-listed infrastructure was also the strongest performing asset. This performance was also delivered with significant portfolio diversification benefits with all assets, resulting in non-listed infrastructure contributing to the mixed-asset portfolios across the entire portfolio risk spectrum.Practical implicationsAside from better risk-return trade-offs, institutional investors are getting more secular with their portfolios for alternative assets that are able to provide other investment benefits such as predictable long-term performance and inflation-linked returns. A further improvement in performance and diversification benefits could be achieved by enriching existing investment portfolios with real alternative assets, one of which is the infrastructure asset class. For institutional investors, having exposure to and being part of the development, delivery and management of infrastructure assets are important, as they are one of the few real assets having considerable significance in the context of society, economy and investment needs.Originality/valueThis is the first research paper that empirically investigates the investment attributes of the non-listed infrastructure at a global level. This research enables empirically validated, more informed and practical decision-making by institutional investors in the infrastructure asset class, especially via the non-listed pathway. The ultimate aim of this paper is to empirically validate the strategic role of non-listed infrastructure as an important alternative asset in the institutional real asset investment space, as well as in the overall portfolio context.
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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