Market Insight - Stocks, Bonds and Airports: Infrastructure Assets in Pension Plan Portfolios - January 2014
categories: Americas, EMEAI, Risk Management Analytics, Asset Allocation and Asset Liability Management, Factor and Risk Modeling, Investing (Investment Management), Portfolio Construction and Optimization, Risk Management, RMA, Asia Pacific, Equities, Australia, Fixed Income, Multi-Asset Class, Research Paper, SHEPARD Peter, GILFEDDER Neil, general
Infrastructure is challenging to model because, as a highly illiquid asset class, it lacks frequent, transaction-based data. In this Market Insight, we look at two examples: the equity-like Sydney Airport and a bond-like investment in UK power-transmission lines. We examine different ways to capture their risks using MSCI’s multi-asset class risk model, the Barra Integrated Model. In both cases, characterizing the investments in terms of their exposures to factors in a well-built multi-asset class model is crucial if we are to understand infrastructure assets in a portfolio context.