Investing in the energy transition

Notes:

EIP managed funds do not follow any benchmark; indices are only represented here for illustrative purposes.
Indices are total return, expressed in EUR and net of fees, all constructed by EIP out of several sources.
Global energy infrastructure private equity, Global infrastructure private equity and Global infrastructure private debt are derived from the Scientific Infra series, to which we applied a 2.5% p.a. TER as a generic assumption for holding costs, management fees and performance fees. Those indices are calculated, not contributed, to make their volatility comparable to public market instruments and avoid stale pricing and auto-correlation bias of contributed indices. For more information: Strategic Asset Allocation with Unlisted Infrastructure, EDHECinfra Use Case Series 2021 (February).
Global listed equities are derived from MSCI ACWI (via Bloomberg), converted into EUR and to which we apply a 0.2% p.a. TER as a generic assumption.
60/40 strategy is calculated based on 60% of Global listed equities and 40% of the Bloomberg EUR aggregate bond market (to which we applied a 0.2% TER p.a.), which we rebalance on a monthly basis.
Global private equity (buyouts) and Global private real estate are derived from Bloomberg Private Equity indices, which we converted into EUR. Those indices are contributed (i.e. appraisal-based whereby a valuation agent determines the NAV of the fund), which may come with stale pricing and auto correlation bias leading to “smoothed” returns compared to other market indices (or even Edhec-derived indices).

Notes:

Metrics are calculated on monthly data from 31 March 2009 to 31 October 2023; except for Global private equity and Global private real estate, where calculations are on quarterly data (31 March 2009 to 30 June 2023).
Sharpe ratios are a risk-adjusted measure calculated as the ratio of excess return (for a given period, annualized total return of the index less annualized total return of the Euribor 3 months) to standard deviation of the index total return (as presented in the previous column as annualized volatility).
Total return volatility is the standard deviation of the monthly total returns of an index, annualized by multiplying by √12.
Given their smoothed nature, the fundamental volatility of Global private equity and Global private real estate is expected to be significantly higher than the calculated metric, and the Sharpe ratio materially lower.