In this contribution to the exposure draft consultation on the “Your Future, Your Super” package, we do not comment on the general approach taken by the regulator to benchmark MySuper products but solely focus on the choice of benchmark for the unlisted infrastructure asset class. We propose abandoning the use of listed equity indices to proxy investments made in the unlisted infrastructure equity asset class in the proposed performance tests of MySuper products. We argue that recent advances in data collection and innovation in asset pricing provide a robust and academically validated alternative to the currently proposed benchmark. This listed equity index (the FTSE Developed Core Index) is wholly inadequate because it is not representative of the universe or of the risks to which Superannuation products are exposed when investing in unlisted infrastructure. Instead, the infra300, an index built to be representative of the unlisted infrastructure universe, constitutes a robust and fair alternative that can benefit plan members and managers alike as well as meeting the prudential objectives of the regulator.

We show how the traditional indexes used as proxies for unlisted infrastructure fail to represent the qualities of the asset class and how investors can carry out a simple asset allocation exercise to calculate the optimal allocation they should be making to unlisted infrastructure based on their individual portfolio needs.

We use the EDHECinfra index data to better understand the performance of two peer groups of infrastructure investors: large asset managers and large asset owners. This case study documents how they perform relative to the market, and to each other and why they perform the way they do.

This paper argues that there is no reason for investors in unlisted infrastructure to continue using absolute return or ‘cash +’ benchmarks. It calls for investors to abandon them and adopt market-relative benchmarks based on fair value and representative data.

We examine the results of a large survey of infrastructure investors and their preferences for the segmentation of the infrastructure asset class and set out a taxonomy of unlisted infrastructure investment indices and benchmarks that will now be used to compute all EDHECinfra indices, sub-indices and custom benchmarks.