ESMA-registered
SIPA indices are registered with ESMA under the EU Benchmarks Regulation, meeting the regulatory standing required for representative benchmark use in KID disclosures.
The problem
What happens when private asset funds lack the right benchmark
The minimum data threshold
PRIIPs Regulation (EU 1286/2014) requires every packaged retail investment product sold in the EU or UK to include a Key Information Document. The KID's Summary Risk Indicator (SRI) is a score from 1 to 7, derived from a Value at Risk Equivalent Volatility (VEV) calculation.
That VEV calculation requires at minimum five years of monthly return data — from the fund itself or a representative benchmark. A large share of ELTIFs and LTAFs currently in market have not yet accumulated this track record, and many lack access to a registered benchmark that meets the data requirements.
The default score is materially wrong
Where neither the fund nor a suitable benchmark clears the threshold, the PRIIPs regulation defaults to an MRM score of 6 or 7. An MRM of 6 corresponds to a VEV of 30–80% — a band associated with highly leveraged or complex derivative strategies.
Using appraisal data from the fund itself also tends to understate volatility, and risks being rejected by regulators as an inappropriate basis for the VEV calculation.
The consequence: A default score of 6 misrepresents the risk profile of diversified private equity and infrastructure funds, undermining investor confidence and constraining distribution — precisely the outcome ELTIF and LTAF structures are designed to avoid.
Risk score comparison
Where private assets actually sit on the MRM scale
Using ten years of monthly data, SIPA indices generate scores that are two to four notches below the regulatory default — a difference that can determine whether a fund is distributable to retail investors at all.
Infrastructure debtinfra100 index
Infrastructure equityinfra300 index
Private equityprivate2000 index
Default — no benchmarkregulatory fallback
Infrastructure debt (MRM 2–3)
Infrastructure equity (MRM 3–4)
Private equity (MRM 4–5)
Default score (MRM 6–7)
Ranges reflect 5- and 10-year recommended holding periods. Source: privateMetrics®, infraMetrics®, SIPA calculations, as of March 2026.
The solution
SIPA indices meet every PRIIPs data requirement
The PRIIPs Regulatory Technical Standards define four conditions that a representative benchmark must satisfy to be used in the VEV calculation. SIPA indices are built to satisfy all four — and have already been accepted as the relevant risk benchmark by financial market regulators across the EU.
Monthly pricing
Indices are repriced monthly with a ten-day lag, satisfying the data frequency requirement for the VEV calculation. Returns are available in a range of international and local currencies.
10+ years of history
Infrastructure indices date back to 2000; private equity indices to 2013 — well beyond the five-year minimum required for the VEV calculation, supporting stable and reliable risk scores.
Mark-to-market pricing
The privateMetrics® valuation model reprices all constituents monthly using the latest transaction data. Returns capture actual market risk — no smoothing, no de-smoothing adjustments required.
Index results
MRM scores by asset class and holding period
VEV and MRM scores using trailing data through March 2026, shown for both 5-year and 10-year recommended holding periods. Existing funds have used both in their KIDs — the choice of holding period should reflect the fund's investment horizon.
| Index | VEV · 5yr RHP | MRM · 5yr RHP | VEV · 10yr RHP | MRM · 10yr RHP |
|---|---|---|---|---|
| Private equity — privateMetrics® | ||||
| private2000 VW | 23.1% | 5 | 16.3% | 4 |
| private2000 EW | 20.4% | 5 | 14.5% | 4 |
| privateEurope VW | 24.5% | 5 | 17.3% | 4 |
| privateEurope EW | 21.2% | 5 | 15.4% | 4 |
| Infrastructure equity — infraMetrics® | ||||
| infra300 equity VW | 17.8% | 4 | 12.6% | 4 |
| infra300 equity EW | 12.6% | 4 | 8.9% | 3 |
| Infrastructure debt — infraMetrics® | ||||
| infra100 debt VW | 7.3% | 3 | 5.2% | 3 |
| infra100 debt EW | 6.8% | 3 | 4.8% | 2 |
Source: privateMetrics®, infraMetrics®, SIPA calculations. As of March 2026. VEV = Value at Risk Equivalent Volatility. RHP = Recommended Holding Period. MRM thresholds: 1 <0.5% · 2: 0.5–5% · 3: 5–12% · 4: 12–20% · 5: 20–30% · 6: 30–80% · 7: >80%.
Sector-level precision
Match the benchmark to your strategy, not just the asset class
Beyond the flagship indices, granular benchmarks can be constructed using SIPA data and the PECCS® (private equity) and TICCS® (infrastructure) open-source taxonomies. A healthcare-focused PE fund carries a materially different risk profile than a natural resources fund — and its KID should reflect that.
Private equity by PECCS® activity class
- Retail34
- Health34
- Real Estate & Construction44
- Information & Communication45
- Manufacturing55
- Natural Resources56
- Transportation56
Left badge: 10yr RHP · right badge: 5yr RHP
Infrastructure equity by TICCS® industrial class
- Roads34
- Wind34
- Renewable Power34
- Solar34
- Network Utilities34
- Global Ports45
- Data Infrastructure45
Left badge: 10yr RHP · right badge: 5yr RHP
Resources
Explore the research
PRIIPs Risk Scoring with SIPA Indices
A concise visual overview of the PRIIPs challenge for private asset fund managers, the VEV methodology, and how SIPA's ESMA-registered benchmarks produce accurate MRM scores. Suited for internal discussions, compliance teams, and regulator conversations.
Download slidesPRIIPs and Private Asset Risk
The full academic paper by Evan Clarke of EDHEC Infrastructure & Private Assets Research Institute. Covers the VEV methodology in detail, full index results across asset classes, sector-level analysis using PECCS® and TICCS® classifications, and the privateMetrics® valuation model appendix.
Download white paperGet an accurate PRIIPs score for your fund
Our team will walk you through the benchmark selection process and show how SIPA indices apply to your strategy — broad market or sector-specific.