||The importance of infrastructure as an alternative asset has emerged significantly in recent years. Based on a novel dataset, this paper investigates the long-run relationships and short-run dynamics between direct and securitized infrastructure returns and the relationsship to the relevant real estate indices. Based on a cointegration analysis, we are able to detect the existence of a long-run relationship between direct and securitized infrastructure driven by a common underlying infrastructure business factor. This result implies that investors are not able to realize long-term portfolio diversification benefits by allocating funds to both direct and securitized infrastructure, since they are substitutable over the long run. However, in the short run indirect infrastructure is driven by the general stock market and follows the direct infrastructure market - a status (similar in particular to the “pre-Reit era”), which might reflect the lack of segmentation and focus of listed infrastructure companies. Furthermore, we are unable to investigate the relationship between direct infrastructure and direct real estate returns, either in the short run or long run - a result which contradicts to the assumption of infrastructure as being a subset of or substitute for real estate.