Infrastructure has become an important part of institutional investors´ alternative asset portfolios all over the world. This paper documents that larger pension funds, public pension funds, and pension funds with a larger allocation to alternative assets are more likely to invest in infrastructure, and to manage it internally. Smaller pension funds make more use of intermediated external investment approaches, face higher investment costs and realize lower returns. We observe significant economies of scale for the investment performance of pension fund investments in infrastructure, while financial intermediation does not seem to lead to worse performance. Overall, as an institutional investment, infrastructure has proven to be the best-performing asset class over the 2007-2018 time period. The increase in infrastructure allocations by pension funds seem to be justified from a risk/return point of view.