The economic importance of infrastructure has been the subject of extensive research since the late 1980s and is free of controversy. The World Economic Forum (2008) lists infrastructure as one of the most crucial elements to a countryís productivity and competitiveness. In recent years, private investments in infrastructure have increased significantly and investors have begun to perceive infrastructure as an attractive asset class enhancing the efficiency of their investment portfolios. Since infrastructure and real estate exhibit many common characteristics, this research aims at contributing to the debate on whether infrastructure can be regarded as real estate or constitutes a separate asset class. With focus on the investment-horizon, the expected returns and expected volatilities of assets shift over time in predictable ways. Based on vector equilibrium correction model for the US market we analyze the short- and long-term dynamics of infrastructure returns, the dependences on infrastructure to the major other asset classes (stocks, bonds, cash and commercial real estate) and ultimately the influence of infrastructure investments on the asset allocation over the investment horizon.