Calendar 2023 Report

Calendar 2023 Report

On December 31, 2023, the market value of the University of Rochester’s Long Term Investment Pool (“LTIP”) was $3.4 billion. Performance for the calendar year was 9.3%, net of all fees and expenses, compared with the benchmark return of 18.7%. Performance excludes approximately 33% of the LTIP investment in partnerships. Partnership values are lagged by one quarter such that December 31 values will be included in March quarterly performance. Performance of the LTIP exceeded the benchmark for three and ten years and was approximately equal to the benchmark for five years.

The table below shows the LTIP’s December 31, 2023 allocations compared to targets for calendar year 2024.

The LTIP’s 77% equity-oriented allocation, consisting of public equities, long/short equities, and partnerships in private equities and real assets, outperformed the LTIP’s equity benchmark (ACWI) for three and ten years. Five year annualized net performance of 10.6% was below the 11.7% return of the ACWI. Annualized returns from the LTIP’s 23% diversifier allocation, consisting of fixed income, short-term investments, and uncorrelated hedge funds, outperformed all fixed income benchmarks over one, three, five, and ten years.

For the ten years ending December 31, 2023, the annualized volatility of return for the diversifier category was approximately 3% and the volatility of the equity-oriented allocation was approximately 11%. Ten-year volatility was 9.4% for the LTIP and 11.9% for the benchmark.

The LTIP’s sources of return for the 2023 calendar year, in descending order by contribution, are shown in the chart below (figures may not foot due to rounding).

Calendar Year 2023