Report on Investment Performance for the fiscal year ending June 30, 2019
On June 30, 2019, the market value of the University of Rochester’s Long Term Investment Pool (“LTIP”) was $2.6 billion. Performance for the fiscal year was 6.3%, net of all fees and expenses, compared with the benchmark return of 5.7%. Performance of the LTIP exceeded the benchmark, net annualized, for one, three, five, ten and fifteen years.
The table below shows the LTIP’s asset allocation at the end of the fiscal year compared to 2019 targets and ranges.
The LTIP’s 61% alternative investment allocation, consisting of hedge funds, private equity, and real assets, outperformed the LTIP and its benchmark for all periods. For the fiscal year, private equity (including venture capital) returned 21.9%. The real assets portfolio returned 2.9%. The hedge fund portfolio returned 3.8%. Volatility of return for the alternatives program was 3.2% annualized for the ten years ending June 30, 2019. This compares to ten-year volatility of 5.3% for the LTIP and 10.7% for the LTIP benchmark.
The publicly-traded equity portfolio returned -0.3% for the fiscal year, well below the 5.7% return for the ACWI, primarily as a result of the LTIP’s significant overweighting of international equities. Maintaining this overweight is essential over the next few years since prices of international stocks are now near record lows in relation to earnings and growth, and also in relation to prices of U.S. stocks.
The fixed income and cash portfolio returned 4.2%, compared to 4.3% for the BB Gov’t/Credit 1-3 Year Index.
The LTIP has ample liquidity, with 54% of assets convertible into cash within one year.
The contributions to return for the fiscal year, ranked in descending order by contribution, are shown in the chart below.
