Report on Investment Performance for the fiscal year ending June 30, 2022
On June 30, 2022, the market value of the University of Rochester’s Long Term Investment Pool (“LTIP”) was $3.2 billion. Performance for the fiscal year was -11.6%, net of all fees and expenses, compared with the benchmark return of -13.3%. Performance of the LTIP exceeded the benchmark for three, five, and ten years, and was approximately 9% net annualized for those periods.
The table below shows the LTIP’s June 30, 2022 allocations compared to targets for calendar year 2022.
The LTIP’s 63% alternative investment allocation, consisting of hedge funds and private equity and real asset partnerships, outperformed the LTIP and its benchmark for all periods. For the fiscal year, private equity (including venture capital) returned -8.9%. The real assets portfolio returned +13.7%. The hedge fund portfolio returned -14.8%. Volatility of return for the alternatives program was 6.5% annualized for the ten years ending June 30, 2022. This compares to ten-year volatility of 6.9% for the LTIP and 10.8% for the LTIP benchmark.
The publicly-traded equity portfolio returned -18.3% for the fiscal year, below the -15.8% return for the ACWI benchmark. Underperformance resulted mainly from the Opportunistic (mostly U.S.-focused, concentrated) portfolio. The fixed income and cash portfolio returned -4.1% for the fiscal year, compared to the -3.6% return for the benchmark BB Gov’t/Credit 1-3 Year Index.
The LTIP has ample liquidity, with approximately 47% of its value convertible into cash within one year.
The sources of return for the fiscal year, in descending order by contribution, are shown in the chart below (figures may not foot due to rounding).
