Fiscal 2009 Report
Rochester’s investment return for the Long Term Investment Pool (primarily endowment) for the fiscal year ending June 30, 2009, net of all fees and expenses, was approximately -19.8%. This compares favorably to the benchmark return of -21.1% (comprised of 60% Dow Jones Total Stock Market Index, 20% Barclay’s Aggregate Bond Index and 20% MSCI ACWI ex-US Index).
Rochester’s five-year average annual net return through June 30, 2009 was 4.2% vs. 1.0% for the benchmark. The ten-year average annual net return through June 30, 2009 was 5.7% vs. 0.9% for the benchmark.
The value of the Long Term Investment Pool at the end of the fiscal year was $1.37 billion, $374 million below the value reported at the beginning of the year. The change in value was attributable to investment returns of -$349.2 million, gifts and additions of $77.0 million and spending and withdrawals of $101.4 million.
Major asset classes generated the following performances in fiscal year 2009:
- Domestic equity managers, representing 17% of the portfolio, returned -25.8% compared to -26.4% from the Dow Jones Total Stock Market Index.
- International equities, representing 16% of the portfolio, returned -27.8% versus -30.9% from the MSCI ACWI ex-US Index.
- Domestic fixed income, representing 9% of the portfolio, returned 4.7%, compared to 6.1% from the Barclay’s Aggregate Bond Index. Most active fixed income managers, such as those employed by Rochester, underperformed for the year as a result of exposure to corporate bonds.
- The alternative investment program, representing 58% of the portfolio, generated a net return of -17.9%. Hedge funds returned -13.2% (-11.4% for absolute-return funds and -15.9% for equity-oriented funds), private equity returned -18.1% and real assets returned -22.4%. In the summer of 2009 the allocation to hedge funds was significantly reduced — from 28% to 22% — to assure adequate liquidity for commitments to investment partnerships.
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