Investment Performance Commentary for the Year Ending June 30, 2009
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.