On December 31, 2018, the market value of the University of Rochester’s Long Term Investment Pool (“LTIP”) was $2.4 billion. Performance for the calendar year was 1.0%, net of all fees and expenses, compared with the benchmark return of -7.2%. Performance of the LTIP also exceeded the benchmark, net annualized, for three, five, ten, and fifteen years, as shown in the attached chart. The chart also shows allocations to, and performance of, the LTIP’s major asset classes.
The table below shows year end asset allocation compared to 2018 targets and ranges.
| Range | Target | Actual | +/- | ||
| Traditional Investments | |||||
| Public Equities | 34 – 36 | 35 | 32 | -3 | |
| Fixed Income | 4 – 6 | 4 | 4 | 0 | |
| Cash (not held by managers) | (3) – 3 | 3 | 1 | -2 | |
| 35 – 45 | 42 | 37 | -5 | ||
| Alternative Investments | |||||
| Hedge Funds | 25 – 28 | 25 | 27 | 2 | |
| Private Equity | 11 – 14 | 12 | 12 | 0 | |
| Real Assets | 19 – 23 | 21 | 24 | 3 | |
| 55 – 65 | 58 | 63 | 5 | ||
| TOTAL *Effective until January 1, 2019. May not foot due to rounding. Note: Allocations were adjusted in late 2018 in anticipation of 2019 targets. |
100 | 100 | 100 | 0 | |
The LTIP’s 63% alternative investment allocation, consisting of hedge funds, private equity, and real assets, significantly outperformed the “traditional” public equity and fixed income portfolio for the year. The private equity portfolio (including venture capital) returned 27.3%. The real assets portfolio returned 4.9%. The hedge fund portfolio returned -2.1%. The alternative program exhibited very low volatility in return of 3.5% annualized for the ten years ending December 31, 2018. This compares to 5.5% for the LTIP and 11.5% for the LTIP benchmark.
The publicly-traded equity portfolio returned -12.0%, below the -9.4% return for the ACWI, primarily as a result of the overweighting of international equities. The fixed income and cash portfolio returned 0.5%, compared to 1.6% for the BB US Agg. Gov’t/Credit 1-3 Year Index. The LTIP has ample liquidity, with 57% of assets convertible into cash within one year.
The contributions to return for the year are shown in the chart below.
Calendar Year 2018
| Category Return | Average Weight | Contribution | ||
| Total | 1.0% | 100.00% | 1.0% | |
| Venture Capital | 35.3% | 8.8% | 2.7% | |
| Private Equity | 22.0% | 12.3% | 2.5% | |
| Energy and Mining | 8.8% | 5.7% | 0.5% | |
| Real Estate | 4.6% | 4.0% | 0.2% | |
| Short Term Investments | 1.7% | 2.8% | 0.0% | |
| Agriculture | 4.5% | 0.5% | 0.0% | |
| Bonds | (0.3%) | 4.4% | (0.0%) | |
| Direct Commodities (gold) | (1.8%) | 2.6% | (0.1%) | |
| Cust/Consulting/Inv. Office Exp | (0.1%) | |||
| Hedge Funds | (2.1%) | 25.3% | (0.5%) | |
| Emerging Equities | (10.7%) | 11.5% | (1.3%) | |
| Opportunistic Equities | (10.8%) | 12.3% | (1.3%) | |
| International Equities (ex emerging) | (14.4%) | 9.8% | (1.5%) | |
*sorted by largest contribution