Calendar 2019 Report
On December 31, 2019, the market value of the University of Rochester’s Long Term Investment Pool (“LTIP”) was $2.7 billion. Performance for the calendar year was 13.7%, net of all fees and expenses, compared with the benchmark return of 21.9%. Performance of the LTIP also lagged the benchmark, net annualized, three and five years, but exceeded the benchmark for ten and fifteen year periods.
The table below shows the LTIP’s year-end asset allocation compared to 2019 targets and ranges.
| Range | Target | Actual | +/- | ||
| Traditional Investments | |||||
| Public Equities | 31 – 34 | 32 | 35 | 3 | |
| Fixed Income | 5- 7 | 6 | 4 | -2 | |
| Cash (not held by managers) | (1) – 4 | 3 | 2 | -1 | |
| 35 – 45 | 41 | 41 | 0 | ||
| Alternative Investments | |||||
| Hedge Funds | 25 – 29 | 28 | 24 | -4 | |
| Private Equity | 9 – 11 | 9 | 10 | 1 | |
| Real Assets | 21 – 25 | 22 | 24 | 2 | |
| 55 – 65 | 59 | 59 | 0 | ||
| 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 59% alternative investment allocation, consisting of hedge funds, private equity, and real assets, outperformed the LTIP and its benchmark for all longer annualized periods. For the calendar year, private equity (including venture capital) returned 17.2%. The real assets portfolio returned -0.9%. The hedge fund portfolio returned 12.0%. Volatility of return for the alternatives program was 3.2% annualized for the ten years ending December 31, 2019. This compares to ten-year volatility of 5.2% for the LTIP and 10.4% for the LTIP benchmark.
The publicly-traded equity portfolio returned 20.1% for the year, below the 26.6% return for the ACWI, 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 5.0% for the year, compared to 4.0% for the BB Gov’t/Credit 1-3 Year Index.
The LTIP has ample liquidity, with 55% of assets convertible into cash within one year.
The contributions to return for the year, ranked in descending order by contribution, are shown in the chart below (figures may not foot due to rounding).
Calendar Year 2019
| Category Return | Average Weight | Contribution | ||
| Total | 13.7% | 100.00% | 13.7% | |
| Hedge Funds | 12.0% | 25.1% | 3.1% | |
| Opportunistic | 29.3% | 11.1% | 3.0% | |
| Venture Capital | 28.1% | 10.8% | 2.8% | |
| International Equities (ex emerging) | 21.0% | 10.6% | 2.2% | |
| Emerging | 11.1% | 11.8% | 1.3% | |
| Private Equity | 9.4% | 13.4% | 1.3% | |
| Direct Commodities (Gold) | 18.0% | 1.7% | 0.3% | |
| Bonds | 6.3% | 4.2% | 0.3% | |
| Short-Term Investments | 2.1% | 1.8% | 0.0% | |
| Real Estate & Agriculture | 0.6% | 4.0% | 0.0% | |
| Cust/Consulting/Inv. Office Exp | -0.2% | |||
| Energy and Mining | -7.2% | 5.5% | -0.4% | |
*sorted by largest contribution