Calendar 2024 Report
On December 31, 2024, the market value of the University of Rochester’s Long Term Investment Pool (“LTIP”) was $3.6 billion. Performance for the calendar year was 10.5%, net of all fees and expenses, compared with the benchmark return of 14.8%. Performance excludes fourth-quarter results from approximately 30% of the LTIP that is invested in partnerships. Partnership values are lagged by one quarter such that December 31 values will be included in March quarterly performance.
Private partnerships remain the primary factor in the LTIP’s long-term excess returns but incurred an annualized loss of 0.1% over the past three years. Partnerships can only be properly evaluated over long periods (typically five to ten years) allowing for company-level innovations to become profitable and for business improvements to take hold.
Asset class returns for the calendar year are shown below.
Calendar Year 2024
| Category Return | Average Weight | Contribution | ||
| Total | 10.5% | 100.00% | 10.5% | |
| Opportunistic | 17.9% | 15.7% | 2.7% | |
| Diversifier Hedge Funds | 15.2% | 14.4% | 2.2% | |
| ACWI ex US Mandate | 14.7% | 10.0% | 1.4% | |
| Long/Short Equities | 14.1% | 9.8% | 1.4% | |
| Emerging | 8.5% | 11.2% | 0.9% | |
| Venture Capital | 6.5% | 14.0% | 0.9% | |
| Private Equity | 6.2% | 12.7% | 0.8% | |
| Bonds | 6.5% | 4.8% | 0.3% | |
| Short-Term Investments | 5.2% | 3.7% | 0.2% | |
| Real Assets | -4.7% | 3.7% | -0.2% | |
*sorted by largest contribution
The LTIP has been rewarded in periods of market or economic stress for its actively managed approach combined with a portfolio that is more diversified than passive benchmarks. That approach can constrain relative performance in rapidly rising markets.
The LTIP’s 76% equity-oriented allocation, shown in the table below, consists of long-only public equities, long/short equities, and partnerships in private equities and real assets. The equity allocation underperformed the LTIP’s equity benchmark (ACWI) for one-, three-, five-, and ten-year periods. This was due to the LTIP’s underweight in the seven mega-cap growth companies that led the recent AI-driven market frenzy (creating highly concentrated passive equity benchmarks), the LTIP’s continued emphasis on international and emerging markets equities, and private partnerships.
LTIP also has a “value-oriented” tilt in public equities to diversify the LTIP’s growth-focused strategies in private partnerships. While history may not be a perfect guide, it is worth noting that the last time the valuation gap between the growth and value indexes was as wide as it is today, in December 2000, value stocks significantly outperformed growth over the subsequent one-, three- and five-year periods. The current P/E ratio of the growth-heavy S&P 500 is also near a record high, indicating a potential overvaluation.
The LTIP’s 24% diversifier allocation, also shown below, consists of uncorrelated hedge funds, fixed income, and short-term investments. The diversifier allocation outperformed the Bloomberg 1-3 Year Government/Credit Index over one-, three-, five-, and ten-year periods.
| Target | Actual | +/- | |||
| Equity-Oriented | |||||
| Long-Only Public Equities | 35 | 38 | 3 | ||
| Long/Short Hedge Funds | 8 | 8 | (0) | ||
| Private Partnerships | 35 | 30 | (5) | ||
| 78 | 76 | (2) | |||
| Diversifiers | |||||
| Fixed Income/Short-Term | 8 | 9 | 1 | ||
| Uncorrelated Hedge Funds | 14 | 15 | 1 | ||
| 22 | 24 | 2 | |||
| TOTAL | 100 | 100 | |||
*Committee approval in September 2024, effective until December 31, 2025. May not foot due to rounding.
Recent and longer-term performance of the LTIP remains competitive with close peers, all of which diversify their portfolios and invest in private partnerships. The LTIP’s fiscal year 2024 return of 9.5% exceeded the close peer mean by approximately 50 basis points. Peer information will be more closely examined during the Annual Investment Review at the Investment Committee meeting in May 2025.
The LTIP has ample liquidity, with approximately 54% of its value convertible into cash within one year.