{"id":1286,"date":"2025-02-24T15:30:17","date_gmt":"2025-02-24T20:30:17","guid":{"rendered":"https:\/\/www.rochester.edu\/endowment\/?page_id=1286"},"modified":"2025-02-27T13:04:40","modified_gmt":"2025-02-27T18:04:40","slug":"fiscal-2018-report","status":"publish","type":"page","link":"https:\/\/www.rochester.edu\/endowment\/fiscal-2018-report\/","title":{"rendered":"Fiscal 2018 Report"},"content":{"rendered":"

Report on Investment Performance for the fiscal year ending June 30, 2018<\/h2>\n

The market value of the University of Rochester\u2019s Long Term Investment Pool (\u201cLTIP\u201d) as of June 30, 2018 was $2.5 billion. \u00a0Performance for the year was 10.0%, net of all fees and expenses, compared with the benchmark return of 8.6%.\u00a0 Performance of the LTIP has exceeded the benchmark, net annualized, for five, ten, and fifteen year periods.\u00a0 Performance was slightly below the benchmark, net annualized, for the three year period.<\/p>\n

Asset Allocation and Performance<\/h3>\n

The chart below shows allocation targets and ranges compared to actual allocations on June 30, 2018.<\/p>\n

\n

**Committee approval in September 2016, effective until December 31, 2018. May not foot due to rounding<\/i><\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
<\/td>\n<\/td>\nTarget<\/strong><\/td>\nActual*<\/strong><\/td>\n+ \/ \u2013<\/strong><\/td>\nRange**<\/strong><\/td>\n<\/tr>\n
Traditional Investments<\/strong>\u00a0Consisting of:<\/td>\n<\/tr>\n
Total, Publicly-traded long equities<\/td>\n35<\/td>\n32<\/td>\n(3)<\/td>\n34 \u2013 36<\/td>\n<\/tr>\n
Fixed Income<\/td>\n4<\/td>\n5<\/td>\n1<\/td>\n4 \u2013 6<\/td>\n<\/tr>\n
Cash (not held by managers)<\/td>\n3<\/td>\n1<\/td>\n(2)<\/td>\n(3) \u2013 3<\/td>\n<\/tr>\n
Total, Traditional Investments<\/strong><\/td>\n42<\/td>\n38<\/td>\n(4)<\/td>\n35 \u2013 45<\/td>\n<\/tr>\n
<\/td>\n<\/tr>\n
Alternative Investments<\/strong>\u00a0Consisting of:<\/td>\n<\/tr>\n
Hedge Funds<\/td>\n25<\/td>\n27<\/td>\n2<\/td>\n25-28<\/td>\n<\/tr>\n
Private Equity \/ Distressed<\/td>\n21<\/td>\n22<\/td>\n1<\/td>\n19 \u2013 23<\/td>\n<\/tr>\n
Real Assets<\/td>\n12<\/td>\n13<\/td>\n1<\/td>\n11 \u2013 14<\/td>\n<\/tr>\n
Total, Traditional Investments<\/strong><\/td>\n58<\/td>\n62<\/td>\n4<\/td>\n55 \u2013 65<\/td>\n<\/tr>\n
<\/td>\n<\/tr>\n
TOTAL<\/strong><\/td>\n100<\/td>\n100<\/td>\n(0)<\/td>\n100<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/div>\n

The LTIP\u2019s 62% alternative investment allocation consists of hedge funds and partnerships investing in real assets and equities of private companies.\u00a0 The alternative investment program has outperformed the \u201ctraditional\u201d stock and bond portfolio for one, three, five, ten, and fifteen year periods. The alternative allocation is near the mean allocation to alternatives of the largest educational endowments.\u00a0 The LTIP alternative program demonstrated significantly lower volatility of return, with alternative volatility of 4.4% for the ten years ending June 30, 2018 compared to 6.9% for the LTIP.\u00a0 Importantly, the LTIP\u2019s alternative program generated attractive returns in periods of weak or negative performance by public equities and bonds, and is expected to continue to do so in the future.<\/p>\n

Comment on Asset Category Performance<\/h3>\n

The weights and contributions to return for asset classes as of June 30, 2018 are shown in the chart below.<\/p>\n

\"\"<\/p>\n

\n

Public Equities<\/h3>\n

The publicly-traded equity portfolio represented 32% of the total portfolio, below the target allocation of 35%.\u00a0 The publicly-traded equity portfolio returned 7.9% net for the fiscal year, below the 10.7% return for the MSCI All Country World Index (\u201cACWI\u201d) primarily as a result of the LTIP\u2019s overweighting of emerging markets equities.\u00a0 The publicly-traded equity portfolio outperformed the benchmark for the ten and fifteen year time periods and lagged for the three and five year periods.<\/p>\n

Opportunistic public equities represented 12% of the LTIP at the end of June.\u00a0 The group returned 11.4% net for the fiscal year, above the 10.7% return for the ACWI.\u00a0 The group also outperformed the ACWI for the three, five, ten, and fifteen year time periods.<\/p>\n

International public equity (ACWI ex-U.S. and emerging) represented 21% of the LTIP at the end of June.\u00a0 Performance for the fiscal year was 6.3% net, below the 7.3% return of the benchmark, the ACWI ex-U.S.\u00a0 The group outperformed the benchmark for the three, five, ten, and fifteen year time periods.\u00a0 Emerging markets, which represented more than half of the international public equity allocation, returned 3.9% net for the fiscal year, underperforming the 8.2% return of the benchmark, the MSCI Emerging Markets Index.\u00a0 For all longer periods, the emerging group outperformed the Index.<\/p>\n

\n

Hedge Funds<\/h3>\n

The hedge fund allocation was 27% at the end of June, above the target allocation of 25%.\u00a0 The hedge fund portfolio\u2019s net return was 7.8% for the fiscal year. \u00a0Equity-oriented managers returned 9.9% net, diversifiers returned 7.0% net, and the liquid diversifier manager returned 4.6% net.\u00a0 The hedge fund ten year net annualized return was 5.1%, below the 6.0% return of the LTIP benchmark.\u00a0 The fifteen year return of 7.3% was above the LTIP benchmark return of 7.2%.<\/p>\n

\n

Real Assets<\/h3>\n

Partnerships investing in real assets represented 13% of the LTIP at the end of June, slightly over the target.\u00a0 The real assets portfolio returned 4.5% net for the fiscal year.\u00a0 The net annualized return of 3.4% for the most recent five year period and ten year net annualized return of 0.4% are disappointing.\u00a0 Ten year results were impacted by the global financial crisis as well the decline in energy prices.\u00a0 The 8.5% return for fifteen years was above the LTIP benchmark return of 7.2%.<\/p>\n

The LTIP\u2019s real asset partnerships invest in energy\/mining and real estate\/agriculture.\u00a0 Energy and mining, a 9% allocation within the LTIP, returned 3.9% net for the fiscal year.\u00a0 The ten year net annualized return for energy and mining was -2.6% and the fifteen year return was 10.3%.\u00a0 Real estate and agriculture, a 4% allocation within the LTIP, returned 5.5% net for the fiscal year.\u00a0 The ten year net annualized return for real estate and agriculture was 2.0% (the fifteen year return is not available since the program did not exist prior to that time period).<\/p>\n

\n

Private Equity<\/h3>\n

The LTIP\u2019s private equity portfolio consists of partnerships investing in buyouts\/growth, distressed\/credit, and venture capital, and represented 22% of the LTIP at the end of the fiscal year, slightly above the target allocation of 21%.\u00a0 Private equity returned 22.7% net for the fiscal year; the ten year net annualized return was 13.3% and the fifteen year return was 14.4%.<\/p>\n

Buyouts, the largest strategy allocation within private equity at 11%, returned 23.2% net for the fiscal year.\u00a0 Venture capital, representing 9% of the LTIP, returned 26.2% net for the fiscal year.\u00a0 Distressed, a 2% allocation within the LTIP, returned 8.3% net for the fiscal year.\u00a0 Ten year net annualized returns for these subcategories were 12.0%, 15.9% and 11.6%, respectively.\u00a0 Fifteen year returns were 13.4%, 13.0%, and 12.3%, respectively.<\/p>\n

\n

Fixed Income<\/h3>\n

The allocation to fixed income and cash equivalents represented 6% of the LTIP.\u00a0 For the fiscal year, the LTIP\u2019s fixed income and cash investments returned 1.9% net, compared to 0.2% for the blended bond\/cash index. \u00a0The ten year net annualized return for fixed income and cash was 3.6% (4.7% for bonds), compared to the return of 3.8% for the blended index.\u00a0 The fifteen year return for fixed income and cash was equal to the blended index at 3.8% (4.6% for bonds).<\/p>\n

Liquidity<\/h3>\n

The LTIP has ample liquidity, with 62% of assets convertible into cash within one year.<\/p>\n

Investment Reports for Previous Years<\/a>
\n<\/i><\/strong><\/p>\n","protected":false},"excerpt":{"rendered":"

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