{"id":586,"date":"2025-02-21T13:35:40","date_gmt":"2025-02-21T18:35:40","guid":{"rendered":"https:\/\/www.rochester.edu\/endowment\/?page_id=586"},"modified":"2025-02-27T16:39:07","modified_gmt":"2025-02-27T21:39:07","slug":"calendar-2017-report","status":"publish","type":"page","link":"https:\/\/www.rochester.edu\/endowment\/calendar-2017-report\/","title":{"rendered":"Calendar 2017 Report"},"content":{"rendered":"

Report on Calendar Year 2017 Performance<\/h2>\n

The market value of the University of Rochester Long-Term Investment Pool (\u201cLTIP\u201d) as of December 31, 2017 was $2.5 billion. \u00a0Performance for the year was 15.9%, net of all fees and expenses, compared with the benchmark return of 19.0%.\u00a0 Performance of the LTIP slightly lagged the benchmark, net annualized, for the five year period and lagged by 1.2% annualized for three years, primarily due to lower returns of hedge funds.\u00a0 Ten year LTIP performance of 5.6% (net annualized) is 0.5% above the 5.1% annual return on the benchmark. \u00a0Fiscal 2009 performance of -19.8%, arising from the global financial crisis significantly impacted the ten year return.nt.<\/p>\n

Asset Allocation and Performance<\/h3>\n

The chart below shows asset allocation targets and ranges (\u201cpolicy portfolio\u201d) compared to actual allocations on December 31, 2017.<\/p>\n

\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>\n37<\/td>\n2<\/td>\n34 \u2013 36<\/td>\n<\/tr>\n
Fixed Income<\/td>\n4<\/td>\n4<\/td>\n0<\/td>\n4 \u2013 6<\/td>\n<\/tr>\n
Cash (not held by managers)<\/td>\n3<\/td>\n2<\/td>\n(1)<\/td>\n(3) \u2013 3<\/td>\n<\/tr>\n
Total, Traditional Investments<\/strong><\/td>\n42<\/td>\n43<\/td>\n1<\/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>\n26<\/td>\n1<\/td>\n25 \u2013 28<\/td>\n<\/tr>\n
Private Equity<\/td>\n21<\/td>\n19<\/td>\n(2)<\/td>\n19 \u2013 23<\/td>\n<\/tr>\n
Real Assets<\/td>\n12<\/td>\n12<\/td>\n0<\/td>\n11 \u2013 14<\/td>\n<\/tr>\n
Total, Alternative Investments<\/strong><\/td>\n58<\/td>\n57<\/td>\n(1)<\/td>\n55 \u2013 65<\/td>\n<\/tr>\n
<\/td>\n<\/tr>\n
TOTAL<\/strong>
\n*Committee approval in September 2016<\/i><\/td>\n		100<\/td>\n100<\/td>\n(0)<\/td>\n100<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

The LTIP\u2019s 57% alternative investment allocation consists of hedge funds and partnerships investing in real assets and equities of private companies.\u00a0 This allocation is near the mean allocation to alternatives of the largest educational endowments.\u00a0 The net average annualized ten year return of 6.0% per annum from the LTIP\u2019s alternative program exceeded the return on the LTIP, with significantly lower volatility (4.3% for the ten years ending December 31, 2017, compared to 7.1% for the LTIP).\u00a0 Importantly, the LTIP\u2019s alternative investments generate attractive returns in periods of weak or negative performance by public equities and bonds.<\/p>\n<\/div>\n

\n

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

The weights and contributions to return by asset classes for the calendar year ended December 31, 2017 are shown in chart below.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
<\/td>\n<\/td>\nCategory Return<\/strong><\/td>\nAverage Weight<\/strong><\/td>\nContribution<\/strong><\/td>\n<\/tr>\n
Total<\/td>\n15.9%<\/td>\n100.00%<\/td>\n15.9%<\/td>\n<\/tr>\n
Opportunistic<\/td>\n23.6%<\/td>\n14.9%<\/td>\n3.5%<\/td>\n<\/tr>\n
ACWI ex US Mandate<\/td>\n27.5%<\/td>\n9.6%<\/td>\n2.5%<\/td>\n<\/tr>\n
Emerging<\/td>\n28.4%<\/td>\n11.5%<\/td>\n3.1%<\/td>\n<\/tr>\n
Hedge Funds<\/td>\n11.5%<\/td>\n26.1%<\/td>\n3.1%<\/td>\n<\/tr>\n
Energy and Minin<\/td>\n15.6%<\/td>\n5.7%<\/td>\n0.9%<\/td>\n<\/tr>\n
Agriculture<\/td>\n13.1%<\/td>\n0.6%<\/td>\n0.1%<\/td>\n<\/tr>\n
Real Estate<\/td>\n3.5%<\/td>\n4.9%<\/td>\n0.2%<\/td>\n<\/tr>\n
Private Equity<\/td>\n12.8%<\/td>\n11.7%<\/td>\n1.5%<\/td>\n<\/tr>\n
Venture Capital<\/td>\n13.6%<\/td>\n8.0%<\/td>\n1.1%<\/td>\n<\/tr>\n
Bonds<\/td>\n8.7%<\/td>\n3.2%<\/td>\n0.3%<\/td>\n<\/tr>\n
Short-Term Investments<\/td>\n0.7%<\/td>\n3.7%<\/td>\n0.0%<\/td>\n<\/tr>\n
Cust\/Consulting\/Inv.Office Exp<\/td>\n-100.0%<\/td>\n0.0%<\/td>\n-0.2%<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
\n

Public Equities<\/h3>\n<\/div>\n

The publicly-traded equity portfolio represented 37% of the total portfolio, above the target allocation of 35%.\u00a0 The publicly-traded equity portfolio returned 26.1% net for the calendar year which was above the 24.0% return for the MSCI All Country World Index (\u201cACWI\u201d).\u00a0 The publicly-traded equity portfolio outperformed the benchmark for the ten year period by 1% net annualized, and approximately equaled the benchmark return over three and five years.<\/p>\n

Opportunistic funds represented 15% of the LTIP at the end of December.\u00a0 The group returned 23.6% net for the calendar year, slightly below the 24.0% return for the ACWI.\u00a0 The group underperformed the ACWI by less than 1% for the three year period and outperformed for five and ten year periods.<\/p>\n

International equity represented 22% of the LTIP at the end of December.\u00a0 Performance for the calendar year was 27.9% net which was slightly above the 27.2% return of the benchmark (ACWI ex-U.S.).\u00a0 The group also outperformed the benchmark for three, five and ten year time periods.\u00a0 Emerging markets, which represented slightly more than half of the international public equity allocation, returned 28.4% net for the calendar year, underperforming the 37.3% return of the benchmark, the MSCI Emerging Markets Index.\u00a0 The group underperformed the benchmark by 1% for the three year period and outperformed for five and ten year periods<\/p>\n<\/div>\n

\n
\n
\n

Hedge Funds<\/h3>\n

The hedge fund allocation was 26% at the end of December, above to the target allocation of 25%.\u00a0 The hedge fund portfolio\u2019s net return was 11.5% for the calendar year. \u00a0Equity-oriented managers returned 15.1% net, multi-strategy managers (diversifier) returned 7.0% net, and the liquid diversifier manager returned 13.1% net.\u00a0 The hedge fund ten year net annualized return was 4.9% which was slightly below the 5.1% return of the LTIP benchmark.\u00a0 The ability of hedge funds to deliver returns comparable to those of the overall LTIP with lower volatility has been a key component of the LTIP\u2019s attractive long-term risk-adjusted return profile.<\/p>\n

\n

Real Assets<\/h3>\n

Partnerships investing in real assets represented 12% of the LTIP at the end of December, at the target allocation.\u00a0 Real assets serve an important role in the LTIP by stabilizing performance during periods of volatility in public markets.\u00a0 The LTIP\u2019s real asset partnerships invest in energy\/mining and real estate\/agriculture.\u00a0 The real assets portfolio returned 9.6% net for the calendar year.\u00a0 The net annual return of 3.4% for the most recent five year period and ten year net annual return of 0.5% are disappointing and reflect declines in energy and commodity prices.<\/p>\n

Energy and mining, a 7% allocation within the LTIP, returned 15.6% net for the calendar year.\u00a0 The ten year net annualized return for energy and mining was -1.9%.\u00a0 Real estate and agriculture, a 5% allocation within the LTIP, returned 4.4% net for the calendar year.\u00a0\u00a0 The ten year net annualized returns for real estate and agriculture were below expectations at 1.9% and 4.3%, respectively, largely resulting from investment partnerships deploying capital prior to the financial crisis.<\/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.\u00a0 The portfolio represented 19% of the LTIP at the end of December, below the target allocation of 21%.\u00a0 Private equity returned 12.8% net for the calendar year; the ten year net annualized return was 10.4%.\u00a0 The LTIP\u2019s private equity managers continue to distribute cash and marketable securities through sales of portfolio companies to strategic buyers and by initial public offerings.<\/p>\n

Buyouts, the largest strategy allocation within private equity at 9%, returned 14.3% net for the calendar year.\u00a0 Venture capital, representing 8% of the LTIP, returned 13.6% net for the calendar year.\u00a0 Distressed, a 2% allocation within the LTIP, returned 6.6% net for the calendar year.\u00a0 Ten year annualized net returns for these subcategories were 10.3%, 15.1% and 10.4%, respectively.<\/p>\n

\n

Fixed Income<\/h3>\n

The allocation to fixed income and cash equivalents represented 6% of the LTIP.\u00a0 For the calendar year, the LTIP\u2019s fixed income and cash investments returned 4.3% net, compared to 0.8% for the blended index.\u00a0 The ten year annualized return for fixed income was 3.6%, below the return of 3.9% for the blended index.<\/p>\n

Liquidity<\/h3>\n

The LTIP has ample liquidity, with 64% of assets convertible into cash within one year.<\/p>\n<\/div>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

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