University of Virginia endowment investments drop 4.7%

University of Virginia Investment Management Co.’s pool of $13.6 billion in endowment assets and other long-term funds posted a gross return of -4.7% for the fiscal year ended June 30.

The return exceeded the pool’s policy benchmark return of -13.2%, according to an annual report included with materials for the Charlottesville-based university’s Sept. 15-16 board of visitors meeting.

For the three, five and 10 years ended June 30, the pool returned an annualized gross 14.4%, 12% and 11%, respectively, above the respective benchmarks of 5.1%. 6.1% and 7.3%.

The endowment pool had returned a gross 49% for the fiscal year ended June 30, 2021.

The latest fiscal-year returns reflect a difficult market environment for public equities and fixed income. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.

UVIMCO’s return falls short of the median return of -3.6% the 10 endowments whose latest fiscal-year returns have been tracked by Pensions & Investments as of Monday.

While for the latest fiscal year, buyout funds led all asset classes with a gross return of 46%, the asset class made up less than 4.2% of the endowment pool’s assets. Real assets chalked up a gross return of 39.2%, absolute return had a gross return of 11.2% and venture capital returned 5.3%.

The rest of the endowment pool’s asset classes posted negative returns. Credit returned a gross -4.2%; growth equity, a gross -7.4%; fixed income, -7.8%; public equities, -22.6%; and long/short equity, -22.9%.

The annual report did not provide benchmarks for individual asset classes.

As of June 30, the endowment pool’s actual allocation was 24.5% public equities, 14.6% real assets, 12.5% growth equity, 11.9% long/short equity, 11.4% venture capital, 7.7% absolute return, 6.1% fixed income, 4.2% buyout funds, 3.9% credit, 1.8% and 1.4% overlays.

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