Abu Dhabi Investment Authority returned an annualized 6.9% for the 20 years ended Dec. 31, 2011, compared to an annualized 7.6% for the 20-year period ended a year earlier, according to the fund's annual report.
The annualized 30-year return for the period ended Dec. 31, 2011, was 8.1%, unchanged from the 30-year period ended 12 months earlier.
In 2011, 80% of the assets were managed externally; about 60% of total assets were invested passively, according to the report.
ADIA does not publish its total assets, but estimates from the Sovereign Wealth Fund Institute ranked it the world's largest SWF, with about $627 billion in assets.
Last year, ADIA combined four geographically focused equity teams overseeing external managers into two new divisions responsible for indexed strategies and active equity, according to the report. Also, the real estate team and the infrastructure unit were combined.
Asset allocation for the fund remained unchanged in 2011, with developed markets equities accounting for between 35% and 45% of total assets, emerging markets equities between 10% and 20%, and small-cap equities between 1% and 5%, according to the report. Between 10% and 20% of the portfolio was invested in government bonds, and between 5% and 10% is invested in credit. Alternatives, which include hedge funds and managed futures, totaled 5% and 10% of the investment portfolio.
The target allocation for real estate was between 5% and 10%; private equity, between 2% and 8%; and infrastructure, between 1% and 5%. Cash holdings ranged between 0% and 10%, according to the report.
North America has the largest bulk of the allocation on a geographical basis, with 35%-50% of total assets, followed by Europe with 25% to 35%. Developed Asian markets accounted for between 10% and 20%, and between 15% and 25% were invested in emerging markets, according to the report.