University of Minnesota, Minneapolis, returned 20.4% for the 12 months ended June 30, the end of its latest fiscal year, said Stuart Mason, the university’s chief investment officer.
The return is above the custom benchmark of 15.5% for the year, as reported on the university’s board of regents website.
Mr. Mason said the $1.27 billion endowment took advantage of being overweight its 20% private capital target allocation, specifically in venture capital, which drove about three-quarters of the fiscal year’s returns. The endowment also benefited from being slightly overweight on its 30% public equity allocation, he said.
Net of fees, private capital returned 31.4% for the fiscal year, vs. 18.6% for its custom benchmark, according to the website. Public equity returned 23.5% vs. the benchmark’s 23.4%.
The endowment was well underweight its 11% absolute-return target, with only 0.8% exposure to the asset class in fiscal 2014, Mr. Mason said. Absolute return had an 11.9% return vs. the benchmark’s 8.8%.
Its other target allocations are 15% inflation hedge, including real estate, timber, oil and gas, and commodities; and 12% each risk mitigating fixed income, including Treasury inflation-protected securities and Treasuries, and return-seeking fixed income, which includes high-yield and emerging markets debt.
The inflation hedge portfolio returned 12.4% vs. the benchmark’s 11.4%; risk mitigating fixed income, 4.4% vs. 3.4%; and return-seeking fixed income, 8.5% vs. 11.5%.