Carnegie Mellon University's $1.3 billion endowment returned a net 7.4% in the fiscal year ended June 30, said Charles Kennedy, chief investment officer for the Pittsburgh-based school.
The best performing asset class was emerging markets private equity at 14.2%, followed by private equity at 12%, domestic equity at 7% and hedge funds at 3.9%.
The other asset classes were core domestic fixed income at 1.9%, Treasury inflation-protected securities at -1.7%; international equity, -4.2%, emerging markets equity, -5.1%; and natural resources strategies, -14.5%.
The university's target allocation is: 25% private equity, 18% hedge funds, 15% real assets, 14% domestic equity, 10% fixed income, 9% emerging markets equity, 6% international developed markets equity, and 3% other.
As of June 30, the actual allocation was: 30% private equity, 16% domestic equity, 14% hedge funds, 11% fixed income, 10% each, emerging markets equity and real assets, 6% international developed markets equity, 2% cash and 1% other.
