Carnegie Mellon University's $1.3 billion endowment returned a net -0.9% in the fiscal year ended June 30, said Charles A. Kennedy, chief investment officer for the Pittsburgh-based school, in a report.
Benchmark information and long-term annualized returns were not provided in the report.
Eleven years ago, the university shifted the focus of its portfolio to global private investments from listed securities. The university in August updated the target asset allocation, which continues to be driven by alternative investments. The new asset allocation added 5 percentage points to private equity and reduces hedge funds by the same amount. According to the CIO’s annual report, the decision was made to “increase the likelihood of the university achieving its longer-term return targets.”
The endowment’s new target allocation is 30% private equity, 15% real assets, 14% domestic equity, 13% hedge funds, 10% fixed income, 9% emerging markets equity, 6% international developed markets equity, 3% other and zero cash.
As of June 30, the actual allocation was 29% private equity, 16% domestic equity, 12% each hedge funds and fixed income, 11% real assets, 10% emerging markets equity, 6% international developed markets equity, 2% each cash and other.
