Carnegie Mellon University endowment posts 13.2% return

Carnegie Mellon University's $1.72 billion endowment returned a net 13.2% in the fiscal year ended June 30, said Charles A. Kennedy, chief investment officer for the Pittsburgh-based school, in a report.

Carnegie Mellon's three- and five- year returns were 6.4% and 9.4%, respectively. Benchmark information was not provided in the report. The endowment returned a net -0.9% in the previous fiscal year.

During the prior fiscal year, the university received proceeds from a large lawsuit settlement. A resolution was passed in October 2016 instructing that $200 million of the lawsuit settlement proceeds be moved into the endowment, the report said. Further details were not provided.

The latest fiscal year marks the 13th anniversary of the university's decision to shift the focus of its portfolio to global private investments from listed securities, meaning the private portfolio is maturing. "However, recent contributions to the endowments have resulted in below targeted private investment allocations. Achieving the target will require several years of commitments, capital calls and the maturing of underlying investments," Mr. Kennedy wrote in the report.

The endowment's target allocation as of June 30 was 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 23% private equity; 20% domestic equity; 14% emerging markets equity; 10% each hedge funds, fixed income and real assets; 9% international developed markets equity, 3% cash and 1% other.

The overallocation to domestic and international equities was offset by an equal underallocation to private equity and real assets, and primarily due to a large cash influx to the endowment from the university in fiscal year 2017, the report said.