For the most recent fiscal year, the significant drop in the overall return from the previous year reflected a challenging market environment for the period. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
However, like many university endowments, the impact of public markets returns was likely softened by significant allocations to alternative investments. As of June 30, the investment pool had a combined allocation of nearly 50% to private equity, real assets and opportunistic investments.
Among the 11 university endowments whose returns for the year ended June 30 have been tracked by Pensions & Investments as of Thursday, Penn State is one of four institutions that have recorded positive returns thus far. The median return is currently -3.1%.
The fiscal-year update did not include returns by asset class.
As of June 30, the investment pool's actual allocation was 26.9% private equity, 17.7% domestic equities, 16.3% fixed income, 11.9% international equities, 10.3% real assets, 9.3% opportunistic investments and 7.6% global equity.
The investment pool includes $4.5 billion in endowment assets.
Joseph Cullen, chief investment officer, could not be immediately reached for further information.