University of California endowment returns nearly 34%

University of California's office of the chief investment officer reported its pension fund earned a net return of 30.5% and its general endowment pool returned 33.7% for the fiscal year ended June 30.

The $91 billion pension plan outperformed its benchmark by 2 percentage points and the $19 billion general endowment pool outperformed its benchmark by 4.2 percentage points.

The three-year return for the pension plan was 12%, the five-year return was 11.6%; seven years, 8.5%; 10 years, 8.9%; 20 years, 6.9%; and the 25-year rate, 8.1%. The pension plan either met or exceeded its benchmarks for each of the periods.

The three-year return for the endowment was 14.9%, the five-year return was 13.7%, and the seven-year return was 10%. Longer term, the endowment returned an annualized 9.9% over the past 10 years, 7.8% over the 20-year period and 8.9% over 25 years. All of these returns surpassed their benchmarks.

Two of the pension plan's top-performing asset classes for the fiscal year were private equities at 54.7% and public equities at 41.8%. The endowment's private equity portfolio returned 58.7% and public equities earned 41.1% for fiscal year 2021.

As of June 30, the endowment pool had an asset allocation of 46.7% public equity, 21.6% private equity, 13.2% absolute return, 7.5% fixed income, 5.6% real estate, 2.9% real assets, 1.8% private credit and the rest in cash.

The pension plan had an allocation of 58% public equity, 14% core fixed income, 8.3% private equity, 5.7% absolute return, 4.8% real estate, 3.4% real assets, 2.3% emerging markets debt, 1.5% high yield, 1.3% cash and 0.8% private credit.