University of Maine System's $345 million managed investment pool of endowment funds returned a net 2.7% for the fiscal year ended June 30, said Tracy E. Elliott, vice president of finance and controller.
The return falls short of the policy benchmark return of 4.7%.
For the three, five and 10 years ended June 30, the endowment pool returned an annualized net 6.9%, 3.5% and 7.5%, respectively, compared to their respective benchmark returns of 8.4%, 5% and 7.8%.
The pool returned a net 6.9% for the fiscal year ended June 30, 2018.
By asset class, domestic large-cap equities had the highest net return for the fiscal year ended June 30, at 10.3% (below its 10.4% policy benchmark return), followed by total fixed income at 5.1% (below its benchmark return of 7.9%).
Other asset class returns were:
- Global asset allocation with a net 3.9% (below its 6.1% benchmark return).
- Emerging markets equities with a net return of 1.4% (above its 1.2% benchmark return).
- Hedge funds at -1.3% (1.2%).
- Private equity, -2.2% (14.5%).
- International equities, -3.4% (1.1%).
- Domestic small-/midcap equities, -3.5% (1.8%).
- Real assets, -6.7% (2.9%).
As of June 30, the actual allocation of the managed investment pool was: 21.7% domestic large-cap equities; 18% international equities; 15.3% global asset allocation; 7.9% domestic small/midcap equities; 7.2% Treasury inflation-protected securities; 7.1% core fixed income; 6.9% emerging markets equities; 5.5% hedge funds; 4.9% absolute return; 4.3% bank loans; 0.5% private equity; 0.4% real assets; and 0.3% cash.
The target allocation is: 22% domestic large-cap equities; 18% international equities; 15% GAA; 8% domestic small/midcap equities; 7% each, core fixed income, emerging markets equities and TIPS; 6% hedge funds; and 5% each, absolute return and bank loans.