University of Michigan misses benchmark with 2.3% fiscal-year return

University of Michigan's long-term investment portfolio, primarily made up of endowment assets, returned a net 2.3% for the fiscal year ended June 30, Chief Investment Officer Erik Lundberg told the Ann Arbor university's board of regents.

The $12.5 billion endowment's return fell short of its 2.7% policy benchmark, according to materials Mr. Lundberg presented.

"It was an interesting year in terms of investments, but point-to-point not that much happened," Mr. Lundberg said during Thursday's virtual board meeting. As of June 30, 2019, the endowment had $12.4 billion in assets.

For the three, five, 10 and 20 years ended June 30, the endowment returned an annualized net 6.4%, 6.2%, 8.6% and 7.4% respectively, compared with the respective benchmarks of 6.1%, 5.6%, 8.2% and 5.9%.

The endowment returned a net 6.4% for the fiscal year ended June 30, 2019.

Venture capital was the best performing asset class, returning a net 19% (above its 13.5% benchmark); followed by fixed income at a net 14.9% (13.8%); private equity at 11.5% (8.2%); cash at 2.2% (1.6%); real estate at -3.7% (-3.1%); equities at -4.5% (0.1%); and natural resources at -16.5% (-20.3%).

As of June 30, the actual allocation was 23% absolute return; 22% venture capital; 14% private equity; 12% equities; 11% real estate; 8% natural resources; 7% cash and the rest in fixed income.