University of Tennessee System's consolidated investment pool returned -2.6% for the fiscal year ended June 30.
The return fell below the Nashville-based investment pool's policy benchmark return of 2.9%, according to a performance report posted on the system's website.
For the three, five and 10 years ended June 30, the pool returned an annualized 3%, 6.3% and 7.6%, compared with the respective benchmarks of 5.2%, 7.5% and 7%. Whether the returns were net or gross of fees was not available.
For the most recent fiscal year, the report did not disclose individual asset class returns or their associated benchmarks. Further information on the prior fiscal year could not be immediately learned.
As of June 30, the actual allocation was 43.8% public equities, 23.4% diversifying strategies, 12.9% private equity, 10.9% private natural resources, 4.6% fixed income, 2.3% real estate and 2.1% cash.
The interim target allocation is 40% public equities, 24% diversifying strategies, 15% private equity, 9% each fixed income/cash and private natural resources, and 3% real estate.
The consolidated investment pool consists of just more than $1 billion in endowment assets.
Mark Paganelli, university treasurer who oversees the system, could not be immediately reached for further information.