The annual report did not specify whether the returns were gross or net of fees, and did not provide specific asset allocation information or returns by asset class. The report said: "Our asset allocation is a function of our 'bottom-up' manager selection, combined with a desire to be broadly diversified across asset type, region and sector. We have liquidity and position-level risk models to help manage the endowment from the top down."
For the most recent fiscal year, the negative return reflected a challenging market environment, primarily in public equities and fixed income. 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.
Amherst College's return was also the second-worst return among the 41 university endowments whose most recent fiscal-year returns have been tracked by Pensions & Investments as of Wednesday. The median return among tracked endowments is -4.1%.
In the annual report, the college said "although our portfolio is well diversified across securities, sectors and geographies, we are primarily investing in businesses, where valuation and fundamentals are impacted by the global economy. Many of our partners focus on high-quality businesses managed by high-quality people who can adapt to changing environments."
