Carnegie Mellon endowment returns -3.1% for fiscal year

Carnegie Mellon University's $3 billion endowment returned -3.1% in the fiscal year ended June 30, said Charles A. Kennedy, chief investment officer, in investment highlights posted on the Pittsburgh-based university's website.

For the three, five and 10 years ended June 30, the endowment returned an annualized 13.3%, 11.8% and 10.6%, respectively.

Mr. Kennedy did not provide specific benchmark information, but he said returns compared "favorably with relevant benchmarks." He also did not specify whether the returns were gross or net of fees.

The endowment had returned a net 42.6% for the fiscal year ended June 30, 2021.

For the most recent fiscal year, Carnegie Mellon's 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.

However, Carnegie Mellon's endowment return did exceed the median return of -4.1% among the 39 university endowments whose most recent fiscal-year returns have been tracked by Pensions & Investments as of Thursday.

The endowment likely benefited from a limited allocation to public equities and fixed income totaling 37% of its assets.

As of June 30, the endowment's actual allocation was 47% private equity, 12% fixed income, 11% domestic equities, 8% each emerging markets equities and real assets, 5% each hedge funds-directional and international developed markets equities, 2% hedge funds-absolute return, and 1% each cash and fixed income-growth.