University of California endowment, pension pools record losses

University of California's office of the chief investment officer reported its pension fund returned a net -10.8% and its general endowment pool returned a net -7.6% for the fiscal year ended June 30.

The $81 billion pension fund and $18.2 billion endowment pool's respective benchmarks were -10.8% and -9% for the period, according to a report included with materials for the upcoming Sept. 20 investments committee meeting.

For the three, five and 10 years ended June 30, the pension fund returned an annualized net 5.7%, 6.2% and 7.6%, respectively, compared to the respective benchmarks of 5.7%, 6.3% and 7.2%.

For those same periods, the general endowment pool returned an annualized net 9.1%, 8.9% and 9.1%, respectively, above the respective benchmarks of 6.6%, 6.8% and 7.4%.

The pension fund had returned a net 30.5% and the endowment pool had returned a net 33.7% for the fiscal year ended June 30, 2021.

For the most recent fiscal year, UC Investments faced significant market return challenges within 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.

The university's endowment pool return benefited from a lower allocation to public equities at 43% than the pension fund's allocation of 55.8%, although among the nine university endowments whose fiscal-year returns have been tracked by Pensions & Investments through Friday, its return was below the current median of -3.1%.

For the fiscal year ended June 30, the top-performing asset class was real estate, which returned a net 32.2% and 29.1% for the endowment pool and the pension fund, respectively, above the common benchmark return of 28.3%. The next top performer was real assets with a net return of 10% and 9.4%, respectively, for the endowment pool and the pension fund. No real assets benchmark was provided.

Also chalking up positive returns was private credit, which returned a net 4.6% and 3.4%, respectively, for the endowment pool and pension fund, well above the common benchmark return of -3.7%.

As of June 30, the pension fund's actual allocation was 55.8% public equities, 14.7% fixed income, 10.8% private equity, 6.4% real estate, 4.1% real assets, 3.5% absolute return, 3% private credit and 1.6% cash.

As of June 30, the endowment pool's actual allocation was 43% public equities, 24.3% private equity, 8.2% absolute return, 6.4% each liquidity (income) and real estate, 4.6% private credit, 3.6% cash and 3.5% real assets.

UC Investments oversees a total of $152 billion in university asset pools.