University of Pennsylvania's $20.7 billion endowment posted a flat 0.0% return for the fiscal year ended June 30.
The Philadelphia-based university's endowment return exceeded its composite benchmark return of -0.5% for the period, according to an endowment performance report on its website.
For the three, five and 10 years ended June 30, the endowment returned an annualized 13.4%, 11.9% and 11.1%, respectively, above the respective benchmarks of 11.5%, 10.3% and 9.2%.
The endowment had returned 41.1% for the fiscal year ended June 30, 2021.
For the most recent fiscal year, the significant drop in the overall return from the previous year reflected a challenging market environment for the period. 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.
Among the 13 university endowments whose returns for the year ended June 30 have been tracked by Pensions & Investments as of Friday, Penn is one of five institutions that have recorded non-negative returns thus far. The median return is currently -4.1%.
While the report did not specify the reason for the relative strength of its latest fiscal-year return, it is likely the university's limited allocation to public markets and outsized allocation to alternative investments in the Associates Investments Fund, which holds the vast majority of Penn's endowment assets, was a benefit.
The university's new annual report published on Thursday includes an actual allocation of Penn's $22.4 billion in investments, which includes the Associated Investments Fund as of June 30.
The actual allocation was 35.2% private equity, 19.3% absolute return, 8.5% domestic equities, 6.6% real estate, 6.5% emerging markets equities, 5.9% each international equities and short-term investments, 5.1% natural resources, 3.8% U.S. Treasuries, 1.9% split-interest agreements, 1.1% corporate fixed income and 0.2% derivative instruments.
The report did not specify whether the returns were gross or net of fees, nor were returns by asset class provided.
University spokeswoman Amanda Mott could immediately provide further information.
