UPenn’s FY 2022 Zero Return: A Balancing Act

The University of Pennsylvania endowment kicked off the Ivy reporting season last year with a 41.1% return for FY2021, driven by strong returns in private equity and venture capital. Similar investments led other endowments to historic returns last year as well, albeit, with some variation in results.

This year, UPenn was again the first Ivy to post fiscal year results, but what a difference a year makes. UPenn has reported a 0% return for FY2022, and early indications are that their continued focus on private equity, natural resources, and real estate saved them from the negative returns that are already being reported by other endowments. (For example, Dartmouth at -3.1% for FY2022).

This won’t surprise followers of our research; we published endowment return forecasts in August of this year projecting average Ivy loss at -2.9% and predicted that “only endowments overweighted in real assets” would come out ahead in FY2022 results.

So, what drove UPenn to such a perfectly balanced result? The endowment is silent on the sources of this year’s returns, so we’ll turn to the method used by our clients to understand what worked and what didn’t – especially if positions are hard to net (or impossible to get). Using our MPI Stylus Pro platform and the endowment’s annual public returns as inputs, we were able to produce an asset-based dynamic replication portfolio that does a great job of mirroring UPenn’s behavior.