DUMAC seeks to achieve an annualized real rate of return of at least 5.0% net of fees to fund the university’s spending and to allow for growth of the endowment after considering the effects of inflation. This benchmark is applied over the long term due to the volatility implicit in short-term periods. (See “Target” in the chart below.) 

Another long-term benchmark is the composite of 70% MSCI All Country World Index and 30% Bloomberg Barclays Aggregate Index (70/30). The MSCI All Country World Index represents the broad global equity market while the Bloomberg Barclays Aggregate Index represents the domestic bond market. This mix between equity and bonds was chosen because, historically, a 70% exposure to equity investments has achieved the university’s 5.0% real annual return objective over the long term. 

Duke’s primary peer benchmark (Peer Group Median) in the charts above and below is the Cambridge Associates Universe. This group of peer colleges and universities have endowment pools that are similar to Duke’s, often managed by professional internal staff. DUMAC seeks to achieve performance over successive rolling three-, five-, and 10-year periods in excess of the median return for this group.

As illustrated in the chart below, DUMAC has essentially matched or outperformed the 70/30 benchmark and peer group median over rolling five-year periods.

The 70/30 benchmark is most meaningful when applied over rolling periods of five years or more, which account for a more complete market cycle.

Over three-year periods, DUMAC uses two benchmarks to compare investment performance relative to other endowments: the Cambridge Associates Universe, described above, and the NACUBO Endowment Universe. NACUBO is a much broader group than the Cambridge Associates Universe and is comprised of more than 800 colleges and universities. Over rolling three-year periods, DUMAC seeks to achieve performance in the top quartile of this group, and has done so for most periods.

Over a one-year horizon, DUMAC measures its actual allocation of investment exposures against target allocations articulated in its investment policy. DUMAC’s investment policy identifies target allocations for each driver of return as well as permissible levels of variation from these targets.

DUMAC outperformed its policy benchmark over most periods.

Duke publicly reports on June 30 fiscal year-end returns once a year, following the Fall Board of Trustees meeting.

Download Duke University’s Endowment Snapshot in PDF format here.