Asset Mix


Unless we have a strong view on the relative attractiveness of one class versus another, the Endowment portfolio is typically managed to have asset class weights that are very similar to the weights of each of the Reference Portfolio asset classes. The table below shows the asset class weights for the Endowment and the Reference Portfolio as of December 31, 2021. As the table indicates, the actual Endowment weights are very similar to the corresponding Reference Portfolio weights.

Note that we calculate the weights on an exposures basis, meaning they reflect the economic exposure of any derivative instruments that may be used to maintain an asset class exposure at the desired weight. We believe that this reporting method best represents the asset class exposures and risks of the investment portfolio.

It should also be noted that the asset class weights in the table reflect the impact of mapping investment strategies that are not in the Reference Portfolio – for instance, private equity and hedge funds – to the most appropriate asset class within the Reference Portfolio.

Endowment Asset Mix Compared to the Reference Portfolio

Reference Portfolio Asset ClassBenchmarkReference Portfolio WeightActual Pension WeightActual Endowment Weight
Global EquityMSCI ACWI Net Total Return Index60.0%60.0%60.1%
Fixed Income40.0%40.0%39.9%
Canadian Corporate BondsFTSE TMX Canada All Corporate Bond Total Return Index20.0%20.1%20.2%
Canadian Government BondsFTSE TMX Canada All Government Bond Total Return Index20.0%19.9%19.7%
The currency exposure in the Global Equity benchmark is 50% hedged for the developed markets component and unhedged for the emerging markets component.


The objectives of the short-term working capital portfolio, which we refer to as the Expendable Funds Investment Portfolio (EFIP), as established by the University of Toronto, are to generate a stable and consistently positive return, with minimal risk to capital. While there is no Reference Portfolio for EFIP, the University has set a target return based on a combination of cash and fixed income benchmarks. The table below shows EFIP’s asset mix as of December 31, 2021.

Investment CategoryWeight
Dec. 31, 2021
Short-Term Portfolio79.0%
Medium-Term Portfolio21.0%

Implementation Decisions and Limits

Although the Reference Portfolio includes only public market asset classes, UTAM has the flexibility to invest in other asset classes and strategies (“investment programs”). For example, we invest in hedge funds, private equity and private real estate, which are not in the Reference Portfolio. However, before we pursue any investment program that is not in the Reference Portfolio, we have extensive discussions with the University’s Investment Committee. As part of these discussions, we prepare a detailed investment memo describing our intended approach to the relevant investment program and why we believe it would be beneficial to add it to the Endowment portfolio. If the Investment Committee approves the program, then all implementation decisions, including manager hiring and firing, are delegated to UTAM. All investments must also be permitted by the relevant plan documents (i.e., the University Funds Investment Policy)).

As noted above in the Asset Mix section, we are permitted to overweight and underweight asset classes relative to their weights in the Reference Portfolio. The table below outlines the range of permitted weights by asset class. For example, the actual weight of Global Equity exposure can range from 50% up to 70%, which is within 10% of the Reference Portfolio target weight for Global Equity.

Despite the flexibility that we have been granted, we tend not to take significant asset class mismatches versus the Reference Portfolio. We regularly report differences between actual and Reference Portfolio weights to the Investment Committee, the UTAM Board and the University’s Business Board.

In addition to the limits noted above, we also adhere to a limit on the amount of active risk that we can take in the Endowment portfolio and must satisfy various constraints on liquidity, concentration and rebalancing (see the Managing Investment Risk section for more information). The limits and constraints set by the University and other stakeholders are considered large enough to give UTAM the flexibility to achieve its value-added objective without putting the Endowment portfolio at undue risk of loss relative to the performance of the Reference Portfolio.


AssetReference Portfolio WeightActual Minimum WeightActual Maximum Weight
Global Equity60.0%50.0%70.0%
Total Equity60.0%50.0%70.0%
Credit (Corporate Credit)20.0%10.0%30.0%
Government Bonds20.0%10.0%30.0%
Total Fixed Income40.0%25.0%50.0%