The Massachusetts Pension Reserves Investment Management Board announced at its November 30 meeting that its flagship Pension Reserves Investment Trust Fund continues to post positive returns over recent periods, including a 9.3% return for the 12-month period that ended September 30, slightly underperforming its benchmark’s 10.1% return.
The investment gain of $7.8 billion brought the fund’s market value to $95.2 billion. During that period, international equity returned 24.6%, U.S. large-cap equity returned 21.7% and emerging markets equity returned 19.3%. Only real estate and U.S. T-STRIPS had negative returns in that period, losing 4.1% and 16.9%, respectively.
The PRIT Fund has returned 7.4%, 6.8% and 7.8% over the past three, five and 10 years, respectively, compared to those years’ respective benchmarks of 5.7%, 5.9% and 6.6%.
“We remain very happy with the long-term return of the PRIT Fund” said Michael Trotsky, CIO and executive director of Mass PRIM, in the board meeting.
In the most recent quarter, the first of fiscal 2024, the PRIT Fund lost 1.6%, which the fund’s CIO report termed “a strong result in a weak market,” since the fund “was down approximately half as much as the markets.”
In the quarter that ended September 30, bank loans were the PRIT Fund’s best-performing strategy, returning 3%. By contrast, long-duration U.S. T-STRIPS lost 19.1% in the quarter. The fund’s CIO report cited alternative investments, including private equity, hedge funds and private debt, as allowing the PRIT Fund to offset most of those losses.
The board also passed several voting items, including an increase to the salary of the executive director and CIO to a new range of between $372,000 and $560,000, up $10,000.
Marian Tse was elected to the fund’s compensation committee. The board approved a 100-million-euro ($108.53 million) commitment to Blackfin Capital Partners Financial Services Fund IV.
The board also approved a $150 million commitment to American Securities LLC’s IX fund, a firm with a pre-existing relationship with PRIM. American Securities is a private equity investor in SMID industrials.
The PRIT Fund is a pooled investment fund that invests assets of the Massachusetts Teachers’ Retirement System and the Massachusetts State Employees’ Retirement System, as well as the assets of local systems that choose to invest in the fund.
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