The Pension Reserves Investment Management Board (MassPRIM) missed its benchmark narrowly in the fiscal year ended June 30, the fund’s documents show.
The Boston-based pension plan (assets: $74.8 billion) returned 6.1%, 50 basis points below its 6.6% target.
The fund is known for its private equity investments, and the asset class didn’t disappoint, boasting the strongest returns for the year at a seismic 18.51%. This was followed by core and value-added fixed income, and real estate. Those assets did not hit double digits like PE, but had considerable showings, at 8.33%, 6.57%, and 6.07%, respectively.
Elsewhere, performance was tepid, in stark contrast to the private equity boom. Global equities returned 4.25%, timberland collected 1.83%, portfolio completion strategies made 1.63%, and overlay funds returned 1.48%.
MassPRIM’s current portfolio allocation is 43.2% global equity, 13.6% core fixed income, 11.3% private equity, 10% portfolio completion strategies, 9.4% real estate, 7.9% value-added fixed income, 3.9% timberland, and 0.6% overlay.
Long-term target asset allocations remain unchanged from their February meeting approval.
The fund runs the money for the state Pension Reserves Investment Trust (PRIT), a pooled fund for the assets of the state teachers and state employees’ retirement systems.
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Tags: Massachusetts, Massachusetts Pension Reserves Investment Management (MassPRIM), Pension, Private Equity, Returns