MassPRIM Reports 9.1% Return in 2024, Assets Reach $109.7B

Massachusetts Pension Reserves Investment Management, which manages the state’s Pension Reserve Investment Trust, announced Tuesday that the pension fund returned 9.1% in 2024, underperforming its benchmark’s return of 9.7%.

Assets of the pooled investment fund, which counts public employees and teachers in Massachusetts as beneficiaries, reached $109.7 billion at the end of the year after peaking at $110.5 billion at the end of September 2024.

Over the past three, five and 10 years, MassPRIM achieved annualized returns of 2.4%, 7.7% and 7.6%, respectively. As of the end of Q4 2024, the fund has an asset allocation of 39.4% to equities, 16.6% to private equity, 14.8% to core fixed income, 9% to real estate, 8.7% to portfolio completion strategies, 7.7% to value-added fixed income and 2.9% to timberland.

Global equities, unsurprisingly, were the fund’s best-performing asset class in 2024, with a 16.2% return in the calendar year, slightly underperforming the benchmark of 16.5%. Only real estate and core fixed income had negative performance, with the asset classes returning negative 3.1% and negative 1.4%, respectively.

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Rising interest rates, slowing fundamentals and a soft West Coast market were cited as reasons for weaker real estate returns by Michael Trotsky, MassPRIM’s CIO, in the Tuesday meeting. Michael McElroy, PRIM’s director of public markets, noted that external managers moving away from the Magnificent Seven large-cap tech stocks were one reason for the slight index underperformance in equities.

Portfolio completion strategies returned 13.4%, value-added fixed income returned 10.2%, and private equity returned 7.8% in the calendar year. Timber returned 3.0%.

Manager Selection

In 2024, PRIM adopted a new multi-asset credit mandate that would re-allocate $1 billion from existing bank loan managers to new managers that would invest across the credit spectrum.

At its board meeting, the fund made commitments to two managers: Ares Management LLC and Beach Point Capital Management. PRIM staff recommended the investment committee approve initial allocations of up to $800 million to Ares and $400 million to Beach Point, both of which manage various credit strategies.

The fund also approved a $125 million commitment to early-stage venture capital manager Tiger Iron Capital LLC and its Tiger Iron Bay State Fund L.P. The fund is structured as a fund-of-one, for which PRIM would be the sole limited partner. PRIM has not previously invested with the manager.

In 2024, MassPRIM committed $2 billion to four value-added fixed-income managers, $1.2 billion to three international growth equity managers and $500 million to one U.S. large-cap equity manager. The fund also made $1.6 billion in commitments to private equity managers.

2025 Goals

According to information prepared for the meeting, PRIM plans to develop in 2025 a primer on the total portfolio approach to investing and its application at the fund.

PRIM stall also said the fund wants to make $2 billion to $3 billion in commitments to private equity funds, co-investments and secondaries opportunities this year. Over the long term, the fund expects private equity to outperform public equity by 3%, despite weaker recent private equity performance, Trotsky said at the meeting.

Last year, PRIM began exploring uses for artificial intelligence. This year, PRIM wants to continue to explore potential applications of AI in investment analysis and monitoring processes, as well as how AI can be used across the fund’s business functions.

MassPRIM also wants to continue to source and evaluate diverse and emerging investment managers. Tiger Iron Capital, founded in 2016 and based in both Boston and San Francisco, was listed as a diverse-owned firm in the fund’s investment committee materials. Last year, PRIM committed more than $1.4 billion to diverse managers.