Asset AllocationAugust 15, 2023

Mass PRIM Reports 6% Gain in Fiscal 2023 to Raise Asset Value to $96.6 Billion

But the Massachusetts state pension fund missed its benchmark’s return by nearly 300 bps.

Reported by Michael Katz

The Massachusetts Pension Reserves Investment Management reported a 6% gain for its Pension Reserves Investment Trust Fund during the fiscal year ended June 30. Although the performance raised the PRIT fund’s asset value to $96.56 billion from $92.43 billion one year earlier, it underperformed its benchmark’s 8.9% return by nearly 300 basis points.

The PRIT Fund is a pooled investment fund that invests the pension assets of the Massachusetts Teachers’ Retirement System, the State Employees’ Retirement System and the Boston Teachers Union, along with any county, authority, district and municipal retirement system that elects to invest in the fund.

Over the past three, five and 10 years, the pension fund reported annualized returns, gross of fees, of 10.2%, 7.8% and 7.2%, respectively, outpacing its benchmark’s returns of 7.7%, 6.7% and 7.2%, respectively, over the same time periods.

Global equity was the top performing asset class for the fund’s portfolio during fiscal 2023, rising 17.43%, followed in a distant second by value-added fixed income’s 7.1% return. Timberland investments returned 5.93% during the fiscal year, while portfolio completion strategies gained 3.52%.

Private equity was the worst-performing asset class for the investment portfolio during the fiscal year, losing 3.45%, followed by real estate, which fell 2.81%, and core fixed income, which declined 2.72%.

As of February 16, the pension fund’s asset allocation was 39.3% global equities, 17.4% private equity, 13.3% core fixed income, 10.9% real estate, 8.4% portfolio completion strategies, 7.1% value-added fixed income and 3.1% timberland. The asset allocation does not include a cash overlay of 0.5%.

Despite the investment gain, the PRIT Fund’s asset value remains below its all-time high of $101 billion, which it reached in 2021.