Massachusetts Pension Reserves Investment Management, the entity that manages the state’s Pension Reserves Investment Trust Fund, announced at its Tuesday investment committee meeting that the PRIT Fund returned 9.6% in the fiscal year that ended June 30.
The fund underperformed its benchmark return of 10.9% but slightly outperformed a new net implementation benchmark of 9.5%, which PRIM CIO Michael Trotsky said during the meeting is more appropriate to use to measure the short-term performance of a long-term asset class like private equity.
The PRIT fund is a pooled investment fund which contains the assets of the Massachusetts Retirement System, which includes the Massachusetts State Employees’ Retirement System and the Massachusetts Teachers’ Retirement System, and other state, county and municipal retirement systems.
PRIT assets rose to $115.4 billion at the end of the fiscal year, gaining $10.1 billion over the year. In the previous fiscal year, PRIT assets totaled $105.2 billion and marked the first time the fund’s assets surpassed $100 billion.
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In the investment committee meeting, Trotsky noted that more clients want to invest more of their money with PRIM. To date, 100 systems throughout Massachusetts invest with PRIM, representing more than 300,000 beneficiaries, according to information from PRIM.
Over the past three, five and 10 years, PRIT returned an annualized 8.2%, 9.7% and 8%, respectively. For those same periods, the fund’s benchmarks posted returns of 10.1%, 8.9% and 7.6%, respectively. The fund outperformed the three-year net implementation benchmark of 7.9%.
PRIT’s global equity portfolio returned 15.2% for the fiscal year. Portfolio completion strategies, which include hedge funds, returned 11.6%, and value-added fixed income returned 7.3%. The fund’s private equity and timber investments returned 7.3% and 4.2%, respectively. Core fixed income returned 3.8%, and real estate returned 0.9%.
Each asset class met or exceeded their respective benchmarks, except for global equity, which slightly missed its benchmark return of 16% by eight basis points, and real estate, which lagged its benchmark of 1.4% by eight basis points.
Trotsky noted that the fund’s underperformance in equities, relative to its benchmark, was due to the fund having a larger allocation to small-cap stocks than large-cap ones and less exposure than the benchmark to the Magnificent 7 technology stocks, which have been drivers of equity returns for the last few years.
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Tags: Massachusetts, Massachusetts Pension Reserves Investment Management (MassPRIM), Michael Trotsky, Pension Reserves Investment Management, PRIT
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