Massachusetts Pension Reserves Investment Management Board returned 3.9% in the fiscal year ended June 30, said MassPRIM spokesman Cosmo Macero.
The return drove the net asset value of the Boston-based MassPRIM to $61.2 billion. It also outperformed the pension fund's benchmark index by 113 basis points, equating to $684 million in added value above the benchmark and an overall investment gain of $2.4 billion.
MassPRIM's actuarial assumed rate of return is 7.75%.
“The mixed economic data around the globe coupled with continued turbulence in Greece, China, and Puerto Rico and the Middle East, continues to fuel market volatility,” said Michael G. Trotsky, executive director and chief investment officer, in a news release announcing the return. “The anemic market performance for fiscal year 2015 validates our concerns and makes us comfortable with our asset allocation changes that were implemented in order to reduce the (Pension Reserves Investment Trust) fund's volatility.”
Specifically, MassPRIM brought its global equities target down to 40% from 49% five years ago. The board is also continuing to search for non-correlated, diversifying asset classes and “portfolio completion” strategies, those — such as global tactical asset allocation — that don't conveniently fit within the fund's current asset categories.
Private equity led all asset classes with a 15.6% return in fiscal year 2015; real estate returned 12%; core fixed income, 4.7%; hedge funds, 3.7%; and global equities, 0.9%.
Meanwhile, total timber and natural resources returned -1.4%, while value-added fixed income returned -2.6%.