Massachusetts Pension Reserves Investment Management Board returned 12.8% net of fees in the fiscal year ended June 30, confirmed spokesman Eric Convey.
The return drove the value of Boston-based MassPRIM to $67 billion. It also outperformed the pension fund's benchmark by 79 basis points, equating to $479 million in added value above the benchmark. MassPRIM returned 2.3% in the previous fiscal year.
Global equities returned 20.6% in fiscal 2017; private equity, 19.3%; value-added fixed income, 9.4%; hedge funds, 9.3%; timber, 7.7%; and real estate, 6.3%
Meanwhile, core fixed income returned -4.5%.
The current asset allocation is 40% global equity, 13% portfolio completion strategies (which includes hedge funds), 12% core fixed income, 11% private equity, 10% each real estate and value-added fixed income and 4% timberland.
The pension fund's annualized three-, five- and 10-year returns as of June 30 were 5.9%, 9.3% and 4.7%, respectively.