Massachusetts Pension Reserves Investment Management Board, Boston, reported a gross return of -3% for the fiscal year ended June 30.
The $92.4 billion pension fund's return exceeded its benchmark return of -4.9% for the period, according to a report included with materials for the board's upcoming Aug. 2 investment committee meeting.
For the three, five and 10 years ended June 30, the pension fund returned an annualized gross 8.9%, 8.6% and 9.2%, respectively, above their respective benchmark returns of 6%, 6.5% and 7.4%.
The pension fund had returned a gross 30% for the fiscal year ended June 30, 2021. MassPRIM announced at the time it was the highest fiscal-year return in the pension fund's history.
For this most recent fiscal year, the pension fund faced a challenging market environment for both public equities and fixed income. For the year ended June 30, the Russell 3000 index and Bloomberg U.S. Aggregate Bond index returned -13.9% and -10.3%, respectively, in sharp contrast to returns of 44.2% and 4.6% for the year ended June 30, 2021.
However, the pension fund benefited from significant exposure to both private equity and real estate.
For the most recent fiscal year, private equity led all asset classes with a gross return of 27.3% for the year ended June 30. A benchmark was not provided.
Following private equity was real estate, which returned a gross 25.5%, above the asset class's benchmark return of 18.9%, and timberland, which returned a gross 11.4%, just below the benchmark return of 11.8%.
Portfolio completion strategies returned a gross -0.8%, just above the benchmark return of -1.4%. The report noted that the returns of hedge funds, which are included in the asset class, were net of fees.
Value-added fixed income returned a gross -3%, below the benchmark return of -2.4%, while core fixed income returned -11.5%, just above the benchmark return of -11.6%, and global equity returned -16.1%, equal to its benchmark.
As of June 30, the pension fund's actual allocation was 37.3% global equities, 18.4% private equity, 14.5% core fixed income, 10.6% real estate, 8.6% portfolio completion strategies, 6.8% value-added fixed income, 3.2% timberland and 0.6% overlay.
