Massachusetts Pension Reserves Investment Management Board returned 6.1% gross of fees in the fiscal year ended June 30, documents from the Boston-based pension system show.
The return brought MassPRIM's value to $74.8 billion. However, it underperformed the pension fund's benchmark of 6.6% for the year.
MassPRIM returned 9.5% for the fiscal year ended June 30, 2018.
The pension fund's annualized three-, five- and 10-year returns as of June 30 were 9.8%, 7% and 9.9%, respectively, topping the benchmark returns of 8.9%, 6.1% and 8.3%.
Private equity returned a gross 18.5% in fiscal 2019, followed by core fixed income at 8.3%; value-added fixed income, 6.6%; real estate, 6.1%; global equities, 4.5%; timberland, 1.8%; portfolio completion strategies, 1.6%; and overlay, 1.5%.
The current asset allocation is 43.2% global equity, 13.6% core fixed income, 11.3% private equity, 10% portfolio completion strategies (which includes hedge funds), 9.4% real estate, 7.9% value-added fixed income, 3.9% timberland and the rest in overlay.