The investment committee of the Massachusetts Pension Reserves Investment Management board, Boston, reported PRIM’s portfolio ended the fund’s June 30 fiscal year with a record $105.3 billion in assets under management, a gain of 9.9%, gross of fees.
Michael Trotsky, PRIM’s executive director and chief investment officer, told the committee the latest strong results in a turbulent market and geopolitical environment should be seen as a “very solid accomplishment."
U.S. and emerging markets equities led the way for the 12 months through June 30, with PRIM’s U.S. large-cap equities exposures gaining 24.5% and emerging markets climbing 18%.
Other segments of the portfolio delivering double-digit gains for the year included other credit opportunities, dollar-denominated emerging markets debt, hedge fund-focused portfolio completion strategies, timberland, bank loans, U.S. high yield and developed international equities.
Trotsky highlighted the strong year PRIM’s hedge fund managers had, with a return of 12.6% and “the highest Sharpe ratio,” or risk-adjusted return of any asset class.
Private equity, an asset class that’s dominated portfolio investment gains in recent years, delivered a 9% gain for the latest fiscal year.
Partially offsetting those strong gains were real estate, down 6.2% for the year, and U.S. Treasury STRIPS, down 13.1%.
For the three months through June 30, the portfolio rose 1.5%. Emerging markets equities delivered a portfolio-leading gain of 4.7% for the quarter, the first time in a long time that market segment had excelled, noted Trotsky. U.S. large cap equities posted the second highest gains of 4.2%.
Gains for most other asset classes were clustered between 1% and 2%, while U.S. small and midcap stocks tumbled 3.4% and U.S. Treasury STRIPS dropped 3.9%.
