MassPRIM surpasses benchmark with 30% gross annual return

Massachusetts Pension Reserves Investment Management Board, Boston reported a gross 30% return in the fiscal year ended June 30, outperforming the pension fund's benchmark of 20.6% for the year.

The return is the highest in the $95.7 billion pension plan's history.

The pension fund's annualized three-, five- and 10-year returns as of June 30 were 12.2%, 12% and 9.5%, respectively, topping the benchmark returns of 10.1%, 10.1% and 7.9%, documents from the pension plan show.

MassPRIM returned a gross 2.4% for the fiscal year ended June 30, 2020.

By asset class, private equity returned a gross 72.2% in fiscal 2021, followed by global equities at 42.4%; value-added fixed income, 18.5%; real estate, 17%; portfolio completion strategies, 15.6%; timber, 8%; overlay, 3.1%; and core fixed income, -0.8%.

The target asset allocations within MassPRIM are: 34% to 44% global equities, 12% to 18% core fixed-income, 11% to 17% private equity, 7% to 13% for both portfolio completion strategies and real estate, 5% to 11% value-added fixed income, and 1% to 7% timber.