MassPRIM reports highest fiscal year return in history

BOSTON, Aug. 3, 2021 /PRNewswire/ -- The Massachusetts Pension Reserves Investment Management Board (MassPRIM) today announced that the pension fund returned 29.5 percent net of fees for the fiscal year ending June 30, 2021. It was the highest fiscal year return in the fund's 35-year history - outperforming its benchmark by 8.9 percent, net of fees.

MassPRIM's record-setting return equates to a net investment gain of $22.1 billion for the fiscal year, $6.7 billion above a benchmark return, net of fees. Assets under management reached a record $95.7 billion, while net outflows to pay pension benefits were approximately $1.2 billion.

The return is the highest MassPRIM has recorded since 1986 –the year the fund was established –when it achieved a return of 25.6 percent, and the highest relative return since 2000, when the fund outperformed by 5.9 percent.

"The fiscal year 2021 record performance is a direct result of pragmatic strategies, informed analysis, and deliberate execution delivered by the talented PRIM staff in both up and down markets," said Massachusetts State Treasurer and Receiver General Deborah B. Goldberg, Chair of the MassPRIM Board. "Both the pension beneficiaries and the taxpayers of Massachusetts are well served by PRIM. These large gains help secure pension benefits to more than 300,000 beneficiaries and also solidify the Commonwealth's financial position."

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Contributions to the outperformance were broad, with six of the seven major asset classes outperforming their respective benchmarks. MassPRIM's top-ranked private equity portfolio helped drive the record performance with a return of 70.5 percent, net of fees.

"Our individual asset class teams are disciplined and focused on identifying the most profitable sectors and most skillful managers," said Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer of MassPRIM. "Our internally developed and acclaimed manager selection, asset allocation and diversification tools have been working very well. Performance was superb while the fund's risk adjusted returns were at a multi-year high and costs were at a multi-year low."

MassPRIM's Project SAVE initiatives now total more than $250 million annually and have enabled the program to invest more heavily in the highest performing (but higher cost) private investments, without raising the overall risk and cost profile of the fund. The trailing 3, 5, and 10-year returns remain strong and are consistently above benchmark. Trotsky continued, "We believe we have engineered a portfolio that performs well in a variety of market conditions."

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Investment Committee member Michael Even said, "I am proud to be associated with the PRIM team that has consistently produced impressive numbers for over a decade now. The team produced these returns while controlling risk and mercilessly reducing costs. Most importantly, the team focus has allowed PRIM to create a diversified portfolio that has weathered bull and bear markets with many unexpected turns and twists.  We are fortunate that our State and our retirees can rely on such a high-quality effort."

About MassPRIM
MassPRIM's mandate is to construct and manage a portfolio of investments that delivers strong risk-adjusted returns to reduce the Commonwealth's unfunded pension liability, and to help local participating retirement systems meet their pension obligations. MassPRIM aims to be a leading investor of retirement funds through strong financial performance, a high degree of professionalism and transparency, and responsible resource management. PRIM's highly experienced, professional investment staff seeks to maximize the return on investment with an acceptable level of risk by broadly diversifying the investment portfolio, capitalizing on economies of scale to achieve cost-effective operations, and providing access to high-quality investment strategies. MassPRIM is focused on building a portfolio that maximizes probability of achieving the actuarial rate of return while minimizing risk and cost.

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