Massachusetts PRIM’s PE portfolio returns 12.15% in 2016

Returns for the pension plan’s private equity portfolio fell from fiscal year 2015, but continue to drive overall performance for the Massachusetts Pension Reserves Investment Trust.

The private equity portfolio of the Massachusetts Pension Reserves Investment Trust (PRIT) Fund posted a 12.15 percent return for its 2016 fiscal year ended 30 June, down from 15.57 percent the previous year, according to the pension plan.

PRIT Fund is managed by the Massachusetts Pension Reserves Investment Management Board (PRIM). 

Unlike last year, private equity was not the pension fund's strongest asset class in 2016. Real estate was slightly ahead with 12.21 percent, while the fund's core fixed income portfolio provided the highest return for the year with 14.69 percent. PRIM's core equity and hedge portfolios lost money.

“The allocation to long-duration Treasury STRIPS was the top contributor to absolute performance, up 30.1 percent for the year,” Michael Trotsky, executive director and chief investment officer at PRIM, wrote in his August monthly newsletter. “Private equity and real estate also were strong contributors.”

The overall fund returned 2.19 percent in fiscal year 2016, down from 3.87 percent the previous year. Total assets under management fell to $60.6 billion from $61.2 billion last year.

On a 10-year annualised basis, the PRIT Fund's private equity portfolio was the best performing asset class as of 30 June, returning 14.4 percent – the only strategy providing a double-digit return over this timeframe. It is followed by real estate, which returned 7.46 percent.

The PRIT Fund has an 11.1 percent allocation to private equity as of 30 June, and a 10 percent long-term target allocation.

Trotsky explained to Private Equity International earlier this year that the PRIT Fund has focused more heavily on co-investments and smaller fund managers to boost returns. In December, the American Investment Council found that the PRIT Fund came in first place on private equity returns among large US public pension funds, up from second place the previous year.

Hamilton Lane serves as private equity advisor for PRIM.