A strong second half rebound helped the Massachusetts Pension Reserves Investment Trust (PRIT) end calendar year 2020 with a 12.6% return, beating its benchmark’s return of 10.8% and raising the fund to a record high of $86.9 billion in assets, according to Pension Reserves Investment Management (PRIM), which oversees the fund.
The fund also surpassed its benchmark over the past three, five, and 10 years, with annualized returns of 8.8%, 10.4%, and 8.9%, respectively, compared with 8.0%, 9.5%, and 7.6%, respectively for its benchmark over the same time periods.
The fund’s asset allocation is 43.3% in global equities, 15.8% in core fixed income, 12.6% in private equity, 8.8% in portfolio completion strategies, 8.3% in real estate, 7.4% in value-added fixed income, and 3.3% in timberland, and a cash overlay of approximately 0.6%.
Private equity was the top performing asset class for the fund during calendar year 2020, returning 26.42%, followed by global equity and cash overlay, which returned 15.93% and 14.85%, respectively. Core fixed income returned 12.11%, value-added fixed income returned 4.53%, timberland returned 3.54%, real estate returned 1.13%, and portfolio completion strategies returned 0.84%.
The robust annual return came despite what the fund called a “very challenging” first quarter in which it lost nearly 10%.
Michael Trotsky, executive director and CIO of Massachusetts PRIM, said the strong returns “mask hardships and uncertainties” that still exist in the economy and society, according to The Lowell Sun. However, he added that “a strong return, so to speak, is a shot in the arm to pension security for our beneficiaries in this time of so much struggle and uncertainty.”