MassPRIM Adopts New Asset Allocation

The Bay State’s investment management board seeks to achieve a 7% annualized rate of return while accepting no greater than a 20% drawdown.  

The Massachusetts Pension Reserve Investment Management board adopted a new asset allocation and announced new investment commitments at its February 15 board meeting.

MassPRIM, which manages the $109 billion PRIT fund, previously announced in a February investment committee meeting it had returned 11.9% for 2023. 

The MassPRIM board unanimously voted to adopt a new asset allocation strategy, which aims to achieve a 7% annualized return with an acceptable drawdown risk of no more than 20% over the next three years.  

The new allocation, while a minor adjustment, will see the target range of the fund’s value-added fixed-income strategies increase by one percentage point, to a range of 6% to 12% from 5% to 11%. Likewise, the fund will decrease its target range to global equities by one percentage point, to 31 to 41% from 32 to 42%. Currently, the fund allocates 7.3% and 39.5% to these asset classes, respectively.  

The fund’s other target allocations are unchanged: 12% to 18% to core fixed income (currently 13.6%), 13% to 19% to private equity (currently 17.1%), 7% to 13% to real estate (currently 10.3%), 1% to 7% to timberland (currently 3.2%) and 7% to 13% to portfolio completion strategies (currently 8.5%).  

The fund reported returns of 6.2% for 2023’s fourth quarter. All asset classes except for real estate were positive, with U.S. Treasury STRIPS returning 18.9%, U.S. small/mid-cap equity returning 12.3% and U.S. large-cap equity returning 11.7%. 

In Q4 2023, private equity returned 1.3%, while short-term fixed income and bank loans each returned 2.6%.  

Additionally, the MassPRIM board made several commitments to existing managers. The fund allocated $500 million to a custom index strategy within a separately managed account by Rhumbline Advisers LP, which currently manages $2.9 billion for Mass PRIM.  

The board also approved follow-on investments to $6.4 billion venture capital firm Spark Capital, with which MassPRIM has invested since 2005. MassPRIM board members unanimously voted to approve allocating $51 million to two separate Spark Capital funds: Spark Capital VIIII and Spark Capital growth fund V.  

Related Stories: 

U.S. Large-Cap Equities Drive Mass PRIM’s 11.4% Return in 2023 

MassPRIM Developing AI Model to Aid Investing 

Mass PRIM Beefs Up Staff, Adds Stewardship Position 

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