Investments
PRIM is recognized by its peers and the investment industry as one of the world’s preeminent public pension plans. During its more than 30-year history, while weathering many volatile economic and market cycles, the PRIT Fund has achieved an average annual return that has exceeded both its benchmark and its actuarial target rate of return as established by the Commonwealth.
PRIM’s overall objective is to achieve the highest level of investment performance that is compatible with its risk tolerance and prudent investment practices. They believe that any investment must be evaluated on three equally important factors: risk, return, and cost. Because of the Commonwealth’s pension liabilities’ long-term nature, PRIM maintains a long‐term strategic perspective in formulating and implementing its investment policies and evaluating its investment performance.
PRIT Fund
The PRIT Fund is a pooled investment fund that invests the pension assets of the Massachusetts Teachers’, the State Employees’ Retirement Systems, as well as the assets of Boston-Teachers and the county, authority, district, and municipal retirement systems that elect to invest in the PRIT Fund. PRIM is committed to being a responsible steward for retirement systems that put their trust and confidence in PRIM and to helping these systems meet their obligations and pay their retiree beneficiaries. There are two ways to invest with PRIM, either as a participating system, meaning a retirement system can elect to transfer all assets to the PRIT Fund, or as a purchasing retirement system, meaning they can elect to invest some of their assets with PRIM. For more information on how to invest with PRIM go to the Invest with Us section of the PRIM website.
The Board follows a strategic asset allocation policy that establishes target allocation ranges for each asset class. The asset classes and current long-term asset allocation ranges of the PRIT Fund are shown to the right. The PRIT Fund’s actual asset allocation is detailed in the monthly performance summary reports that are available in the Public Records section of the PRIM website.
| Asset Class | Range |
|---|---|
| Global Equity | 31% — 41% |
| Core Fixed Income | 12% — 18% |
| Value-Added Fixed Income | 6% — 12% |
| Private Equity | 13% — 19% |
| Real Estate | 7% — 13% |
| Timberland | 1% — 7% |
| Portfolio Completion Strategies | 7% — 13% |
| *Approved February 15, 2024 |
PRIT Fund Asset ALLOCATION
PRIM believes that over the long‐term, asset allocation is the most critical component to achieve our investment objectives and meet our obligations. The adopted asset allocation that is available through investment in the PRIT Fund provides participating retirement systems with a diversified portfolio of active and passive investment strategies across several asset classes. In order to achieve our long-term return objectives, a significant portion of the Fund is allocated to global equity investments, which typically generate higher returns, but can also experience more volatility. To offset this volatility and diversify the Fund, we also seek to mitigate risk through investment in alternative asset classes, such as real estate, private equity, private debt, timberland, other credit opportunities, and portfolio completion strategies, which include hedge funds. Typically, these asset classes demonstrate little correlation to equity investments, which serves to generate more consistent returns for the Fund over the long term and reduce portfolio volatility.
The PRIM Board examines the Asset Allocation Plan annually and considers adjustments that may be appropriate given the Plan’s long‐term nature and objectives. PRIM completes a comprehensive review of its Asset Allocation Plan and its underlying assumptions at intervals of not more than three to five years.
For more information, please see the PRIT Fund’s Annual Comprehensive Financial Report.
As of June 30, 2023, the Domestic Equity portfolio had approximately $22.2 billion in net position, representing 23.0% of the PRIT Fund. As highlighted below, the Domestic Equity portfolio allocation is approximately 85% invested in passively managed large capitalization equity strategies (S&P500), 11% invested in small and mid-capitalization equity strategies (Russell 2500, small/SMID cap), and 4% invested in micro-capitalization equity strategies (Micro Cap).
As of June 30, 2023, the International Equity portfolio had approximately $11.3 billion in net position, representing 11.7% of the PRIT Fund. The international core equity accounts are benchmarked against the Custom MSCI World ex-U.S. Standard Index – Net Dividends (Custom MSCI World ex-U.S. Standard – customized to exclude legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The international small cap equity accounts are benchmarked against the Custom World ex-U.S. Small Cap Index – Net Dividends (Custom World ex-U.S. Small Cap – customized to exclude legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The International Equity portfolio is allocated to one passive core equity account (20% of the portfolio), eight active core equity accounts (65% of the portfolio), one passive small cap equity account (6% of the portfolio), and four active small cap equity accounts (9% of the portfolio).
As of June 30, 2023, the Emerging Markets Equity portfolio had approximately $4.3 billion in net position, representing 4.4% of the PRIT Fund. The active emerging markets core equity managers are benchmarked against the Custom MSCI Emerging Markets Standard Index – Net Dividends (Custom MSCI Emerging Markets Standard – customized to exclude legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The active emerging markets small cap equity managers are benchmarked against the Custom MSCI Emerging Markets Small Cap Net Dividends Index (Custom MSCI Emerging Markets Small Cap – customized to exclude legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The emerging markets equity portfolio is allocated to five active core equity managers (which comprise about 84% of the emerging market portfolio) and two active small cap equity managers (16% of the portfolio). The PRIM Board maintains a target weighting of 100% active for the Emerging Markets Equity portfolio.
As of June 30, 2023, the Core Fixed Income Portfolio had approximately $12.8 billion invested in investment grade Core Fixed Income positions, representing 13.3% of the PRIT Fund. The Core Fixed Income portfolio is benchmarked to the Bloomberg Aggregate Bond Index for core fixed income securities, the Bloomberg U.S. STRIPS 20+ Year Bond Index for STRIPS securities, the Bloomberg Treasury 1-3 Year Index for short term fixed income securities, the Bloomberg US TIPS Index for U.S. TIPS securities, and the Bloomberg Inflation Linked Bond US$ Hedged Index for the Global Inflation Linked Bonds (ILBs).
As of June 30, 2023, the Value-Added Fixed Income portfolio had approximately $6.9 billion in net position, representing 7.1% of the PRIT Fund. The Value-Added Fixed Income portfolio is invested using high yield bonds, bank loans, emerging markets debt, other credit opportunities, and private debt.
As of June 30, 2023, the PRIM Board had $10.5 billion invested in real estate through the PRIT Fund’s ownership interest in PRIT Core Realty Holdings LLC (the LLC), representing 10.9% of the PRIT Fund. Real estate holdings consist of directly-owned properties, REITs, and investments in real estate funds. The PRIT Fund invests in real estate because it provides diversification and attractive returns. Real estate returns typically do not have a strong correlation with stock and bond returns, therefore offering an element of diversification to reduce volatility. Real estate can also offer attractive current returns as a portfolio of well-leased assets provides consistent cash flows from rental income.
As of June 30, 2023, the PRIM Board had $3.0 billion invested in timberland, representing 3.1% of the PRIT Fund. The PRIT Fund’s allocation to timberland is through two external timberland investment managers, Forest Investment Associates (FIA) and The Campbell Group (Campbell).
As of June 30, 2023, the fair value of the Private Equity portfolio was $16.8 billion, representing 17.4% of the PRIT Fund. Unlike public equities, where investors have the ability to liquidate investments generally at any time, private equity investments are illiquid. Therefore, an investment in this category is a long-term commitment.
As of June 30, 2023, the PCS portfolio had approximately $8.1 billion in net position, representing 8.4% of the PRIT Fund. The objective of the PCS portfolio is to provide the PRIT Fund access to broader investment opportunities. Investments selected for the PCS portfolio should enhance the risk/return profile of the PRIT Fund. Investments may include long-term strategic investments or short-term opportunistic investments.
PRIT FUND SEGMENTATION
For local systems that may want to pursue their own individual asset allocation strategy within the PRIT Fund (as opposed to adopting the allocation strategy of the overall PRIT Fund), retirement boards can elect to invest in individual asset classes, or “segments,” of the PRIT Fund as an alternative to investing in the aggregate Fund. This segmentation option gives local retirement boards flexibility to pick and choose specific asset classes in whatever proportions they believe best suits their needs.
The strategic and tactical asset allocation of the PRIT Fund composition and its portfolios are subject to change without notice as determined by the PRIM Board and may not all be available through segmentation. The following asset classes are currently unavailable to Massachusetts Retirement Systems through segmentation: private debt component of the value-added fixed income, timberland, and certain investments within the Portfolio Completion Strategies (PCS) Portfolio (Risk Premia and Real Assets).
For additional information on how to invest with PRIM, please visit the Invest With Us section of the PRIM website.
PRIT Fund Service Providers
| Manager | Inception Date | Mandate |
|---|---|---|
| Acadian Asset Management Boston, MA | May 2019 | US Micro Cap Core |
| Brandywine Global Investment Management Philadelphia, PA San Francisco, CA | April 2019 | Micro Cap Value |
| Drieheus Capital Management Chicago, IL | June 2019 | Micro Cap Growth |
| Frontier Capital Management Boston, MA | May 2013 | Small Cap Value |
| Lord Abbett Jersey City, NJ | April 2019 | Micro Cap Growth |
| Rhumbline Advisers Boston, MA | September 2021 | S&P 500 Index |
| Riverbridge Partners Minneapolis, MN | May 2013 | SMID Cap Growth |
| State Street Global Advisors Boston, MA | January 2012 January 2012 | S&P 500 Index, Russell 2500 Index |
| Summit Creek Advisors Minneapolis, MN | May 2013 | Small Cap Growth |
| Manager | Inception Date | Mandate |
|---|---|---|
| Acadian Asset Management Boston, MA | March 2017 | Small Cap |
| AQR Stamford, CT | March 2017 | Small Cap |
| ARGA Investment Management, Stamford, CT | January 2022 | Value |
| Artisan Partners, Milwaukee, WI | January 2022 | Growth |
| Baillie Gifford Edinburgh, Scotland | July 2004 | Growth |
| Causeway Capital Management Los Angeles, CA | October 2022 | Value |
| Columbia Threadneedle Boston, MA | October 2022 | Value |
| Driehaus Capital Management, Chicago, IL | January 2022 | Growth |
| Marathon Asset Management LLP London, England | September 1996 | Core |
| Mondrian Investment Partners London, England | May 2008 | Value |
| Pzena Investment Management New York, MA | October 2022 | Value |
| Russell Implementation Services New York, NY | February 2012 | FX Execution |
| State Street Global Advisors Boston, MA | April 1992 | World Ex-US Equity Index |
| Xponance, Philadelphia, PA | October 2013 | Manager of Managers, Manager of Emerging-Diverse Manager |
| Manager | Inception Date | Mandate |
|---|---|---|
| Acadian Asset Management Boston, MA | April 2012 | Small Cap |
| AQR Stamford, CT | March 2015 | Value |
| Baillie Gifford Edinburgh, Scotland | March 2015 | Growth |
| Driehaus Chicago, IL | March 2015 | Growth |
| Pzena New York, NY | March 2015 | Value |
| T. Rowe Price Baltimore, MD | March 2018 | Growth |
| Wasatch Advisors, Inc. Salt Lake City, UT | April 2012 | Small Cap |
| Manager | Inception Date | Mandate |
|---|---|---|
| AFL CIO Housing Investment Trust Washington, DC | July 2007 | Economically- Targeted Fixed Income |
| Bivium San Francisco, CA | June 2022 | Manager of Emerging-Diverse Managers |
| Blackrock Financial Mgmt., Inc. New York, NY | May 1995 | Core Index |
| Blackrock Financial Mgmt., Inc. New York, NY | March 2001 | TIPS Index |
| Blackrock Financial Mgmt., Inc. New York, NY | March 2014 | Treasury STRIPS Index |
| Blackrock Financial Mgmt., Inc. New York, NY | September 2005 | Active Global ILBs |
| Blackrock Financial Mgmt., Inc. New York, NY | December 2019 | Short-Term Fixed Income Index |
| Loomis Sayles & Company Boston, MA | April 1990 | Active Core |
| Longfellow Investment Management Boston, MA | February 2020 | Fixed Income |
| New Century Advisors, LLC Bethesda, MD | February 2020 | Fixed Income |
| PIMCO Newport Beach, CA | August 1990 | Active Core |
| Pugh Capital Management Seattle, WA | February 2020 | Fixed Income |
| Manager | Inception Date | Mandate |
|---|---|---|
| 400 Capital Management LLC New York, NY | December 2018 | Other Credit Opportunities |
| Anchorage Capital Group LLC New York, NY | May 2019 | Other Credit Opportunities |
| ArrowMark Partners Denver, CO | September 2022 | Other Credit Opportunities |
| Ashmore Investment Management, Ltd. London, England | December 2003 | Emerging Market Debt |
| BentallGreenOak New York, NY | January 2023 | Other Credit Opportunities |
| Berkshire Group, LLC Boston, MA | March 2018 | Other Credit Opportunities |
| Bivium San Francisco, CA | June 2022 | Manager of Emerging-Diverse Managers |
| Eaton Vance Institutional Funds Boston, MA | June 2008 | Bank Loans |
| Fidelity Management Trust Company Boston, MA | December 1989 | High Yield Bonds |
| LibreMax Capital New York, NY | February 2020 | Other Credit Opportunities |
| Loomis Sayles & Company, L.P. Boston, MA | June 1997 | High Yield Bonds and Other Credit Opportunities |
| Mudrick Capital Management, L.P. New York, NY | December 2017 | Other Credit Opportunities |
| Newmarket Capital, Philadelphia, PA | December 2021 | Other Credit Opportunities |
| Oaktree Capital Management, LLC Los Angeles, CA | August 2022 | Other Credit Opportunities |
| PIMCO Newport Beach, CA | January 2004 | Emerging Market Debt |
| Shenkman Capital Management New York, NY | March 2004 | High Yield Bonds |
| Voya Financial Hartford, CT | June 2008 | Bank Loans |
| Manager | Inception Date | Mandate |
|---|---|---|
| AEW Capital Management Boston, MA | October 2010 | Core Separate |
| AEW Capital Management Boston, MA | May 2014 | Non-Core |
| Berkshire Group, LLC Boston, MA | August 2021 | Non-Core |
| Blackstone New York, NY | November 2020 | Non Core |
| Brookfield Investment Management New York, NY | March 2016 | Global REIT Securities |
| Cambridge Associates, LLC Boston, MA | May 2022 | Manager of Emerging-Diverse Managers |
| CBRE Global Investors Los Angeles, CA | March 2019 | Core Separate |
| CenterSquare Investment Management Plymouth Meeting, PA | June 2013 | Global REIT Securities |
| DivcoWest San Francisco, CA | April 2019 | Core Separate |
| DivcoWest San Francisco, CA | January 2012 | Non-Core |
| INVESCO Realty Advisors Dallas, TX | February 1994 | Core Separate |
| LaSalle Investment Management Chicago, IL | August 1994 | Core Separate |
| Stockbridge San Francisco, CA | March 2019 | Core Separate |
| Manager | Inception Date | Mandate |
|---|---|---|
| Campbell Group LLC Portland, OR | August 2002 | Timber |
| Forest Investment Associates Atlanta, GA | December 2001 | Timber |
| Manager | Inception Date | Mandate |
|---|---|---|
| 400 Capital Management New York, NY | July 2015 | Direct Hedge Funds |
| Basswood Capital Management, LLC New York, NY | September 2018 | Direct Hedge Funds |
| Blackrock Aviation New York, NY | September 2019 | Real Assets |
| Breakout Funds, LLC, Chicago, IL | March 2021 | Direct Hedge Funds |
| Brigade Capital GP, LLC New York, NY | January 2012 | Direct Hedge Funds |
| Cantab Capital Partners, LP Cambridge, United Kingdom | November 2013 | Direct Hedge Funds |
| Canvas Capital Rio de Janeiro, Brazil | November 2017 | Direct Hedge Funds |
| Capula Management Limited Greenwich, CT | January 2012 | Direct Hedge Funds |
| CKC Capital, LLC New York, NY | September 2018 | Direct Hedge Funds |
| Complus Asset Management Limited Hong Kong, China | October 2018 | Direct Hedge Funds |
| Contrarian Capital Management Greenwich, CT | August 2016 | Direct Hedge Funds |
| Davidson Kempner Advisors Inc. New York, NY | January 2012 | Direct Hedge Funds |
| DLD Asset Management, LP New York, NY | July 2020 | Direct Hedge Funds |
| Elliott Capital Advisors, LP New York, NY | January 2012 | Direct Hedge Funds |
| FIR Tree Capital Management New York, NY | March 2020 | Direct Hedge Funds |
| GaoTeng Global Asset Management Limited Hong Kong, China | February 2022 | Direct Hedge Funds |
| Investcorp Investment Advisors, LLC New York, NY | October 2019 | Direct Hedge Funds |
| JEN Partners, LLC New York, NY | June 2016 | Real Assets |
| Land and Buildings Investment Management Stamford, CT | August 2016 | Direct Hedge Funds |
| LMCG Investments, LLC New York, NY | April 2020 | Direct Hedge Funds |
| Mudrick Capital Management, LP New York, NY | September 2015 | Direct Hedge Funds |
| Mygale, LLP London, England | August 2019 | Direct Hedge Funds |
| North Peak Capital Management, LLC New York, NY | June 2022 | Direct Hedge Funds |
| PAAMCO Newport Beach, CA | August 2004 | Fund of Hedge Funds |
| PGIM, Inc. Newark, NJ | February 2020 | Real Assets |
| Power Pacific Investment Management Inc. Montreal, Canada | August 2021 | Direct Hedge Funds |
| RV Capital Management Pvt. Ltd. Singapore | August 2019 | Direct Hedge Funds |
| Sightway Capital New York, NY | May 2019 | Real Assets |
| Silver Creek Advisory Partners, LLC Seattle, WA | September 2019 | Real Assets |
| Summit Partners Public Asset Management, LLC Boston, MA | September 2018 | Direct Hedge Funds |
| Tabor Asset Management New York, NY | December 2020 | Direct Hedge Funds |
| Valent Asset Management, LLC New York, NY | August 2021 | Direct Hedge Funds |
Private Equity
1315 Capital – Philadelphia, PA
Acon Investments – Washington, DC
Advent International – Boston, MA
Alta Communications – Boston, MA
American Securities – New York, NY
Apollo Management Co. – New York, NY
Ascent Venture Partners – Boston, MA
Austin Ventures – Austin, TX
Bain Capital – Boston, MA
Battery Ventures – Boston, MA
Berkshire Partners – Boston, MA
Blackfin Capital Partners – Paris, France
Blackstone Capital Partners – New York, NY
Bridgepoint Capital – London, UK
Carlyle Partners – Washington, DC
Castile Ventures – Waltham, MA
Catalyst Investors – New York, NY
Centerbridge Capital – NY
Charlesbank Capital Partners – Boston, MA
Charterhouse Capital – London, UK
Chequers Capital – Paris, France
Clearhaven Partners – Boston, MA
CVC Capital – London, UK
Denham Capital Management – Boston, MA
Elysian Capital – London, UK
Essex Woodlands Health Ventures – Chicago, IL
Ethos Private Equity – Johannesburg, South Africa
Exponent Private Equity – London, UK
First Reserve Corporation – Greenwich, CT
Flagship Pioneering – Cambridge, MA
Genstar Capital – San Francisco, CA
Georgian Partners – Toronto, Canada
GTCR Golder Rauner – Chicago, IL
Hamilton Lane – Philadelphia, PA
Hellman & Friedman Capital – San Francisco, CA
HIG Capital – Miami, FL
Highland Capital – Lexington, MA
Hony Capital – Beijing, China
Index Ventures – London, UK
Insight Partners – New York, NY
Institutional Venture Partners – Menlo Park, CA
InterWest Partners – Menlo Park, CA
JMI Equity – Baltimore, MD
Kelso & Company – New York, NY
Kepha Partners – Waltham, MA
Keytone Ventures – Beijing, China
Kinzie Capital Partners – Chicago, IL
Kohlberg Kravis Roberts & Co. – New York, NY
KPS Capital Partners – New York, NY
Lovell Minnick Partners – Radnor, PA
M/C Venture Partners – Boston, MA
Madison Dearborn Capital Partners – Chicago, IL
Medicxi Ventures – San Francisco, CA
Menlo Ventures – Menlo Park, CA
Montagu – London, UK
Montreux Equity Partners – Menlo, CA
Nautic Partners (Chisholm Management Co.) – Providence, RI
New Enterprise Associates – Baltimore, MD
NewView Capital Partners – Burlingame, CA
Nordic Capital – Stockholm, Sweden
Odyssey Investment Partners – New York, NY
Olympus Partners – Stamford, CT
Onex Capital – Canada
Permira Ventures – London, UK
Polaris Growth Partners – Boston, MA
Polaris Venture Partners – Waltham, MA
Providence Equity Partners – Providence, RI
Providence Strategic Growth – Boston, MA
Quad-C Management – New York, NY
Quantum Energy Partners – Houston, TX
Red Arts Capital – Chicago, IL
Rembrandt Venture Partners – Menlo Park, CA
Rhône Group LLC – New York, NY
Rivean Capital – Utrecht, Netherlands
SAIF Partners – Hong Kong, China
SCP Vitalife – Tel Aviv, Israel
Sequoia China – Beijing, China
Sherbrooke Capital – Newton, MA
Sofinnova Ventures, Inc. – Menlo Park, CA
Spark Capital – Cambridge, MA
Stone Point Capital – Greenwich, CT
Summit Ventures – Boston, MA
SV Life Sciences Advisors – Boston, MA
TA Associates – Boston, MA
Technology Crossover Ventures – Palo Alto, CA
Texas Pacific Group – San Francisco, CA/Fort Worth, TX
The Gores Group – Los Angeles, CA
Thoma Bravo – San Francisco, CA
Thoma Cressey Partners – Chicago, IL
Tidemark Capital – Mateo, CA
THL Partners – Boston, MA
Thompson Street Capital – St. Louis, MO
Torquest Partners – Toronto, Canada
TowerBrook Capital – New York, NY
Trident Capital – Los Angeles, CA
Union Square Ventures – New York, NY
VantagePoint Partners – San Bruno, CA
Vestar Capital Partners – New York, NY
Vista Equity Partners – San Francisco, CA
Waterland Private Equity – Bussum, Netherlands
WestView Capital Partners – Boston, MA
Wing Ventures – Palo Alto, CA
Xenon Private Equity, LTD. – Jersey, UK
Private Debt
Anchorage Capital – New York, NY
Avenue Capital Group – New York, NY
CarVal Investors – Hopkins, MN
Centerbridge Special Credit – New York, NY
Crescent Capital Group – Los Angeles, CA
GSO Capital Partners – New York, NY
Oaktree Capital Management – Los Angeles, CA
Trust Company of the West (TCW) – Los Angeles, CA
Wayzata Investment Partners – Wayzata, MN
The PRIM Board utilizes five consultants to assist it in making decisions about the investment direction of the PRIT Fund:
Aberdeen Asset Management, headquartered in Philadelphia, serves as PRIM’s hedge fund consultant.
Albourne, headquartered in in London, serves as PRIM’s operational due diligence service provider.
Meketa Investment Group, headquartered in Westwood, MA, serves as PRIM’s public market consultant.
Hamilton Lane, located in Bala Cynwyd, Pennsylvania, serves as PRIM’s private equity consultant. Hamilton Lane recommends a strategic plan for the annual deployment of assets committed to special equity (buy-outs) and venture capital, assists PRIM staff in performing due diligence with respect to selection of partnerships, and conducts a quarterly and annual review of the private equity portfolio.
New England Pension Consultants (NEPC), located in Cambridge, Massachusetts, serves as PRIM’s asset allocation consultant.
PRIM also uses the following vendors: Bank of New York Mellon for master custody services; KPMG, LLP for external audit purposes; Seven Letter for communication consulting services; and Edgetech Consulting for IT support services.
| Manager | Inception Date | Mandate |
|---|---|---|
| Parametric Portfolio Associates, LLC Minneapolis, MN | October 2013 | Cash Overlay |
