First Quarter Update

May 19, 2022

Markets and PRIT Fund Performance

Following PRIM’s very strong calendar year 2021 performance – a 20% investment gain and record outperformance over the benchmark – market conditions deteriorated in the first calendar quarter of 2022. The Russian invasion of Ukraine on February 24 created an historic humanitarian crisis and dealt global financial markets and world economies a substantial setback.

The war, combined with new COVID flare-ups, rising inflation and interest rates, and continued supply chain disruptions has caused global economic growth to slow significantly. In late April, the International Monetary Fund (IMF) reduced its world economic growth forecast for 2022 to 3.6%, down from a projection of 6.1% only a few months ago. The IMF expects US growth to slow from 5.7% in 2021 to 3.7% in 2022, and 2.3% in 2023. The U.S. economy contracted 1.4% in the first quarter. Changing expectations about the future are detrimental to global markets and global economies; equity and bond price volatility are at highly elevated levels.

However, PRIM is still performing at a very high level. The environment at PRIM can best be described as “all hands-on deck.” We have assembled a group of highly trained and talented professionals and we are extremely proud that they are attentive to every detail in the portfolio. We have asked the team to examine every strategy in the portfolio and to increase our communications with each manager.

PRIT Fund performance was negative for the quarter ending in March, but still up substantially for the one-year period. The PRIT Fund was down 2.1% (net) for the quarter, in line with benchmark returns, but for the trailing 12-month period, the Fund is up 12.6%, outperforming the benchmark by 5.5%. The 2.1% decline in the March quarter compares very favorable to the Standard and Poor’s 500 Index, which declined 4.6%, Developed International equities declined 5.9%, and Emerging Markets equities declined 7.0%. Bonds were down 5.9% in the quarter and a 60/40 mix of stocks and bonds, a common comparison for a diversified portfolio, was down 5.6% for the quarter.

PRIT Fund Performance

For the one-year period ended March 31, 2022, the PRIT Fund was up 13.1%, (12.6% net) outperforming the total core benchmark of 7.1% by 602 basis point (552 bps net).

  • This performance equates to an investment gain of $11.3 billion, net of fees.
  • This outperformance equates to $5.0 billion of value above the benchmark return, net of fees.
  • Net total inflows from contributions for the one-year ended March 31, 2022, were approximately $76 million.

Organizational Updates

New Employees

Tim Doyle joined PRIM as an Investment Analyst on the Private Equity team, reporting to Alyssa Fiore. Tim joins us from the Mass General Brigham investment office and began his career at Cambridge Associates in their pension practice. Tim has earned a Bachelor of Science in Finance from Boston College.

Vivian Liang joined PRIM as an Investment Analyst on the Research team, reporting to Maria Garrahan. Vivian was previously a PRIM Research Intern where she worked within multiple areas of Research: asset allocation, private equity replication, and manager selection tool development. In March, Vivian graduated with a Master of Science degree from the Computational Finance and Risk Management graduate program at the University of Washington.

Amy MacKay joined PRIM as an Administrative Coordinator for the Real Estate and Timberland team, reporting to Tim Schlitzer. Amy previously worked in the Finance Department at Meredith & Grew-Colliers and the Downtown Leasing Group at Whittier Partners-CBRE. Amy is a graduate of Assumption College.

On April 1, 2022 Governor Baker signed into law Chapter 42 of the Acts of 2022. Section 64 of Chapter 42 includes a Russian Divestment bill which goes beyond the federal sanctions list and includes all companies that are incorporated in Russia. We are in the process of implementing all directives under this law. The value of the investments covered under the law is very difficult to accurately ascertain because at this time the markets are closed to foreign investors and there is very little reliable price discovery. We own no securities that are on the current U.S. Sanctions list, but under the Massachusetts law’s broader directive, we estimate that our position size at the start of the year was $250 million, on the day after the invasion, February 25, the positions were valued at approximately $140 million, and currently, our pricing vendors estimate the positions to be worth approximately $9.6 million. Subject to market availability, our managers are required to sell 50% of the position size within six months and be completely liquidated within one year.

In late March, PRIM became a founding signatory to the CFA Institute’s first-ever Diversity, Equity, and Inclusion Code for the investment profession. As a founding signatory of the DEI Code, PRIM cements its position as an industry leading advocate for a new and better investment industry that more closely represents the make-up of our entire society. A commitment to diversity and inclusion, just like ethics, must come from the top. Many years ago, we decided to make cultural changes at PRIM to foster a diverse and inclusive environment. We believe that an industry that embraces many voices and perspectives will produce better investment outcomes and a more inclusive future for the investment profession. Signing the DEI Code means that we are committed to embracing its seven core principles to improve our workplace and our industry. PRIM’s human resources policies already capture these principles, and with the implementation of the FUTURE Initiative following Treasurer Goldberg’s advocacy for investment equity legislation, we are positioned to continue to lead in this area. We are proud of our progress, but there is more we can and will do.

In its February 14, 2022, issue, Pensions & Investments reported that PRIM was ranked seventh among the largest 200 funds in the nation for assets managed by diverse managers. This is an indication that our ongoing efforts over the years, combined with our new FUTURE initiative, are putting PRIM at the very top of the heap in terms of progress and many of the funds that have more allocated are far larger than PRIM.

At the February 17, 2022, PRIM Board meeting, the Board voted and approved the establishment of a new ESG (Environmental, Social, and Governance) Committee for the purpose of advising the Board on ESG-related matters, and to engage an outside consultant to assist in developing a charter. PRIM staff is working closely with the Treasurer’s staff and our outside governance consultant to complete a draft charter.


PRIM was nominated for Public Plan of the Year for Institutional Investor’s 19th annual Hedge Funds Industry Awards for the 6th straight year. PRIM won the award in 2016 in recognition of our groundbreaking work in separately managed accounts, which is now becoming the industry standard.