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 ClassRange
Global Equity34% — 44%
Core Fixed Income12% — 18%
Value-Added Fixed Income  5% — 11%
Private Equity 11% — 17%
Real Estate  7% — 13%
Timberland  1% — 7%
Portfolio Completion Strategies  7% — 13%
*Approved February 24, 2021

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 Comprehensive Annual Financial Report.

As of June 30, 2020, the Domestic Equity portfolio had approximately $16.7 billion in net position, representing 22.2% of the PRIT Fund. As of June 30, 2020, the Domestic Equity portfolio allocation is approximately 56% invested in a passively managed large capitalization equity strategy (large cap), 28% invested in a put-spread-collar enhanced equity strategy (enhanced equity), 13% invested in small and middle capitalization equity strategies (small/smid cap), with the remaining 3% invested in micro capitalization equity strategies.

As of June 30, 2020, the International Equity portfolio had approximately $10.4 billion in net position, representing 13.9% of the PRIT Fund. The active international core equity managers are benchmarked against the Custom MSCI EAFE Net Dividends index (Custom MSCI EAFE – customized to exclude legislatively restricted securities in tobacco, Iran, and Sudan), whose name is derived from the geographical areas of inclusion – Europe, Australia and the Far East.

As of June 30, 2020, the Emerging Markets Equity portfolio had approximately $4.5 billion in net position, representing 6.0% 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, 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, and Sudan). The active frontier market equity managers are benchmarked against the Custom MSCI Frontier Markets 15% Country Capped Net Dividends Index (Custom MSCI Frontier Markets 15% Country Capped – customized to exclude legislatively restricted securities in tobacco, Iran, and Sudan).

As of June 30, 2020, the Core Fixed Income Portfolio had approximately $11.8 billion invested in investment grade Core Fixed Income positions, representing 15.7% of the PRIT Fund. The Core Fixed Income portfolio is benchmarked to the Bloomberg Barclays Capital Aggregate Bond Index for core fixed income securities, the Bloomberg Barclays Capital U.S. STRIPS 20+ Year Bond Index for STRIPS securities, the Bloomberg Barclays Capital Treasury 1-3 Year Index for short term fixed income securities, the Bloomberg Barclays Capital US TIPS Index for U.S. TIPS securities, and the Barclays Capital Inflation Linked Bond US$ Hedged Index for the Global Inflation Linked Bonds (ILBs).

As of June 30, 2020, the Value-Added Fixed Income portfolio had approximately $5.7 billion in net position, representing 7.5% 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, 2020, the PRIM Board had $6.9 billion invested in real estate through the PRIT Fund’s ownership interest in PRIT Core Realty Holdings LLC (the LLC), representing 9.2% 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, 2020, the PRIM Board had $2.8 billion invested in timberland, representing 3.7% of the PRIT Fund. The PRIT Fund’s allocation to timberland is through two external timberland investment managers, with positions in the United States, Australia, and New Zealand.

As of June 30, 2020, the fair value of the Private Equity portfolio was $8.6 billion, representing 11.4% of the PRIT Fund. Two components comprise the PRIT Fund’s Private Equity portfolio: venture capital (venture capital and growth equity) and special equity partnerships (buyout). Unlike public markets, where the investor has the ability to “cash out” of positions at any time, these private market investments are illiquid. Therefore, an investment in this category is a long-term commitment.

As of June 30, 2020, the Portfolio Completion Strategies’ (PCS) portfolio had approximately $7.3 billion in net position, representing 9.7% 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

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ManagerInception DateMandate
Acadian Asset Management
Boston, MA
May 2019US Micro Cap Core
Brandywine Global Investment Management
Philadelphia, PA
San Francisco, CA
April 2019Micro Cap Value
Drieheus Capital Management
Chicago, IL
June 2019Micro Cap Growth
Frontier Capital Management
Boston, MA
May 2013Small Cap Value
Goldman Sachs
New York, NY
June 2017Enhanced Equity
Lord Abbett
Jersey City, NJ
April 2019Micro Cap Growth
Riverbridge Partners
Minneapolis, MN
May 2013SMID 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 2013Small Cap Growth

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ManagerInception DateMandate
Acadian Asset Management
Boston, MA
March 2017Small Cap
AQR
Stamford, CT
March 2017Small Cap
Baillie Gifford
Edinburgh, Scotland
July 2004Growth
Marathon Asset Management LLP
London, England
September 1996Core
Mondrian Investment Partners
London, England
May 2008Value
Russell Implementation Services
New York, NY
February 2012FX Execution
State Street Global Advisors
Boston, MA
April 1992World Ex-US Equity Index
TimesSquare
New York, NY
March 2017Small Cap
Xponance
Philadelphia, PA
October 2013Manager of Managers

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ManagerInception DateMandate
Acadian Asset Management
Boston, MA
April 2012Small Cap
AQR
Stamford, CT
March 2015Value
Baillie Gifford
Edinburgh, Scotland
March 2015Growth
Driehaus
Chicago, IL
March 2015Growth
Pzena
New York, NY
March 2015Value
T. Rowe Price
Baltimore, MD
March 2018Growth
Wasatch Advisors, Inc.
Salt Lake City, UT
April 2012Small Cap

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ManagerInception DateMandate
AFL CIO Housing Investment Trust
Washington, DC
July 2007 Economically- Targeted Fixed Income
Blackrock Financial Mgmt., Inc.
New York, NY
May 1995Core Index
Blackrock Financial Mgmt., Inc.
New York, NY
March 2001TIPS Index
Blackrock Financial Mgmt., Inc.
New York, NY
March 2014Treasury STRIPS Index
Blackrock Financial Mgmt., Inc.
New York, NY
September 2005Active Global ILBs
Blackrock Financial Mgmt., Inc.
New York, NY
December 2019Short-Term Fixed Income Index
Community Capital Management
Weston, FL
June 2006Economically- Targeted Fixed Income
Loomis Sayles & Company
Boston, MA
April 1990Active Core
Longfellow Investment Management
Boston, MA
February 2020Fixed Income
New Century Advisors, LLC
Bethesda, MD
February 2020Fixed Income
PIMCO
Newport Beach, CA
August 1990Active Core
Pugh Capital Management
Seattle, WA
February 2020Fixed Income
RBC Global Asset Management
Boston, MA
March 2004Economically- Targeted Fixed Income

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ManagerInception DateMandate
400 Capital Management LLC
New York, NY
December 2018Other Credit Opportunities
Anchorage Capital Group LLC
New York, NY
May 2019Other Credit Opportunities
Ashmore Investment Management, Ltd.
London, England
December 2003Emerging Market Debt
Berkshire Group, LLC
Boston, MA
March 2018Other Credit Opportunities
Eaton Vance Institutional Funds
Boston, MA
June 2008Bank Loans
Fidelity Management Trust Company
Boston, MA
December 1989High Yield Bonds
LibreMax Capital
New York, NY
February 2020Other Credit Opportunities
Loomis Sayles & Company, L.P.
Boston, MA
June 1997High Yield Bonds and Other Credit Opportunities
Mudrick Capital Management, L.P.
New York, NY
December 2017Other Credit Opportunities
PIMCO
Newport Beach, CA
January 2004Emerging Market Debt
Shenkman Capital Management
New York, NY
March 2004High Yield Bonds
Voya Financial
Hartford, CT
June 2008 Bank Loans

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ManagerInception DateMandate
AEW Capital Management
Boston, MA
October 2010Core Separate
AEW Capital Management Boston, MAMay 2014Non-Core
Blackstone
New York, NY
November 2020Non Core
Brookfield Investment Management
New York, NY
March 2016Global REIT Securities
CBRE Global Investors
Los Angeles, CA
March 2019Core Separate
CenterSquare Investment Management
Plymouth Meeting, PA
June 2013Global REIT Securities
DivcoWest San Francisco, CAApril 2019Core Separate
DivcoWest
San Francisco, CA
January 2012Non-Core
INVESCO Realty Advisors
Dallas, TX
February 1994Core Separate
LaSalle Investment Management
Chicago, IL
August 1994Core Separate
Stockbridge
San Francisco, CA
March 2019 Core Separate

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ManagerInception DateMandate
Campbell Group LLC
Portland, OR
August 2002Timber
Forest Investment Associates
Atlanta, GA
December 2001Timber

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ManagerInception DateMandate
400 Capital Management
New York, NY
July 2015Direct Hedge Funds
Arden Asset Management
New York, NY
July 2004Fund of Hedge Funds Transition Management
Basswood Capital Management, LLC
New York, NY
September 2018Direct Hedge Funds
Blackrock Aviation
New York, NY
September 2019Real Assets
Breakout Funds, LLC, Chicago, IL March 2021Direct Hedge Funds
Brigade Capital GP, LLC
New York, NY
January 2012Direct Hedge Funds
Cantab Capital Partners, LP
Cambridge, United Kingdom
November 2013Direct Hedge Funds
Canvas Capital
Rio de Janeiro, Brazil
November 2017Direct Hedge Funds
Capula Management Limited
Greenwich, CT
January 2012Direct Hedge Funds
Cirera Capital
Limited
London, England
September 2020Direct Hedge Funds
CKC Capital, LLC
New York, NY
September 2018Direct Hedge Funds
Complus Asset Management Limited
Hong Kong, China
October 2018Direct Hedge Funds
Contrarian Capital Management
Greenwich, CT
August 2016Direct Hedge Funds
Davidson Kempner Advisors Inc.
New York, NY
January 2012Direct Hedge Funds
DLD Asset Management, LP
New York, NY
July 2020Direct Hedge Funds
East Lodge
London, England
May 2016Direct Hedge Funds
Elliott Capital Advisors, LP
New York, NY
January 2012Direct Hedge Funds
FIR Tree Capital Management
New York, NY
March 2020Direct Hedge Funds
Goldman Sachs Asset Management
New York, NY
July 2015Direct Hedge Funds
Investcorp Investment Advisors, LLC
New York, NY
October 2019Direct Hedge Funds
JEN Partners, LLC
New York, NY
June 2016Real Assets
Land and Buildings Investment Management
Stamford, CT
August 2016 Direct Hedge Funds
LMCG Investments, LLC
New York, NY
April 2020Direct Hedge Funds
Mudrick Capital Management, LP
New York, NY
September 2015Direct Hedge Funds
Mygale, LLP
London, England
August 2019Direct Hedge Funds
PAAMCO
Newport Beach, CA
August 2004Fund of Hedge Funds
PGIM, Inc.
Newark, NJ
February 2020Real Assets
RV Capital Management Pvt. Ltd.
Singapore
August 2019Direct Hedge Funds
Sightway Capital
New York, NY
May 2019Real Assets
Silver Creek Advisory Partners, LLC
Seattle, WA
September 2019 Real Assets
Summit Partners Public Asset Management, LLC
Boston, MA
September 2018Direct Hedge Funds
Tabor Asset Management
New York, NY
December 2020Direct Hedge Funds

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Private Equity

Acon Investments – Washington, DC
Advent International – Boston, MA
Alchemy Partners – London, UK
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
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
Charles River Ventures – Waltham, MA
Charlesbank Capital Partners – Boston, MA
Charterhouse Capital – London, UK
Chequers Capital – Paris, France
Code, Hennessey & Simmons – Chicago, IL
CVC Capital – London, UK
Denham Capital Management – Boston, MA
El Dorado Ventures – Menlo Park, CA
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
Freeman Spogli – Los Angeles, CA
Genstar Capital – San Francisco, CA
Georgian Partners – Toronto, Canada
Gilde Buy Out Partners – Utrecht, Netherlands
GTCR Golder Rauner – Chicago, IL
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
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
Nordic Capital – Stockholm, Sweden
Odyssey Investment Partners – New York, NY
Olympus Partners – Stamford, CT
Onex Capital – Canada
PAI Europe – Paris, France
Permira Ventures – London, UK
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
Rembrandt Venture Partners – Menlo Park, CA
Rhône Group LLC – New York, NY
SAIF Partners – Hong Kong, China
SCP Vitalife – Tel Aviv, Israel
Sherbrooke Capital – Newton, MA
Sofinnova Ventures, Inc. – Menlo Park, CA
Spark Capital – Cambridge, MA
Spectrum Equity – Boston, MA
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
Thomas H. Lee Equity – 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
Weston Presidio Capital – Boston, MA / San Francisco, CA
WestView Capital Partners – Boston, MA
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

 

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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.

Callan Associates, headquartered in San Francisco, serves as PRIM’s public markets consultant, and is responsible for making recommendations regarding manager selection and termination, and providing other advisory services that the PRIM may deem necessary. Callan also works with PRIM staff to monitor the performance of managers, ensure managers are in compliance with their contractual guidelines, and assist the staff in implementing PRIM’s emerging managers program.

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; O’Neill and Associates for communication consulting services; and Edgewater Technology for IT support services.

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ManagerInception DateMandate
Parametric Portfolio Associates, LLC Minneapolis, MNOctober 2013Cash Overlay