Third Quarter Update

December 2, 2021

Markets and PRIT Fund Performance

The quarterly results continue to be strong following a record-setting fiscal year 2021 in which the PRIT fund was up approximately 30% and nearly 9% above benchmark. For the September quarter, the PRIT Fund was up 2.4% net of fees despite global markets posting modest losses; domestic and developed international equity market returns in the quarter were essentially flat, but emerging market returns were negative 8% as China fell more than 18% with the prospect of an Evergrande bankruptcy and its possible contagion effects. A 60/40 mix of global stocks and bonds was down 0.6%, but the PRIT Fund fared better and was up 2.4% net of fees for the first fiscal quarter of 2022, well above benchmark. The PRIT Fund ended with a balance of $98.5 billion, a new record high, and paid out $523 million in benefits during the quarter. Consistent with recent quarters, private equity again led the way with a return of 13.7% for the quarter. Real Estate was up 6.6% and value-added fixed income was up 2.8%.

Markets have continued to be strong in October and in November the markets were down only fractionally even with the recent selloff. Fourth quarter to date through November, the S&P 500 is up 6.3%, developed international markets down 2.3% and emerging markets down 3.1%, bonds essentially flat and a 60/40 mix of global stocks and bonds is up 1.7%. This fourth quarter positive return happened during a time of mixed economic news and of course, the emergence of the Omicron variant, which we are keeping a watchful eye on.

GDP growth of 2% in Q3 missed expectations, the Federal Reserve announced its intention to accelerate the reduction of asset purchase stimulus programs, and consumer prices, a measure of inflation, surged 6.2% in October, the highest rate in three decades. This usually isn’t good for markets. Employment news was somewhat encouraging as the unemployment rate fell, unemployment claims fell, but there are still 7.4 million people unemployed and the number of unemployed per job opening is at the highest levels since the 1960s. 4.4 million employees quit their jobs in September alone, the job quit rate rose to a record 3%, leading economists to call it “The Great Resignation.” At the Investment Committee meeting the lack of consensus on the direction of inflation was in plain sight. We had a healthy discussion on both sides of the topic. The Fed’s response to inflation, or lack of response in a timely way, will impact markets.

The market has bifurcated into two camps and there is not current consensus on the matter:

1) Those that believe inflation is transitory because of COVID and temporary supply shortages.
2) Those who believe that inflation may spiral out of control because of wage price escalation.

Time will tell and perhaps the emergence of the new variant will play a role. In the meantime, we will stay the course with our long-term, all-weather portfolio with components that will perform well whatever the environment.

PRIT Fund Performance

The PRIT Fund had strong positive results despite global markets posting modest losses in the quarter. For the one-year ended September 30, 2021, the PRIT Fund was up 25.4%, (25.0% net), outperforming the total core benchmark of 16.5% by 893 basis points (845 bps net).
• This performance equates to an investment gain of $19.8 billion, net of fees.
• This outperformance equates to $6.7 billion of value above the benchmark return, net of fees.
• Net total outflows to pay benefits for the one-year ended September 30, 2021, were approximately $726 million.

Organizational Updates

PRIM recently announced four promotions and five new employees.


Alyssa Fiore was promoted to Senior Investment Officer on the Private Equity team reporting to Michael McGirr. Alyssa joined PRIM in 2016 and has had a big positive impact on PRIM’s industry-leading private equity program. Alyssa plays a leading role in sourcing new managers and co-investment opportunities for PRIM, and she has been intimately involved in designing and executing the team’s unique and disciplined investment process and research agenda. Additionally, last year Alyssa was responsible for managing and mentoring Private Equity’s summer intern who joined from Treasurer Goldberg’s Women in Finance Fellowship program.

Minching Kao was promoted to Investment Officer. Minching joined PRIM in 2019 and during the past two years has become a vital member of the Real Estate and Timberland team focusing on investment analysis and modeling, annual performance and budget review, and quarterly valuations. Minching continues to strengthen PRIM’s portfolio analytics framework by using her extensive experience in financial modeling, underwriting, and valuation. Her analytical skills are outstanding and the skills she brings to the team are extremely valuable.

Qingmei Li was promoted to Director of Audits and Financial Reporting. Qingmei joined PRIM in 2011 and has been an invaluable member of the Finance team ever since. Qingmei recently reached her 10-year anniversary at PRIM. Qingmei is responsible for the PRIM and PRIT Fund audits, Procurement Process and Benchmarking Agreed Upon Procedures, and the audits of PRIM’s separately managed accounts, investment accounts which continue to grow in size and complexity. She is a trusted resource for the entire Finance team and her responsibilities have increased steadily through her tenure. Qingmei is also responsible each year for PRIM’s Annual Comprehensive Financial Report, which has received the GFOA’s Certificate of Achievement for Excellence in Financial Reporting for the past 16 years.

Christina Marcarelli, Senior Investment Officer on the Real Estate and Timberland team, was promoted, adding to her title and responsibilities the role of Director of Real Estate Debt. She will also assume management responsibility for Minching Kao. Christina joined the Real Estate and Timberland team as an Investment Officer in 2016 and has been extremely productive, taking on an ever-expanding list of responsibilities across the Real Estate and Timberland portfolios. Over the past three years, she has led PRIM’s strategic and manager research of the $4.7 trillion commercial real estate debt market, becoming PRIM’s clear subject matter expert in this area. Her efforts have led to the review of more than $20 billion in real estate debt opportunities and the deployment of $200 million in capital.

David Gurtz is taking on a new role as Deputy Chief Investment Officer in charge of strategic priorities, projects, and processes. As a CPA and a CFA, David brings a unique mix of experience and knowledge from both the investment and finance/operations side of PRIM, having formally served in several key roles at PRIM: Chief Financial Officer, Chief Operating Officer, Director of Risk management, Director of Public Markets, and Deputy Chief Investment Officer. Dave’s role as Deputy Chief Investment Officer has grown substantially over the past few years as PRIM has taken on several new strategic initiatives. Dave will continue to lead and build out PRIM’s FUTURE Initiative, he will chair the Investment Review Team and Investment Team meetings, coordinate the monthly PRIT fund rebalancing, provide research and assistance related to communications efforts and requests for information, lead reviews of PRIM’s governance documents including the regular review of PRIM’s Investment Policy Statement, oversee committee and Board package preparation, help the Operations team monitor investment manager guideline compliance, track and monitor legislation that may affect PRIM, participate and help coordinate RFP’s and ongoing investment due diligence, and more.

New Employees

Michael McElroy has joined us as Senior Investment Officer and Director of Public markets and will report to Michael Trotsky. Michael joins PRIM from Wellington Management where he was a Managing Director for both the systematic and fundamental equity investment teams. Prior to that, he was Head of Global Equity for Batterymarch Financial Management where he was the lead portfolio manager for the systematic global equity portfolios. Previously, Michael served as the Head of Global Equities for Citigroup Asset Management, based in London, where he was responsible for all developed markets portfolio management. Michael earned a Bachelor of Science degree in Mathematics, a Master of Science degree in Transportation Planning, both from MIT, and his Master of Science in Management from the Sloan School of Management at MIT.

Denise Flynn joined PRIM as an Executive Assistant supporting David Gurtz and Michael McElroy. She will report to Deb Coulter. Denise comes to us from the New England Center and Home for Veterans where she served as the Executive Administrative Assistant to the President & Chief Executive Officer. Prior to that, Denise was the Quality Coordinator for Karyopharm Therapeutics, Inc. as well as an Executive Administrative Assistant at Pioneer Investments. Denise has an associate degree in Commercial/Advertising Photography from the Rhode Island School of Photography.

Joseph Kamotho joined PRIM as a Business Systems Analyst on the IT team reporting to David Griswold. He will be working to help support PRIM’s IT systems and infrastructure and will help onboard new technologies. Joseph previously worked at Man Numeric where he was responsible for database design, management, and administration. Joseph holds a Bachelor of Science in Management Information Systems from Northeastern University.

Vincent Li joined PRIM as an Investment Operations Analyst reporting to George Tsipakas. Vincent comes to us from the Massachusetts Department of Children & Families (DCF), where he was serving as a Management Analyst. Prior to DCF, he was a Rates Analyst at KPN iBasis. Vincent has a Bachelor of Arts in Economics from the University of California San Diego and is currently a Level II candidate in the CFA® program.

Melissa Ng joined the Investment Operations team as Manager of Real Estate and Timberland, Accounting and Reporting, reporting to George Tsipakas. Melissa comes to us from Hancock Natural Resource Group, (HNRG) where she was a Senior Financial Accountant – Client Reporting. Prior to Hancock, she was a Senior Fund Accountant at GMO Renewable Resources. Melissa has a Bachelor’s degree in Business Administration from the University of Massachusetts, Isenberg School of Management, with a major in finance and operations and is currently pursuing a Master of Business Administration at Endicott College, Van Loan School.

Recent Recognition

Matt Liposky, PRIM’s Chief Investment Operations Officer, was recently selected to the CFA Institute’s GIPS Standards Asset Owner Subcommittee.
Additionally, Matt Liposky and Deb Coulter, PRIM’s Chief Financial Officer and Chief Administration Officer, were recently selected by the Treasurer as recipients for this year’s performance recognition program. Each of them was awarded a citation for outstanding performance by the Treasurer in a ceremony in November, and each was recognized for their great w