Third Quarter
November 30, 2023
Markets and PRIT Fund Performance
Financial markets declined modestly in the September quarter following three consecutive quarters of robust gains from the end of last year through this past June. In the September quarter, U.S. and emerging markets equities and diversified bonds were down 3% or more; developed international equities were down 4%, while long duration US Treasury STRIPs were down almost 20%. Fortunately, PRIM’s alternative investments such as Private Equity, Hedge Funds, Private Debt, Other Credit Opportunities, and Timberland, all posted gains in the September quarter, and as a result, the PRIT Fund fared better: down only 1.7% net of fees in the quarter. This is a strong result in a weak market. The PRIT Fund was down approximately half as much as the markets in the quarter, and this comes after Fiscal Year 2023 ended at a record high level.
We believe the hallmark of a well-constructed portfolio is that it has components that will perform well in any environment. PRIM’s trailing one-year gain of 9% through September is strong and well above our required rate of return. Moreover, the 3-, 5-, and 10-year returns also remain strong, up 7.4%, 6.8%, and 7.8%, respectively – again, driven mainly by the strong performance of alternative investments. The PRIT Fund has performed well over a long period of time through strong and weaker markets and through turbulent times; we remain confident in its ability to do so in the future.
PRIT Fund Performance
The PRIT Fund gained 9.3% (8.8%, net) for the one year ended September 30, 2023, underperforming the total benchmark by 1.2%, net of fees.
Organizational Updates and Recent Recognition
Richer Leung, CFA joined PRIM in November as an Investment Officer on the Public Markets team. Richer comes to PRIM from DoubleLine Capital, a Los Angeles based fixed income manager where he was a data management analyst. Prior to Doubline, he was an assistant vice president working on CDO (collateral debt obligations) analytics for U.S. Bank in Boston. Richer received a Bachelor of Science in Business Administration and Management from Boston University in 2016 and is a CFA charter holder. Richer has a strong background in data analysis and fixed income analytics, and will report to PRIM’s Director of Fixed Income, Chuck LaPosta.
The PRIM Board approved changing the name of the ESG Committee to the Stewardship and Sustainability Committee.
The PRIM Board appointed Marian A. Tse to the Compensation Committee. Ms. Tse, a retired partner and former chair of Goodwin’s ERISA & Executive Compensation Practice, has more than 30 years of experience in the areas of executive compensation and employee benefits. Ms. Tse is recognized as one of the nation’s leading attorneys in her field by Chambers USA, where clients describe her as “technically very smart and very practical.” She formerly served on the firm’s Executive Committee.
Ms. Tse represented public and private company clients in the design, implementation and administration of many types of executive compensation programs and broad-based employee benefit plans, as well as the treatment of equity and employee benefits in hundreds of corporate mergers and acquisitions. She is well-versed in tax, accounting and securities laws affecting executive compensation, as well as governance issues raised by institutional shareholders. Ms. Tse also represented both employers and executives in the negotiation of employment and severance agreements and equity participation.
Michael G. Trotsky, CFA, PRIM’s Executive Director and Chief Investment Officer, was named to the 2023 CIO Power 10 List by the publication, Chief Investment Officer. The designation honors leaders “who continue to guide their funds through volatile times and are disciplined enough to navigate whatever is ahead.”
PRIM was awarded two Commonwealth Citations for Outstanding Performance by Treasurer Deborah B. Goldberg. Eliza Haynes, Investment Analyst, was recognized as a key individual on PRIM’s Private Equity Team for her sourcing and underwriting work. The PRIM Real Estate Leverage Team was recognized for an innovative program that works across asset classes to save the Commonwealth in borrowing costs while bolstering the returns of the Real Estate Portfolio. Recipients included Melissa Ng, Matt Liposky, and George Tsipakis from the Finance Team, Jay Leu from the Risk Team, and David Gurtz, John LaCara, and Chuck LaPosta from the Investment Team.
Sara Coelho, Manager of Finance, recently earned the CFA Investment Foundations certificate. She is a graduate of the UMass Amherst School of Management with a master’s degree in accounting.
