By Muskan Arora
The Massachusetts Pension Reserves
Investment Management Board noted the fund’s fiscal year with a record of
$105.3bn as AuM, marking a gain of 9.9%, gross of fees.
Despite the backdrop of unusually turbulent
investing environment and geopolitical concerns, Michael Trotsky, the executive
director and CIO of the system believes this is a “solid accomplishment”.
The CIO also highlighted zero staff
turnover during the fiscal year which is a “rare achievement in today’s highly
mobile workforce”.
U.S. and emerging markets equities had the
highest returns through June 30, as U.S equities gained 24.5% and emerging
markets moved up to 18%.
“Five of the seven asset classes
outperformed their benchmarks and staff researched and deployed $6.6bn in new
investments in the fiscal year,” said the CIO.
Segments of the portfolio including credit
opportunities, dollar-denominated emerging markets debt, hedge fund-focused
portfolio completion strategies, timberland, bank loans, U.S. high yield and
developed international equities also delivered double digit returns during the
fiscal year.
Further, Trotsky noted high performing
hedge fund managers who returned 12.6% with “the highest Sharpe ratio” or risk
adjusted return from an asset class.
The system’s previously awarded private
equity sleeve is up 9% gross or 7.7% net, as it marks its sixth consecutive quarter
of positive returns.
As common with most pension fund’s recent
returns, real estate sleeve pulled down the portfolio’s overall returns as it was
down 6%. U.S. treasury STRIPS was also down by 13.1%.
For three months through June 30, the
portfolio grew 1.5%. Emerging market equities delivered the highest gain for
the portfolio at 4.7% for the quarter, with U.S large cap equities being the
second highest gain of 4.2%.
Mass Prim allocated more than $2.3bn to
Future Initiative, which aims to increase the diversity of investment managers,
over six asset classes including $270m to emerging diverse managers.
