Annualized returns for the three-, five-, and ten-year period ending June 30 were 8.9%, 8.6%, and 9.2%, respectively, compared to benchmark returns of 6%, 6.5%, and 7.4%, respectively. surpassed.
The pension fund had a total return of 30% for the financial year ended 30 June 2021. MassPRIM announced at the time the highest fiscal year return in pension fund history.
In the most recent fiscal year, pension funds faced challenging market conditions in both listed equities and fixed income. The Russell 3000 Index and Bloomberg US Aggregate Bond Index returned -13.9% respectively for the year ended June 30, 2021, compared to returns of 44.2% and 4.6% for the year ended June 30, 2021. and -10.3%.
Pension funds, however, benefited from significant exposure to both private equity and real estate.
Private equity led all asset classes in the most recent fiscal year, with a gross return of 27.3% for the fiscal year ended June 30. No benchmark provided.
Private equity was second only to real estate, with a 25.5% gross return above the asset class benchmark return of 18.9%, while Timberland just underperformed its benchmark return of 11.8%, with a gross return of 11.4%. raised the return.
The Portfolio Completion strategy had a gross return of -0.8%, slightly above the benchmark return of -1.4%. The report noted that hedge fund returns included in the asset class are net of fees.
Gross returns for value-added bonds were -3%, below the benchmark return of -2.4%. Core bonds returned -11.5%, slightly above the benchmark return of -11.6%. Global equities returned -16.1%, its benchmark.
As of June 30, the pension fund’s actual allocation was 37.3% Global Equity, 18.4% Private Equity, 14.5% Core Fixed Income, 10.6% Real Estate, 8.6% Portfolio Completion Strategies, 6.8% Value Added Fixed Income, Timberland 3.2%, 0.6%. % overlay.
