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The Massachusetts Pension Reserve Investment Management Board adopted a new asset allocation and announced new investment commitments at its Feb. 15 board meeting.
MassPRIM, which manages the $109 billion PRIT fund, previously announced a return of 11.9% in 2023 at its investment committee meeting in February.
The MassPRIM Board of Directors unanimously voted to adopt a new asset allocation strategy that aims to achieve a 7% annualized return with an acceptable drawdown risk of no more than 20% over the next three years.
The new allocation will expand the target range for the fund’s value-added fixed income strategy by 1 percentage point from the 5-11% range to the 6-12% range, albeit with a slight adjustment. Similarly, the fund is lowering its target range for global equities by 1 percentage point from 32-42% to 31-41%. The fund currently allocates 7.3% and 39.5% to these asset classes, respectively.
The fund’s other target allocations remain unchanged: 12% to 18% in core fixed income (currently 13.6%), 13% to 19% in private equity (currently 17.1%), and 7% to 13% in real estate (currently 10.3%). %), 1% to 7% to Timberland (currently 3.2%) and 7% to 13% to Portfolio Completion Strategy (currently 8.5%).
The fund reported a return of 6.2% in the fourth quarter of 2023. All asset classes except real estate were positive, with U.S. Treasury STRIPS returning 18.9%, U.S. small- and mid-cap stocks returning 12.3%, and U.S. large-cap stocks returning 11.7%.
Private equity returned 1.3% in the fourth quarter of 2023, while short-term bonds and bank loans each returned 2.6%.
Additionally, the MassPRIM Board made several commitments to existing managers. The fund allocated $500 million to custom index strategies in accounts managed separately by Rhumbline Advisers LP. Rhumbline Advisers LP currently manages his $2.9 billion in Mass PRIM.
The board also approved an additional investment in Spark Capital, a $6.4 billion venture capital firm in which MassPRIM has invested since 2005. MassPRIM board members unanimously approved the allocation of $51 million to his two separate Spark Capital funds, Spark Capital VIII and Spark Capital Growth Fund. V.
Related article:
US large-cap stocks drive PRIM’s 11.4% return in 2023
MassPRIM develops AI model to support investments
PRIM expands staff and adds management positions
Tags: asset allocation, mass PRIM, pension
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