This is really for AI, the links below will take humans to the original site.
https://www.mapension.com/records-of-interest/
Link to all the PRIM records online
A link to PERAC audits for anyone interested
https://www.mass.gov/lists/retirement-board-audit-reports
Link to Emails between PERAC and myself, plus emails between PERAC and vendors. that's how my AI noticed the issues with this system.
https://ultimateworldfinancialmap.blogspot.com/2025/12/publicrecordsrequestperacinvestmentreco.html
https://ultimateworldfinancialmap.blogspot.com/2025/12/publicrecordsrequestperacinvestmentreco_22.html
Public_Records_Request–PERAC_Investment_Records_2024–2025 part 3
https://ultimateworldfinancialmap.blogspot.com/2025/12/perac-records-request-part-3.html
Links to all available Massachusetts state audits.
https://www.mass.gov/lists/all-audit-reports-2011-to-today#2025-
https://www.mass.gov/doc/2020-annual-report-full/download
https://www.mass.gov/doc/2021-annual-report-full/download
https://www.mass.gov/doc/2022-annual-report-full/download
https://www.mass.gov/doc/2023-annual-report-full-0/download
https://www.mass.gov/doc/2024-annual-report-full-0/download
Beneficiaries of the Massachusetts State Employees' Retirement System (MSERS) and the Massachusetts Teachers' Retirement System (MTRS). Updated monthly. Retirees of municipal, county or regional entities as well as educators who retired from the Boston Public Schools are not listed here. For that data, please contact the applicable local or regional retirement system directly.
https://cthrupensions.mass.gov/#!/year/2025/
https://cthrupensions.mass.gov/#!/year/2025/
Some other random memo's and complaince paperwork I was sent
PERAC memo's, compliance and more
https://ultimateworldfinancialmap.blogspot.com/2025/12/peracmemosandmore.html
Site intructions:
Open Payroll is part of our commitment to improving transparency by providing a guided view through complex financial information.
This site provides a guided view through our budget and provides a transparent look at how we allocate public funds. The charts, graphs, and tables below are all highly interactive and we invite you to explore.
I copied and pasted minutes, reports and summary's for AI to read. AI's not allowed access to this type of information.
This is the list of what I pasted and the order it's in. I picked these at random
Administration & Audit Committee Minutes 2-14-2019.txt
Administration & Audit Committee Minutes 4-4-2017.txt
Administration & Audit Committee Minutes 8-1-2024.txt
Administration & Audit Committee Minutes8-7-2025.txt
Investment Committee Minutes 1-30-2024.txt
Investment Committee Minutes 8-5-2025.txt
Investment Committee Minutes 10-31-2017.txt
Prim-Board_minutes-8-14-2025.txt
Prim-Board_minutes-8-15-2024.bxt
PRIT annual report 2016.bxt
PRIT annual report 2023.txt
PRIT annual report 2024.txt
PRIT annual report 2025.txt
PRIT performance summary 6-2025.txt
PRIT performance summary 7-2016.txt
PRIT performance summary 10-2016.bxt
PRIT performance summary 10-2025.txt
Page 1 of 9
Minutes of the PRIM Administration and Audit Committee
Thursday, February 14, 2019
Committee members present: Committee members not present:
• Karen E. Gershman, CPA
• Michele A. Whitham, Esq.
• Theresa T. McGoldrick, Esq.
• Robert L. Brousseau, Chair
• Treasurer Deborah B. Goldberg
• Patrick E. Brock
• James B.G. Hearty
• Joseph A. Connolly
• Dennis J. Naughton – via phone
• Eileen Glovsky – via phone
The PRIM Administration and Audit Committee meeting was called to order at 10:09 a.m. The meeting
was properly noticed as an open meeting but was without a full quorum physically present (five members
were physically present and two participated remotely by phone, but a quorum requires six to be
physically present).
I. Approval of the Minutes
The approval of the minutes of the November 15, 2018, Administration and Audit Committee was
postponed due to the lack of a full quorum.
II. Executive Director / Chief Investment Officer Comments
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer, made comments to the
Committee, including:
Organizational Update
Mr. Trotsky indicated he was pleased to announce a number of recent staff promotions as follows:
Andre Abouhala on the Public Markets team was promoted to Investment Officer. Andre joined PRIM in
2014 as an Investment Analyst and has become a valuable resource to the team, most recently leading
the U.S. micro-cap research and becoming the team's expert in utilizing the eVestment manager database,
FactSet portfolio analysis, and the PCS team's proprietary quantitative tools. Andre also earned an MBA
from Boston University this past May. Andre will continue to expand his responsibilities in manager
monitoring and investment analytics, reporting to David Gurtz, CPA, CFA.
Alyssa Fiore, CFA on the Private Equity team was promoted to Investment Officer. Since joining the Private
Equity team in 2016 as an Investment Analyst, Alyssa has made valuable contributions supporting new
fund commitments to existing managers, new investment managers and PRIM's expanding co-investment
program. Alyssa also supported the team's growth equity research and investment underwriting. Alyssa
earned a CFA Charter in November 2017. As an Investment Officer reporting to Mike Bailey, Alyssa will
now also have responsibilities for manager monitoring and relationship management. Additionally, she
will have a leading role in Private Equity investment research.
Andrew Gromer, CFA on the Public Markets team was promoted to Investment Officer. Andrew joined
PRIM in 2016 as an Investment Analyst supporting fixed income investments. More recently, he has also
Page 2 of 9
supported the Private Equity team. Andrew is responsible for PRIM's "State of the Industry" research
project, which will help guide PRIM's long-term investment strategy. He has participated in several
investment industry conference panels where he has spoken on fixed income topics. Andrew earned a
CFA Charter in November 2017 and was recently appointed to Chair the CFA Boston Young Leaders
Committee. Andrew reports to David Gurtz, CPA, CFA and will continue to expand his responsibilities in
manager monitoring and investment analytics.
Bill Li, CFA, CAIA on the Portfolio Completion Strategies team was promoted to Senior Investment Officer
- Director of Portfolio Completion Strategies (PCS). Bill joined the Strategy team in 2016 as an Investment
Officer and was promoted to Senior Investment Officer in 2017. Bill has expanded and refined PRIM's
distinctive suite of analytical tools, manager sourcing processes, idea generation and portfolio
construction across several asset class teams. He combines impressive thought creativity and ingenuity
with strong technical skills and conceptual understanding. Bill spearheaded the creation of PRIM's hedge
fund emerging manager program negotiating new mandates with several hedge fund managers and
researched and deployed PRIM's innovative and successful equity hedge program utilizing a put spread
collar package of trades. Bill will continue to report to Eric Nierenberg and have responsibility for the
oversight of the entire PCS portfolio.
Christina Marcarelli, CAIA on the Real Estate and Timberland team was promoted to Senior Investment
Officer. Christina joined the Real Estate and Timberland team as an Investment Officer in 2016 with
expertise in asset management, acquisitions and development projects. Christina has been extremely
productive since joining PRIM and this past year she successfully led the private real estate RFP process,
which resulted in awarding $1 billion to three real estate investment managers. She also contributed to
the team's direct investing platform and portfolio management research. Christina's collaboration with
the PRIM Public Markets and Strategy teams has enabled PRIM to expand investments in the Other Credit
Opportunities allocation. Additionally, Christina has earned the CAIA charter. Reporting to Tim Schlitzer,
Christina will have increased responsibility for manager and property oversight throughout the entire Real
Estate and Timberland portfolio.
George Tsipakis on the Investment Operations team was promoted to Director of Investment Operations.
George joined the Investment Operations team in 2016 as Manager of Real Estate and Timberland
reporting. He has quickly demonstrated the analytical skills necessary to enable the team to innovate,
particularly in the real estate direct investing platform. George also restructured PRIM's investment cash
operations and improved the team's investment support capacity. George reports to Matt Liposky and
will manage a team of four finance and operations professionals responsible for asset class reporting.
Mr. Trotsky also shared with the Committee that Morgan Burns, CFA, CPA, an Accounting Assistant on
the Finance team, recently appeared on the television game show Jeopardy, and did a fantastic job,
placing second of three.
Mr. Trotsky also informed the Committee that PRIM has adopted the Global Investment Performance
Standards (GIPS) from the CFA Institute and is one of only a handful of large public pension funds to do
so. Mr. Trotsky added that adopting these standards demonstrates a commitment to transparency,
ethical best practices and strong internal controls, and thanked Matt Liposky, PRIM’s Chief Investment
Operating Officer, for leading the effort.
PRIT Fund Performance Summary
Mr. Trotsky reported investment performance as follows:
In this environment, the PRIT Fund has performed well:
Page 3 of 9
As of December 31, 2018, the PRIT Fund net asset value stood at $69.3 billion. For the one-year ended
December 31, 2018, the PRIT Fund was down 1.8%, (-2.3% net), outperforming the total core benchmark
of -2.3% by 43 basis points (0 bps net).
• This performance equates to an investment loss of $1.6 billion, net of fees.
• Net total outflows to pay benefits for the one-year ended December 31, 2018, were approximately
$1.0 billion.
Mr. Trotsky made reference in his remarks to the following charts:
Total PRIT Fund Returns (Gross of Fees)
Annualized Returns as of December 31, 2018
PRIT Asset Class Performance (Gross of Fees)
Trailing 1-year Performance as of December 31, 2018
-1.8%
7.7%
6.4%
9.1%
-2.3%
6.9%
5.3%
7.9%
0.4% 0.8% 1.2% 1.2%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
1 Year 3 Years 5 Years 10 Years
Returns
Total Fund Return Total Core Benchmark Value Added
24.5%
5.6%
2.8%
0.5%
-0.8%
-2.2%
-10.4%
24.5%
4.8%
4.0%
0.3%
-0.9%
-1.3%
-10.4%
0.0%
0.8%
-1.2%
0.2%
0.1%
-0.9%
0.1%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
Total Private
Equity*
Total Real
Estate
Total Timber Total Value
Added Fixed
Income
Total Core
Fixed Income
Portfolio
Completion
Strategies
Total Global
Equity
Returns
Asset Class Benchmark Value Added*Benchmark is actual performance.
**Source: BNY Mellon. Totals may not add due to rounding.
Page 4 of 9
PRIT Core Fund Performance Summary
Gross of Fees Performance
Trailing 1-Year Performance as of December 31, 2018
Trailing 1-Year Performance:
December 31, 2018 Return
Benchmark
Return
Over/(Under)
Benchmark
(bps)
$Value
(millions)
% of PRIT
Fund
Total PRIT Fund -1.8% -2.3% 43 69,285 100%
Total Global Equity -10.4% -10.4% 5 26,109 37.8%
Domestic Equity -5.1% -5.4% 29 11,713 17.0%
International Developed -14.5% -14.2% (28) 10,277 14.9%
Emerging Markets -15.2% -15.2% (3) 4,119 6.0%
Private Equity* 24.5% 24.5% 0 8,335 12.1%
Real Estate 5.6% 4.8% 81 6,476 9.4%
Total Timberland 2.8% 4.0% (117) 2,843 4.1%
PCS -2.2% -1.3% (85) 9,787 14.2%
Value Added Fixed Income 0.5% 0.3% 20 5,749 8.3%
Core Fixed Income -0.8% -0.9% 12 8,975 13.0%
*Benchmark is actual performance.
PRIT Asset Class Performance (Gross of Fees)
Annualized Returns as of December 31, 2018
1 Year 3 Year 5 Year 10 Year
PRIVATE EQUITY
24.5%
PRIVATE EQUITY
20.8%
PRIVATE EQUITY
19.8%
PRIVATE EQUITY
15.9%
REAL ESTATE
5.6%
REAL ESTATE
7.4%
REAL ESTATE
9.7%
GLOBAL EQUITY
10.2%
TIMBER
2.8%
GLOBAL EQUITY
7.0%
TIMBER
5.6%
VALUE-ADDED
FIXED INCOME
9.1%
VALUE-ADDED
FIXED INCOME
0.5%
VALUE-ADDED
FIXED INCOME
6.8%
GLOBAL EQUITY
4.5%
REAL ESTATE
9.0%
CORE FIXED
INCOME
(0.8%)
TIMBER
5.9%
CORE FIXED
INCOME
4.2%
CORE FIXED
INCOME
5.2%
TOTAL PCS
(2.2%)
TOTAL PCS
3.3%
VALUE-ADDED
FIXED INCOME
3.8%
TOTAL PCS
5.0%
GLOBAL EQUITY
(10.4%)
CORE FIXED
INCOME
2.9%
TOTAL PCS
2.8%
TIMBER
3.0%
Page 5 of 9
Summary of 2019 Annual Plan Highlights
Mr. Trotsky told the Committee that each year, each senior staff member and each asset class head
prepares an annual plan for 2019. Mr. Trotsky noted that PRIM’s Investment Team’s Annual Plans were
presented at the Investment Committee on February 7, 2019, and to the Real Estate and Timberland
Committee on February 13, 2019, for feedback and comment so that the plans may then be presented to
the Board for its feedback and comment.
Mr. Trotsky told the Committee that PRIM staff will summarize PRIM’s Finance and Administration,
Investment Operations, Technology, Legal Services, and Client Services Annual Plans for the Committee
and will revise the plans as appropriate to incorporate feedback received from the Committee and then
present the plans to the Board at its February 26th meeting.
Anthony Falzone, Chief Operating Officer, discussed annual plans that are especially appropriate for
consideration by the Administration and Audit Committee. Key points included:
Finance and Administration
• Implement strategies to enhance diversity and inclusion
• Collaborate with the Investment Team to develop hiring plans
• Complete the PRIM Board Governance Manual review
• Develop and conduct staff training initiatives in the following areas:
o Cyber Security, Sexual Harassment, Unconscious Bias, Time Management, Team Management
and Fraud Awareness
Investment Operations
• Issue and complete two PCS related Request for Proposals (RFPs)
• Evaluate tools to increase operational efficiency and promote prescriptive analytics
• Complete the implementation of Global Investment Performance Standards (GIPS)
• Support Project Save Phase II – Internal Management
Technology
• Review and organize PRIM’s data, electronic files and folders
• Evaluate and update end user equipment and desktop technology
• Develop and deploy educational webinar capabilities for Board, committees and staff
• Support Project Save Phase II – Internal Management
Legal Services
• Legal support of the review/update/revision of PRIM’s Governance Manual Policies and Charters
• Legal support of contract negotiation, drafting and review
• Continued legal support of PRIM activities and initiatives, including direct real estate investment,
private equity co-investment, and Project Save Phase II consideration of internal asset management
• Litigation, including foreign securities litigation, domestic securities litigation claims-filing, and lead
plaintiff class action litigation
• Review/analyze legislation and legislative initiatives (e.g., Fossil Fuel Divestment)
• “Government Law” issues (Open Meeting Law, Public Records Act, Ethics/Conflict of Interest, and the
like)
Client Services
• Begin planning the 2020 PRIM Investor Conference
Page 6 of 9
• Begin planning the PRIM Board 2020 elections
• Implement GIPS reporting in prospective participant presentations
• Review segmentation suite of offerings available to current and prospective purchasing systems
Chief Operating Officer’s Comments
After discussing the annual plans Mr. Falzone provided the Committee with an overview of his team’s
growth over the last 12-18 months and a brief overview of his team’s structure. He highlighted that in
order to continue supporting PRIM’s growth and innovation, more expertise in specific areas such as
compliance and technology would be needed. He mentioned that adding a Human Resource Director was
an example of increasing PRIM’s knowledge in an area that required a more dedicated expert resource to
perform a critical business function.
Mr. Falzone also mentioned that with the increasingly complex investment program and a heightened
focus on research and quantitative analysis, there might be a need to grow the technology team and
technology budget to enhance PRIM’s infrastructure, supporting additional quantitative tools and data.
Communications Strategy
Mr. Trotsky presented a Communications Strategy Update to the Committee mentioning the challenges
that exist when trying to communicate PRIM’s complexity and sophistication to all the different
stakeholders. He also spoke about the transition of the media landscape from traditional to digital media,
and the need for PRIM to modernize its communication efforts.
Asset Allocation
Mr. Trotsky mentioned to the Committee that PRIM is guided by the mandated rate of return which is
7.35%, and as a backdrop for the asset allocation overview, provided the Committee with PRIM’s top core
investment beliefs as follows:
• We believe that nobody can predict the future, so we don’t try.
• We believe nobody can predict the direction of the stock market, so we don’t try.
• We don’t make tactical asset allocation decisions, or any investment decisions based on market or
economic predictions.
• We believe that any investment must be evaluated on three equally important parameters: risk,
return and cost. Too often, especially in years like we just had, investors are focused more on return
than they are on risk and cost.
• We value a basis point of cost reduction more than a basis point of return. Why? We can count on
cost savings every year, but nobody ever really knows what the markets will deliver.
Mr. Trotsky invited Maria Garrahan, Investment Officer, Portfolio Completion Strategies, to present the
asset allocation overview.
Ms. Garrahan told the Committee that PRIM focuses on achieving a dual objective, seeking to meet the
actuarial return of 7.35%, as it is legislatively mandated to do so, as well as downside protection. PRIM’s
internal research defines the downside protection measure as the probability of achieving no drawdown
greater than 20% within the next three years. The combination of these two objectives creates PRIM's
dual objective, achieving the actuarial return and downside protection.
Last year, a new asset allocation framework was introduced using principal component analysis (PCA) to
explore asset allocation through a different lens. Ms. Garrahan described the analogy of viewing the PRIT
fund portfolio as a soup. The ingredients are the asset classes, (equities, bonds, real estate) and the
underlying components, principal components, are like the nutrients within the soup. PRIM’s goal is to
Page 7 of 9
design the asset allocation (the soup) with a balance of principal components (nutrients) that increases
the probability of achieving the dual objective.
The team developed a systematic framework to determine which nutrients (components) offer the most
meaningful additions and reductions to the portfolio. The asset allocation process blends this quantitative
analysis with insights from NEPC while addressing feasibility/practicality concerns from PRIM’s asset class
heads. Ms. Garrahan referred to the following chart summarizing the proposed asset allocation changes:
III. 2019 Proxy Voting Guidelines
Ellen Hennessy, Compliance Analyst, joined Mr. Falzone along with two representatives from PRIM’s proxy
voting consultant, ISS, participating via conference call: Mikayla Kuhns and Michael Crovetto. Ms.
Hennessey reviewed the enhancements made to PRIM’s proxy voting guidelines in 2018, along with
PRIM’s proxy voting statistics in several key areas including but not limited to board diversity and over-
boarding.
Representatives from ISS presented changes to their broader proxy voting policy along with several
changes to PRIM’s custom policy for 2019. PRIM’s proposed changes were as follows:
• Vote FOR shareholder proposals seeking to prohibit non- disclosure agreements in settlements of
sexual harassment, assault, or discrimination.
• Vote FOR shareholder proposals seeking disclosure of legal, buyout, compensation, or other costs
related to complaints of harassment, assault, or discrimination.
• Vote FOR shareholder proposals that require companies to provide mandatory employee harassment
training.
Discussion ensued, and both James B.G. Hearty and Patrick Brock asked for additional legal clarification
before supporting the proposal. Additional information was expected to be provided after the meeting.
IV. Board Governance Manual Review
Mr. Falzone introduced Tom Iannucci, President of Cortex Applied Research, Inc. (Cortex), PRIM’s
governance consultant since 2004. Mr. Falzone noted that Mr. Iannucci had planned to be present in
person but instead would be participating via telephone due to a weather-related flight cancellation.
Mr. Iannucci began by outlining the timeline and process for the governance manual review project. He
told the Committee that all interviewees indicated high levels of satisfaction with the Board’s current
governance practices, and with the performance of the Board, committee members, and management.
Page 8 of 9
They also indicated that the governance charters and policies are sufficiently clear, easy to use, and
generally comprehensive. Cortex identified five findings based on interviews with Board and committee
members:
1. There is general satisfaction with the manual
2. Different perspectives exist regarding the PRIM Governance Model
a. Board-focused model: Nine trustees all equally accountable
b. Chair-focused model: Chair is perceived to have more accountability and therefore should have
greater authority
3. Opportunities exist to further strengthen the manual
4. There is a perceived need for a Board policy regarding committees
5. There is lack of consensus regarding the Board’s position on shareholder engagement.
Mr. Iannucci continued by reviewing his three proposed recommendations:
1. Develop proposed revisions to the manual for recommendation to the Board
2. Develop a draft policy on Board committees for recommendation to the Board
3. Develop an ad hoc share holder engagement committee to help the Board define its position on
shareholder engagement
The unanimous consensus of the seven Committee members present and on the telephone was that
an informal ad hoc working group should be formed to study the issues of:
1. Committee composition
2. Shareholder engagement, and
3. Appropriate follow-up to the menu of issues that Cortex prepared based on interview of Board and
committee members.
This ad hoc working group should then present its findings back to the Administration and Audit
Committee.
V. Global Investment Performance Standards (GIPS)
Mr. Falzone mentioned that Mr. Trotsky had already mentioned the adoption of GIPS standards and that
the brief presentation attached as Appendix K was for informational purposes only.
VI. Legal/Legislative Update
PRIM’s General Counsel indicated there were no significant updates to provide on legal and legislative
matters.
VII. Other Matters:
The Committee members briefly discussed the following topics:
a. September 2018 PRIM budget
b. Travel
c. Client Service
The PRIM Administration and Audit Committee meeting adjourned at 12:27 p.m.
Page 9 of 9
List of documents and exhibits used during the meeting:
• Minutes of the PRIM Administration and Audit Committee Meeting of November 15, 2018
• PRIT Fund Performance Report
• BNY Mellon Gross of Fees Performance Report
• 2019 Finance and Administration, Investment Operations, Technology, Legal Services and Client
Services Annual Plans
• 2019 Investment Teams Annual Plans
• Communications Strategy Executive Summary Presentation
• 2018 Proxy Voting Review
• ISS’ Executive Summary of 2019 Global Proxy Voting Guidelines Updates and Process
• PRIM Custom Policy Matrix – 2019 Proxy Voting Policy Update
• Cortex’s Memo of Findings and Recommendations
• Global Investment Performance Standards (GIPS) Overview
• December 2018 PRIM Operating Budget
• Travel
Page 1 of 9
Minutes of the PRIM Administration and Audit Committee
Thursday, May 4, 2017
Committee members present:
• Robert L. Brousseau, Chair
• Treasurer Deborah B. Goldberg
• Ted C. Alexiades, CPFO
• Patrick E. Brock
• Eileen Glovsky
• Dennis J. Naughton
• Michele A. Whitham, Esq.
Committee members not present:
• Joseph A. Connolly
• Karen E. Gershman, CPA
• James Hearty
• Theresa T. McGoldrick, Esq.
The PRIM Administration and Audit Committee meeting was called to order at 10:00 a.m.
I. Approval of the Minutes
The Administration and Audit Committee unanimously approved the minutes of the February 2, 2017,
meeting.
II. Executive Director/Chief Investment Officer Report
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer, updated the Committee on
numerous matters, including, but not limited to:
Market Summary
Financial markets continue to grind higher despite signals that tax reform, deregulation and infrastructure
spending – essentially the Trump pro-growth agenda—may be harder to achieve than originally thought.
In the United States, we continue to see slow economic growth and mixed economic indicators, while
Europe is clearly picking up and China may be slowing down. Importantly, in the first calendar quarter we
saw sentiment of equity investors and bond investors begin to diverge: equities continued higher while
bond yields, particularly long-duration bonds, moved lower. This may signal a change in expectations
around the long-term health of the global economy. While equity investors are optimistic and stock prices
have moved steadily higher since last November, bond investors have grown more cautious recently,
causing long-term yields to move lower.
And while market volatility has been low while markets have moved higher, we are still mindful of the
many economic and geopolitical risks that could disrupt this trend in the future. Without additional
economic data to confirm a more robust global expansion, equity valuations and expectations remain
elevated, and we believe it is prudent to remain cautious, therefore the asset allocation adjustments we
made earlier in the year remain appropriate.
PRIT Fund Performance Summary
Mr. Trotsky reviewed PRIT Fund performance with the Committee, highlighting key points including:
As of March 31, 2017, the PRIT Fund net asset value stood at $65.1 billion.
For the quarter ended March 31, 2017, the PRIT Fund was up 4.9%, outperforming the total core
Page 2 of 9
benchmark of 4.2% by 66 basis points.
• This performance equates to an investment gain of $3.0 billion over the quarter.
• This outperformance equates to $412 million of value above the benchmark return over the quarter.
• Six of the seven major asset classes outperformed their respective benchmarks over the quarter.
For the one-year ended March 31, 2017, the PRIT Fund was up 11.1%, underperforming the total core
benchmark of 11.4% by 30 basis points.
• This performance equates to an investment gain of $6.7 billion over the year.
• This underperformance equates to $181 million of value below the benchmark return over the year.
• Six of the seven major asset classes outperformed their respective benchmarks over the year.
• Net total outflows to pay benefits for the one-year ended March 31, 2017, were approximately $1.5
billion over the year.
Total PRIT Fund Returns (Gross of Fees)
Annualized Returns as of March 31, 2017
Page 3 of 9
PRIT Asset Class Performance (Gross of Fees)
Trailing 1-year Performance as of March 31, 2017
PRIT Core Fund Performance Summary
Gross of Fees Performance
Trailing 1-Year Performance as of March 31, 2017
Trailing 1-Year Performance:
Mar. 31, 2017 Return
Benchmark
Return
Over/(Under)
Benchmark
(bps)
$Value
(millions)
% of
PRIT
Fund
Total PRIT Fund 11.1% 11.4% (30) 65,083 100%
Total Global Equity 15.8% 15.8% 5 28,996 44.6%
Domestic Equity 17.9% 18.5% (56) 12,829 19.7%
International Developed 11.1% 11.9% (75) 11,263 17.3%
Emerging Markets 21.4% 17.0% 443 4,903 7.5%
Private Equity 15.0% 15.0% 0 6,960 10.7%
Real Estate 7.2% 6.8% 40 6,369 9.8%
Total Timberland 7.1% 2.6% 446 2,451 3.8%
Hedge Funds 9.5% 6.2% 335 5,522 8.5%
Value Added Fixed Income 11.1% 20.1% (899) 5,354 8.2%
Core Fixed Income -0.9% -1.4% 50 7,606 11.7%
Page 4 of 9
PRIT Asset Class Performance (Gross of Fees)
Annualized Returns as of March 31, 2017
Organizational Update
Mr. Trotsky informed the Committee of recent changes and awards involving PRIM staff, including:
Luis J. Roman, Ph.D. joined the PRIM team as Senior Investment Officer – Director of Risk Management
on April 17. Mr. Trotsky told the Committee: Luis joins us after more than 20 years in the investment
industry and academia. Prior to joining PRIM, Luis was the U.S. Head of Multi Asset Class and Alternatives
Investment Risk at Columbia Threadneedle Investments, Global Head of Fixed Income Investment Risk at
State Street Global Advisors and a Quantitative Analyst at Putnam Investments. He is a recognized expert
in the design and implementation of risk management processes for asset management firms. Luis began
his career in academia where he was a visiting assistant professor at the University of California in Irvine
and the Worcester Polytechnic Institute. He earned his Master’s of Science in Applied Mathematics from
the University of Chicago and his Ph.D. in Mathematics from the University of Minnesota.
Bill Li, CFA, CAIA – Investment Officer – Hedge Funds and Low Volatility Strategies, recently earned the
Chartered Alternative Investment Analyst (CAIA) designation after passing the required two-part exam.
The CAIA curriculum covers a broad knowledge base in alternative investments including hedge funds,
private equity, real assets and structured products.
For the second consecutive year, PRIM’s PCS team (Eric R. Nierenberg, Ph.D. and Bill Li, CFA, CAIA) have
been named finalists at the Institutional Investor Magazine’s 15th Annual Hedge Fund Industry Awards to
be held in June in New York City. The award recognizes excellence in innovation and thought leadership
in the Hedge Fund space. Our team joins four other finalists from North America in the Large Public Plan
category. As a reminder, PRIM won this award last year. It is highly unusual to be nominated for the same
award two years in a row, and a fitting tribute to the leadership that PRIM has demonstrated in the Hedge
Fund sector.
Page 5 of 9
Investment Team Personnel Moves
• We are rolling out a series of personnel moves focused on enhancing PRIM’s role as a leading
innovator and performance leader among public pension funds.
• Michael R. Bailey, Senior Investment Officer for Private Equity, will become the second person to take
part in PRIM’s Professional Development Program, which rotates asset class heads through teams
other than their own. Michael joined PRIM in 2013.
• Sarah N. Samuels, CFA, CAIA, Deputy Chief Investment Officer, will add responsibility for Hedge Funds
to her current responsibilities overseeing Public Markets. Sarah was the first participant in PRIM’s
Professional Development Program. She joined PRIM in 2011.
• Eric R. Nierenberg, Ph.D., who, since joining PRIM in 2012 has been Senior Investment Officer –
Director of Hedge Funds and Low Volatility Strategies, has been named PRIM’s Chief Strategy Officer.
In this new role, Eric will look across the entire $65 billion investment portfolio for innovative
approaches to identify diversification strategies, enhance returns and reduce fees.
Dr. Nierenberg’s designation as PRIM’s Chief Strategy Officer is effective immediately. The re-aligning of
responsibilities related to Hedge Funds will be a gradual process with no fixed timetable.
III. Interim Meeting with Auditors
David M. Gurtz, CPA, CFA, Chief Operating Officer and Chief Financial Officer, introduced Dave Gagnon,
KPMG Audit Partner and PRIM’s lead engagement partner, and Jen Serrano, KPMG Audit Manager. As of
December 31, 2016, KPMG had audited approximately 17% of the PRIT Fund. These audits included the
entire Real Estate portfolio, two Timberland portfolios and 12 Hedge Fund and PCS portfolios.
Mr. Gagnon first addressed a recent incident that caused KPMG to terminate six employees, including the
head of its audit practice in the U.S., after it was discovered that these individuals were given improper
confidential information regarding planned audit inspections by its regulator, the Public Company
Accounting Oversight Board (PCAOB). Mr. Gagnon noted that once KPMG became aware of this, KPMG
conducted an investigation and determined that these six employees violated the firm’s code of conduct
and were terminated immediately. Frank Casal has been named the new Vice Chair of Audit, having served
some of KPMG’s largest clients. Mr. Casal is from KPMG’s Boston office.
Mr. Gagnon and Ms. Serrano updated the Committee on the audit plan, which includes the KPMG team
and planned test work, for the June 30, 2017, audits of PRIM and the PRIT Fund. Mr. Gagnon noted that
the June 30, 2017, audited financial statements of PRIM, the PRIT Fund and the Comprehensive Annual
Financial Report (CAFR) will be presented at the November 2017 Committee meeting.
Mr. Gagnon informed the Committee that the PRIT Core Realty Holdings, LLC (PRIT Core Realty) financial
statements audit as of December 31, 2016, resulted in an unqualified opinion. This audit, which is required
due to PRIM’s real estate leverage program, encompasses the PRIT Fund’s entire real estate asset sleeve
including core and non-core properties, commingled fund investments and real estate investment trust
(REIT) securities.
Mr. Gagnon noted that the audit of the timberland portfolio managed by the Campbell Group resulted in
an unqualified opinion while the audit of the other timberland portfolio, managed by FIA, is underway
and the reporting deadline is expected to be met without issue.
Mr. Gagnon updated the Committee on the 12 Hedge Fund and PCS managed account portfolio audits.
This was the second year of these audits and all 12 portfolios resulted in unqualified opinions.
Mr. Naughton asked for an explanation of protocols for instances where auditors suspect fraud. Mr.
Gagnon responded that KPMG would first need to determine whether the suspected fraudulent event
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was internal or external. If it were external, KPMG would bring the issue first to PRIM senior management
and then to this Committee, through its Chair. If it were internal, relating to a member of management,
then KPMG would go directly to the Chair of this Committee. Either way, Mr. Gagnon stated, KPMG would,
ultimately, communicate any fraudulent activity to this Committee.
Mr. Gurtz thanked KPMG and PRIM’s finance team for their hard work to complete the December 31,
2016, audits.
Mr. Gurtz also noted that PRIM had earned its 12th Government Finance Officer Association (GFOA)
Certificate of Achievement for Excellence in Financial Reporting award for the June 30, 2016, CAFR.
IV. Results of Equal Pay Audit and Equal Pay Presentation
Mr. Gurtz said that as part of PRIM’s Diversity initiatives, PRIM staff is following the strategies detailed in
Equal Pay MA: Employer Tool Kit, created by Treasurer Goldberg’s office. Equal Pay MA is a website
dedicated to promoting wage equality and offering tools and strategies for employers and employees who
want to close any gender wage gaps. The website includes resources such as a guide designed to explain
how to identify, understand and promote equal pay in the workplace. The Employer Tool Kit’s first strategy
to promote equal pay within a firm’s current workforce is to “perform an internal equal pay audit and
correct discrepancies.” PRIM staff commissioned McLagan, PRIM’s consultant, to conduct a gender pay
audit, to determine if PRIM has a gender wage gap. Mike Oak, an associate partner in McLagan’s asset
management practice, presented McLagan’s findings to the Committee.
Mr. Oak began his presentation by stating that McLagan was hired to answer the question: Does PRIM
provide equal pay for equal work? Are men paid more, less, or the same than women for the same
position at PRIM? Mr. Oak stated that based on the audit, there is no evidence of a gender pay gap at
PRIM.
Mr. Oak noted that at PRIM, for each job classification there is a minimum and maximum salary range,
with the midpoint being the middle of the salary range. McLagan found that PRIM’s female employees
are paid slightly more competitively than their male counterparts, as measured by salary variance to
midpoint, (i.e., on average, males are positioned 6% below their midpoints while females are positioned
3% below). Mr. Oak explained that McLagan also considered the performance and tenure of employees
when comparing salaries. For example, a person meeting performance expectations and working in a
position for 2-3 years would have a predicted salary at the midpoint, while a star employee, who is
exceeding performance expectations and working in the position for over five years, would have a
predicted salary 20% above the midpoint. Based on McLagan’s predicted salaries, 60% the female
employees at PRIM are paid at, or above, their predicted salary levels compared to 35% of the male
employees at PRIM. Mr. Oak noted that these differences are not statistically meaningful given the
relatively small sample size of PRIM’s staff.
Treasurer Goldberg commented that Treasury also conducted a gender wage study and found that
Treasury also has no pay gap. Treasurer Goldberg noted it would be interesting to see if the data holds
true as PRIM adds more women, and that at Treasury there are more woman then men on staff.
Mr. Oak noted that within the investment management industry, only 20% of employees are women, with
just 12-13% of women holding senior level positions. Therefore, the pool of female applicants is the
challenge in the investment industry.
Mr. Brousseau asked Mr. Oak if McLagan’s other clients have performed similar gender wage audits. Mr.
Oak said that he was not aware of another client that has performed a similar gender wage audit.
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Mr. Gurtz highlighted the other four steps outlined in the Tool Kit and what PRIM has done in those areas.
The second step in the Tool Kit is to Establish Systems to Maintain Equal Pay. Mr. Gurtz noted that PRIM
has established systems to maintain equal pay via a competitive and transparent compensation
philosophy and plan and an annual performance evaluation process that objectively reviews all
employees. The third step is to Create a Gender-Neutral Workplace Culture. PRIM works to create a
gender-neutral workplace culture by providing a paid parental leave policy and predictable work
schedules for employees. The fourth step is to Educate Employees About Their Rights. PRIM encourages
open conversations regarding pay, with both Mr. Trotsky and Mr. Gurtz noting that they have had open
and frank pay discussions with several staff members. Lastly, the Tool Kit recommends: Invest in Your
Current Talent. Mr. Gurtz noted that PRIM encourages all PRIM employees to seek out professional
development and educational opportunities and PRIM has the Professional Development Program, which
allows the strongest employees to continue expanding their skill sets.
Mr. Gurtz also mentioned that PRIM is in the process of updating the Employee Manual, which details
workplace harassment and violence policies to ensure a safe space for all employees, and PRIM plans to
conduct periodic wage audits in the future to ensure PRIM continues to have no gender pay gaps.
Ms. Glovsky recommended that PRIM conduct workplace harassment trainings in person rather than
online.
V. Draft Fiscal Year 2018 Operating Budget (Voting Item)
Mr. Gurtz and Dan C. Eckman, CPA, Director of Finance and Administration, presented the Draft Fiscal
Year (FY) 2018 PRIM Operating Budget. Mr. Gurtz thanked Cathy Hodges, Senior Manager of Finance, and
the rest of the Finance team for its work on the proposed budget.
Mr. Gurtz noted the total FY 2018 Budget is projected to be $359 million, or 56 basis points (bps) of the
projected average PRIT Fund assets. This year’s budget is based on projected average PRIT Fund assets of
$64 billion, which is a 6.7% increase of assets compared to last year’s projected average assets of $60
billion. As most of PRIM’s fees relate directly to assets, higher average assets will result in higher fees.
Therefore, the FY 2018 budget is 3.9%, or $13.5 million, larger than FY 2017 Budget, however in basis
points, the budget decreases from 58 bps to 56 bps.
Mr. Gurtz explained the budget is composed of 3 sections: Investment Management Fees, Third-Party
Service Providers, and Operations. Investment Management Fees comprise approximately 92.5% of the
total budget. These fees are paid to investment managers to invest the assets of the PRIT Fund. These
fees are grouped by asset class. The PRIT Fund’s asset allocation drives fee structure. For example, the
Global Equities target asset allocation is 40% of the PRIT Fund, the largest asset class – yet only requires
15% of the total budget to implement. This is due to the availability and use of inexpensive passive
management for a portion of the global equities portfolio – thus significantly driving costs down. Contrast
that with Private Equity, historically PRIM’s highest-returning asset class and at an 11% allocation now,
which was just increased from 10% at the February Board meeting, and is an expensive asset class, with
no ability to passively replicate it, and therefore requires 31% of PRIM’s FY 2018 budgeted fees. Again,
through Project SAVE, PRIM staff has worked to drive down these costs.
Mr. Gurtz went on to explain that this budget is based on continued asset growth, using NEPC’s 5-7-year
growth assumptions, however, future performance is not predictable, so actual fees will vary, but PRIM’s
budget provides a very good approximation of projected expenses. Also, no performance fees, incentive
fees or carried interest are projected in this budget as it is difficult, if not impossible, to estimate future
performance.
Mr. Gurtz noted the next section of the budget is the Third-Party Service Providers which include the
projected fees for all of PRIM’s advisers, consultants, custodian, auditor, tax, legal, risk systems and
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investment analytical tools. Most of these vendors are obtained through competitive RFPs. These fees
sum to $13.5 million, or 3.8% of the total budget, just over 2 bps.
Mr. Gurtz noted the last section of the budget is Operations and includes budgeted expenses for PRIM
staff compensation and benefits, rent, insurance, office supplies, computers and technology, and other
goods and services necessary to run PRIM. The Operations budgeted fees amount to just over $13 million,
or 3.7% of the total budget, or just over 2 bps.
Ms. Glovsky asked if PRIM owns the disaster recovery (DR) equipment it uses? Anthony Falzone, Chief
Technology Officer, responded that PRIM does own its DR equipment. He said that as PRIM replaces
equipment used for primary IT functions, the equipment being replaced is deployed as DR equipment
when appropriate.
Mr. Brousseau thanked Mr. Gurtz and his team for the budget presented and mentioned that PRIM started
showing basis points in its budget presentation last year, which allows better comparison of expenses
from one asset class to another and from one year to the next.
The Administration and Audit Committee unanimously approved a recommendation to the PRIM Board
to approve the Draft Fiscal Year 2018 PRIM Operating Budget, as presented and as contained in Appendix
D of the Expanded Agenda, and further to authorize the Executive Director to take all actions necessary
to effectuate this vote.
VI. Results of the PRIM Board Self-Evaluation
Mr. Brousseau, Chair of the Administration and Audit Committee, introduced Tom Iannucci and Jenny
Tam from Cortex Research, who presented the results of the Board self-evaluation, via telephone. Mr.
Brousseau mentioned that all Board members completed the survey and participated in a follow-up
telephone conversation with Cortex.
Mr. Iannucci noted that the first pages of Cortex’s Report of Findings provide a high-level summary of the
results, and in general the Board is very pleased with its performance and the management team at PRIM.
Appendix C of the report is the summary list of the recommended actions and it listed five areas that were
suggested by Trustees to further enhance the Board’s effectiveness.
The first area was Board and Committee meeting packages. The report recommended PRIM consider
whether more-detailed committee memos should accompany Committee recommendations to the Board
to provide Trustees who may not have attended Committee meetings additional background on the
Committees’ decision-making processes, and rationales. Members also suggested that Board meeting
packages include biographies of newly appointed and elected Trustees. And finally, they recommend that
staff investigate moving to paperless meeting packages.
The second area was Board and Committee meeting administration feedback and included a reminder
that Board and Committee members need to arrive at meetings on time to enhance effectiveness of the
meetings. Trustees also suggested PRIM consider arranging for a larger room for the meetings if they get
to be too crowded. Also, a suggestion was made to ask management to review the feasibility of modifying
the Committee meeting schedule so that Committee meetings are not held on three consecutive days.
The third area was Open Meeting Laws and a recommendation was made that PRIM consider scheduling
an in-house educational session about the Open Meeting Laws.
The fourth area was Committee composition, with a recommendation to review the manner in which the
Board structures and utilizes its Committees, including the number of Committee members, term lengths
and the appointment process. Mr. Iannucci noted that this will be reviewed as part of the Governance
Manual review.
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The final area was the Board’s focus, and for the Board to consider ways to focus on long-term strategic
issues, such as asset allocation, staffing and risk management, and less on manager selection. Again, Mr.
Iannucci noted that this will be reviewed as part of the Governance Manual review. The Trustees also
recommended that at the Board retreat, the Board should discuss the role, in relation to fiduciary duty,
of promoting social and environmental goals and objectives, and the feasibility of promoting workplace
diversity programs among PRIM’s vendors.
Mr. Naughton mentioned that he did not understand the suggestion by the Board members in regards to
the open meeting law as the meetings have always been open to the public. Ms. Glovsky noted that people
may feel constrained because they don’t understand what they can and can’t speak about during an open
meeting.
Mr. Brousseau noted that the request to change the committee meeting schedule has been made several
times previously but found to be not feasible, and that if someone has a plan as to how this could be done,
he or she can suggest it to staff.
Treasurer Goldberg highlighted some comments about social good versus business imperative and duty.
Treasurer Goldberg stated that PRIM has tried to educate members regarding what the best public
pensions funds are doing and that good governance is not only a social good but a business imperative
and consequently many of the proposals PRIM has made and will make are based on good governance
and business imperative. Treasurer Goldberg recommended that at the Board retreat, the Board discuss
what it means in the 21st century to be a fiduciary of a public pension plan.
VII. Legal/Legislative Update
PRIM’s General Counsel updated the Committee on legislative proposals to enlarge the PRIM Board, and
indicated also that the Governor’s budget in January had contained a provision that would permit the
MBTA to invest its assets in the PRIT Fund, and that the more recent House budget also contained the
same provision.
VIII. Other Matters
The Committee members briefly discussed the following topics:
a. March 2017 Operating PRIM Budget
b. Travel and Staff Development
c. Client Service
The PRIM Administration and Audit Committee meeting adjourned at 12:20 p.m.
List of documents and exhibits used during the meeting:
• Minutes of the PRIM Administration and Audit Committee Meeting of February 2, 2017
• KPMG’s Fiscal Year 2017 Audit Plan
• McLagan’s Equal Pay Audit Presentation
• Draft Fiscal Year 2018 Operating Budget
• March 2017 PRIM Operating Budget
• Travel and Staff Development
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Minutes of the PRIM Administration and Audit Committee Remote Meeting
Thursday, August 1, 2024
Committee members attending: Committee members not attending:
• Robert Brousseau, Chair • James Hearty
• Treasurer Deborah Goldberg • Theresa McGoldrick, Esq
• Patrick Brock
• Catherine D’Amato
• Dennis Naughton
The PRIM Administration and Audit Committee meeting was called to order at 10:03 a.m. Chair Robert
Brousseau asked Treasurer Deborah Goldberg to chair the meeting due to a medical issue. Treasurer
Goldberg announced that the meeting was being held in accordance with the provisions of Massachusetts
Acts of 2022, Chapter 22, which was most recently amended on March 29, 2023, to include an extension
of the 2020 Executive Order ‘Suspending Certain Provisions of the Open Meeting Law’ until March 31,
2025. All members of the Committee that participated did so remotely via audio/video conferencing, and
public access to the deliberations of the Committee was provided via telephone, with all documents
referenced at the meeting available to be viewed on PRIM’s website (www.mapension.com). At the start
of the meeting, the names of the members participating remotely were announced.
I. Approval of the Minutes (Voting Item)
The PRIM Administration and Audit Committee approved (unanimously) by roll call vote the minutes of
its May 10, 2024, meeting.
II. Executive Director / Chief Investment Officer Report
Michael G. Trotsky, CFA, Executive Director, and Chief Investment Officer, made comments to the
Committee, including:
Mr. Trotsky was pleased to report that the PRIT Fund ended with another record balance of $105.3 billion,
surpassing the previous record of $96.6 billion set last year. The PRIT Fund returned 9.9% (9.5%, net) for
a net gain of $9.1 billion in the fiscal year, with five of the seven asset classes outperforming their
benchmarks. PRIM Staff researched and deployed $6.6 billion in attractive new investments during the
year.
Organizational Updates
Mr. Trotsky noted that PRIM had zero turnover in the fiscal year and successfully recruited three new
employees and eight interns, all of whom are diverse in terms of race and/or gender. Currently, 63% of
PRIM’s workforce is diverse, and 52% is female.
Katherine Kovach recently joined PRIM as an Investment Analyst on the Private Equity team. Previously,
Katherine was an Alternatives Senior Analyst at Corebridge Financial, formerly known as AIG, in New York
City. Katherine graduated from the University of Virginia in 2022 with a bachelor’s degree in Commerce
– Accounting and Finance.
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PRIM’s Private Equity program once again finished in the top five (#4) in the American Investment
Council’s annual ranking of public pension plans based on 10-year performance. In addition, Bill Li, CFA,
CAIA, Director of Portfolio Completion Strategies, received Alpha Edge Next Generation Recognition. PRIM
ranked fourth in the U.S. for assets managed by diverse managers according to Pensions and Investments,
and PRIM was awarded two Commonwealth Citations for Outstanding Performance.
PRIM earned the Certificate of Achievement for Excellence in Financial Reporting from the Government
Finance Officers Association for the 19th consecutive year and successfully completed the CFA Institute’s
Global Investment Performance Standards of Integrity and Transparency (GIPS). PRIM also completed
more than 30 separate audits, all of which resulted in unmodified opinions with no findings.
Mr. Trotsky will also receive a Lifetime Achievement award in October 2024 and was named on the CIO
Power 100 list.
Market and PRIT Fund Performance
Mr. Trotsky noted that markets overall remained very strong: U.S. equities were up 24.6%, developed
international equities were up 11.2%, and emerging markets equities were up 12.5%. Diversified bonds
were up 2.6% as interest rates (and inflation) began to decline. The highest returning PRIT Fund asset
classes included Global Equities, Value-Added Fixed Income, Portfolio Completion Strategies, and
Timberland, all returning more than 10% net of fees. Hedge Funds had a very strong year with the highest
Sharpe ratio (risk-adjusted return) of any asset class and a return of 12.5%. Private Equity returned nearly
8%, net of fees, continuing its strong rebound. Real Estate was the weakest, down nearly 7% for the year
but still far outpacing the benchmark and peers.
• U.S. GDP expanded an annualized 2.8% in Q2, up from 1.4% in Q1, and above forecasts of 2.0%.
Consumer spending accelerated (2.3% vs. 1.5%), led by a rebound in consumption of goods, mostly
motor vehicles, recreational goods and vehicles, and gasoline, while services slowed.
• The U.S. Consumer Price Index fell for a third straight month to 3.0% in June, the lowest since June
2023, compared to 3.3% in May and below forecasts of 3.1%.
• The number of Americans filing for unemployment benefits fell by 10,000 to 235,000 for the period
ending July 20, slightly below market expectations, but due to a higher participation rate, the
unemployment rate rose slightly to 4.1%.
• Eurozone GDP expanded 0.3% in Q1 2024, recovering from a 0.1% contraction in each of the previous
two quarters, inflation fell to 2.5%, unemployment remains at an all-time low of 6.4%, and the ECB
has also kept rates unchanged in July.
• Chinese GDP expanded 4.7% y/y in Q2 2024, missing market forecasts of 5.1% and slowing from a
5.3% growth in Q1
The FUTURE Initiative, the program to increase the diversity of PRIM’s investment managers, had another
successful year. PRIM invested more than $2.3 billion with diverse managers over six asset classes,
including approximately $270 million to emerging diverse managers. The PRIT Fund currently invests more
than $12.6 billion with diverse investment managers, nearly 12% of the PRIT Fund.
Mr. Trotsky referenced performance charts from Appendix B, a sample of which is as follows:
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Total PRIT Fund Returns
(Gross of Fees) Annualized Returns as of June 30, 2024
PRIT Performance by Asset Class
(Gross of Fees) Annualized Returns as of June 30, 2024
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PRIT Fund Periodic Table of Returns
(Gross of Fees) as of June 30, 2024
Source: BNY Mellon
III. Executive Director’s Fiscal Year 2025 Goals and Objectives (Voting Item)
Treasurer Goldberg noted that the Administration and Audit Committee, pursuant to the PRIM Board
Charters, is tasked with reviewing and potentially revising the Executive Director’s proposed goals and
objectives and recommending them to the PRIM Board for approval.
Mr. Trotsky noted that his fiscal year 2025 Goals and Objectives are largely consistent with prior years. He
highlighted a few of his new goals and objectives, including the Investment Policy Statement (IPS) review,
PRIT Fund Liquidity Study, and an AI Large Language Model implementation.
The Administration and Audit Committee voted (unanimously) by roll call vote to recommend to the PRIM
Board that the Board approve the Executive Director’s Fiscal Year 2025 Goals and Objectives, as outlined
in Appendix D of the Expanded Agenda, and further to authorize the Executive Director to take all actions
necessary to effectuate this vote.
Treasurer Goldberg reiterated the Executive Director evaluation process and asked that members contact
Dennis Naughton, who is assisting Chair Brousseau with the administration of the process, with comments
so that he could incorporate them into Mr. Trotsky’s performance evaluation for the presentation to the
PRIM Board.
IV. Proposed 2025 PRIM Board and Committee Meeting Schedule
Anthony Falzone, PRIM’s Deputy Executive Director and Chief Operating Officer, mentioned to the
Committee that the proposed 2025 PRIM Board and committee meeting schedule was not a voting item
and that a final draft would be included in the November Administration and Audit Committee meeting
materials for a recommendation to the Board at its December meeting.
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V. Legislative Update
Emily Kowtoniuk, Director of Policy & Legislative Affairs in Treasurer Goldberg’s office, provided a
legislative update. Ms. Kowtoniuk reported that Governor Maura Healey had signed the Fiscal Year 2025
budget and that it did not include language that would alter the composition of the PRIM Board.
Additionally, Ms. Kowtoniuk mentioned that one stand-alone bill is still pending before the legislature,
and her team will monitor it during the informal legislative session.
VI. Other Matters:
The Committee members briefly discussed the following topics:
A. June 2024 PRIM Budget
B. Travel Report
C. Client Service
The PRIM Administration and Audit Committee meeting adjourned at 10:53 a.m.
List of documents and exhibits used during the meeting:
• Minutes of the PRIM Administration and Audit Committee Meeting of May 10, 2024
• PRIT Fund Performance Report (June 30, 2024)
• BNY Mellon Gross of Fees Performance Report (June 30, 2024)
• Executive Director and Chief Investment Officer’s Draft Fiscal Year 2025 Goals and Objectives
• Proposed 2025 PRIM Board and Committee Meeting Schedule
• June 2024 PRIM Operating Budget
• Travel Report
Page 1 of 7
Minutes of the PRIM Administration and Audit Committee Remote Meeting
Thursday, August 7, 2025
Committee members attending:
• Robert Brousseau, Chair
• Treasurer Deborah Goldberg
• Patrick Brock
• Catherine D’Amato arrived at 10:12 AM
• James Hearty
• Theresa McGoldrick, Esq.
• Dennis Naughton
The PRIM Administration and Audit Committee meeting was called to order at 10:02 a.m. Chair Robert
Brousseau announced that the meeting was being held in accordance with the provisions of
Massachusetts Acts of 2022, Chapter 22, which was most recently amended on March 28, 2025, to include
an extension of the 2020 Executive Order ‘Suspending Certain Provisions of the Open Meeting Law’ until
June 30, 2027. All members of the Committee who participated did so remotely via audio/video
conferencing, and public access to the Committee's deliberations was provided via telephone. All
documents referenced during the meeting were available for viewing on PRIM’s website
(www.mapension.com). At the start of the meeting, the names of the members who were participating
remotely were announced.
I. Approval of the Minutes (Voting Item)
The PRIM Administration and Audit Committee approved (unanimously) by roll call vote the minutes of
its May 13, 2025, meeting.
Catherine D’Amato joined the meeting at 10:12 a.m.
II. Executive Director / Chief Investment Officer Report
Michael G. Trotsky, CFA, Executive Director, and Chief Investment Officer, made comments to the
Committee, including:
At the Investment Committee meeting a few days prior, it was reported that the PRIT Fund ended with a
record balance of $115.4 billion, surpassing previous records. The fund returned 9.6% (net), gaining $10.1
billion in the Fiscal Year (FY), with all seven major asset classes posting positive returns. The team drew
inspiration from Warren Buffett and Winston Churchill during a period of high market volatility. Despite
the tumultuous year, the team's calm focus led to exceptional investment productivity, with $5.0 billion
deployed into new investments. PRIM faced no liquidity stress and met all its funding commitments,
showcasing a well-designed and resilient portfolio.
Organizationally, the PRIM staff's depth and talent were stronger than ever, with low turnover. The staff
received local and national recognition, including Mr. Trotsky receiving a Lifetime Achievement Award
and being named to the Chief Investment Officer 2024 POWER 100 list. PRIM's Private Equity Portfolio
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was ranked fourth by the American Investment Council's Public Pension Study. Helen Huang was named
to Private Equity International's "40 Under 40: Future Leaders of Private Equity" list.
PRIM ranked fifth in the U.S. for assets managed by diverse managers, and two staff members received
Commonwealth Citations for Outstanding Performance. PRIM's financial controls and reporting continued
to be industry-leading, earning the Certificate of Achievement for Excellence in Financial Reporting for the
20th consecutive year and completing the CFA Institute's Global Investment Performance Standards for
the seventh straight year. PRIM completed over 30 audits, all resulting in clean unmodified opinions.
Despite higher uncertainty, U.S. equities rose 15.1%, developed international equities increased by 18.6%,
emerging market equities gained 15.2%, and diversified bonds gained 6.1%. The highest-performing PRIT
Fund asset classes included Global Equities and Hedge Funds, while Value-Added Fixed Income and Private
Equity posted strong returns. The PRIT Fund's trailing 1-, 3-, 5-, and 10-year returns consistently exceeded
the required actuarial rate of return of 7%.
The FUTURE Initiative, established to meet the objectives of the 2021 Investment Equity legislation, aims
to ensure that at least 20% of PRIM's investment managers are women, minorities, or persons with
disabilities owned. The PRIT Fund currently allocates approximately $15.1 billion to diverse investment
managers, more than doubling its commitment since 2021. In FY2025 alone, PRIM allocated $900 million
to diverse managers.
PRIM's Stewardship and Sustainability team has adopted new Stewardship Priorities and an Engagement
Policy, focusing on Climate Transition Planning, Fair Pay, Sustainable Forestry, and Transparency. PRIM
joined two organizations to pursue engagement initiatives and voted on 12,181 proxy ballots aligned with
PRIM’s custom proxy voting guidelines. PRIM updated the Proxy Voting Guidelines and developed a Proxy
Voting Decision-Making Policy. PRIM concluded its five-year membership in MIT's Aggregate Confusion
Project, confident that the knowledge gained will benefit future stewardship priorities and engagement
activities.
The PRIM team responded well during the volatile environment of the last several years, delivering strong
investment performance and innovative non-investment solutions. Mr. Trotsky thanked the PRIM Board,
committees, and staff for their support and hard work.
Mr. Trotsky informed the Committee that his FY 2025 self-assessment was distributed in support of his
annual performance evaluation, with the formal review scheduled for the Board meeting on August 14th.
PRIT Performance
Mr. Trotsky mentioned that worldwide financial markets were very strong this past fiscal year, adding that
one of PRIM’s economics providers, Evercore ISI, characterized the 12-month bull market as “a bucking
bull” market, which he thought perfectly characterized the direction and volatility of the year.
PRIM maintained its exposure to International Equities, and for the first time in many years, international
equities outperformed US equities. Diversified bonds were also up, as rates, although volatile, remained
within their expected ranges throughout the year. The 10-year Treasury yield of 4.2% today is very near
where it was last year at this time. U.S. Equities were very strong over the trailing 12 months, up 15.1%.
Perhaps more noteworthy was the strength of some of the largest international markets. For example,
German equities were up 40.1%, China was up 33.6%, the UK was up 19.9%, and Japan was up 13.8%.
Page 3 of 7
Mr. Trotsky discussed the June 2025 PRIT Fund performance in more detail, referencing the following
performance charts:
Total PRIT Fund Returns
Annualized Returns as of June 30, 2025 (Net of Fees)
PRIT Asset Class Performance Summary
One Year ended June 30, 2025 (Net of Fees)
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PRIT Fund Annualized Returns by Asset Class
June 30, 2025 (Net of Fees)
Source: BNY. Returns as of June 30, 2025
Economic Update
Mr. Trotsky mentioned that the U.S. GDP increased by 3.0% in the June quarter, rebounding from a 0.5%
contraction in Q1 and exceeding expectations. This rebound was mainly due to a 30% fall in imports
following a 38% surge in the prior quarter. The positive GDP report was more of a mathematical feature
than a sign of economic improvement, as imports are subtracted from GDP calculations. The sharp decline
in imports could be attributed to increased purchases earlier in the year to avoid anticipated tariff-related
price increases. Core GDP slowed to 1.2% as consumer spending and business investment fell.
Inflation, measured by CPI, rose to 2.7% in June, up from 2.4% in May, marking the highest reading since
February. Food, transportation, and autos saw stronger price gains, while shelter inflation eased slightly
and energy prices declined. The June inflation gain of 0.3% was the largest in five months.
The ISM Manufacturing Purchasing Managers Index declined for the fifth consecutive month, and the U.S.
unemployment rate edged up to 4.2%. However, retail sales, housing starts, and consumer sentiment
showed slight increases.
In other large economies, China's GDP growth slowed, inflation remained steady, and the People's Bank
left rates unchanged. In Europe, GDP increased by only 0.1% quarter-over-quarter, the lowest since 2023,
as inflation remained steady and the European Central Bank left rates unchanged. Japan's economy
slowed to flat growth in Q1, with inflation easing to 3.3% and the central bank leaving rates unchanged.
Last week, the U.S. Federal Reserve maintained interest rates at their current level for the fifth consecutive
meeting, consistent with other large economies. The July Employment Report revealed that non-farm
payrolls increased by only 73,000, significantly lower than expectations, with large downward revisions to
the gains in May and June. This prompted a political response, with President Trump dismissing the head
of the Bureau of Labor Statistics, alleging, without evidence, that job numbers were being manipulated
for political purposes.
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The Investment Committee discussed three main points: the reliance on survey results for non-farm
payroll and CPI data, the negative impact of Brexit on the UK economy, and the unpredictable impact of
policy decisions on global markets.
Mr. Trotsky concluded his remarks by telling the Committee that PRIM expects the "bucking bull market"
to continue, and PRIM’s approach is to maintain PRIM's carefully constructed portfolio, which has served
PRIM well in both up and down markets.
Ms. McGoldrick thanked Mr. Trotsky and the PRIM staff for their work, adding that she was very pleased
with how the PRIT Fund is performing. She added that having a strong team in place, along with the
leadership of Treasurer Goldberg and Mr. Trotsky, provides comfort for those she represents who will rely
on their pension benefits once they retire. She also mentioned that with the day-to-day policy changes
being reported in the news, it is comforting to know and is very pleased that PRIM continues to stay the
course and perform well.
Chair Brousseau added that over the last 15 years, during Mr. Trotsky’s tenure, the PRIT Fund has grown
from $50.2 billion to $115.4 billion, and that did not happen by accident. He credited Mr. Trotsky and the
team’s investment practices, adding that at a time when there is such uncertainty, it is comforting to see
the PRIT fund perform so well.
III. Executive Director’s Fiscal Year 2026 Goals and Objectives (Voting Item)
Mr. Trotsky mentioned that his FY 2026 Goals and Objectives are consistent with last year and include
items from the completion of annual plans reviewed with each Committee and the Board earlier in the
year. The goals reflect a continuation of ongoing work with a few updates. One of the most important
perennial goals is to ensure that staffing levels, organizational structure, and core competencies are
appropriate. Over the past several years, staff have been added quickly, but only one new full-time
employee was hired in FY 2025 by design. Currently, PRIM has 61 full-time employees and between 2 and
8 seasonal interns throughout the year. PRIM does not anticipate significant growth in staff numbers for
FY2026. PRIM is proud to be one of the leanest pension fund in the country in terms of employees per
assets under management.
Mr. Trotsky highlighted the following newer initiatives:
• The Public Markets Team seeks to identify complementary active U.S. equity managers and Other
Credit Opportunities managers. In OCO, we will also be open to co-investments.
• The Private Equity Team will enhance PRIM’s Venture Capital portfolio by developing structures
targeting smaller, difficult-to-access managers. PE will also continue to evaluate the ever-growing
secondary market opportunity that we haven’t utilized extensively in the past.
• The Real Estate Team is further refining the sector/geography ranking model developed with the
Research team. The team is also focused on exploring enhancements to the investment manager
evaluation and sourcing processes.
• The PCS Team will continue its multi-year effort to source new, high-quality partners and investment
opportunities in both Stable Value and Directional Hedge Funds while also executing an orderly exit
from select legacy investments.
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• The Risk Team will continue to enhance risk analytics and performance attribution for private equity,
incorporating different views, lenses, and exposures. The team will also complete the transition to a
new risk management platform and incorporate the liquidity study results into asset allocation and
asset class decision-making.
• The Research Team’s main goal will be to refresh the currency hedging study, a study that we last
completed several years ago.
• The Operations Team will continue to strengthen PRIM’s cybersecurity protocols. In FY26, we plan to
expand the capabilities and functionality of PRIM’s secure client portal to include cash instructions.
• The Investment Operations Team will look to enhance the PRIT Fund’s tax reclaim services. This will
enhance the amount and speed at which our dividend tax reclaims are recovered from foreign
markets.
Mr. Trotsky concluded his commentary on goals and objectives by mentioning that a goal in all areas of
PRIM last year was to explore applications of Artificial Intelligence (AI). PRIM has invested a significant
amount of time in learning about AI. In FY26, PRIM will move the adoption of AI further into our
organization. PRIM is excited about the opportunities that AI provides, while also being mindful of the
associated risks. In FY25, we focused on establishing governance by providing PRIM staff with the
necessary tools and policies to promote the ethical and responsible use of AI within PRIM. We successfully
rolled out Microsoft’s AI tool, CoPilot, to a small pilot group within PRIM, and we are busy identifying and
discussing several use cases. The next step is a firm-wide rollout of CoPilot, with a focus on training and
workshops to foster collaboration and develop a pipeline for innovative use cases. Each team will evaluate
AI tools or products that can enhance their business processes. We are moving quickly but carefully. I am
impressed by the capabilities of AI and its potential to significantly improve our productivity.
Mr. Naughton asked about the implications of AI on PRIM’s security.
Anthony Falzone, PRIM’s Deputy Executive Director and Chief Operating Officer, answered that at PRIM,
cybersecurity is always at the forefront of mind. He added that PRIM uses a holistic and multilayered
approach to security, where if there is a vulnerability or a breach, it is contained and remediated.
Additionally, PRIM has taken measures to protect against bad actors by using two-factor authentication
and engaging with a second security consultant. Mr. Falzone added that whatever PRIM does will be done
in a measured way with full understanding of the risks.
Chair Brousseau praised the organization for continuing with its DEI work as described in the goals and
objectives, asking if PRIM anticipates any interference by the federal government at the state level in this
area.
Treasurer Goldberg mentioned that everything PRIM does, and in Massachusetts, is focused on long-term
value creation and implementing common-sense business practices. She added that the issue is not a
partisan one, and she is unique in that she has been able to balance fiduciary duty and stewardship.
Chair Brousseau inquired about communications with stakeholders, as outlined in goal number four, and
how they are progressing.
Mr. Trotsky said it is ongoing and continues with meetings that take place throughout the year.
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Mr. Falzone added that the Client Service Team does a great job and spends a considerable amount of
time meeting with clients, having held over 100 meetings this year.
The Administration and Audit Committee voted (unanimously) by roll call vote to recommend to the PRIM
Board that the Board approve the Executive Director’s Fiscal Year 2026 Goals and Objectives, as outlined
in Appendix D of the Expanded Agenda, and further to authorize the Executive Director to take all actions
necessary to effectuate this vote.
IV. Proposed 2026 PRIM Board and Committee Meeting Schedule
Anthony Falzone, PRIM’s Deputy Executive Director and Chief Operating Officer, mentioned to the
Committee that the proposed 2026 PRIM Board and committee meeting schedule was not a voting item
and that a final draft would be included in the November Administration and Audit Committee meeting
materials for a recommendation to the Board at its December meeting.
V. Legislative Update
Emily Kowtoniuk, Director of Policy & Legislative Affairs in Treasurer Goldberg’s office, provided a
legislative update. Ms. Kowtoniuk reported that Governor Maura Healey had signed the Fiscal Year 2026
budget, which fully funded the pension liability. She added that new joint rules are in place to govern the
process of both the House and the Senate.
Mr. Brousseau asked if there is an update on the recently established COLA Commission.
Ms. Kowtoniuk said that they are expected to have a report available by October.
Mr. Naughton asked if a summary of the new rules could be circulated to the Committee.
Ms. Kowtoniuk confirmed that she will send something to Mr. Falzone so it can be distributed to the
Committee.
VI. Informational Updates
The Committee members briefly discussed the following topics:
A. June 2025 PRIM budget
B. Travel Report
C. Client Service
The PRIM Administration and Audit Committee meeting adjourned at 11:12 a.m.
List of documents and exhibits used during the meeting:
• Minutes of the PRIM Administration and Audit Committee Meeting of May 13, 2025
• PRIT Fund Performance Presentation (June 30, 2025)
• PRIT Fund Performance Report (June 30, 2025)
• Executive Director and Chief Investment Officer’s Draft Fiscal Year 2026 Goals and Objectives
• Proposed 2026 PRIM Board and Committee Meeting Schedule
• PRIM Operating Budget (June 30, 2025)
• Travel Report
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Minutes of the PRIM Investment Committee Remote Meeting
Tuesday, January 30, 2024
Committee members present: Committee members not present:
• Treasurer Deborah Goldberg, Chair
• Joseph Bonfiglio
• C. LaRoy Brantley
• Catherine D’Amato
• Constance Everson, CFA (joined at 9:36 a.m.)
• Ruth Ellen Fitch, Esq.
• Philip Rotner (joined at 9:50 a.m.)
• Paul Shanley, Esq.
• Glenn Strehle, CFA
• Timothy Vaill
• Michael Even
• James Hearty
• Peter Monaco
• Phillip Perelmuter
The PRIM Investment Committee meeting was called to order at 9:32 a.m. Chair Treasurer Deborah
Goldberg announced that the meeting was being held by internet and telephone in accordance with the
provisions of Massachusetts Acts of 2022 which was most recently amended on March 29, 2023, to
include an extension of the 2020 Executive Order ‘Suspending Certain Provisions of the Open Meeting
Law’ until March 31, 2025. Accordingly, all members of the Committee participated remotely via
telephone and/or internet enabled audio and video conferencing, and all votes were taken by roll call.
Public access to the deliberations of the Committee was likewise provided via telephone, with
presentation materials made available on PRIM’s website (www.mapension.com). At the start of the
meeting, the names of the members participating remotely were announced.
I. Approval of the Minutes (Voting Item)
The Investment Committee approved, by unanimous roll-call vote, the minutes of its November 14, 2023,
meeting, attached as Appendix A of the Expanded Agenda, and further to authorize the Executive Director
to take all actions necessary to effectuate the vote.
II. Executive Director/Chief Investment Officer Report
A. Markets and PRIT Fund Performance Summary
Michael G. Trotsky, CFA, Executive Director, and Chief Investment Officer, made comments to the
Committee, including:
The PRIT Fund returns surged during the December quarter and performed strongly for the full
calendar year 2023. For the December quarter the PRIT Fund was up 6.2% gross (6.1% net) and for
calendar year 2023 the PRIT Fund was up 11.4% gross (11.0% net). This return equates to a net
investment gain of $10 billion, and the PRIT Fund reached $101 billion in assets at the end of
December 2023.
In the December quarter of 2022 financial markets were just beginning to rebound from a double-
digit downturn. The consensus view of economists and market pundits at the time was that the
economy would dip into a mild recession in calendar 2023. That did not occur. Instead, the economy
continued to grow, inflation fell, bond yields peaked, and the markets took off. The S&P 500 returned
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more than 26% and bonds returned more than 5% in calendar 2023; nobody would have predicted
these strong returns a year ago. Once again, these outcomes support PRIM’s core investment beliefs:
Nobody can predict the future, so we don’t try, and nobody can predict the direction of the financial
markets, so we don’t try.
It is important to emphasize PRIM doesn’t alter asset allocations based on economic or market
forecasts. Instead, we construct a well-diversified long-term portfolio with components that will
perform well in a variety of market environments, and we are laser focused on controlling costs. We
modestly adjust the portfolio each year using our internally developed asset allocation tools to
improve the probability of achieving our mandate of funding the pension liability.
Last year at the February meeting we made very small adjustments to our long-term strategic
allocation, and similarly this year’s recommendation is also modest: a 1% increase in the Value-Added
Fixed Income target range to 6%-12% with a focus on Other Credit Opportunities (OCO), and a 1%
decrease in the Global Equities target range to 31%-41% funded from Developed Markets. These small
changes increase the probability of achieving our investment objectives. The OCO allocation seeks
unique exposures to credit sectors with returns targeted in the low double-digit range.
We also have discussed the fact that market downturns often create attractive investment
opportunities. Throughout the downturn in the markets in 2022 the PRIM team deployed
approximately $5.7 billion in new investments which was enabled by our carefully planned
commitment pacing models. We were investing steadily while other peers were pulling back. With
the strong market returns during calendar 2023, that turned out to be very good timing. We continue
to find attractive opportunities.
The world is full of difficult challenges, but the markets have been very strong mainly because of
several factors: bond yields have peaked; inflation is trending downward; the economy has avoided a
recession; employment remains strong; the Fed has stopped raising rates, and corporate earnings
have remained healthy. We remain cautiously optimistic, but also acknowledge that risks remain. The
main risks going forward are familiar: that inflation spikes again or remains too high; business
spending or corporate earnings could weaken, or other unanticipated conditions could emerge that
result in an economic slowdown or disruptions that impact financial markets. There are many moving
pieces in the global economy and in the world’s geopolitical situation. We can’t control any of that,
but we do believe the PRIT Fund is well constructed to perform well in any environment.
PRIT Fund Performance
For the one-year ended December 31, 2023, the PRIT Fund was up 11.4%, (11.0% net),
underperforming the total core benchmark of 11.8% by 37 basis points (84 bps net).
• This performance equates to an investment gain of $10.0 billion, net of fees.
• This underperformance equates to $770 million of value below the benchmark return, net of fees.
• Net total outflows to pay benefits for the one-year ended December 31, 2023, were
approximately $992 million.
Mr. Trotsky referred to the following charts:
(The remainder of this page was intentionally left blank.)
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Investment Committee member Constance Everson, CFA, provided her comments on the economy and
markets.
Organizational Updates
Mr. Trotsky announced that PRIM Board Members Theresa McGoldrick and Dennis Naughton were both
reelected to their seats. They have been thoughtful and engaged Board members, and he thanked them
for their continued service on the PRIM Board. Theresa represents the Massachusetts State
Employees’ Retirement System (MSERS) and her term’s duration is three years, Dennis represents the
Massachusetts Teachers’ Retirement System (MTRS) and his term’s duration is four years.
Internally, we promoted four outstanding individuals on the PRIM staff, and we look forward to their
continued success.
Tim Doyle was promoted to Investment Officer on the Private Equity team. He joined the team as an
Investment Analyst in February of 2022. Prior to PRIM, Tim spent three years at Cambridge Associates,
first as an Investment Associate and then he was promoted to Team Leader and eventually to Senior
Investment Associate in their Pension Practice. Prior to joining PRIM, Tim was an Investment Analyst at
Mass General Brigham Investment Office. Tim has made a significant contribution to new manager
underwritings and has taken over leading manager coverage responsibilities at PRIM. Tim’s contributions
to the team’s market mapping and pro-active sourcing efforts have been outstanding.
Eliza Haynes was promoted to Investment Officer on the PE team. She joined PRIM as an Investment
Analyst on the team in September of 2020. Eliza graduated from Holy Cross and had interned in their
Investment Office. Upon graduation, she was hired as an Investment Fellow at the Investment Office and
worked there for more than two years. During her three plus years at PRIM, Eliza’s contributions have
been impactful. She has contributed to and led the evaluation of many private equity funds and co-
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investment opportunities. Last year Eliza received the Treasurer’s citation for outstanding performance.
Eliza is also leading the design and implementation of PRIM’s GP-led secondary investment strategy and
process.
John LaCara, Senior Investment Officer on the Real Estate and Timberland team was promoted to Senior
Investment Officer - Director of Listed Real Estate and Debt Capital Markets. John joined the Real
Estate and Timberland team as an Investment Officer in 2008 and was promoted to Senior Investment
Officer in 2016. As you know, John’s contributions are extensive. His responsibilities include oversight
of private real estate and private timberland investments across various regions, property types
and investment vehicles. Additionally, John manages the listed real estate investment mandates
(REITS) and the private real estate leverage program, which has issued more than $2 billion in innovative
and low-cost debt facilities since 2013. Prior to PRIM John held positions at Fidelity Investments,
New England Securities, and Citizens Financial Group. John holds a Master of Science degree
in Investment Management from the Boston University School of Management and is a graduate of
Lesley University in Cambridge, MA.
Joy Seth was promoted to Senior Investment Officer on the Portfolio Completion Strategies team. He
joined PRIM in March of 2020 as an Investment Officer. Joy pursued his undergraduate degree from the
University of Texas, Austin, and graduate degree from the University of Washington. He started his career
as a Software Engineer at Microsoft. He then worked for the Employees Retirement System of Texas as a
Senior Investment Analyst and was there for almost seven years before joining PRIM. Joy is a CFA Charter
holder. During the past four years, Joy has grown to be a vital member of the team. He has become a key
strategist covering Stable Value Hedge Funds; he developed PRIM's industry-leading Digital Platform by
automating analytics and designing our internally designed back testing tools; and he has emerged as a
thought leader in technology topics, hosting seminars to demystify complex concepts for PRIM colleagues.
He actively contributes to the FUTURE Initiative by searching and vetting emerging diverse fund managers.
He also dedicates significant effort to recruiting and mentoring interns from diverse backgrounds.
Lastly, Mr. Trotsky acknowledged that Colleen Nulty on the accounting team passed the CFA Investment
Foundations test.
B. Summary of the 2024 Annual Plans
Mr. Trotsky stated that customary for this Board cycle annual plans are discussed. The annual plans are
consistent with prior years, but this year’s plans include continued support of the new Stewardship &
Sustainability Committee, and the exploration of how large language models (AI) could improve our
internal operations as well as our investment monitoring/analysis.
III. Asset Allocation Recommendation (Voting Item)
Maria Garrahan, Senior Investment Officer - Director of Research, presented the staff’s 2024 Asset
Allocation recommendation along with representatives from NEPC.
Ms. Garrahan noted the 2024 Asset Alloca on recommenda on represents no major changes to the prior
year’s recommenda on. The 2024 recommenda on includes a 1% increase in the Value-Added Fixed
Income range to 6-12% (formerly 5-11%) and subsequently a 1% decrease in the Global Equi es ranges to
31-41% (formerly 32-42%). Within Value-Added Fixed Income, the focus will be on Other Credit
Opportuni es (OCO) and a pro-rata decrease from Developed Market equi es.
PRIM’s asset alloca on research program, Ms. Garrahan con nued, u lizes both quan ta ve and
qualita ve insights into the analysis while focusing on a dual objec ve. The core framework used a
probabilis c based approach to maximize the likelihood of achieving the dual objec ve.
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Over the last few years, PRIM has been building further enhancements within strategic asset alloca on
research. PRIM’s proac ve approach to crea ng a robust set of tools and analysis has been especially
useful given this higher interest rate environment. Forward-looking analysis is very dependent on forward
expecta ons which is why it is only one component of the strategic asset alloca on research program.
Likewise, the core framework, driven by historical performance, has a different set of limita ons.
PRIM’s proposed 1% increase in the range of Value-Added Fixed Income will focus on the Other Credit
Opportuni es sub-asset class whereas the decrease in the Global Equi es target range will come from
Developed Markets. Ms. Garrahan explained further that the Value-Added Fixed Income is comprised of
High Yield, Bank Loans, EM Debt, and Other Credit Opportuni es. OCO includes the following strategies:
consumer credit; corporate credit; and real estate debt. The OCO sub-asset class seeks to iden fy unique
exposure to credit sectors, therefore tends to have higher credit sensi vity, lower interest rate risk, and
less liquidity.
Ms. Garrahan noted that Vivian Liang, a member of PRIM’s Research team, led the research to beter
understand poten al implica ons of a higher interest rate environment. Tianyi Shi, also from the
Research team, in collabora on with the Real Estate team researched the role of public and private real
estate. This work reaffirmed PRIM’s prior decision with regards to the role both public and private real
estate play within the PRIT Fund.
Phillip Nelson, CFA, Partner – Director of Asset Allocation from NEPC, presented to the Committee a
summary of NEPC’s 2024 investment outlook and NEPC’s asset class return assumption, noting PRIM’s
recommended Asset Allocation is still appropriately designed.
Jay Leu, Senior Investment Officer - Director of Risk, joined and presented a risk update and comments on
the 2024 Asset Allocation recommendation. Mr. Leu noted that one of the key themes of 2023 was
declining inflation. During all of 2022 and for the first half of 2023, the Federal Reserve engaged in an
aggressive tightening campaign, raising the Federal Funds rate 525 bps, spread over 11 separate hikes.
CPI has declined from a high of 9.1% in June 2022 to 3.4% currently. Core PCE declined from a high of 5.6%
in February 2022 to 2.9% currently. The Federal Reserve’s target rate for inflation is 2%. The Fed’s
restrictive campaign has been extremely effective at bringing inflation down almost all the way to their
goal and at the same time has averted inflationary spirals, all while the economy has remained resilient
and, so far, has avoided a recession. Mr. Leu summarized inflation has declined dramatically, interest
rates are slightly elevated, interest rate volatility is high but down from the last two years, credit
spreads are tight, and equity volatility is low.
Next, Mr. Leu provided comments on the 2024 Asset Allocation recommendation. The proposed asset
allocation and the current asset allocation are roughly the same level of risk. The 1% shift from Global
Equities to Other Credit Opportunities is a small change.
The Investment Committee voted, by unanimous roll-call vote, to approve a recommendation to the
PRIM Board to approve the 2024 Asset Allocation Recommendation as described in the Expanded
Agenda, and further to authorize the Executive Director to take all actions necessary to effectuate
this vote.
IV. Public Markets
A. Performance Summary
Michael McElroy, CFA, Senior Investment Officer - Director of Public Markets, presented an update
on Public Markets performance.
Mr. McElroy noted the fourth quarter of 2023 delivered positive absolute returns across public market
asset classes. Global equity returns were positive in all major geographies, with the U.S. markets the
highest, primarily driven by U.S. large capitalization stocks. Returns ranged from 8% in emerging
markets stocks to 12% in US stocks. Value stocks generally outpaced growth stocks, except in non-US
Developed Markets where growth outperformed. Smaller stocks generally did slightly better than
their larger cap peers in the fourth quarter. For the one-year period, equity returns were strong,
ranging between 12-25%, with U.S. large-cap exhibiting the strongest returns. The US market strength
has been driven by a handful of stocks, commonly referred to as the "Magnificent 7", with these seven
stocks were up 76% in 2023, whereas the other 493 stocks in the index were up 12%.
Mr. McElroy also noted that bond returns were positive with returns in Core Fixed Income up almost
9%, and the more credit-sensitive mandates were up around 4%. Rates did decline across the yield
curve in the quarter, and credit spreads narrowed. Over the last 12 months, Core Fixed Income was
up approximately 5%, and Value-Added Fixed Income was up 11%. The 10-year note finished the year
about where it started, though with some meaningful upward and downward moves over the 12-
month period.
Results for the PRIT Fund in the fourth quarter were in-line with the benchmark. Global Equities
lagged its benchmark slightly, as Developed Markets Equity managers struggled to beat benchmarks
in such a strong market, though the Emerging Markets Equity managers were able to
outperform in the quarter. For the 1-year period, the active managers delivered strong relative
performance, with PRIM’s Emerging Markets Equity managers in aggregate outperformed
benchmarks by over 6%, helped in part by their underweight positions in Asia. Overall
Global Equity performance outperformed its benchmark. For the fixed income investments in
the fourth quarter, Core Fixed Income slightly underperformed, whereas the Value-Added
Fixed Income delivered good outperformance, primarily from Emerging Market Debt and
credit-related managers. The results for the 1-year period were good, with Core Fixed Income
and Value-Added Fixed Income managers delivering relative outperformance.
The public markets portfolio remains well-diversified across geographies, styles, and sectors, and is
built to withstand market stress periods. The aggregate risk of the overall equity and fixed income
portfolios remains low, and the managers have delivered good benchmark-relative value-added in
recent periods, and certainly over longer periods.
B. New Investment Recommendation: Economic Index Associates (Voting Item)
Mr. McElroy presented the recommendation of an initial investment of up to $500 million to the
Economic Index Associates’ (EIA) IFED-LG index (Index) through RhumbLine Advisers (RhumbLine).
The EIA IFED-LG index combines a dynamic “top-down” regime indicator with a “bottom-up” stock
selection model. EIA licensed the IFED-LG index to NASDAQ in 2020 and it has been simulated since
1999. RhumbLine has been implementing the S&P 500 index for PRIM since 2021 and is the
recommended investment manager to implement the EIA IFED-LG index.
The Investment Committee voted, by unanimous roll-call vote, to approve a recommendation to the
PRIM Board to approve an initial investment of up to $500 million to the Economic Index Associates
IFED-LG index through RhumbLine Advisers, as described in the Expanded Agenda, and further to
authorize the Executive Director to take all actions necessary to effectuate this vote.
V. Portfolio Completion Strategies
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Bill Li, CFA, CAIA, Senior Investment Officer - Director of Portfolio Completion Strategies (PCS), presented
the performance of the PCS portfolio, noting PRIT Hedge Funds returned 10.6%, outperforming its
benchmark by 83 bps.
Stable Value Hedge Funds delivered a 8.7%, and Directional Hedge Funds returned 16.3%. Return/Risk
ratio trailing three year was 1.4X, meaning for each unit volatility risk, there had been 1.4 units of return.
This continued to compare favorably vs. a 60/40 market portfolio’s 0.2X Return/Risk ratio.
VI. Private Equity
A. Performances Summary and Cash Flows
Michael McGirr, CFA, Senior Investment Officer - Director of Private Equity, presented PRIM’s Private
Equity performance, which remains strong in the long-term, with the 3, 5, and 10-year returning
19.2%, 19.2%, and 19.5%, respectively, gross of fees. This is its fourth straight positive quarter of
performance. For the July through September 2023 period, Private Equity was up 1.3% gross or 1.0%
net of fees.
For the quarter and trailing year, Growth Equity and Venture Capital declined in the quarter while
Buyouts returned a positive performance. PRIM’s Venture Capital portfolio was down -4.3% for the
quarter and is down -12.8% for the trailing one-year period. Growth Equity was down -1.5% for the
quarter but is up +2.4% for the trailing one-year. Small and Mid-Cap buyouts were up approximately
1.6% for the quarter and were up 8.2% for the one-year period. Mega and Large Buyouts were up
0.6% for the quarter and up 12.6% for the trailing one-year, making it Private Equity’s strongest
performing sub asset class.
In terms of cash flows, distributions outpaced contributions in the fourth quarter. For the one-year
period, the Private Equity portfolio received more than $1.7 billion in cash distributions. This flipped
PRIM to net cash flow positive for calendar year. With the positive performance, and modest cash
inflow, assets stayed roughly the same at $17.2 billion but decreased as a percent of the PRIT Fund
(17.0%).
B. Commitment Summary
Mr. McGirr stated that Private Equity’s annual plan for the calendar year 2024 will be to allocate $2.2
to $3.0 billion to funds, co-investments, and secondary opportunities.
The PRIM Investment Committee meeting adjourned at 11:41 a.m.
List of documents and exhibits used during the meeting:
A. Minutes of the November 14, 2023, PRIM Investment Committee Meeting
B. PRIT Fund Performance Report (December 31, 2023)
C. BNY Mellon Gross of Fees Performance Report (December 31, 2023)
D. 2024 PRIM Staff Annual Plans
E. 2024 Asset Allocation Presentation
F. 2024 NEPC Asset Allocation Presentation
G. Economic Index Associates Presentation
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Minutes of the PRIM Investment Committee Remote Meeting
Tuesday, August 5, 2025
Committee members present: Committee members not present:
• Treasurer Deborah Goldberg, Chair
• C. LaRoy Brantley
• Catherine D’Amato
• Michael Even
• Constance Everson, CFA
• Ruth Ellen Fitch, Esq.
• James Hearty
• Peter Monaco
• Phillip Perelmuter
• Philip Rotner
• Glenn Strehle, CFA
• Joseph Bonfiglio
• Timothy Vaill
The PRIM Investment Committee meeting was called to order at 9:30 a.m. Chair Deborah Goldberg
announced that the meeting was being held in accordance with the provisions of Massachusetts Acts of
2022, Chapter 22, which was most recently amended on March 28, 2025, to include an extension of the
2020 Executive Order ‘Suspending Certain Provisions of the Open Meeting Law’ until June 30, 2027. All
members of the Committee who participated did so remotely via audio/video conferencing, and public
access to the Committee's deliberations was provided via telephone. All documents referenced during the
meeting were available for viewing on PRIM’s website (www.mapension.com). At the start of the meeting,
the names of the members who were participating remotely were announced.
I. Approval of the Minutes (Voting Item)
The Investment Committee approved, by unanimous roll-call vote, the minutes of its May 6, 2025,
meeting.
II. Executive Director/Chief Investment Officer Comments
Michael G. Trotsky, CFA, Executive Director, and Chief Investment Officer, made comments to the
Committee, including:
The PRIT Fund ended with a record balance of $115.4 billion, surpassing previous records. The fund
returned 9.6% (net), gaining $10.1 billion in the Fiscal Year (FY), with all seven major asset classes posting
positive returns. The team drew inspiration from Warren Buffett and Winston Churchill during a period of
high market volatility. Despite the tumultuous year, the team's calm focus led to exceptional investment
productivity, with $5.0 billion deployed into new investments. PRIM faced no liquidity stress and met all
its funding commitments, showcasing a well-designed and resilient portfolio.
Organizationally, the PRIM staff's depth and talent were stronger than ever, with low turnover. The staff
received local and national recognition, including Mr. Trotsky receiving a Lifetime Achievement Award
and being named to the Chief Investment Officer 2024 POWER 100 list. PRIM's Private Equity Portfolio
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was ranked fourth by the American Investment Council's Public Pension Study. Helen Huang was named
to Private Equity International's "40 Under 40: Future Leaders of Private Equity" list.
PRIM ranked fifth in the U.S. for assets managed by diverse managers, and two staff members received
Commonwealth Citations for Outstanding Performance. PRIM's financial controls and reporting continued
to be industry-leading, earning the Certificate of Achievement for Excellence in Financial Reporting for the
20th consecutive year and completing the CFA Institute's Global Investment Performance Standards for
the seventh straight year. PRIM completed over 30 audits, all resulting in clean unmodified opinions.
Despite higher uncertainty, U.S. equities rose 15.1%, developed international equities increased by 18.6%,
emerging market equities gained 15.2%, and diversified bonds gained 6.1%. The highest-performing PRIT
Fund asset classes included Global Equities and Hedge Funds, while Value-Added Fixed Income and Private
Equity posted strong returns. The PRIT Fund's trailing 1-, 3-, 5-, and 10-year returns consistently exceeded
the required actuarial rate of return of 7%.
The FUTURE Initiative, established to meet the objectives of the 2021 Investment Equity legislation, aims
to ensure that at least 20% of PRIM's investment managers be women, minorities, or persons with
disabilities. The PRIT Fund currently allocates approximately $15.1 billion to diverse investment managers,
more than doubling its commitment since 2021. In FY2025 alone, PRIM allocated $900 million to diverse
managers.
PRIM's Stewardship and Sustainability team has adopted new Stewardship Priorities and an Engagement
Policy, focusing on Climate Transition Planning, Fair Pay, Sustainable Forestry, and Transparency. PRIM
joined two organizations to pursue engagement initiatives and voted on 12,181 proxy ballots aligned with
PRIM’s custom proxy voting guidelines. PRIM updated the Proxy Voting Guidelines and developed a Proxy
Voting Decision-Making Policy. PRIM concluded its five-year membership in MIT's Aggregate Confusion
Project, confident that the knowledge gained will benefit future stewardship priorities and engagement
activities.
The PRIM team responded well during the volatile environment of the last several years, delivering strong
investment performance and innovative non-investment solutions. Mr. Trotsky thanked the PRIM Board,
committees, and staff for their support and hard work.
Mr. Trotsky informed the Committee that his FY 2025 self-assessment was distributed in support of his
annual performance evaluation, with the formal review scheduled for the Board meeting on August 14th.
PRIT Performance
Mr. Trotsky mentioned that worldwide financial markets were very strong this past fiscal year, adding that
one of PRIM’s economics providers, Evercore ISI, characterized the 12-month bull market as “a bucking
bull” market, which he thought perfectly characterized the direction and volatility of the year.
PRIM maintained its exposure to International Equities, and for the first time in many years, international
equities outperformed US equities. Diversified bonds were also up, as rates, although volatile, remained
within their expected ranges throughout the year. The 10-year Treasury yield of 4.2% today is very near
where it was last year at this time. U.S. Equities were very strong over the trailing 12 months, up 15.1%.
Perhaps more noteworthy was the strength of some of the largest international markets. For example,
German equities were up 40.1%, China was up 33.6%, the UK was up 19.9%, and Japan was up 13.8%.
Mr. Trotsky discussed the June 2025 PRIT Fund performance in more detail, referencing the following
performance charts:
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Total PRIT Fund Returns
Annualized Returns as of June 30, 2025 (Net of Fees)
PRIT Asset Class Performance Summary
One Year ended June 30, 2025 (Net of Fees)
Source: BNY. Totals may not add due to rounding. *Benchmark is actual performance.
Source: BNY. Totals may not add due to rounding. Total Capital Fund Benchmark includes private equity benchmark.
Page 4 of 7
PRIT Fund Annualized Returns by Asset Class
As of June 30, 2025 (Net of Fees)
Source: BNY
Investment Committee member Constance Everson, CFA, provided her comments on the economy and
the markets.
III. Public Markets
A. Performance Summary
Michael McElroy, CFA, Senior Investment Officer - Director of Public Markets, provided an update on
the Public Markets environment and performance for both the quarter and the fiscal year period
ending June.
Just as in Q1, non-US markets finished stronger than US markets in Q2, with returns in a range of 11%-
12% across the major regions. For the fiscal year period, Global Equity returns were a healthy 15.2%,
with Developed non-US stocks leading the way, returning approximately 19% and US/Emerging
Markets returns in the 14%-15% range.
Core Fixed Income returns were flat in Q2, and Value-Added Fixed Income returned slightly more than
2%. For the full fiscal year, Core Fixed Income returned approximately 4%, and Value-Added Fixed
Income returned almost 9%. For the fiscal year period, rates fell at the shorter end and rose slightly
at the longer end of the yield curve, and credit spreads narrowed.
The "Magnificent 7" continue to deliver a meaningful portion of the US equity market return -
approximately 33% of the fiscal year S&P 500 return came from these stocks. These stocks also
account for almost half of research & development spending within the S&P 500.
Equity results for the PRIT Fund in Q2 slightly lagged benchmarks, while Fixed Income investments
performed in-line to slightly better than their benchmarks. Just as with last quarter, Global Equity
underperformance was impacted by PRIM’s Domestic Equity portfolio allocations (smaller stocks
lagging the largest stocks, along with smaller-cap managers' weaker relative performance) and
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manager underperformance in the Emerging Markets portfolios. These same exposures contributed
to underperformance in Global Equities for the one-year period. For Fixed Income investments in the
12-month period, both Core and Value-Added Fixed Income outperformed benchmarks.
Companies continue to deliver both revenue and earnings growth, and profit margins continue to
remain high. Though tariff uncertainly has not been eliminated, market expectations at this point
seem to indicate that proposed tariff levels are manageable for companies - though this could impact
margins going forward. PRIM hears from its managers that fundamentals are not being rewarded -
lower-quality, higher-risk companies have been the best performers in many markets.
Overall, the Public Markets portfolio remains well-diversified across geographies, styles, sectors, and
asset classes, and has weathered many different market stress periods. The aggregate risk of the
overall equity and fixed income portfolios remains low, and managers continue to deliver long-term
benchmark-relative value-added.
IV. Portfolio Completion Strategies Performance Summary
A. Performance Summary
Bill Li, CFA, CAIA, Senior Investment Officer - Director of Portfolio Completion Strategies, (PCS)
presented an update on the PCS portfolio. PCS concluded FY25 with a positive 11.6%, 400 basis points
ahead of the benchmark. PRIT Hedge Funds returned 12.7%. Against peer hedge funds, performance
was similarly strong, with the Hedge Fund program outpacing both market and peer fund benchmarks
by over 450 basis points.
PRIM’s Hedge Fund program composites maintained a positive skew, as most underlying accounts
were in the black. For the trailing one-year period, PCS returned 9.4% and Hedge Funds returned
10.5%, outperforming its benchmark by 360 basis points.
Mr. Li noted the dispersion across the PCS portfolio. Stable Value Funds generated high single digits,
while Directional Funds returned in the high teens. These results barbell to a low-teens return at the
Hedge Fund program level. Risk-adjusted return climbed to 2.6x, continuing to compare favorably vs.
60/40 market portfolio. The total Hedge Fund program’s equity beta remains below 0.2x. Macro and
systematic managers returned around 7% as a subgroup.
B. Issuance of a Request for Proposals (RFP) for Portfolio Completion Strategies and Other Credit
Opportunities Advisory Services (Voting Item)
Ethan Spencer, Senior Investment Officer – PCS, presented the recommendation that PRIM issue an
RFP for Portfolio Completion Strategies and Other Credit Opportunities Advisory Services.
Mr. Spencer noted that it would be most efficient to include both PCS and OCO advisory services
under one RFP because the vast majority of advisors that bid on one of these mandates would also
likely bid on the other given the overlaps between the types of managers and approaches that are
hired within each mandate.
The PRIM Investment Committee voted, by unanimous roll-call vote, to make a recommendation to
the PRIM Board to approve the issuance of a Request for Proposals for Portfolio Completion Strategies
and Other Credit Opportunities Advisory Services, and further to authorize the Executive Director to
take all actions necessary to effectuate the vote.
Page 6 of 7
V. Private Equity
A. Performance Summary
Michael McGirr, CFA, Senior Investment Officer - Director of Private Equity, presented PRIM’s Private
Equity market performance. PRIM’s long-term Private Equity performance remains strong. For the
quarter, PRIM Private Equity was up 2.2%, net of fees for the quarter ending March 31, 2025. In the
trialing one-year, Private Equity returned 7.3%, net of fees. Private Equity outperformed compared to
the Russell 3000 & Russell 2000 and the State Street Private Equity Index. It underperformed vs. MSCI
Europe over the same time period.
PRIM finished #4 in the American Investment Council’s (AIC’s) annual ranking of US pension private
equity portfolios. PRIM’s private equity portfolio landed in the 98th percentile (4 out of 200 pension
plans) ranked by the AIC based on 10-year net performance as of June 30, 2024.
B. Private Equity Advisory Services RFP Recommendation (Voting Item)
Katherine Kovach, Investment Officer, presented the recommendation to select StepStone Group LP
(StepStone) as the advisor for the Private Equity portfolio and the provider of the Private Equity
market database. PRIM received seven responses for advisory services and seven responses for the
database. These responses were thoroughly reviewed by the evaluation committee, which consisted
of Ms. Kovach, Mr. McGirr, Helen Huang, Maria Garrahan, Shannon Ericson, Jessica Murphy, and
Investment Committee member Connie Everson.
After completing the interview process, the evaluation committee convened and unanimously voted
to recommend the selection of StepStone as both advisor for the Private Equity portfolio and provider
of the Private Equity market database. StepStone distinguished themselves versus other respondents
in the following areas:
o The firm is a global private markets specialist and offers a global platform with a localized
approach with over 1,000 employees and 26 offices globally. StepStone has also been advising
pension clients on private equity since its founding.
o The firm’s best-in-class database and technology infrastructure is another differentiator. Its
database, Stepstone Private Markets Intelligence, known as SPI, is its proprietary research library
used by clients and StepStone professionals. SPI allows clients to exponentially expand their
market coverage and provides transparency into StepStone’s research process.
o The firm also distinguishes itself with the experience, stability, and depth of the firm and proposed
team. StepStone’s 175 private equity investment professionals are organized into specialized
sector teams that span the entire asset class. The PRIM team will benefit from the depth of
StepStone’s private equity team and access to the broader StepStone platform.
o StepStone also offers customized client service and will tailor services to complement PRIM’s
internal capabilities with its disciplined, research-focused approach. StepStone will work with the
PRIM private equity team to provide seamless integration with a highly interactive engagement
model. The Evaluation Committee also identified synergies for the engagement model that would
arise from engaging StepStone as both an advisor and database provider.
o Additionally, StepStone’s proposed annual fee of $1.35M with 3% annual step ups represents the
best overall value for service to PRIM for private equity advisory services and the private equity
market database.
Page 7 of 7
The PRIM Investment Committee voted, by unanimous roll-call vote, to approve a recommendation
to the PRIM Board to approve StepStone Group LP to provide Private Equity advisory services, as
described in the Expanded Agenda, and further to authorize the Executive Director to take all actions
necessary to effectuate the vote.
The PRIM Investment Committee meeting adjourned at 11:21 a.m.
List of documents and exhibits used during the meeting:
A. Minutes of the May 6, 2025, PRIM Investment Committee Meeting
B. PRIT Fund Performance Presentation (June 30, 2025)
C. PRIT Fund Performance Report (June 30, 2025)
D. Private Equity Advisory Services RFP Evaluation Committee Report
Page 1 of 8
Minutes of the PRIM Investment Committee Meeting
Tuesday, October 31, 2017
Committee member attendees:
• Treasurer Deborah B. Goldberg, Chair
(arrived at 9:41 a.m.)
• Sue Perez, Esq., Treasurer’s Designee
• Joseph Bonfiglio
• C. LaRoy Brantley
• Constance M. Everson, CFA
• Ruth Ellen Fitch (arrived at 9:41 a.m.)
• James Hearty
• Philip Rotner
• Paul E. Shanley, Esquire
• Glenn P. Strehle, CFA
• Timothy Vaill
Committee members not present:
• Michael Even, CFA
• Peter Monaco
Assistant Treasurer Sue Perez chaired the meeting pending the arrival of Treasurer Goldberg.
The PRIM Investment Committee meeting was called to order at 9:37 a.m.
I. Approval of the Minutes (Voting Item)
The PRIM Investment Committee unanimously approved the minutes of its August 1, 2017 meeting.
II. Executive Director/Chief Investment Officer Comments
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer, comments to the Committee
included:
Treasurer Goldberg arrived.
The September quarter was strong, and despite the frequent weather and political storms affecting the
United States, the overall economy is little changed since the last Board meeting. Economic indicators are
still mostly strong, equity markets continue to move higher, to new records, while bond yields remain low
and inflation is absent. The overall health of the economy remained on an upswing, even while several
economic indicators were affected by the storms. National employment measures, automobile sales,
retail sales and home building statistics all exhibited anomalies in the quarter, but are expected to
rebound. More important, the September 2017 quarterly Gross Domestic Product (GDP) growth came in
at 3%, annualized, beating expectations of 2.5% and only slightly below the 3.1% reported in the June
2017 quarter, which was revised upward. The consensus GDP forecast for the year remains at
approximately 2.1%, up from 1.6% reported last year. Financial markets around the world have
performed strongly.
Page 2 of 8
PRIT Fund Performance Summary
In this environment, the PRIT Fund has performed well:
As of September 30, 2017, the PRIT Fund net asset value stood at $69.5 billion.
For the one-year ended September 30, 2017, the PRIT Fund was up 13.0% gross (12.5% net),
outperforming its benchmark by 187 basis points (138 net).
• This performance equates to an investment gain of $7.9 billion, net of fees.
• This outperformance equates to $872 million of value above the benchmark return, net of fees.
• Six of the seven major asset classes outperformed their respective benchmarks.
• Net total outflows to pay benefits for the one-year ended September 30, 2017, were approximately
$1.5 billion.
Mr. Trotsky referred to the following charts:
Total PRIT Fund Returns
Annualized Returns as of September 30, 2017 (Gross of Fees)
13.0%
8.1%
9.7%
5.2%
11.1%
6.9%
8.1%
4.7%
1.9%
1.2% 1.6%
0.5%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
1 Year 3 Years 5 Years 10 Years
Returns
Total Fund Return Total Core Benchmark Value AddedTotal Core Benchmark includes private equity benchmark.
Source: BNY Mellon.
Page 3 of 8
PRIT Asset Class Performance
Trailing 1-year Performance as of September 30, 2017 (Gross of Fees)
PRIT Core Fund Performance Summary
Trailing 1-Year Performance as of September 30, 2017 (Gross of Fees)
Trailing 1-Year Performance:
Sept. 30, 2017 Return
Benchmark
Return
Over/(Under)
Benchmark
(bps)
$Value
(millions)
% of
PRIT
Fund
Total PRIT Fund 13.0% 11.1% 187 69,496 100%
Total Global Equity 20.2% 19.8% 34 30,877 44.5%
Domestic Equity 18.6% 18.8% (12) 12,910 18.6%
International Developed 18.9% 19.7% (74) 12,411 17.9%
Emerging Markets 26.9% 22.2% 463 5,556 8.0%
Private Equity 23.5% 23.5% 0 7,350 10.6%
Real Estate 5.7% 5.9% (19) 6,045 8.7%
Total Timberland 8.9% 3.4% 558 2,506 3.6%
Hedge Funds 8.1% 5.9% 220 5,536 8.0%
Value Added Fixed Income 8.8% 7.4% 145 5,446 7.8%
Core Fixed Income -4.5% -4.7% 18 8,653 12.5%
23.5%
20.2%
8.9%
8.8%
8.1%
5.7%
-4.5%
23.5%
19.8%
3.4%
7.4%
5.9%
5.9%
-4.7%
0.0%
0.3%
5.6%
1.5%
2.2%
-0.2%
0.2%
-12.0%
-7.0%
-2.0%
3.0%
8.0%
13.0%
18.0%
23.0%
28.0%
Total Private
Equity*
Total Global
Equity
Total Timber Total Value
Added Fixed
Income
Total Hedge
Funds**
Total Real Estate Total Core Fixed
Income
Returns
Asset Class Benchmark Value Added
*Benchmark is actual performance.
**Hedge Fund returns are net of fees.
Source: BNY Mellon. Totals may not add due to rounding.
Page 4 of 8
PRIT Asset Class Performance
Annualized Returns as of September 30, 2017 (Gross of Fees)
1 Year 3 Year 5 Year 10 Year
PRIVATE EQUITY
23.5%
PRIVATE EQUITY
17.2%
PRIVATE EQUITY
19.0%
PRIVATE EQUITY
12.8%
GLOBAL EQUITY
20.2%
REAL ESTATE
10.6%
REAL ESTATE
11.1%
VALUE-ADDED
FIXED INCOME
6.7%
TIMBER
8.9%
GLOBAL EQUITY
8.6%
GLOBAL EQUITY
11.0%
REAL ESTATE
6.4%
VALUE-ADDED
FIXED INCOME
8.8%
TIMBER
5.9%
TIMBER
7.5%
TIMBER
5.9%
HEDGE FUNDS
(NET OF FEES)
8.1%
CORE FIXED
INCOME
4.4%
HEDGE FUNDS
(NET OF FEES)
5.7%
CORE FIXED
INCOME
4.9%
REAL ESTATE
5.7%
VALUE-ADDED
FIXED INCOME
4.0%
VALUE-ADDED
FIXED INCOME
4.9%
GLOBAL EQUITY
4.6%
CORE FIXED
INCOME
(4.5%)
HEDGE FUNDS
(NET OF FEES)
3.0%
CORE FIXED
INCOME
3.6%
HEDGE FUNDS
(NET OF FEES)
3.0%
Organizational Update
Sarah Samuels, CFA, CAIA, Deputy Chief Investment Officer, left PRIM to take a position as Managing
Director at the Investment Office of Wellesley College, effective September 1, 2017.
Soon after Sarah’s departure, David Gurtz, CFA, CPA, returned to the investment team to fill the role of
Deputy Chief Investment Officer – Director of Public Markets, after more than two years as Chief
Operating Officer (COO) and Chief Financial Officer (CFO).
Prior to serving as PRIM’s COO and CFO, Dave served as Deputy Chief Investment Officer – Director of Risk
Management, and is largely responsible for building the risk management program at PRIM. Additionally,
as Deputy Chief Investment Officer, Dave played an important role in the due diligence and manager
selection processes across PRIM asset classes, including in the public markets portfolio. His knowledge of
the managers in the public markets portfolio will ensure continuity. Dave joined PRIM in 2008 and has
been an invaluable team member in a variety of key roles.
Anthony (Tony) Falzone was promoted to Chief Operating Officer (COO). Tony will oversee PRIM’s entire
finance, operations, reporting, compliance and technology functions. Tony has more than 25 years of
finance, investment operations and technology experience. He joined PRIM as a Senior Financial Analyst
Page 5 of 8
in 2006 from BNY Mellon Custody Services, where he directly supported PRIM for seven years. As Senior
Financial Analyst at PRIM, Tony was responsible for real estate, timberland and private equity valuations,
fee calculations and reporting. He served in that role until 2009, when he was promoted to Director of
Private Investment Accounting, responsible for the oversight of PRIM’s alternative investments, including
real estate, private equity, hedge funds and timberland. Also during that time, Tony returned to school
part-time and earned his degree in Computer Information Systems. In 2013, Tony became PRIM’s Chief
Technology Officer. In that role, Tony upgraded and maintained PRIM’s entire information technology
infrastructure and designed and deployed PRIM’s disaster recovery, business continuity, mobile device-
management and cyber-security platforms. Tony is a consummate team-player, is well-regarded by the
entire PRIM staff and brings a unique combination of skills and experience to his new role.
Deborah Coulter, CPA, was promoted to CFO. Reporting to the COO, Deb will be responsible for managing
the PRIM Board’s non-investment financial activities including: budgeting, corporate accounting, audits,
taxation, cash management and office administration. Deb rejoined PRIM in April 2016, as the Director of
Strategic Initiatives on the finance and operations team, to focus on a variety of initiatives, including
developing procedures to comply with the new Public Records Law and implementing new human
resources policies designed to broaden the diversity of PRIM staff. Deb has more than 25 years of
experience in investment management, financial management and public accounting. Immediately prior
to rejoining PRIM, Deb was the Assistant Controller in Corporate Accounting at the Baupost Group, a
Boston-based absolute return investment manager. Prior to that, Deb was PRIM’s Director of Finance and
served as Interim Chief Financial Officer when our former CFO was on a medical leave of absence. And
prior to that, Deb spent the majority of her 15-year career at Essex Investment Management as Controller
and Compliance Manager.
Matthew Liposky was promoted to Chief Investment Operating Officer (CIOO). Also reporting to the COO,
the CIOO is responsible for managing the PRIT Fund’s financial activities including: investment
performance reporting; investment accounting; compliance; and investment manager onboarding,
including contract negotiation and administration (with PRIM’s General Counsel). Matt joined PRIM in
2013 and has more than 10 years of experience in investment operations. Prior to joining PRIM, Matt was
Senior Operations Analyst at Liberty Mutual Investment Group and Supervisor at BNY Mellon, where he
directly serviced PRIM. Matt has been invaluable in the operational implementation of PRIM’s award-
winning managed account platform. During his tenure at PRIM, he has worked closely with the entire
PRIM investment staff to successfully onboard all new investments and initiatives and to ensure that PRIT
Fund performance reporting is timely and accurate.
PRIM will soon commence a search to fill two important roles, the Director of Human Resources (HR) and
the Director of Information Technology. Deb and Dan Eckman, Director of Finance and Administration,
have been splitting the role of HR effectively for the past 18 months.
In other organizational news:
Tim Schlitzer, CRE, CFA, Senior Investment Officer – Director of Real Estate and Timberland Investments,
was honored earlier this fall with the Treasurer’s Citation for Excellence. Prior recipients of the award
include Chris Supple, Dave Gurtz and Paul Todisco.
Morgan Burns, an accounting assistant at PRIM, received his CFA Charter. This is a major accomplishment
that requires passing three difficult exams and working in the industry for a requisite four years.
Carlo Scarpa, PRIM’s help-desk specialist, passed the examination for the CompTIA Security+certification.
Carlo adds this credential to his existing A+ and Net+ certifications from the same highly-regarded
organization.
Page 6 of 8
Maria Clements joined PRIM as an Administrative Assistant where she will work closely with the Private
Equity team. Maria joins PRIM from State Street Global Advisors where she was an Executive
Administrative Assistant, and prior to that Maria worked in administrative support and special education
in the Rockport Public Schools. Maria has degrees from Endicott College and Salem State University.
Catalina Marino joined PRIM as an Administrative Assistant and will be at the front desk where she will
serve as receptionist and also perform other office administration duties. Catalina started in July on a
temporary basis before coming on board full-time in September. Catalina is a graduate of Eastern
Nazarene College.
In the area of national recognition:
PRIM has been nominated for “Team of the Year” by Institutional Investor Magazine. The award will be
announced in late November in New York at the magazine’s “Allocators’ Choice Awards.” The list of the
half-dozen finalists includes some extremely well-regarded investment teams from endowments,
foundations and corporate pension offices. The only other public fund finalist is the State of Wisconsin
Investment Board (SWIB), which is another very innovative public fund. In fact, during the first phase of
Project SAVE, SWIB was one of the funds PRIM staff (and Investment Committee member Tim Vaill)
visited.
Eric Nierenberg, Ph.D., Chief Strategy Officer, has been nominated for the “Next CIO” at the same
Institutional Investor Magazine awards event. He and other nominees will answer questions from
audience members at the beginning of the evening. Audience members will then vote, based on the
nominees’ answers, for the “Next CIO.” The winner will be announced at the awards dinner later that
evening.
Trusted Insight, a global network of institutional investors, recently named Michael Trotsky, CFA,
Executive Director and Chief Investment Officer, one of its 2017 “Top 30 Public Pension Chief Investment
Officers.” After reviewing the performance of public pension funds across the country, Trusted Insight
selected honorees based on superior 1-, 3, and 5-year performance and “industry leading investment
strategies.”
Constance Everson, CFA, a member of the Committee, provided an assessment of developments in the
global economy. She noted that bond yields and inflation remained low and the yield curve continued to
flatten, despite stronger economic data. She said she believed the economic situation, while improved,
was still below average and consumer spending was constrained by a combination of below-average
growth in earnings, and above-average growth of large expenditures, such as rent.
Treasurer Goldberg asked Ms. Everson to assess the impact of any change in leadership at the Fed. Ms.
Everson said the leading candidate to replace the current Fed Chairwoman appeared unlikely to institute
significant changes.
There was discussion about the potential impact of changes in federal tax policy, the impact of low bond
yields on the stock market, and the possibility of an economic surprise to the downside. Ms. Everson said,
“To take the economy’s growth rate for granted is not a good idea.”
III. Public Markets Performance Summary
Mr. Gurtz provided the Committee with the Public Markets Performance Summary. After telling the
Committee he was pleased to assume a role that will increase his interaction with the Committee, Mr.
Gurtz updated the Committee on what he said will be his “key initiatives” and areas of research focus.
Mr. Gurtz said his initial task as Deputy Chief Investment Officer will be to assess the staffing level of the
investment team.
Page 7 of 8
Mr. Gurtz said that PRIM will continue to seek investment opportunities for the new Other Credit
Opportunities sleeve.
Mr. Gurtz will continue to explore more efficient methods to invest in public equities and fixed income.
Mr. Gurtz will also help explore Phase II of Project SAVE – internal investment management.
Reviewing performance over the 12 months ended Sept. 30, 2017, Mr. Gurtz said key drivers have
included:
• Steady global growth
• Slow and methodical action by the Fed to increase interest rates
• Low volatility
Chuck LaPosta, CFA, Senior Investment Officer, reviewed emerging market equities strong performance.
IV. Portfolio Completion Strategies (PCS) and PRIT Fund Strategy
a. PCS Performance Summary
Bill Li, CFA, CAIA, Investment Officer for Portfolio Completion Strategies, reviewed PCS performance:
1) Hedge Funds continue to generate steady returns;
2) The direct hedge funds portfolio is outperforming its benchmark by approximately 30 basis points.
Dr. Nierenberg informed the Committee that the Put/Spread Collar is fully funded and is performing
better than PRIM staff had expected.
b. PRIT Fund Strategy Update
Dr. Nierenberg provided a strategy update and described organic asset allocation.
Mr. Brantley asked about the “actionability” of opportunities identified under an organic asset
allocation approach. Mr. Nierenberg acknowledged challenges in that regard, but said, “We live in a
world of assets, not factors.”
Mr. Trotsky noted the importance of paying managers for alpha and not for “passive exposure.”
Mr. Rotner asked about the challenges of modeling risk under different allocation approaches. Dr.
Nierenberg said effective risk management requires “a good investment staff and a robust process.”
Dr. Nierenberg said a future project could involve “dynamic risk modeling.”
Dr. Nierenberg updated the Committee on the in-house educational program he has designed and
implemented.
c. Reinsurance Market Overview
Dr. Nierenberg provided an overview of the retrocession reinsurance market.
V. Private Equity Performance Summary
Michael Bailey, Senior Investment Officer – Director of Private Equity, provided an update on private equity
performance.
VI. Risk Management Update
Luis Roman. Ph.D., Senior Investment Officer – Director of Risk Management, provided presentation on
risk management.
Page 8 of 8
Dr. Roman described declining volatility in the PRIT Fund due mostly to declining volatility in markets. Dr.
Roman discussed the process of conducting “stress tests” on PRIM’s investment portfolio.
Treasurer Goldberg left the meeting at noon, appointing Ms. Perez as her designee.
The PRIM Investment Committee meeting adjourned at 12:05 p.m.
List of documents and other exhibits used at the meeting:
• Minutes of the PRIM Investment Committee Meeting of August 1, 2017
• PRIT Fund Performance Report
• BNY Mellon Gross of Fees Performance Report
• Reinsurance Market Overview
• Risk Management Presentation
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COMMONWEALTH OF MASSACHUSETTSCOMMONWEALTH OF MASSACHUSETTSCOMMONWEALTH OF MASSACHUSETTSCOMMONWEALTH OF MASSACHUSETTS
PENSION
RESERVES INVESTMENT MANAGEMENT BOARDPENSION RESERVES INVESTMENT
MANAGEMENT BOARDPENSION RESERVES INVESTMENT MANAGEMENT BOARDPENSION
RESERVES INVESTMENT MANAGEMENT BOARD
Minutes of the Board Meeting
Thursday, August 14, 2025
commencing at 9:30a.m.
(CONDUCTED REMOTELY)
PRIM Board OfficesPRIM Board OfficesPRIM Board OfficesPRIM Board Offices
53 State Street53 State Street53 State Street53 State Street
Boston, MassachusettsBoston, MassachusettsBoston, MassachusettsBoston, Massachusetts
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A T T E N D E E SA T T E N D E E SA T T E N D E E SA T T E N D E E S
(Via Zoom)
Board MembersBoard MembersBoard MembersBoard Members
· Treasurer Deborah B. Goldberg, Chair
· Robert L. Brousseau
· Catherine D'Amato
· Ruth Ellen Fitch
· Theresa F. McGoldrick, Esq.
· Mark Lapman
· Dennis J. Naughton
· Carly Rose
Other Attendees (partial list):
· Anthony Falzone
· David Griswold
· Helen Huang
· Minching Kao
· Katherine Kovach
· Emily Kowtoniuk
· Chuck LaPosta
· Renee LeFevre
· Bill Li
· Matt Marshall
· Michael McElroy
· Michael McGirr
· Veena Ramani
· Tim Schlitzer
· Ethan Spencer
· Michael Trotsky
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P R O C E E D I N G S
A meeting of the Pension Reserves
Investment Management Board (PRIM Board) was
held remotely on Thursday, August 14, 2025.
The meeting was called to order and convened
at
9:30 a.m. Treasurer and Receiver-General
Deborah Goldberg chaired the meeting.
TREASURER GOLDBERG: Welcome,
everyone, to the PRIM Board meeting, Thursday,
August 14, at 9:30 a.m.
This meeting will be held in
accordance with the provisions of Massachusetts
Acts of 2022, Chapter 22, which was most
recently amended on March 28, 2025, to include
an extension of the 2020 Executive Order
Suspending Certain Provisions of the Open
Meeting Law until June 30, 2027.
All members of the Board will
participate remotely via audio/
videoconferencing, and public access to the
deliberations of the Board will likewise be
provided via telephone, with all documents
referenced at the meeting available to be
viewed on PRIM's website,www.mapension.com.
All persons speaking at today's meeting
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are asked first to identify themselves. Also the
Open Meeting Law requires anyone wishing to record
a meeting to first notify the chair so the chair
can inform the other attendees.
Tony, will you please~--
Well, first of all, I will notify
everyone that our stenographer, Virginia Dodge
from Lexitas, is transcribing and also recording
this meeting.
But, Tony, will you please share who is
recording the meeting today.
MR. FALZONE: Yes. Thank you.
Jesse Pound from
Pensions and
Investments, and Matthew Scheffler, Framingham
Public Schools, will be recording the meeting.
(By Treasurer Goldberg) Okay then. If anyone
subsequently desires to record today's meeting, please
first notify Seth Gitell by email at sgitell@mapension.com
additionally the Attorney General's guidance on holding
remote meetings reads as follows: At the start of the
meeting, the chair must announce the name of the member or
members who are participating remotely.
I will now announce the names of all PRIM Board
members who are participating remotely in today's
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meeting. Robert Brousseau, Catherine D'Amato,
Ruth Ellen Fitch, Theresa McGoldrick, Mark Lapman,
Dennis Naughton, Carly Rose and myself, Treasurer
Deborah Goldberg.
Do we have Ruth Ellen yet?
MR. FALZONE: I don't see her yet. I'll
keep an eye open for her.
TREASURER GOLDBERG: All right. Thank
you.
MR. FALZONE: Thank you.
TREASURER GOLDBERG: First item on the
agenda is I seek a motion that the PRIM Board
approve the minutes of its May 22, 2025 meeting
attached as Appendix A of the expanded agenda, and
further to authorize the executive director to
take all actions necessary to effectuate this
vote.
Is there a motion?
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Is there a second?
MS. D'AMATO: Second.
TREASURER GOLDBERG: Any questions or
comments about the minutes?
Hearing none, I'll proceed with the
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vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: Okay. Myself, yes.
The motion carries.
Next item on the agenda is we have a
committee membership recommendation.
As everyone knows, recently we had a new
member join our Board, Mark Lapman, who has been
a wonderful addition and who we appreciate
greatly. And I am now going to be seeking a motion
recommending that Mark also be appointed to the
Investment Committee.
So I'm going to seek a motion and a
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second. Anybody who wants to make a comment can,
and then we will take the vote.
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Wait. I have to
read the whole motion.
MR. BROUSSEAU: Okay.
TREASURER GOLDBERG: I seek a motion
that the PRIM Board approve the chair's
recommendation to appoint Mark Lapman to the
Investment Committee, and further to authorize the
executive director to take all actions necessary
to effectuate this vote.
Is there a motion, Bob?
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Is there a second?
MS. D'AMATO: Yes.
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: A chorus of yeses.
Any questions or comments?
I would say a big welcome from everyone,
and with that, we will do a roll call vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
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MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen here
yet?
Okay. Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: You are allowed to
vote for yourself, Mark, by the way.
And Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: And myself, yes.
Officially, welcome to the Investment
Committee.
MR. LAPMAN: Thank you. Thank you.
Yes.
TREASURER GOLDBERG: So next item on the
agenda is our executive director/chief investment
officer report. Take it away, Michael.
MR. TROTSKY: Thank you very much,
Treasurer, and welcome, everyone.
Congratulations, Mark. You'll be a
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great addition on the Investment Committee.
We have a good attendance today. We
have 73 people, I think I see, and climbing. So
that's a lot of new people listening in today.
Appreciate your interest in PRIM.
I'll start with a personnel update.
Alyssa Acker, senior investment officer on the
private equity team, won't be with us today
because on June 16, she and her husband, Andrew,
welcomed their first baby, a girl named Sienna
Lynn. And we're glad to hear that everyone is
doing really well.
And we'd like to congratulate Alyssa and
Andrew on this new chapter in their lives
together, an exciting new chapter. We're thrilled
for all of them and look forward to Alyssa's
return later in the year.
Now, turning to the agenda, at the
committee meetings last week, as you know, we are
very pleased to report that the PRIT Fund ended
with an all-time record balance high of
$115.4 billion. And that surpasses the previous
records of $105.3 billion last year and
$96.6 billion. So three consecutive fiscal year-
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end records.
The PRIT Fund returned 9.6 percent net to
gain $10.1 billion in the fiscal year. And for
the first time since fiscal year 2019, all seven
major asset classes posted positive returns,
reflecting the unanticipated strength and the
resilience of global financial markets during a
period that we all know was marked by intense
geopolitical strains and elevated economic and
policy uncertainty.
Earlier in the year, during a period of
unusually high market volatility, I invoked the
wisdom of Warren Buffett when following Black
Monday in October of 1987, which was the single
largest drop in the market's history, single day,
he said that the key to investing success is to,
quote, "insulate thoughts and behavior from the
super contagious emotions."
You might also remember that we also
drew inspiration from the iconic Winston Churchill
era slogan, which is "Keep calm and carry on."
And throughout the very turbulent year,
our team's calm focus proved invaluable. In
addition to strong performance that I just
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mentioned, investment productivity was exceptional
with staff successfully researching and deploying
approximately $5 billion into highly attractive
new investments during the year.
And most importantly and critical to our
beneficiaries and stakeholders is the fact that
PRIM did not have any liquidity stress whatsoever
during the turbulent year, and we easily met all
funding commitments. That's testimony to a well-
designed and very resilient portfolio. I remind
you that the PRIT Fund is carefully designed to
have components that will perform well in any
investment environment.
Organizationally, the depth and talent
of PRIM staff has never been stronger, and we
continue to benefit from extremely low turnover
with no senior staff members departing during the
year. We hired one new full-time employee,
welcomed six outstanding interns and were sad to
see them all go this week. Their internships,
most of them, are over.
And we also last year promoted three of
PRIM's exemplary high-performing employees.
63 percent of PRIM's workforce is diverse, and
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52 percent of our workforce is female. Those are
numbers consistent with last year.
The work of our staff continues to
receive local and national recognition. The
Allocator from With Intelligence described PRIM
as, quote, "a beacon of public service and
investment prowess for the people of the
Commonwealth of Massachusetts."
This recognition of all of us, PRIM's
Board and staff, was highlighted when I did
receive the publication's Lifetime Achievement
Award. Separately, I was also named to the Chief
Investment Officer 2024 POWER 100 list.
And more recently, PRIM's private equity
portfolio was ranked fourth by the American
Investment Council's public pension study of 200
U.S. public pension funds based on the 10-year
performance of our private equity portfolio. And
PRIM is the only fund that has been in the top
five every single year the study has been
conducted, including number 1 rankings in 2019,
2018, 2015 and 2013.
Recently, Private Equity International,
PEI, named Helen Huang, senior investment officer
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on the private equity team, a member of its annual
list called 40 Under 40: Future Leaders of
Private Equity. PEI credited Helen with helping
to, quote, "reinvigorate the pension plan's
venture capital program and contributing
significantly to PE investment process design."
And you'll hear from Helen later in today's
agenda.
Elsewhere, PRIM ranked fifth, number 5,
in the U.S. for assets managed by diverse
managers, and that's according to
Pensions and
Investments. And here, we punch well above our
weight when compared to our assets under
management.
And two PRIM staff members, Veena Ramani
and George Tsipakis, were awarded Commonwealth
Citations for Outstanding Performance.
Thank you, Treasurer Goldberg, and to
your team for recognizing their outstanding
contributions. It's always nice to have that.
PRIM's financial controls and reporting
remain industry-leading and irreproachable. PRIM
earned the Certificate of Achievement for
Excellence in Financial Reporting from the
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Government Finance Officers Association, the GFOA,
for the 20th consecutive year, and we successfully
completed the CFA Institute's Global Investment
Performance Standards of Integrity and
Transparency. That's called GIPS around the
world. And we earned that for the seventh
consecutive year. And that's a standard which
only a very small handful of other pensions
comply.
And just as we did last year, PRIM
completed more than 30 separate audits. And all
of them resulted in unmodified, clean opinions
with no findings. This is no small feat.
Congratulations to Tony, Deb, Qingmei
and the rest of the finance team for that
outstanding result. It takes a lot of time and
effort to support those audits.
These strong PRIM results across the
entire organization of course occurred during a
period in which the market and government policy
decisions are changing very, very quickly.
However, despite higher uncertainty, U.S.
equities were actually up 15.1 percent for the
trailing year ending in June, our fiscal year.
Developed
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international equities were up 18.6 percent.
Emerging market equities were up 15.2 percent. And
even bonds were up. Diversified bonds were up 6.1
percent.
The highest-returning PRIT Fund asset
classes included global equities and hedge funds,
while value-added fixed income and private equity
posted strong high single-digit returns.
Overall, while the last four fiscal
years have provided an extraordinary test for
staff and the fund, we do remain very pleased and
confident about the resiliency of the PRIT Fund
and its performance over all time periods and
throughout several different market environments.
The PRIT Fund's trailing 1-, 3-, 5- and
10-year returns consistently exceed the required
actuarial rate of return, which is now 7 percent.
That's our goal.
The 5- and 10-year results exceed the
long-term primary benchmark, and the 1- and 3-year
results exceed the secondary implementation
benchmark, which is a peer comparison, better
suited for short-term comparisons of long-term
investments.
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The FUTURE Initiative, established to
meet the objectives of the 2021 investment equity
legislation, includes a goal to ensure that at
least 20 percent of PRIM's investment managers are
women, minorities or persons with disabilities.
And currently, the PRIT Fund allocates
approximately $15.1 billion, representing more
than 13 percent, to diverse investment managers
across all asset classes.
And since the inception of the
initiative, PRIM has more than doubled its
commitment to diverse managers. And we now
invest more than $8.5 billion to these managers.
In 2025 alone, fiscal year 2025, PRIM allocated
$900 million in capital to diverse managers.
During the fiscal year, our stewardship
and sustainability effort adopted new stewardship
priorities and an engagement policy focused on
climate transition planning, fair pay, sustainable
forestry and transparency.
PRIM joined two organizations to help
pursue engagement initiatives, and we voted 12,181
proxy ballots aligned with our custom proxy voting
guidelines on areas such as board diversity
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requirements, overboarded directors, gender pay
gaps, labor and human rights, climate change, and
executive compensation.
PRIM also updated the proxy voting
guidelines this year with a focus on executive
compensation, and we developed and approved a
first-ever proxy voting decision-making policy
which guides us when casting proxy votes for
public market securities in cases where
resolutions may fall outside the scope of our
standard guidelines.
In research, we are concluding our five-
year membership in MIT's Aggregate Confusion
Project. That's the ACP. And we conclude this
next month on September 30. We've essentially
completed our work with the ACP, and we also
recognize that the ACP has successfully fulfilled
its original purpose and timeline. We're
confident that the knowledge and experience we
gained from the membership will continue to
benefit our organization as we pursue those
sustainability and stewardship priorities that I
just outlined.
We extend of course our gratitude to the
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MIT Sloan Sustainability Initiative, our fellow
ACP members and all those who contributed to the
success of this project.
So in conclusion, end of the fiscal
year, I'm extremely proud of the entire PRIM team
and how we have responded during the difficult and
volatile environment not only of last year, but
the last several years.
This team is hardworking and dedicated,
as you all know, delivering not only strong
investment performance, but also extraordinary non-
investment innovation and responsiveness grounded
in both our adherence to fiduciary duty and a
steadfast pursuit of excellence.
So I'm thankful to the entire PRIM team
and to you, our board and committee members, for
your support, your dedication and your hard work.
It was simply a great year in a very trying time.
Now, turning to markets and PRIT Fund
performance.
As we all know, worldwide financial
markets were very strong in the fiscal year, and
what we like to say is that these markets climbed
the proverbial wall of worry that was so pervasive
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during the entire year.
One of our economics providers,
Evercore ISI, characterized -- and I love this.
They characterized the 12-month bull market as a,
quote, "a bucking bull market." And I think that
characterized the direction and the volatility of
the year perfectly. It was quite a ride.
And as you all know, thankfully we've
maintained our exposure to some high-performing
asset classes, for example, international
equities. For the first time in many years,
international equities outperformed U.S. equities.
Diversified bonds are also up as rates,
while they are volatile, did remain range-bound
throughout the year.
The 10-year Treasury yield of about
4.2~percent today is very near to where it was
last year at this time. U.S. equities were very
strong for the trailing 12 months, up
15.1 percent. But perhaps more noteworthy and
surprising was the strength of some of the largest
international markets.
For example, in the fiscal year, German
equities were up more than 40 percent. China was
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up 33.6 percent. The UK was up 20 percent. And
Japan was up 13.8 percent. Again, that compares
to 15 percent for U.S. markets. And this
strength, as I'll outline in a second, has
continued into this quarter.
Again, fiscal year, S&P up 15.1 percent.
Developed international markets up 18.6 percent.
Emerging markets up 15.2 percent. Diversified
bonds up 6.1 percent.
And that puts the calendar year through
yesterday really very strong. The S&P up
10.8 percent, but international markets have more
than doubled that performance. Developed
international markets are up 22.4 percent, again
compared to 10.8 percent in the S&P 500.
Emerging markets up 20.8 percent for the
calendar year so far. And diversified bonds up
almost 5 percent.
Tony, the performance slides, please.
Let me know when they're up.
MR. FALZONE: All set.
MR. TROTSKY: Thank you.
I'll start as usual with the market
value slide. And you can see at June 30, the end
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of our fiscal year, the PRIT Fund stood at
115.4 billion, a new all-time high.
The fund was up 5.4 percent in the June
quarter alone and, again, 9.6 percent net for the
year, an investment gain of $10.1 billion.
Net outflows to pay benefits were well
below historical averages, only $36 million. This
is way below the average of about a billion
dollars a year, primarily because clients are
electing to invest more of their assets with PRIM,
and we view that as a sign of confidence.
Next slide. Performance by strategy for
the second quarter of 2025, the June quarter.
Again, a gain, 5.4 percent. Quite healthy as
equities of all types on the left -- you can see
that. Equities of all types led the way.
And on the right, you can see that long
bonds were down because long duration interest
rates were up very slightly.
Noteworthy was, again, that
international equities were the strongest, and
they continue to be into this quarter.
Next slide. For the one-year by
strategy, you can see the PRIT Fund in the middle,
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the gold bar, up 9.6 percent net. On the left,
you can see developed international. U.S.
equities and other credit opportunities led the
way.
PCS, which is primarily hedge funds,
also a very strong contributor. And I should
note that hedge funds and other credit
opportunities have the highest risk-adjusted
return in the portfolio for the fiscal year, given
their high absolute return and their low
volatility.
And I've said, and I can't say it
enough, that Bill Li has been extremely
successful upgrading the hedge fund portfolio over
the last several years, while Chuck LaPosta and
Christina Marcarelli from the real estate team
together have really introduced us to the other
credit opportunities bucket, and that's been a
really great addition over the last several years.
On the right, again, long bonds and
interest rate-sensitive asset classes were the
most challenged. And that rounds out the view of
the year. Next slide.
For the year, all major asset classes
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had positive absolute returns. And again, that
was the first time since 2019.
On the left, global equities led the way
followed by PCS, again, hedge funds, and value-
added fixed income, which includes other credit
opportunities.
Private equity up 7.3 percent for the
year and 2.4 percent for the June quarter. That's
its 10th straight quarter of positive performance.
And you can see a little bit the
underperformance in global equities. That's due
to a larger allocation to small cap. And we've
talked in the earlier quarters about the strength
of the Magnificent Seven stocks in the S&P 500,
the large growth stocks. We have a slightly
larger allocation to small cap in our portfolio.
And in international markets, I talked
about the strength of China. Our managers have a
small underweight to China, and that challenged us
a little bit.
Real estate up slightly for the year.
Underperforming slightly for the year primarily
due to non-core assets in some office and life
sciences areas, which are weaker. And I should
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note that the non-core area is quite small. It's
only 5 percent of the total real estate portfolio.
95 percent, which is core properties, did
outperform the benchmark.
And timberland up, but it also lagged
its benchmark, primarily because of exposures we
have in the Pacific Northwest and also off-
benchmark exposures, international exposures,
primarily in Australia and New Zealand. The
benchmark is a pure domestic benchmark. And the
Pacific Northwest, Australia, New Zealand have a
high exposure to Chinese markets, and those are
slightly softer for the year.
Next slide.
This is the fund contribution to return
by strategy. This basically shows the
contribution to total return by strategy. Really
it's performance times its size in the portfolio.
And you can see that U.S. large caps, developed
international equities, hedge funds and private
equity led the way. And together, they
represented 7.3 percent of our 9.6 percent total
return.
And there was only one very minor
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detractor from performance. It's the long-
duration Treasuries that I talked about on the far
right.
Next slide.
9.6 percent one-year return, a very
strong return in a very turbulent market. All
periods well above our goal, which is the
actuarial rate of return, which is currently 7
percent.
The one- and three-year underperformance
is due to that benchmark mismatch that we talk
about nearly every quarter, where we compare the
actual one-year private equity return to a seven-
year smoothed public benchmark plus a liquidity
premium of 3 percent. That's its primary
benchmark.
That benchmark, public markets plus
3 percent, was up 15.3 percent during the year, a
very difficult comparison, especially since
private equity returned 7.3 percent for the one-
year period alone. This reflects the fact that
over the last seven years, the markets have been
very strong.
The seven-year smoothed performance for
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private equity, however, if we were to take an
apples-to-apples comparison, is actually
17 percent. So apples to apples, private equity
is still outperforming its primary benchmark.
The 5- and 10-year numbers, strong. As
you can see, well above the actuarial rate of
return and above benchmark.
Next slide.
We've added this slide because we've
been talking about this private equity benchmark
mismatch for a couple of years now. It adds the
secondary benchmark that I remind you the board
approved way back in 2021. And it uses the State
Street Private Equity Peer Index, also called the
implementation benchmark. It is a more
appropriate benchmark for long-term asset class to
measure against its short-term performance. It
shows that we outperform our peers, which we feel
great about.
And you can see on this slide, we did
leave both the primary and the secondary benchmark
on there.
And I'll end with the quilt chart, next
slide. It shows, number one, that global equity
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has led the way for the one- and three-year time
period. We've talked at great length about that,
and you'll hear more about it today.
Private equity for 5 and 10 years, it's a
long-term strategy, and it's still outperforming
over the long term, doing what we think it should.
Hedge funds, value-added fixed income,
very strong and steady. Again, credit to Bill,
Chuck and Christina's outstanding work in those
areas.
And real estate continues to improve
with a positive one-year result in several
quarters now of at least a bottoming in real
estate trends. Tim will talk more about that
today.
Timberland very steady.
You can take those down now.
MR. FALZONE: All set.
MR. TROTSKY: Thanks.
So as usual, a brief summary of recent
economic news, and the news is flowing at a very
rapid pace. But the U.S. GDP did increase
3 percent in June, rebounding from a contraction
of 0.5 percent in Q1. And that exceeded consensus
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expectations.
However, the rebound occurred mainly
because imports fell 30 percent following a
38 percent surge in the prior quarter.
The positive GDP report was more a
mathematical feature than really a sign that the
U.S. economy is improving. Imports are subtracted
from the GDP calculation to ensure that the GDP
only captures domestically produced goods. In
other words, when imports fall, GDP increases, all
things being equal.
And of course an explanation for a sharp
quarterly decline in imports could be that
increased purchases earlier in the year were being
made to avoid the anticipated tariff-related price
increases later.
Nonetheless, the reported GDP number
was 3 percent growth, even though there are also
some softer components. For example, core GDP
slowed to 1.2 percent as consumer spending and
business investment fell.
Annual inflation rate. CPI held at 2.7
percent in July. That was unchanged from June and
actually below the consensus forecast of
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2.8 percent. Price pressures strengthened for
cars and trucks and transportation services in
general, while food inflation was steady at
2.9 percent. Shelter inflation eased, and energy
prices fell further.
On a monthly basis, the headline CPI
rose 0.2 percent, just below June's 0.3 percent
gain. And that was in line with expectations.
Again, core inflation, which excludes
food and energy, accelerated to 3.1 percent year-
over-year. That's the highest since February
compared with 2.9 percent in June and above the 3
percent forecast.
Core CPI on a month-over-month basis
rose 0.3 percent. That matched expectations and
marked the largest monthly increase in six months
to core inflation.
Recently, the ISM Manufacturing
Purchasing Managers Index declined slightly for
the fifth consecutive month. And U.S.
unemployment edged up slightly to 4.2 percent.
The relatively tame inflation report and
the recent softer employment data increases the
chances of a Federal Reserve Bank interest rate
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cut in September. And that sparked really a two-
day market rally this week.
In other large economies, China. In
China, the GDP growth slowed. Inflation remained
steady, and the People's Bank left rates unchanged
there.
In Europe, GDP increased only
0.1 percent quarter over quarter in June. That's
the lowest reading since 2023. Inflation in
Europe held steady, and the European Central Bank
also left rates unchanged in July.
In Japan, the economy slowed to flat.
No growth in the first quarter. Inflation eased
at 3.3 percent. And its Central Bank also left
rates unchanged.
As you know, the U.S. Federal Reserve
maintained interest rates at their current level
for the fifth consecutive meeting in July, which,
as you've just heard, was consistent with other
large economies. The Fed's actions not to cut
rates continued to draw a lot of dissatisfaction
from the administration. And notably, for the
first time in more than 30 years, two Federal
Reserve Bank governors dissented in the July
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meeting.
Earlier this month, the July employment
report was released, revealing that non-farm
payrolls increased by only 73,000. That was
significantly below expectations.
And additionally, there were very large
downward revisions to both May and June's gains,
bringing them to just 19,000 and 14,000,
respectively.
The report, as you know, prompted a
swift political response. President Trump
announced the dismissal of the head of the Bureau
of Labor Statistics, the BLS. And that's the
agency responsible for the employment data. He
alleged, without providing evidence, that the job
numbers were politically manipulated. And since
then, he appointed a new agency head just last
week, and rumors are swirling that the new head
may be willing to pause the release of any further
data from the BLS. We'll see.
So with that as a summary of recent news
and recent conditions, as you can imagine, we had
a very healthy discussion of current economics and
markets at the Investment Committee. And I would
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say that there are three main points that emerged
that are worth reviewing.
First, the BLS. The non-farm payroll
data and the CPI data, the inflation data, for
that matter, rely on survey results from
participating employers around the country. Over
time, the participation rates and the timeliness
of those responses have declined, making the
revisions to these numbers more common, more
volatile, and the revisions have been larger.
This is not a new phenomenon. It's been
happening for years. And as a result, economists
have always relied on third-party independent
second opinions for data. For example, the
Federal Reserve even relies partly on Indeed.com
job posting data.
Investment Committee member Connie
Everson, who's an economist in her day job,
speculated that second opinions from independent
data providers will become even more important in
the future.
Second, at the Investment Committee, I
thought this was really differentiated and
interesting, we also discussed a historical
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parallel to Brexit as a recent example of a large
economy decoupling from its largest trading
partner. It is now the consensus that Brexit has
had a notable negative impact on the UK economy.
The reintroduction of trade barriers between the
UK and EU has led to a significant decline in
trade intensity, and estimates suggest that Brexit
has reduced the UK's GDP by about 2 to
3 percent.
This reduction is attributed to a
decrease in trade, investment and also migration.
And furthermore, uncertainty around Brexit has led
to a decline in business investment.
Third and last, we did discuss the
impact of recent policy decisions on global
markets and how hard it is to predict what will
happen in the future.
It is unclear whether the large selloff
that we saw in April after the Liberation Day
tariffs were enough to reset market expectations
for good. They might be enough. They might not
be enough. Only time will tell.
In the meantime, we do expect this
bucking bull market to continue, volatility to
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continue. And our investment approach of course
is to stay the course, to maintain PRIM's
carefully constructed portfolio, which really has
served us well in both up and down markets
throughout a long period of time.
So thank you for your attention. And
I'll take any questions, but please be aware that
the asset class heads will also be reviewing
performance in more detail.
TREASURER GOLDBERG: Michael, I do want
to raise one thing that I only caught the tail end
of this morning and wondering if you heard about
it also, which were that there was a surprising
increase in prices that I began to hear this
morning on the news. And I did not --
MR. TROTSKY: I did see that. I think
it was Producer Price Index was up. I haven't
looked at it. Again, we're going to get
conflicting data reports. It's really a mosaic
that we're trying to interpret. We'll look at
that today, but conflicting reports.
I did mention core inflation was up. So
it's not inconsistent with other measures.
TREASURER GOLDBERG: So I just pulled it
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up from Bloomberg. U.S. producer prices rise
by most in three years on --
MR. TROTSKY: Right.
TREASURER GOLDBERG: And it was
wholesale prices rose .9 percent when it was
expected to be .2 percent.
MR. TROTSKY: Right. So we'll take a
look at that.
TREASURER GOLDBERG: All right.
Appreciate it.
MR. TROTSKY: Sure.
TREASURER GOLDBERG: Thank you.
But I'm not the least bit surprised.
MR. TROTSKY: Right.
TREASURER GOLDBERG: Because all the
things that we know that are going on in the
geopolitical environment logically lead to that.
MR. TROTSKY: Right. I agree.
TREASURER GOLDBERG: Are there other
questions for Michael?
MR. BROUSSEAU: Just a comment, Madam
Treasurer.
Michael, and Madam Treasurer, because
you were quoted, it was very gratifying to me to
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see those two very positive articles in
The Boston
Globe this week about PRIM and our returns and
what PRIM has been accomplishing.
And I think you and also our excellent
staff up there should be extremely gratified also
to see these positive articles appear in the
press.
TREASURER GOLDBERG: Thank you, Bob.
MR. TROTSKY: Thank you.
TREASURER GOLDBERG: Any questions for
Michael?
MS. D'AMATO: Yes. Madam Treasurer, a
couple.
The Feds likely, you think, 25 basis
points, if they move at all, Michael, in
September?
MR. TROTSKY: I never like to
predict what the Fed --
MS. D'AMATO: Oh, come on.
MR. TROTSKY: You aren't going to get me
to do it.
TREASURER GOLDBERG: Catherine, you
sat on the Federal --
MS. D'AMATO: I did. I did. Well, I
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don't --
TREASURER GOLDBERG: You're the one
we're going to ask the question of. Not Michael.
MS. D'AMATO: Good point. I do think
that it's --
TREASURER GOLDBERG: I'd ask my mother,
but it would take a long time for me to get the
answer.
MS. D'AMATO: Exactly.
I think it's just so unfortunate what's
occurring, and I think your points are well-taken
about control of data or not releasing data and
the importance on having other sources that we
might be thinking about to rely on.
So I think that's just a question for
you at some point to come back. Like, what would
those other sources be that the PRIM would be
leaning on, if in fact federal data gets locked
down for some reason, which is likely, given these
appointments.
And I just read -- and you may have seen
it, Treasurer -- the executive order on the change
of the way federal grants are going to come and
then the requirements that it -- it's all going to
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be at essentially the pleasure of the
administration, with political appointees to make
the determination. And so it's just getting
tighter and tighter and tighter.
So I think it will be 25 basis points,
Treasurer, if in fact, it's anything. Or we'll
just keep spatting and spitting around in some of
these until he has control of the Fed with
appointments. And that's coming soon.
The private data was the other one.
The GDP, any concern about that? With the 3
percent?Growth of the --
The way that you stated it, if I said it
right, the difference in what it was, even the
month before.
MR. TROTSKY: Yes. I think the
inflation numbers and the GDP are likely to be
somewhat volatile for the next few months or
longer.
And on your original question about the
Fed moves, I've always been of the opinion that
the direction of travel is more important than the
near-term timing and degree of change. So we
think it's pretty clear by now the direction of
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travel is to lower rates. And that's good.
Remember, we're long-term investors, and
whether it happens in July or September and
whether it's 25 or 50 basis points really doesn't
impact what we do. We're long term, and the
direction of travel is more important than the
near-term changes, in my opinion.
On the ultimate sources of data, I can't
remember off the top of my head, but I'll find out
for you and get back to you. But Connie Everson,
for example, did mention a few that you'll
recognize that have been around for a long time,
third-party independent suppliers of data that
economists have been relying on for a very long
time already.
So I felt good hearing that. I think
those sources will become more important. And
hopefully, they can remain independent and third
party.
MS. D'AMATO: I don't have any more
questions, but I do think that -- I know those
data sources just seem other ways in which this
administration is moving to control data will
become -- independent sources will become
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important, yet they will probably be spoken to or
deemed wrong. Use whatever -- I have to find a
nice political word there. That they will not be
seen as legitimate or credible.
And the trust of just the voice of this
administration that all things are good and fine.
This is all just towards greater control.
My last question is just the investment
and that you stated early on in your notes that
more of the pension holders, they're investing
more dollars, and that's part of why we're seeing
the growth.
And have you seen that before? Have you
seen it a different time in the history of the
PRIM? Is this unusual? Is it an outlier? Or
it's common?
MR. TROTSKY: It's been unusual during
my tenure, and it's been happening for a couple of
years now. It started when several clients issued
pension obligation bonds and sent the proceeds to
PRIM. They did that in their own local
jurisdictions. That was when it first got
started.
And it's continued to be the case that
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we gain clients. And they send us more of their
funds, which is great.
MS. D'AMATO: And can you remind me what
percentage of the fund is funded?
MR. TROTSKY: It varies from teachers.
Teachers are lower funded than state employees.
But I believe --
Well, I'm not going to answer. It's in
the 60s for teachers --
MS. D'AMATO: Yes. You can get it to
me --
MR. TROTSKY: It's in the 60s for
teachers and in the 70s for state employees.
Remember, we don't do the benefits here.
MS. D'AMATO: Correct.
MR. TROTSKY: We're not responsible for
that side of it, but there are reasons why one is
more unfunded than the other.
MS. D'AMATO: Thank you.
TREASURER GOLDBERG: Any other questions
from anyone?
Hearing none, we can move on to another
one of Michael's favorite things. Next item on
the agenda is the executive director fiscal year
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2025 performance evaluation and fiscal year 2026
goals and objectives.
And I read the whole thing, Michael.
Bob, you were the coordinator of all of
this. Do you want to make introductory comments?
I'm sure all board members did read it. And I'd
be happy at the end to sum it up.
Bob?
MR. BROUSSEAU: Okay. Certainly. Thank
you, Treasurer.
Once every year by our bylaws, the chair
of the Administration and Audit Committee has a
responsibility of coordinating the annual
evaluation of the executive director. And that is
done of course following Michael's forwarding to
us of his self-assessment, which came to us I
believe about the first week of August.
So we had a very small amount of time to
work on this. And during this period, of course,
the board members -- it goes to board members and
committee members also.
So I always look forward. They can of
course send it to me by email, which the majority
of them choose to. They may phone me, if they
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want to. Or they may fill out the form that is
there which is the discussion guide. And it is
there really for our use for doing our own
evaluation. Or you may use it as your evaluation
and forward it to me.
But I think very importantly, it is used
for you to contact Michael and to discuss the
evaluation in that order. So he enjoys speaking
with the board members if there are any specific
questions regarding his achievement.
I would say first of all, I would like
to start by again congratulating Michael again.
My opening comments of this that Michael of
course was hired by PRIM on August the 10th, I
believe, 2010. So as of last week, Michael was
observing his 15th year as the chief executive
officer and two years after that, the chief
investment officer of this fund. That's 15 years,
and they have been 15 amazing years.
The first two years presented their
problems as Michael saw what had to be done, and
we worked quite hard. I know I was on the
subcommittee with Michael and other people as we
worked to improve staff functions, improve
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compensation and do the things that were necessary
to move into the modern era as far as public
pensions were concerned.
So congratulations, Michael. And I say
thank you for your leadership.
We saw continued growth, as you heard in
Michael's reports today, so I'm not going to be
redundant and do that over again.
Every year when we get this, the number
that I receive -- and I think it's good for you to
hear this. I did receive 14 evaluations from
board members, committee members. And of that, I
believe four of you forwarded the discussion
guides, your evaluations on them.
And I had two telephone calls. One
telephone call was probably a little bit of
gratification, as well as personal frustration.
He says, "Bob, in all the years I've been doing
this, I have now run out of superlatives in
describing Michael and what he has accomplished
here at PRIM. I don't know what to say other than
what we have used the last few years, which is of
course outstanding."
And I would say again that term appeared
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throughout all the evaluations that I received.
But in doing this, a little bit of
nostalgia here. When these evaluations took
place, every single year that I did these,
Michael's evaluation appeared on one day. By that
afternoon, the first evaluation that I had in my
computer was that of our former colleague Paul
Shanley.
And I know we lost Paul this February,
but he was always the first. And he was so
lauding of staff, of Michael, especially the
staff. He described our staff on several
occasions in different years that we had a staff
that was second to none in the public pension
industry in this country. And he said it was due
to strong leadership that Michael was carrying
out.
So I just wanted to mention that because
Paul was a very close friend of ours also.
Going on, of course a lot of the things
that Michael mentioned of course, he's already
said. I'm not going to repeat them. You can read
them in his self-assessment.
But there's one thing I do want to read.
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We all know that earlier, of course, that Michael,
The Allocator, With Intelligence last October
granted Michael a Lifetime Achievement Award for
his work at PRIM and in the industry over the last
14~years that he had been here.
I just wanted to read one thing, an
excerpt from Michael's acceptance speech. And I
think it puts into context what his evaluation
looks like this year. And I just want to read
this. It's not a long paragraph at all, but I
think it's applicable.
Michael said at this event in October of
2024, "I took the helm of PRIM in the aftermath of
the global financial crisis, and it was
terrifying. It was also after Bernie Madoff, yes,
Bernie Madoff, and that the trust in the
investment management industry was at an all-time
low. PRIM's performance had faltered, and there
was a lot of staff turnover. I had never worked
in government. That was also terrifying.
"But from day one, I always had a very
clear vision of what I wanted to accomplish at
PRIM. I knew that if I could do these four
things, PRIM would thrive. And number 1, I wanted
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to surround myself with experts, and I wanted to
keep them for a long time.
"Number 2, I wanted PRIM staff to do
their own thinking. Number 3, I wanted to
encourage risk-taking and establish a culture
where it was okay to fail. Four, I wanted to
ensure that PRIM maintained its own investment
authority and was independent and autonomous."
And I think that summarizes quite well
what Michael has done in the last 15 years he has
been here.
And the evaluations that came from
members of the board and committee members, they
take a great deal of time to do these evaluations,
and I thought you might like to hear some of them.
And I jotted at least a comment from each person.
This comment stated, "The steady
increase of the PRIT Fund in fiscal '25 adding
over $10~billion despite a bucking bull market" --
a term that Michael used today -- "the 2025 second
quarter all-time high fund balance of
$115 billion, negligible PRIM staff turnover
indicating insightful leadership from the top, the
continued diversification of the PRIM staff and
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continuing national recognition of PRIM and of
PRIM staff for excellence, including Michael
himself."
Going on, in another one here -- and you
can excuse my arthritic hands in moving some of
these things that I have here. I'll get to them.
Another statement stated that "I
continue to be amazed at the quality of people
that we have at PRIM and the high esteem and
respect they all have for Mike. I am also
consistently impressed by the loyalty and care
Mike displays for our employees. Mike's ability to
create this culture and environment is superb and a
huge asset to all of us at PRIM."
Also in the same person's evaluation
stated, "Since I like to be evenhanded in my
analysis, let me point out that our large
commitment to private markets dragged us down a
bit this year. It is important to recognize this
since for many years, it was a boost for our
performance. Nevertheless, our portfolio was well-
balanced, and we did not suffer from the
illiquidity problems that hit many other players
in this area."
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Another comment that I saw here says,
"The indefatigable work ethic and objective
unconflicted approach sets the tone for his whole
team to strive for excellence. For these reasons,
I would rank him a four, outstanding, on all the
seven metrics mentioned in the discussion guide
that you sent to us."
Another comment stated, "First and
foremost, I would like to highlight the
discussion guide number 3 prompt, the executive
director inspires confidence and trust. Michael
scores an outstanding on this from me and should
for all the beneficiaries of the fund, the board
and the staff. The times we currently face are
the most difficult times, causing the most
volatility in the markets, yet our fund compared
to our peers scored almost 2 percent higher with a
final of 10.9 percent for overachieving
expectations."
It says, "His prudent and consistent
plan for asset allocation during these times has
insured us against risk by staying the course,
managing risk and keeping the staff diversified."
These go on. There's a comment from
each. "I'd like to say also Michael has
continued
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to exhibit strong leadership for the organization,
combined with a focus on the longer term. I
particularly note the importance of selective
additions to the private equity team in recent
years that I recognize has been understaffed
relative to some other similar organizations."
I have a comment. "I believe Michael
continues to demonstrate exceptional leadership.
He's played a central role in fostering a high-
performing and values-driven culture at PRIM."
Going on. "Michael has built a very
strong, lean and notably he has retained his full
staff over the past year, which is a testament to
his leadership and the culture he's created."
"He is energetic, enthusiastic and does
demonstrate a strong commitment to the mission of
PRIM. Michael has been able to achieve good
organizational stability. That is a basic
requirement for anyone in his shoes, and he should
be commended for that."
And I see another one here that "Michael
is an excellent leader and manager of the PRIM
team and provides innovative and sound strategic
management of the PRIT Fund. He has assembled and
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maintains an investment team that is strong and
the best in the country and consistently
demonstrates excellent investment judgment."
And on the same evaluation stated -- and
this one here, I know would mirror some of what
Paul Shanley would say. "In summary, Michael
continues his performance as an outstanding ED/
CIO, and as I have said in the past, PRIM staff,
committees, the Board, beneficiaries and
especially the taxpayers of the Commonwealth are
very fortunate to have such a dedicated,
intelligent and thoughtful leader."
I think that probably concludes some of
the comments that people gave. And I know part
of this process -- and I could go through all, but
Michael mentioned all of them. The awards, like
the GFOA award this year for financial reporting.
This is the 20th year that PRIM has received this
award for our financial reporting. It is our
annual report to the stakeholders. That, I think,
is noteworthy of seeing.
The fact that private equity was on a
rebound these last 10 quarters, as Michael
mentioned. The diverse managers, the FUTURE
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Initiative. The continued diversification of
assets, which is a big reason for our successes
here at PRIM. And the retention of staff. All of
these are indeed very, very important.
Finally, I would like to add a few --
these are my comments, the last ones that I made.
But in conclusion, results speak for themselves.
And, Michael, I would like to let you
know that I believe that this is your legacy, and
legacy is very important in this business and
everything we do in life. And your legacy here at
PRIM I think will long outlive you.
Other than being referred to as the
miracle on State Street, you have done a superb
job in leading this organization and putting us, I
would say, at the top of the public pension
industry in the Commonwealth of Massachusetts.
So I guess my only final comment would
be in the words of the indomitable Winston
Churchill during the depths of World War II, 1940,
as Britain stood alone against the Nazi attacks,
his comment was "Keep calm and carry on." And,
Michael, I urge you to keep calm and carry on.
And, Madam Chair, that concludes my
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comments. And I don't know if any other members
of the Board would like to make comments on
their own, or I know you would want to probably
summarize with your comments also. And we look
forward to hearing what you're saying and any
comments from Michael.
Thank you.
TREASURER GOLDBERG: Bob, you really
didn't leave room for very many more comments.
And Dennis is nodding and chuckling, as are
others, along with me.
At this point, Michael has turned beet
red. Right, Michael?
And so I think what I would like to just
conclude with~-- I would like to let other
members of the Board comment if they so choose. I
certainly don't want to cut off anyone. However,
we do need to also discuss the fiscal year '26
goals and objectives to be included in that
conversation.
And so other Board members, do you have
anything to add to what Bob said? Or should I
just summarize up?
I guess you all agree.
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MR. BROUSSEAU: I hope I didn't take
away anybody else's thunder.
TREASURER GOLDBERG: Well, you could
have divided it up a little, some of the comments,
to other people.
MR. BROUSSEAU: I just had to coordinate
what was said so I tried to pick something from
everybody in fairness to all the Board people who
put this amount of time, that it took me a couple
of hours to read his self-assessment.
TREASURER GOLDBERG: Mark, did you want
to add something? Because you popped up.
MR. LAPMAN: No. I just said Bob did
very well in summarizing all of it, and I
certainly agree with what I've heard.
TREASURER GOLDBERG: Okay. So I think I
want to repeat a little of what I said last week
at -- I believe it was at the Admin and Audit
Committee meeting in that in these times, we are
challenged a great deal more by those who
potentially really don't understand how we operate
and have at times a myopic view of the fund and
don't understand it in the context of the greater
pension world and in the greater world.
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And so I shared that two weeks ago, I
was with a bipartisan group of people, maybe three
weeks ago now, where I was the chair of the
National Institute of Public Finance.
And in this group and from a wide range
of perspectives, and this was a scholarly
certificate program, so this was not any kind of
political event, it was stated publicly that Mass.
PRIM is the gold standard and that the way in
which we operate and the way in which Michael
leads -- and I could quote some of the things they
said about me. I won't. This isn't about me.
However, the overall blend of
understanding fiduciary duty, for staying the
course, for developing strategies and for
implementing them while being able to be forward-
thinking and executing that kind of forward-
thinking while incorporating it into understanding
that at the end of the day, we have a fiduciary
duty to our beneficiaries is unique.
The word that was used is -- I was asked
how do we do it and how do we coordinate those
kind of strategies.
And so I just wanted to share that today
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because we are unique. The word "unicorn" was
used. And I feel that people should recognize and
understand, and in particular many of our
beneficiaries, that we have continuously through
ups and downs and volatility been able to continue
to fill the bucket with water, losing a lot less
from the bottom, and that we are on track with
very well-understood in terms of risk versus gain,
with fabulous researchers, with extraordinary~--
we're able to negotiate tremendously well with our
managers. Project SAVE from the beginning has
done exactly what it was meant to do.
And that the only thing that we will
continue to do, and I think this is what Bob said
at the end, is what Winston Churchill said. We
are in that kind of environment. And there is no
one else I'd like to see leading it than Michael
Trotsky.
And as I read through the 2026 goals and
objectives, which is a voting item that we will
vote on shortly, it is exactly that. Take a deep
breath. Stay the course. And staying the course
means that we are constantly evaluating what's
going on around us, but not overreacting. And
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that's one of the key moves. The market
overreacts all the time. We don't.
So with that, I'm done with my comments.
I don't know if anyone else wants to add to it.
Michael, you've been very quiet.
MR. BROUSSEAU: Treasurer, just one
thing. I look back, Michael's first fiscal year
here was fiscal year '11, and our fund just
reached $50 billion. Here we are, just 14 years
later, and we are at $115.4 billion. So obviously
something is working.
TREASURER GOLDBERG: Well, I actually
used that -- I didn't use Michael's first year. I
used my first year when I said this to someone
the other day. I said it was $57 billion when I
arrived, and it's $115 billion.
So thank you, Bob.
And, Michael, unless you want to say
anything, I can move on to the voting item.
MR. TROTSKY: I'll just be very quick.
Thank you, Treasurer, for your kind
words and your support over the years. And all of
this happens with you as our chair, and you know
you and I have a great working relationship. Your
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team and our team also have a great working
relationship. That is in no small part reason for
our success. So thank you for that partnership.
Bob, as always, fantastic job. I really
appreciate everything you do. And I was very,
very touched by the Paul Shanley mention, which is
a terrific touch.
And really owe thanks to the staff, who
perform at a very high level year after year.
We're a team that enjoys being successful, enjoys
working together in person, and enjoys uncovering
new exciting investments that all support the very
crucial mission that we all think about every day.
That's to fill the bucket, to solve the unfunded
liability, Catherine.
That's what we're all here to do so that
300,000 or so beneficiaries can enjoy the
retirement benefits that they've earned. So
that's our mission that we never lose sight of.
And I thank you for this opportunity to
lead this organization and this mission. It's
been a real joy.
And in terms of lifetime achievements,
I've had two awards now, but I think I have plenty
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in front of me. I'm not done yet and love being
here.
So thank you very much for the
opportunity, the confidence and the review. Thank
you very much for that review. It's heartfelt,
and I appreciate it.
TREASURER GOLDBERG: Thank you, Michael.
So with that, I would seek a motion that
the PRIM Board approve the Administration and
Audit Committee's recommendation to approve the
executive director's fiscal year 2026 goals and
objectives attached as Appendix E of the expanded
agenda, and further to authorize the executive
director to take all actions necessary to
effectuate this vote.
Is there a motion?
MR. NAUGHTON: So moved.
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Second?
MR. LAPMAN: Second.
MR. BROUSSEAU: Second.
TREASURER GOLDBERG: Thank you.
Questions or comments?
Okay then.
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MR. BROUSSEAU: Does Michael have any
comments to make? I don't know.
TREASURER GOLDBERG: Bob, we have all
our comments.
MR. BROUSSEAU: I know.
TREASURER GOLDBERG: We're going to
vote.
MR. TROTSKY: I usually do give a
synopsis --
TREASURER GOLDBERG: Oh, you do.
MR. TROTSKY: -- of this.
TREASURER GOLDBERG: Oh, oh, oh, okay.
All right.
MR. BROUSSEAU: He has been before the
Admin Committee, but has not gone before the
Board for his comments.
TREASURER GOLDBERG: All right. Okay.
MR. TROTSKY: Yes. So, Treasurer,
you'll like this. I mean this falls in the
category of putting what we just talked about
behind us~--
TREASURER GOLDBERG: And moving on.
MR. TROTSKY: Yes. In the words of Bill
Belichick, "On to Cincinnati." What are we going
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to do next year? Right?
So approval of my 2026 goals and
objectives. This is what we're going to do next
year. And those goals and objectives are in
Appendix E. They're very consistent with last
year and include completion of our annual plans,
which were reviewed with each committee and board
earlier in the year.
Again, they're really a continuation of
the work we are already doing. But as always,
every year, I do provide a few updates, and I'll
try to be brief.
First, one of the most important
perennial goals on those goals and objectives I
have really is number 2 on goals and objectives.
And it's to ensure that staffing levels,
organizational structure and core competencies
are appropriate. That's number 2.
And for the past several years, we've
been adding staff quickly. Four to six employees,
new employees, per year on average has been our
pace.
But you may have noticed that we only
hired one new full-time employee in fiscal year
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2025. This was by design because we believe for
now, we are approximately appropriately sized. We
have 61 full-time employees and between two and 10
seasonal interns on staff throughout the year.
We really don't anticipate growing our
numbers materially in 2026.
And moreover, really, this is another
fun fact. We are proud to be the leanest pension
fund in the country in terms of employees per
assets under management with approximately 61 full-
time employees on both the investment team and the
finance and operation teams together.
So in the interest of time, I'll only
highlight a few of the newer initiatives.
In public markets, the team seeks to
identify some complementary active U.S. equity
managers. And in other credit opportunities, we
want to continue to grow that by adding additional
managers. In other credit opportunities, we'll
also be open to some co-investments there that
come with a better fee structure and give us a
little concentration of exposures.
In private equity, the team will enhance
our venture capital portfolio by developing
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structures targeting smaller and more difficult-to-
access managers. Helen and team have done a great
job in identifying managers that we previously
didn't have access to.
Private equity will also continue to
evaluate the ever-growing secondary markets
opportunity that we haven't really fully utilized
extensively in the past.
In real estate, the job is to further
refine the sector and geography ranking model,
which helps the team. And that was developed
together with the research team last year. The
real estate team is also focused on exploring
enhancements to their investment manager
evaluation and sourcing processes.
In PCS, which again includes hedge
funds, they'll continue their multi-year effort to
source new high quality partners and investment
opportunities in both stable value and directional
hedge funds and while they're also of course
executing an orderly exit from select legacy
investments in those areas.
The risk team will continue to enhance
analytics and performance attribution for private
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equity to incorporate different views, lenses and
exposures. The team will also complete the
transition to a new risk management platform,
which you'll learn later in the year is likely to
save a lot of money, and incorporate the liquidity
study results into our asset allocation and asset
class decision-making processes.
The main goal of research this year will
be to refresh the currency hedging study. That's
a study we do periodically and that we last
completed several years ago.
In operations, we're continually
striving to strengthen our cybersecurity
protocols. There have been some clients that have
been breached in the last two years. Not us. Not
PRIM. Some of our clients have been breached.
And in 2026, we plan to expand the
capabilities and functionality of PRIM's secured
client portal, to include cash instructions. That
should help our clients.
And in investment operations, the team
will look to enhance the PRIT Fund's tax reclaim
services. This falls in the category of
maximizing every asset we have, and every monetary
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claim is an asset. It's our duty to maximize each
claim. And this new tax reclaim services approach
will enhance the amount and the speed at which our
dividend reclaims are recovered, especially from
foreign markets.
And last, topical these days, a goal in
all areas of our organization last year was to
explore applications of artificial intelligence.
And we have spent a lot of time learning about
artificial intelligence.
In fiscal year 2026, we will move the
adoption of AI further into our organization. And
we are very excited about the opportunities that
AI provides, but we're mindful of its risks.
I'll remind you that in fiscal year
2025, we focused on establishing governance,
providing PRIM staff with tools and policies to
promote the ethical and responsible use of
artificial intelligence within PRIM.
We just recently successfully rolled out
Microsoft's AI tool, Copilot, integrated with our
office and Microsoft IT structure. And we rolled
out Copilot to a small pilot group within PRIM.
I'm one of those pilot users. And we are busy
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identifying and discussing several use cases.
The next step is a firm-wide rollout of
Copilot, with a focus on training and workshops to
foster collaborations and develop a pipeline for
innovative use cases. Each team will evaluate AI
tools or products that can enhance their business
processes. We'll talk about them. We'll review
every use case before they're employed. But we
are moving quickly and carefully.
And I hope we can soon provide a webinar
to each of you, to the board and committees, which
gives you a glimpse into our exciting new use
cases for artificial intelligence.
I'm extremely impressed by the
capabilities of AI for our purposes and its
potential to significantly improve our
productivity. And the opportunities, I believe,
are nearly boundless. So exciting new work in AI
is happening here.
So with that, that's a summary of my
2026 goals and objectives. I'd take any
questions. And of course I've heard from many of
you on these already throughout the year, but
happy to move on with the agenda, Treasurer.
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Are there any questions?
MR. BROUSSEAU: Thank you, Michael.
Just a comment.
TREASURER GOLDBERG: Oh, I'm so sorry.
I didn't realize~-- I was talking, but I was
talking to myself.
Any questions or comments before we take
the vote?
MR. BROUSSEAU: I just noticed that on
my computer for the last several months, they have
put Copilot on. And it completely befuddles me.
I'll need Tony's knowledge, get me to get into
this, but it is new and difficult.
MR. FALZONE: Anytime, Bob. Anytime.
TREASURER GOLDBERG: If there are no
other comments besides Copilot, I think that we
will move to the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MR. FALZONE: You're on mute, Ruth
Ellen.
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MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes, with enthusiasm.
TREASURER GOLDBERG: Carly?
MS. ROSE: Also an enthusiastic yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
Okay, Michael. You're off the hook now.
Not off the hook for performance, goals or
accomplishments.
MR. TROTSKY: On to Cincinnati.
TREASURER GOLDBERG: On to -- well, no.
Belichick is not my favorite. I like the other
quotes.
MR. TROTSKY: All right. I'll stop
using him.
TREASURER GOLDBERG: He's not my
favorite. He's a disappointment. So we'll find
somebody better.
MR. TROTSKY: All right. My apologies.
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TREASURER GOLDBERG: No. It's not --
MR. TROTSKY: Living in the past on
that.
TREASURER GOLDBERG: Yes. I get that.
And I'm sure what brought it back was seeing the
Brady statue.
MS. FITCH: Oh, gosh.
TREASURER GOLDBERG: Anyway. All right
then.
Moving right along, the next item on our
agenda are our investment reports. We're
starting with public markets. And that will be
Mike -- the next Michael.
And we will do a performance summary,
and then we have a voting item with other credit
opportunities.
So take it away, Michael.
MR. McELROY: Thank you, Madam
Treasurer, and good morning, everyone.
I'm Michael McElroy, director of public
markets.
We've talked a little bit about the
environment. I'll just cover the environment and
performance in the second quarter of this year and
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then the full fiscal year ending June.
As we've commented on, there were
certainly wide equity swings in the second
quarter with the markets falling between 8 and 11
percent in those first few days of April, kind of
right after the initial announcement of the tariff
rates.
The postponement of the implementation
led markets to really roar back with enthusiasm.
Non-U.S. markets finished stronger than the U.S.
market in the second quarter with returns, as we
noted before, in a range of 11 to 12 percent
across the different regions. And so from the
early part of the quarter to the end, just quite
a wide swing.
For the fiscal year period, the global
equity returns, 15.2 percent developed non-U.S.
stocks led the way, about 19 percent returns for
those stocks. And the U.S. and emerging markets
were in the 14 to 15 percent range. So very good
absolute returns for global equities in the year
and the quarter.
Growth-type stocks tended to be the
strongest across both periods compared to value or
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the more kind of inexpensive stocks. So the
growth tended to dominate.
On the bond market side, certainly not
the same excitement as equities, but they continue
to do their job as really a great diversifier
within the public markets portfolio. Core bond
returns were about flat in the second quarter.
Our value-added bonds delivered slightly better
than a 2 percent return in the quarter.
For the full fiscal year, core bonds up
about 4 percent. Value-added bonds about
9 percent.
Bond yields didn't move much in the
second quarter, and credit spreads did narrow
slightly. For the full year period, rates fell at
the shorter end and rose slightly at the longer
end of the yield curve. And the credit spreads
did narrow for the full year as well.
Mike Trotsky mentioned the Magnificent
Seven stocks, and we've discussed these stocks
over the past year, really kind of noting their
size and the strong performance relative to other
U.S. stocks. And they've really been a key driver
of the U.S. market returns over the last few
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years.
You know, really these seven stocks that
make up the Magnificent Seven are really in a
class by themselves across many different
dimensions.
They continue to deliver a very
meaningful portion of the U.S. equity market
return. Just these seven stocks alone delivered
about a third of the fiscal year return of the S&P
500 with the other 493 stocks delivering the other
two thirds. So really concentrated at the top.
As these stocks have continued upward,
their prices have risen obviously, and they've
risen relative to the earnings that they deliver.
So this ratio is now over about 30~times next
year's expected earnings. And just to put it in
context, just for these stocks, that's really
higher than the valuation ratios were for the
largest tech telecom bubble in the very late
1990s.
With that being said, these stocks also
account for about half of the research and
development spending within the S&P 500. So these
companies are investing to maintain their
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competitive edge and really to kind of keep
themselves in the position that they're in.
And I think interestingly, just from a
size perspective, two of these stocks, Microsoft
and NVIDIA, each of the stocks are now larger in
capitalization than most countries' entire
capitalizations in our global benchmark with the
exception of Japan. And these two stocks are
actually getting close to the size of the overall
Japanese market. So quite large, just in terms of
the amount of capital that is flowed into them.
So as noted earlier, not having a full
exposure to these stocks and their market
influence has impacted our recent global equity
results.
So kind of with that background, the
equity results for the PRIT Fund in the second
quarter slightly lagged our benchmarks, whereas
our bond investments performed in line to slightly
better than benchmarks.
Just as we discussed last quarter,
global equity underperformance was really impacted
by a couple of things. The domestic equity
portfolio allocations, so this is the smaller
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stocks, not performing as well as these large
stocks, these Magnificent Seven stocks, along with
the smaller cap managers just having difficulty
outperforming their own benchmarks in the second
quarter.
And then manager underperformance in our
emerging markets portfolios. Michael Trotsky
mentioned the China positioning. China was a very
strong market, and our managers generally have
been slightly underweight China for different
reasons.
So these same influences contributed to
underperformance in global equities for the one-
year period, whereas for the bond investments
over the 12 months, both core and value-added
fixed income outperformed our benchmark.
And within value-added emerging markets
debt and our credit managers, the other credit
opportunities that we talked about earlier
performed very well for us.
Just from a fundamentals perspective,
companies continue to deliver both strong revenue,
so kind of top-line as well as bottom-line
earnings growth. Profit margins continue to
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remain high.
I would say, though, tariff
uncertainties not eliminated. I think market
expectations at this point seem to indicate that
proposed tariff levels that are known right now
are manageable for companies, but this could
impact margins going forward, if companies need to
kind of take some of this impact in pricing, which
could impact their overall earnings.
We hear from our managers that
fundamentals aren't being rewarded as they would
expect. Lower quality, higher risk companies have
been the best performers in many markets that we
invest in.
We continue to monitor this closely,
along with our risk team, as risk management
really is a top priority for us in terms of how we
think about this portfolio as well as how our
managers manage the individual mandates that we've
given them.
So just in closing, public markets
portfolio delivered mixed results over the last
quarter and the last 12 months. Equities lagged
our benchmark slightly. Fixed income
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outperformed. We remain very well-diversified
across geographies, styles, sectors, asset
classes.
And as noted, this has weathered many
different market stress periods just over the last
year. The aggregate risk of the overall equity
and fixed income portfolios is low. And our
managers have really continued to deliver a good
long-term benchmark relative value-added.
So with that, I'm happy to take any
questions on the public markets portfolio.
TREASURER GOLDBERG: Questions for
Michael?
Not hearing any.
Okay then. We can go on to the next
item, which is a voting item. So I'm going to
begin that with a motion and a second.
And then who will be presenting?
MR. McELROY: That will be Chuck
LaPosta.
TREASURER GOLDBERG: That's what I
thought. Just always double-checking.
I seek a motion that the PRIM Board
approve the Investment Committee's recommendation
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to approve a commitment of up to $250 million to
Blue Owl Custom Asset-Based Finance Fund as
described in the expanded agenda, and further to
authorize the executive director to take all
actions necessary to effectuate this vote.
Is there a motion?
MS. McGOLDRICK: So moved.
TREASURER GOLDBERG: Second?
MS. D'AMATO: Second.
TREASURER GOLDBERG: Thank you.
Chuck.
MR. LaPOSTA: Great. Thanks. Good
morning, everybody.
Chuck LaPosta, director of fixed income.
And I'd like to start with a summary of our OCO
portfolio. We've certainly spoken about it a few
times already. It's been a high-performing
portfolio allocation for us.
Currently, OCO represents about
2 percent of the PRIT Fund. OCO's targeted returns
of 8 to 12 percent with limited volatility would
generally plot in the upper right quadrant of an
efficient frontier chart of credit investments,
above liquid credit options like high-
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yield, bank loans and emerging markets debt.
OCO is largely comprised of privately
originated or bilaterally negotiated credit, with
about 20 percent in corporate credit, 40 percent is
in real estate-backed strategies across
commercial and residential properties, and the
final 40 percent is in structured credit, which
includes an alphabet soup of investment acronyms,
including ABF or asset-based finance strategies,
like the one being recommended today.
We use the term "structured credit" to
describe the category of investments that takes a
collection of loans and creates new structures or
tranches which carve up different slices of risk
and return for various investors.
Asset-based finance can cover a wide
swath of collateral types. For our purposes, it
is limited to investments backed by loans against
hard assets like cars, planes, solar panels or
business equipment, or financial assets like
consumer receivables or business installment
loans.
Blue Owl is a significant player in the
asset-based finance base, having recently acquired
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Atalaya Capital Management, which has been solely
focused on asset-based finance for nearly
20 years. All of the leading investors from
Atalaya have joined the Blue Owl team and continue
to invest and build their business along the
broader Blue Owl platform.
PRIM has an existing relationship with
Blue Owl, and this customized asset-based finance
recommendation will be added to our existing
fund-of-one structure. 200 million will be
invested into their asset income fund complex,
which lends to specialty finance platforms and is
secured by diversified pools of short duration,
self-amortizing assets.
Blue Owl often takes a mezzanine
position within the structure with originator
equity below them to absorb credit losses and a
senior lender above them to provide a lower cost
form of financing.
The remaining 50 million of our
commitment will be invested alongside certain
asset-based finance-like investments from Blue
Owl's opportunistic asset strategy.
These investments will have similar
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collateral to that in the asset income fund but
will likely be in the form of asset purchases,
which may carry more credit loss exposure or a
higher degree of complexity, which leads to higher
expected returns.
Blue Owl has a variety of sourcing
options, but most of its deals are sourced
directly by their investment team, and many
transactions are with repeat borrowers. Blue Owl
uses deal structuring, asset management and data
science to not only support and protect their
investment, but also to build a moat around their
lending relationships, which creates a cost-
effective way to recycle capital with their
preferred partners with less threat from
competition.
Blue Owl has made over 240 loans since
its inception and has generated returns that land
well within our targeted range for OCO, with
minimal losses due to credit events. Importantly,
Blue Owl underwrites transactions to a combination
of the worst experience of each originator, as
well as within the experience of the global
financial crisis to provide a measure of
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protection against future deterioration in
consumer credit.
We are excited to expand our
relationship with Blue Owl. And with that, I will
open it to any questions.
TREASURER GOLDBERG: Are there questions
for Chuck?
MR. NAUGHTON: I have a question, Madam
Treasurer.
Good morning, Chuck.
And this is a naive layperson kind of
question, but given the characterization of the
bucking bull economy that we're going to be
looking at for the foreseeable future, on this
particular investment, how would you characterize
risk under the circumstance of what we're looking
at going forward with the bucking bull?
MR. LaPOSTA: So there are a few risks
to consider, and some of them may counteract each
other.
So this is a fairly broad opportunity
set, mostly in consumer and corporate exposure,
but it has assets supporting the investments and
structural elements that will protect it. So it
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will certainly experience volatility with any
bucking bull economy or markets.
But I think the way that these
investments are structured provides certainly
protections or volatility limiters to make that
buck a little bit of a smoother ride perhaps in
this environment.
They're also fairly short in their
exposure, so they kind of self-liquidate, self-
amortize so there is very little kind of time
horizon that you need to concern yourself with
when investing. And by little time horizon, it's
relative. Everything is in relative terms.
It's a couple years, possibly six months to two
years generally.
MR. NAUGHTON: Thank you.
MR. LaPOSTA: You're welcome.
MR. LAPMAN: May I ask?
TREASURER GOLDBERG: Yes.
MR. LAPMAN: How do you think this
investment would perform in a kind of average
recession period that lasted a year or two?
MR. LaPOSTA: So I think that there
would be payment delays, delinquencies and things
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like that in a recession, as one would typically
expect, that may limit the IRR of this investment,
given that the timing of it would be elongated.
But it would unlikely lead to any
material credit impairment because of that
because, again, the way the structures are created
and the way they are stress-tested, typically
there is originator equity behind that. So losses
get absorbed by the originators and not by the
lender, which would be Blue Owl and PRIM in this
case.
TREASURER GOLDBERG: Any other
questions?
Okay. Then we have a motion. We have a
second. We'll proceed with the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
I'll come back to you, Ruth Ellen.
Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
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MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
MR. LaPOSTA: Thank you, everyone.
TREASURER GOLDBERG: Thank you.
Okay. Moving on, we are at portfolio
completion strategies. Bill Li will give us a
performance summary, and then we will have one
voting item, which will be other credit
opportunity -- no. Sorry. Issuance of a request
for proposals for portfolio completion strategies
and other credit opportunity advisory services.
Bill?
MR. LI: Thank you, Madam Treasurer.
And good morning, everyone. This is Bill Li,
director of portfolio completion strategies, or
PCS.
Before going into performance, which
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were excellent numbers, I want to first give a
shout out to my team: Ethan Spencer, Liu Liu,
Eleni Klempner and Joy Seth. Thanks to everyone's
hard work and the range of perspectives we brought
to the table, I really think we've delivered one
of the strongest outcomes among our peers.
And back to performance. I'm happy to
report PCS concluded the fiscal year with a
strong 11.6 percent, about 400 basis points ahead
of benchmark. And PCS is predominantly hedge
funds. PRIT hedge funds rose 12.7 percent.
Against the peer funds, performance was similarly
strong, with our program outpacing both strategic
benchmark and peer fund benchmark by over 450
basis points.
And to pull back the curtain, we are
seeing decent dispersion across the portfolio.
Stable value funds generated high single digits,
while directional funds returned in the high
teens. These results barbell to a low teens
return at the hedge fund program level. We
continue to favor this barbell approach with a
prudent tilt towards stable value.
And in terms of risk-adjusted return,
the ratio climbed to 2.6 times, meaning for every
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unit of volatility risk, we are generating
2.6 units of return. Equally important, the total
hedge fund program's equity beta remained below
0.2, which speaks volumes about its uniqueness.
It's also worth noting that we've been
proactively pulling weeds and reinforcing the
garden fence. We've worked very closely with the
ops team to improve cash efficiency, and we
partnered with risk and legal to guard against
potential pitfalls.
I feel I cannot stress this enough: A
lot of work is happening behind the scenes,
efforts that don't show up in the numbers but are
integral to our long-term success.
All in all, we believe we are running
one of the most effective and well-oiled hedge
fund programs in the country, delivering strong
outcomes while remaining operationally robust.
And as always, our goal is to fulfill the team's
dual mandate of return and diversification with a
constant focus on getting better every day.
And with that, I'm happy to address any
questions you may have.
TREASURER GOLDBERG: Are there questions
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for Bill?
I just want to congratulate you because
I can flash back five or six years ago when this
strategy was not even close to as effective as
what you've been able to work our way out of and
work our way back into over these years.
So congratulations to you and your
entire team.
MR. LI: Thank you, Madam Treasurer.
Your and the board's support means a lot to us.
TREASURER GOLDBERG: Well, you've got
it.
So the next item, if there are no
questions, is a voting item. And I'm going to
seek a motion and a second.
And then, Bill, remind me please who
will be presenting.
MR. LI: My colleague Ethan Spencer will
be presenting.
TREASURER GOLDBERG: Right.
And every time you say Ethan's name,
it's so close to Evan, my son's name, and people
call him Ethan by accident so I always should
remember that.
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Okay. I seek a motion that the PRIM
Board approve the Investment Committee's
recommendation to approve the issuance of a
request for proposals for portfolio completion
strategies and other credit opportunities advisory
services, as described in the expanded agenda, and
further to authorize the executive director to
take all actions necessary to effectuate this
vote.
Is there a motion?
MR. BROUSSEAU: So moved.
MS. FITCH: So moved.
TREASURER GOLDBERG: Is there a second?
MS. D'AMATO: Second.
MS. McGOLDRICK: Second.
Okay then. Ethan.
MR. SPENCER: Thank you, Madam
Treasurer.
And yes. Again, this is Ethan or Evan
Spencer, whichever you prefer.
TREASURER GOLDBERG: No, no, no.
By the way, he's the one who only gets
called the wrong name. For some reason, people
like Ethan.
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Don't give up your name so fast.
MR. SPENCER: No, not yet. I'm not
ready to yet.
And I am a senior investment officer in
the PCS group.
And we're asking today for the approval
to issue an RFP for advisory services on both the
portfolio completion strategies and other credit
opportunities portfolios.
As a bit of background, our original
advisory contract was initiated on July 1, 2019.
That contract had an initial five-year term with
two one-year extensions. And so we are currently
operating on the second one-year extension, which
expires on June 30, 2026. And as such, we need to
issue a new RFP to begin on July 1, 2026.
I would note that the RFP will be
written so as to allow vendors to bid on advising
just the PCS portfolio, just the OCO portfolio or
both portfolios, to allow for maximum flexibility,
synergies and potential cost savings.
And also intuitively, it makes sense to
include both under one RFP because in all
likelihood, the vast majority of advisors that bid
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on one of these mandates would also likely bid on
the other, given the similarities and overlaps
between the types of managers and approaches that
are hired within each mandate.
So that's really it on the background
and what I have. And happy to answer any
questions, if there are any.
TREASURER GOLDBERG: Any questions for
Ethan?
Hearing none, we will move to the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
Did we lose Mark? Oh, he may have had
to step away.
Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
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MS. ROSE: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
All right then. Next item on the agenda
is private equity. We will have a performance
summary from Mike McGirr and a commitment summary,
and then we will have a new investment
recommendation, follow-on investment
recommendations, private equity advisory service
RFP recommendation.
Mike.
MR. McGIRR: Thank you, Madam Treasurer.
This is Michael McGirr, director of
private equity. And we do have three voting items
so I'll keep my performance commentary relatively
short.
For the quarter, PRIM private equity
was up 2.24 percent. And as a reminder, this is
the January 2025 through March 2025 time period.
So we're always operating with that quarter lag.
Compared to lagged public market
performance, we outperformed the Russell 3 and the
Russell 2. But as a reminder, MSCI Europe,
European stocks, were quite strong in Q1, up over
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10 percent. So underperformed that European
market.
As Michael mentioned, we also
outperformed our secondary benchmark, the State
Street Index, for the quarter and the one-year.
Turning to the one-year, private
equity's performance was up 7.28 percent net,
outperforming the Russell 3 and the Russell 2, and
outperforming the State Street Private Equity
Index, as we mentioned.
Looking across our performance for that
one-year period, buyouts, growth and venture all
posted positive performance, which was great,
especially as venture capital continues its
recovery from the deep downturn in 2022 and 2023.
We were very pleased to report that the
AIC recognized PRIM as number 4 in the country for
our 10-year performance figure.
And with our positive performance, our
assets grew to $19.1 billion, a new high
watermark, or 16.6 percent of PRIT.
Given timing, I'm going to cut my
comments there. Happy to take any questions on
the markets or performance before we move into our
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three voting items.
TREASURER GOLDBERG: Questions for
Michael?
Not hearing any, I will seek a motion
and a second on WindRose.
And I seek a motion that the PRIM Board
approve the Investment Committee's
recommendation to approve a commitment of up to
$100 million to WindRose Health Investors VII,
L.P., as described in the expanded agenda, and
further to authorize the executive director to
take all actions necessary to effectuate this
vote. Is there a motion?
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Is there a second?
MS. D'AMATO: Second.
MS. FITCH: Second.
TREASURER GOLDBERG: Okay then, Michael.
Who is presenting?
MR. McGIRR: Madam Treasurer, Helen
Huang is going to present this new investment
recommendation.
TREASURER GOLDBERG: Thank you.
Helen.
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MS. HUANG: Thank you, Madam Treasurer.
Good morning. It's great to see
everyone. I'm Helen Huang, senior investment
officer on the PE team.
We're recommending a new buyout manager
specialized in healthcare. WindRose is a New York-
based PE firm investing in tech-enabled healthcare
service businesses in the U.S. They focus on
companies whose mission is to expand access,
improve the quality of care and making the
delivery of care less expensive. WindRose is
raising Fund VII, targeting 1.8 billion with a final
close in 2025.
Healthcare, as you know, is a large and
important sector, accounting for almost 20 percent
of U.S. GDP spend, according to the CMS. It's an
active sector for PE investing and exits, an area
that's largely perceived as cycle-resilient.
Healthcare in fact is the second largest component
of PRIM's PE portfolio by sector. However, we're
still underweight to healthcare compared to
private benchmarks.
So what does WindRose invest in? A
large part of the manager's investments have been
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healthcare IT solutions and outsource services to
payors and providers delivering innovations to
large and diversified end markets.
For example, HealthMap is a portfolio
company that provides tech-enabled specialty
health management solutions for people with
chronic kidney disease, CKD. CKD patients are
considered high-risk and high-cost patient group.
And HealthMap helps identify patients early
through predictive analytics, optimized care
programs and coordinate care.
So it's not the provider of care, but it
quarterbacks the care to meaningfully improve
patient quality of life by early identification
and intervention, as well as optimizing patient
care.
We understand there are sensitivities
regarding PE's role in healthcare and hospitals
specifically. We share these sensitivities and
spend lots of time understanding managers' focus
areas and underwriting approach.
During our due diligence, WindRose did
disclose that in 2021, they were brought in as a
strategic coinvestor alongside a PE sponsor in a
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hospital transaction. We dug deep into this
investment. It was a small investment, and
WindRose plays a non-meaningful role.
We believe this was a one-off deal that
is not aligned with the manager's target areas,
and we don't expect them to make similar
investments going forward. In fact, managing
partner and the leader at WindRose Oliver Moses
said, and I quote, "Can't imagine us doing
anything like it ever again." We appreciate the
manager's candor and transparency.
We expect WindRose to be good long-term
partners of PRIM and believe this team has strong
integrity and high ethical standards for making
healthcare investments.
We know Oliver and his team think a lot
about PE's perception. And in our discussion, he
said the line is not about being right versus
wrong. It's the perception of being wrong.
We have many dedicated sector
specialists across the PE portfolio, notably in
software, industrials and financial services.
Finding a healthcare specialist has been a multi-
year research effort. We consider WindRose as one
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of the best with an excellent track record, a
narrow focus in tech-enabled service businesses
and a highly cohesive homegrown team.
We also believe that they're well-
aligned with our focus on finding PE firms and
companies that make positive impact to the
industry, which means they need to do three
things really well: again, it's increasing access
to care, improving the quality of care and making
care delivery less expensive.
We're recommending a $100 million
commitment to WindRose Fund~VII, and I'm available
for any questions.
TREASURER GOLDBERG: Questions for
Helen?
MR. NAUGHTON: If I may, Madam
Treasurer. Thank you.
I have both a comment and a question.
Good morning, Helen.
MS. HUANG: Good morning, Dennis.
MR. NAUGHTON: I just can't say how
pleased I was to read the summary and to listen to
the presentation at the Investment Committee.
As a member myself of the Stewardship
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Committee and as a member of the PRIM Board, I am
proud to see that the direction that we are taking
-- and I'm sure have always taken, but here we are
now talking about what we do, doing things that
not only bring good results for the PRIT Fund, but
also do some good in the world.
And so thank you, members of the team,
for this proposal.
Secondly, I'm always concerned -- and
this is my question. Just to take as an example,
RFK, Jr. recently cut $500 million from mRNA
research. Who would have thought that that kind
of thing could just come out of the blue, except
me?
So I'm assuming that the kinds of -- I'm
characterizing it personally, just as me~--
whimsical and rather thoughtless choices made by
this current leader of Department of Health and
Human Services, are there any potential negatives
for our investment there that you guys have taken
a look at?
MS. HUANG: Sure. Thank you, Dennis.
First of all, really appreciate your
words of encouragement. This means a lot to us.
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And then to address your question, maybe
let me think about it in the following two ways.
One, obviously 2025 has been a year with lots of
policy changes on a federal level. You talked
about funding cuts, and there's been tremendous
scrutiny around drug pricing.
So for us, obviously we're paying close
attention to all of these. And I think along with
these policy changes, there's also lots of noises.
So it's important to sort out what's in play
versus what's not in play.
And specifically when it comes to
WindRose, I think the impact is very small. They
are not investing in the drugs and devices space
that tend to have higher regulatory risk,
thinking about FDA, thinking about reimbursement,
and funding cuts.
And then the second viewpoint that I
want to offer is as long-term investors with a
broad horizon, in times of change, I think a lot
of us think more on what will remain unchanged,
what will remain constant, regardless of what the
policy direction becomes.
And to me, I think there's tremendous
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tailwinds in the healthcare industry as it comes
to the aging demographics, the quest for better
quality of life. I think about these trends, and
I don't think they're going to reverse. And as a
result, I think the demand for quality healthcare
services won't change. And I certainly think
technology's enabling role will not reverse.
So those would be my comments. Hopefully
--
MR. McGIRR: And one other thing to add
to Helen's comments, which I completely agree
with. Healthcare is very large, and it's very
complex. That's part of the reason why we've been
searching for a healthcare specialist. And we
think we've found a really good long-term partner
for PRIM with WindRose.
MR. NAUGHTON: Just a comment on your
comments, Helen. One would think that you had my
question in advance, you gave such an astute
answer. You did not have it in advance, and I
appreciate the thought you put into your answer.
Thank you too, Michael.
MS. HUANG: Thank you, Dennis.
MR. LAPMAN: I had a question, if I
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could.
TREASURER GOLDBERG: Yes, Mark.
MR. LAPMAN: Given the importance of
this investment and it's kind of a new area of
interest, how does that affect the amount of the
commitment, which it looks like it's a little over
5~percent of the overall fund size. How do you
arrive at what the right commitment is and
exposure to a fund, especially a fund like this,
which is kind of very interesting.
MS. HUANG: Yes. Thank you for that
question, Mark. Maybe I'll kick off and, Michael,
please feel free to chime in.
I think when it comes to the sizing
exercise, which is incredibly important, we lead
with our conviction level on the manager and the
strategy, first and foremost.
And as Michael pointed out, finding a
healthcare specialist has been a multi-year
research effort. So we've done a lot of deep work
around finding the best partner, and we certainly
view this as a very attractive long-term
partnership. So that's kind of the starting
point.
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And I think an important consideration
is also around our pacing because, as we all know,
pacing in the private markets is incredibly
important. We don't want to be over- or
underexposed to certain vintage years.
So we look a lot at our annual budget
and thinking very ahead of the pipeline that's to
come. And again, all of these takes years in
calibration.
Yes. I think those are my two key
points. I'm not sure, Michael, if you have
additional points to add.
MR. McGIRR: Yes. I would just add I
think Helen and Katherine did a great job here,
positioning PRIM as an attractive LP to get such a
substantial amount for a successful group that has
lots of other options.
TREASURER GOLDBERG: Other questions for
Helen or Michael?
MR. BROUSSEAU: One question, Madam
Chair, to Helen.
I know you mentioned a situation
earlier, and the director told you that this event
would not happen again.
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How often is the team -- and I'm so glad
we've been expanding the private equity team over
the years where we have to be to do this work.
How often are you able to monitor these
individual investments and whether or not they
meet standards, our standards, in terms of
healthcare and also in terms of the investment?
MS. HUANG: Thank you, Bob, for the
question.
Yes. This is an important one. We pay
close attention to what the managers put in our
portfolio. And we hold them highly accountable
for all the promises they make before we make the
commitments.
To answer your question specifically,
we monitor the portfolio on a daily, weekly and
certainly quarterly basis. As you know, private
equity provides reporting on a quarterly basis so
we're always keeping a keen eye on that.
But in addition to just reading
thoroughly on the reporting, we're spending a lot
of time interfacing with our managers, talking
through their latest investment, talking through
their pipeline development, and some
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of the market risks and dynamics. And those are
very real-time discussions, as they should be.
And then as we all know, private equity
is a high-touch industry. It's built primarily on
relationship and trust. So that's why it's
important to have these frequent dialogues.
MR. BROUSSEAU: Thank you, Helen. And
again, congratulations on your recognition this
year.
MS. HUANG: Thank you, Bob.
TREASURER GOLDBERG: Any more questions?
Okay then. We will proceed with the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
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TREASURER GOLDBERG: Carly?
MS. ROSE: Sorry. Yes. I was muted.
TREASURER GOLDBERG: Myself, yes.
The motion carries. Okay.
MR. McGIRR: Next up, Madam Treasurer,
we have Matt Marshall, who's going to be
presenting two re-up opportunities for us.
TREASURER GOLDBERG: Okay. Great.
Thank you, Michael.
I will do the --
Okay. Is this where we just -- this is
a voting item.
MR. McGIRR: This is a voting item.
TREASURER GOLDBERG: This isn't just
letting me know.
MR. McGIRR: This is a voting item. And
our prior practice has been to batch re-up
opportunities.
TREASURER GOLDBERG: Okay. You know why
I'm asking you this question, because there are
times where something's not a voting item, and
it's just letting me know.
MR. McGIRR: Trying to keep you on your
toes.
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TREASURER GOLDBERG: I totally get that.
That's why I just went and got another cup of
coffee.
Okay then. I seek a motion that the
PRIM Board approve the Investment Committee's
recommendation to approve commitments of up to
$50 million to Polaris Growth Fund III, L.P. and up
to $50 million Euro to Medicxi V, L.P., as
described in the expanded agenda, and further to
authorize the executive director to take all
actions necessary to effectuate this vote.
Is there a motion?
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Is there a second?
MS. FITCH: Second.
TREASURER GOLDBERG: Okay then.
MR. MARSHALL: Great. Thank you,
Treasurer.
My name is Matt Marshall, and I'm an
investment officer in the private equity team.
Today I'll be presenting two follow-on
recommendations with high conviction existing
managers, Polaris Growth and Medicxi.
First up, we have Polaris. Founded in
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2018, Polaris Growth is a small buyout firm that
invests in founder-owned software and technology
businesses.
The team has built a strong track record
of investing in niche market leaders and growing
their markets through product, vertical and
geographic expansion.
Polaris is raising $375 million for Fund
III, which will continue their strategy of
professionalizing and scaling small businesses.
We are recommending a commitment of up
to $50 million to Fund III.
Second up, we have Medicxi. Medicxi is
an early-stage life sciences manager based in
western Europe and one of our core venture
relationships. PRIM has partnered with this team
since 2012 and invested across five prior funds.
The team's comprised of seasoned
scientists who help develop preclinical and
clinical stage drugs. Medicxi's built a strong
brand through its relationships with leading
academic institutions and pharmaceutical
companies.
We are recommending a commitment of up
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to 50 million Euros to Fund V's 400 million Euro
target.
With that, we're happy to take any
question on these high conviction re-ups.
TREASURER GOLDBERG: Are there questions
for Matt?
Hearing none, we will proceed with the
vote.
Bob?
Bob? Bob, you're on mute.
MR. FALZONE: You're muted.
TREASURER GOLDBERG: I'll come back to
you, Bob.
Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
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MS. ROSE: Yes.
TREASURER GOLDBERG: Bob?
I think he's having trouble unmuting all
of a sudden.
Bob, you're muted.
Yes. We --
MR. FALZONE: He's giving a thumbs-up,
but we need to hear him.
TREASURER GOLDBERG: It needs to be
audible.
Give you one more second, and then I can
complete the vote, and you can work on that for
the next one.
him?
on.
All right then. Myself, yes.
The motion carries.
Tony, is there any way for us to unmute
MR. FALZONE: That's what we're working
Here we go.
MR. BROUSSEAU: I vote yes.
MR. FALZONE: There it is.
TREASURER GOLDBERG: And the motion --
MR. BROUSSEAU: My arthritic right hand
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does not always function too well on this --
TREASURER GOLDBERG: I understand.
The next voting item is private equity
advisory services RFP.
And I will seek a motion that the PRIM
board approve the Investment Committee's
recommendation to approve the selection of
StepStone Group LP for private equity advisory
services, as described in the expanded agenda, and
further to authorize the executive director to
take all actions necessary to effectuate this
vote.
Is there a motion?
MS. FITCH: So moved.
MR. BROUSSEAU: Second.
TREASURER GOLDBERG: Is there a second?
Okay.
Who will lead?
MR. McGIRR: Madam Treasurer, Katherine
is going to present this recommendation.
TREASURER GOLDBERG: Thank you.
MS. KOVACH: Hi, everyone. My name is
Katherine Kovach, and I'll be presenting our
recommendation of StepStone as the advisor for the
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private equity portfolio and the provider of the
private equity market database.
The RFP for private equity advisory
services and an optional private equity market
database was issued on March 17 with responses due
on April 18.
We received seven responses for advisory
services and seven responses for the database.
And we do want to note that our current private
equity advisor, Hamilton Lane, did not apply for
the advisory portion of the RFP.
The respondents for the advisory portion
were Aksia, Albourne, Callan, Cambridge
Associates, Meketa, NEPC and StepStone.
The respondents for the database were
Aksia, Albourne, Callan, Cambridge Associates,
Hamilton Lane, Meketa and StepStone.
These responses were thoroughly reviewed
by the evaluation committee, which consisted of
myself, Michael McGirr, Helen Huang, Maria
Garrahan, Shannon Ericson, Jessica Murphy and
Investment Committee member Connie Everson, whom
we'd like to give special thanks.
The evaluation committee reviewed the
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submissions and selected four finalists for
advisory and four finalists for the database,
based on criteria detailed in the RFP.
The advisory finalists were Aksia,
Albourne, Cambridge Associates and StepStone. And
the database finalists were Albourne, Cambridge
Associates, Hamilton Lane and StepStone.
The finalists were interviewed the week
of June 9. After interviews, the evaluation
committee convened and unanimously voted to
recommend the selection of StepStone as advisor
for the private equity portfolio and provider of
the private equity market database.
StepStone was formed in 2007 and is a
private markets investment firm with established
advisory and data analytics businesses. StepStone
distinguished themselves versus other respondents
in the following areas.
The firm is a global private market
specialist and offers a global platform with a
localized approach with over 1,000 employees and
26 offices globally. StepStone has also been
advising pension clients on private equity since
its founding.
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The firm's best-in-class database and
technology infrastructure is another
differentiator. Its database, StepStone Private
Markets Intelligence, known as SPI, is its
proprietary research library used by clients and
StepStone professionals. SPI allows clients to
exponentially expand their market coverage and
provides transparency into StepStone's research
process.
The firm also distinguished itself with
the experience, stability and depth of the firm
and proposed team. StepStone's 175 private equity
investment professionals are organized into
specialized sector teams that span the entire
asset class. The PRIM team will benefit from the
depth of StepStone's private equity team and
access to the broader StepStone platform.
StepStone also offers customized client
service and will tailor services to complement
PRIM's internal capabilities with its disciplined
research-focused approach. StepStone will work
with the PRIM private equity team to provide
seamless integration with a highly interactive
engagement model.
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The evaluation committee also identified
synergies with the engagement model that would
arise from engaging StepStone as both an advisor
and database provider.
Additionally, the evaluation committee
believes StepStone's proposed annual fee of
$1.35 million with 3 percent annual step-ups
represents the best overall value for service to
PRIM for private equity advisory services and the
private equity market database.
And with that, we're happy to answer any
questions.
TREASURER GOLDBERG: Any questions?
I think it was very thorough, Katherine.
MS. FITCH: Yes, it was.
MS. KOVACH: Thank you.
TREASURER GOLDBERG: So with that, I'll
move to the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Thank you.
Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
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MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
That is all we have for private equity,
and we are moving on to real estate and
timberland. Tim will give us the performance
summary, and we have two voting items after that.
MR. SCHLITZER: Good morning, everyone.
Good to see you.
So as you said, Treasurer, we've got a
couple of voting items today. And I'm going to
hand it over to Minching for that.
So let me just make a few comments on
performance. And I am not going to speak to any
materials specifically.
TREASURER GOLDBERG: Okay.
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MR. SCHLITZER: First, just touching on
asset allocation. We've had no meaningful change.
We're at 9.2 percent in real estate. We're at
$10.6 billion of NAV, and 2.8 percent in timber.
That's $3.2 billion of NAV.
The team had a very active year on the
capital allocation side, executing decisions
equating to approximately $1.5 billion. So that's
$300 million in REIT mandates, $650 million in
transaction activity. That's on the buy and the
sell side.
I'll note that the team evaluated 300
investment opportunities totaling over
$30 billion. So that's only about a 1~percent
close rate. So we continue to be very selective.
But seeing a fair amount of volume, which is good.
$150 million in real estate debt
refinancing. So that's more on the borrowerside.
And then $450 million in new commitments
across PRIM's non-core future and credit
allocations.
So a busy year, a productive year, and I
very much want to thank the team for that, not
just on the investment side, the folks that I
have
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the pleasure of working with really day in and day
out, but also on the operations side as well. We
have really, really good support and great
relationships with, I'll say that side of the
house, so I want to thank those guys as well.
Just moving to real estate performance
and focusing on the fiscal year, total real
estate returned just below 1 percent or .93 percent
for the year. That's slightly ahead of PRIM's
benchmark on a gross basis and about 40 basis
points below benchmark after investment
management fees.
The portfolio did outperform the
benchmark by 155 basis points after fees over the
three-year period. And that's a period that
really roughly aligns with the rise in interest
rates, which began sort of midway through 2022 and
really ended the last real estate cycle. And as
I've said, we think of ourselves as really
beginning to enter a new real estate cycle at this
point.
And PRIM's results have been good. So
we're pleased to say that.
I'll add that on a five-year basis, the
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return is 5.7 percent, outperformance of 336 basis
points net of fees. So also a good result.
Speaking to drivers of performance for
the fiscal year, REITs led on an absolute and
relative basis, returning 7 percent and
outperforming the benchmark by 263 basis points.
The core private portfolio, which -- and
Michael alluded to this -- represents 84 percent of
total real estate, returned 1.6 percent or
2 percent before leverage, 46 basis points above
benchmark. That's net of fees.
While leverage unsurprisingly detracted
from absolute performance, PRIM's leverage
contribution outperformed the index through a
lower loan-to-value ratio. We're cognizant of the
fact that this could turn as returns improve. And
the team is monitoring currently the market very
closely for opportunities to borrow accretively
with the goal of lowering our overall cost of
capital going forward.
Just a couple of comments on sector and
geographic return drivers. We remain consistent,
I think, with the messaging here and the way that
the results have been derived. Industrial
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properties and apartments are overweights and
over 70 percent of the portfolio, have held up
well throughout the cycle.
PRIM's underweights to major West Coast
markets and overweights to select Southern markets
have been accretive. Our medical office exposure,
also accretive. And I'll note those are not
hospitals, but really truly medical office
buildings that PRIM owns.
And an overall underweight to the
overall office sector added to return. So sort of
a bias to medical office and then an underweight
to the traditional sector as a whole for office.
The slight underperformance -- and
Michael also alluded to this. The slight
underperformance that we experienced was
concentrated in the non-core portfolio, which
equates to just about 5 percent of real estate,
but returned negative 15.8 percent for the year.
So that was kind of the small
detraction that we saw, again, about 40 basis
points. That has some office, life science and
apartment investments in it. These are out-of-
benchmark exposures with some higher leverage and
also some
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liquidity constraints as well.
So that's real estate performance.
Happy to take any questions as we go along.
Let me just make a few comments on
timber, and I'll wrap up. Total timberland
returned 4.2 percent for the year. That's
140~basis points below benchmark.
It's worth noting that we value the U.S.
portfolio once per year. So the current
appraisals that the returns are being calculated
on are about six months old at this point. We tend
to put a lot more weight on the calendar year-end
valuations in terms of interpreting performance.
So just pointing that out.
The underperformance overall is
generally concentrated in a few segments,
consistent with my report at the last meeting,
although with some improvement in relative
returns.
Our overweight to non-U.S. markets, the
benchmark is U.S.-centric, as I've said before.
So the overweight to non-U.S. markets representing
about 22 percent as an active benchmark weight did
detract, particularly our exposure to New Zealand
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where we saw underperformance due to moderating
export log price assumptions in that region of the
world.
As you know, we also experienced some FX
volatility relative to benchmark this year. I
mentioned this at the last meeting.
The negative contribution from FX has
shrunk, though, as the Australian dollar has
rebounded by about 10 percent since bottoming in
April. It's now down about 3 percent for the year.
And then lastly, PRIM has two assets in
the Pacific Northwest that have significant export
exposure, primarily because they grow Hemlock,
which is the preferred species in Asia. This did
flow through to the discount rate and log price
assumptions during the year in the valuation,
which also contributed to the underperformance
that we experienced.
So those are my comments. Again, I'm
happy to answer any questions, if you have any.
TREASURER GOLDBERG: Questions for Tim?
Or we can move on to the voting items
Minching will be doing that.
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So if there are no questions, we'll
start with the first item, approval of real estate
appraisal RFP recommendations. I seek a motion
that the PRIM Board approve the Real Estate and
Timberland Committee's recommendation to approve
the selection of Altus Group U.S., Inc. for
private real estate appraisal services, as
described in the expanded agenda, and further to
authorize the executive director to take all
actions necessary to effectuate this vote.
Is there a motion?
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Is there a second?
MS. FITCH: Second.
TREASURER GOLDBERG: Okay, Minching.
Thank you.
MS. KAO: Thank you, Madam Treasurer.
And good morning, everyone.
My name is Minching Kao, investment
officer on the real estate and timberland team.
PRIM issued a real estate appraisal
services RFP on April 9, with a response deadline
of May 9. This is a standard process PRIM runs
every three years. This year, we received six
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responses, and three finalists were selected.
As part of the evaluation process, we
formed an evaluation committee, which consisted of
the real estate and timberland team. The
evaluation committee interviewed these three
finalists and thoroughly reviewed their
qualifications.
After the review, the evaluation
committee has determined Altus to be the most
qualified. Altus has significant experience
serving institutional investors and investment
managers. They are one of the largest appraisal
service providers in the U.S.
As PRIM's incumbent appraiser, Altus has
demonstrated a robust knowledge of valuation and
provided high quality appraisal reports.
Additionally, Altus is further
distinguished by their continued investments in
technology. Their technology capabilities allowed
PRIM to analyze appraisal metrics across the
portfolio and use the data to explain property-
level drivers of our portfolio performance.
Therefore, the evaluation committee is
recommending renewing Altus for a three-year term,
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from calendar year 2026 to 2028.
And with that, I'm happy to take any
questions.
TREASURER GOLDBERG: Are there questions
for Minching?
Hearing none, we have a motion. We have
a second. We'll proceed with the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
Okay. Thank you.
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Next item. I seek a motion that the
PRIM Board approve the Real Estate and Timberland
Committee's recommendation to approve the renewal
of International Woodland Company A/S and IWC
Investment Partners A/S to provide general
timberland advisory services, and to approve the
following firms to be eligible to provide project
investment advisory service, as described in the
expanded agenda: Bard Consulting LLC, Callan LLC,
Chatham Financial Corp., Harvest Capital Partners
LLC, Legacy Appraisal Services, LLC; Meketa
Investment Group, Inc.; RCLCO Fund Advisors, LLC;
Real Estate Fiduciary Services, LLC, and further
to authorize the executive director to take all
actions necessary to effectuate this vote.
Is there a motion?
MR. BROUSSEAU: So moved.
MS. FITCH: So moved.
TREASURER GOLDBERG: Is there a second?
MR. NAUGHTON: Second.
MS. McGOLDRICK: Second.
TREASURER GOLDBERG: And Minching will
be presenting again.
MS. KAO: Yes. Thank you.
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The real estate and timberland advisory
services RFP was also issued on April 9, with a
response deadline of May 9. In total, we received
four responses for general real estate advisory,
three responses for general timberland advisory
and 10~responses for project-based advisory.
An evaluation committee consisting of
the real estate and timberland team was formed to
assess the proposals.
After reviewing the general real estate
advisory proposals, the evaluation committee has
determined to continue the project-based approach.
PRIM has adopted this approach for approximately
five years. This approach has allowed us to work
with different firms as needed based on their
expertise.
And to implement this approach, the
evaluation committee is recommending retaining
eight consulting firms, including Bard Consulting,
Callan, Chatham Financial, Harvest Capital
Partners, Legacy Appraisal Services, Meketa
Investment Group, RCLCO Fund Advisors and Real
Estate Fiduciary Services. These eight
consultants possess diverse skill sets and
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experience.
As for general timberland advisory, the
evaluation committee interviewed two finalists,
including our incumbent, IWC. During the
evaluation process, IWC demonstrated their depth
of knowledge in timberland investing. As an
incumbent, IWC remains dedicated and continues to
provide high quality deliverables.
Therefore, the evaluation committee is
recommending renewing IWC for the next three
calendar years, from 2026 to 2028.
And with that, I'm happy to take any
questions that you might have.
TREASURER GOLDBERG: Any further
questions?
Hearing none, again we will proceed with
the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
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MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
Okay. Here we go. On to stewardship
and sustainability. Veena?
MR. GRISWOLD: Just taking a second for
the promotion process to complete.
TREASURER GOLDBERG: Okay. We'll have
an update, and then we do have one voting item on
this.
MR. FALZONE: Correct.
TREASURER GOLDBERG: Hi.
MR. FALZONE: Welcome, Veena.
MS. RAMANI: -- for me to get promoted.
So good morning, Treasurer. Good
morning to the committee.
I'm Veena Ramani. I'm the director of
stewardship. So I'll keep the update relatively
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brief because I know we are running short on time.
So in July, we had a robust Stewardship
and Sustainability Committee meeting where we went
into detail on how we're working with our public
markets team to drive progress on our stewardship
priorities.
In particular, we highlighted the work
that we're doing to engage our managers on the
issues of climate transition planning and
sustainable forestry, two of the stewardship
priorities that Michael had mentioned as a part of
his overview.
We showcased projects that we're
working on with Goldman Sachs and Climate &
Company. And these projects are intended to get
us in a position to engage with our managers in an
informed and in-depth manner.
And we sort of followed this up with a
really interesting and granular discussion with
the committee on the specifics of the approach
that we're looking to take.
So happy to stop there and take any
questions.
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TREASURER GOLDBERG: Any questions for
Veena?
I guess not. So what I'll do is I will
seek a motion on the voting item.
MS. D'AMATO: So move.
TREASURER GOLDBERG: Sorry, Catherine.
Go ahead.
MS. D'AMATO: Do you need-- I'm sorry--
reread it? I'm happy to move, but I'll wait.
TREASURER GOLDBERG: Okay. Thank you.
I thought maybe you had another question.
All right. I seek a motion that the
PRIM Board approve the Stewardship and
Sustainability Committee's recommendation to
approve partnerships with CDP and the Human
Capital Management Coalition, as described in the
expanded agenda, and further to authorize the
executive director to take all actions necessary
to effectuate this vote.
Is there a motion, Catherine?
MS. D'AMATO: Yes. So moved.
TREASURER GOLDBERG: Is there a second?
MR. BROUSSEAU: Second.
MS. FITCH: Second.
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TREASURER GOLDBERG: All right, Veena.
MS. RAMANI: Thank you, ma'am.
So in July, the Stewardship and
Sustainability Committee discussed staff's
recommendation on investor groups that we would
like to join in pursuit of our stewardship
priorities.
The first of these is CDP, which is a
well-established and well-regarded global
nonprofit which provides a platform for companies
to report their environmental performance. And
the data being collected is data that has been
requested by the investor community.
CDP was previously known as the Carbon
Disclosure Project, but they've expanded their
scope, covering not only climate-related
information, but also water, supply chains and
forestry.
We want to join CDP for a couple of
reasons. It allows us to join a whole cohort of
global investors who believe, as we do, that
transparency in environmental performance is
important for us to do our jobs. It also allows
us to access the data that CDP has collected over
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the past decades from companies, and this data
will help us with our engagement and proxy voting
decisions.
The next group that we're looking to
join is the Human Capital Management Coalition.
The Human Capital Management Coalition is not a
formal nonprofit, but rather is a coalition of
like-minded U.S. investors, primarily asset
owners, who are focused on the issue of human
capital management from the perspective of long-
term shareholder value protection.
The organization has historically
focused on calling for more corporate disclosure
on four key metrics that provide insight into how
companies deal with this important asset, their
workforce. And these are number of employees,
workforce costs, workforce turnover and
demographics.
We want to join the Human Capital
Management Coalition as we believe that this would
allow us to learn from as well as support a
broader investor community that is focused, as we
are, on the transparency of human capital-related
metrics.
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Maybe sort of one more quick word before
I open it up to questions. Dennis had a really
great question during the meeting, which was about
how we intended to partner with other investors to
further our stewardship priorities.
We see joining groups like the Human
Capital Management Coalition and CDP as being a
really important step towards that end. By
joining these groups, we are in effect adding our
voice to those of other investors who share goals
with us that are aligned with us on our
stewardship priorities.
And speaking collectively and louder
particularly on issues like transparency where we
have a lot of conviction in what we're asking for,
we think is particularly important in the current
context when companies are getting quieter on what
they are doing on environmental and social issues.
So let me stop there. Happy to take
questions.
TREASURER GOLDBERG: Questions?
Dennis, is that the answer that you were
hoping for?
MR. NAUGHTON: Yes. And as time goes
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on, it will be clear what that looks like, with
examples. So I'm looking forward to that.
TREASURER GOLDBERG: Okay. Great.
Any other questions or comments for
Veena?
All right then. Thank you.
The next items are we have a-- we've
already gone--
Haven't we gone over, Tony, the Board--
MR. BROUSSEAU: Are these voting items?
TREASURER GOLDBERG: No.
MR. BROUSSEAU: Are these voting items?
MR. FALZONE: No. We don't have any
voting items.
MR. BROUSSEAU: I mean on the two
previous motions of the Sustainability Committee?
TREASURER GOLDBERG: There was one
motion, and we voted on it.
MR. BROUSSEAU: Okay.
TREASURER GOLDBERG: Veena was just
responding to something that Dennis had said
earlier.
Okay. Back to finance and admin, we
don't vote on the board and committee meeting
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schedule.
MR. FALZONE: No. That's just a sneak
preview. We'll be voting on it next cycle. I
just like to give everyone a sneak preview of it.
Eliminate any conflicts or try to eliminate
conflicts.
TREASURER GOLDBERG: And have we
promoted Emily so she can speak to the legislative
update?
MR. FALZONE: She is--
TREASURER GOLDBERG: Because I haven't
seen her today.
MR. FALZONE: There she is.
MS. KOWTONIUK: Hello.
TREASURER GOLDBERG: Hello, Emily.
MS. KOWTONIUK: I will be quick.
So we have an FY'26 budget in place,
which was completed and signed close to on time
this year.
It fully funds the pension liability,
but draws a little bit from excess gains, excess
capital gains, which is a different strategy than
we've seen in prior years, rather than pulling
directly from the general fund.
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We also have new joint rules in place
that will govern the way that the house and senate
operate this legislative session.
So the bill reporting deadline had
formerly been in the beginning of February in the
second year of the legislative session. It has
now been pushed up to the first Wednesday in
December of the first year of the legislative
session.
And so we're seeing a lot of committees
sort of more actively having hearings and
reporting bills a little bit more quickly. We
also have advance notice for hearings, which is
greatly appreciated by our staff.
And joint committees are operating on
sort of a bifurcated process. So house members on
joint committees will be voting on house-numbered
bills, and senate members on joint committees will
be voting on senate-numbered bills.
So bills that are identical in terms of
language are sort of moving separately through the
process this session, which is a new and fun
twist.
They also can continue in formal session
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after July 31 of the second year of the
legislative session for certain circumstances
without sort of exempting themselves from their
rules.
So there is a handy chart that I
provided to Tony that members who are interested
can have access to, that summarizes the different
process changes.
But again, the thing that we're seeing
right now is a lot more committee hearings taking
place and bills moving a little bit more quickly.
And on that point, we did see the joint
committee on public service host its hearing
relative to divestment last month with a lot of
different bills considered. And we'll continue
to watch those and report back.
So that's it for me.
TREASURER GOLDBERG: Thank you, Emily.
MS. KOWTONIUK: Mm-hmm.
MR. FALZONE: And I'll send that out
this afternoon, Treasurer, that matrix. I
know that it was requested, so--
MS. KOWTONIUK: -- got it to you. So
sorry about that.
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MR. FALZONE: No. That's all right.
TREASURER GOLDBERG: Are there any
questions for Emily?
MR. NAUGHTON: I just have a comment,
Madam Treasurer.
I want to thank Emily for putting
together that little item on the rule changes
because I think that will be helpful to lots of us
who serve on various committees. And thanks
again.
MS. KOWTONIUK: Yes. Absolutely.
TREASURER GOLDBERG: Keeps us on our
toes, doesn't it?
MS. KOWTONIUK: Uh-huh.
TREASURER GOLDBERG: Okay then. Let's
see. Are there --
MR. FALZONE: Treasurer, the other items
are just informational.
TREASURER GOLDBERG: Right.
MR. FALZONE: But just looking back --
and I had Renee check. I don't think we have a
roll call vote for the stewardship item for the
record.
TREASURER GOLDBERG: Maybe that's what
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Bob was referring to.
MR. BROUSSEAU: That's exactly what I
was referring to.
TREASURER GOLDBERG: So we have a
motion, and we have a second. I will proceed with
the vote.
Bob?
TREASURER GOLDBERG: Yes.
Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
Good one, guys.
MS. LeFEVRE: Thank you.
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TREASURER GOLDBERG: Okay then. The
rest is informational.
MR. FALZONE: Happy to take questions,
if there are any.
TREASURER GOLDBERG: Right. I was just
going to say if there are any comments or
questions, Tony is here.
If not, forever hold your peace.
But otherwise, I would seek a motion to
adjourn.
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Is there a second?
MS. FITCH: Second.
MR. LAPMAN: Second.
TREASURER GOLDBERG: I won't forgot to
do this roll call.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
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TREASURER GOLDBERG: Mark?
MR. LAPMAN: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Carly?
MS. ROSE: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
Thank you, everyone. A lot of excellent
information in this meeting.
(Meeting adjourned at 12:12 p.m.)
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COMMONWEALTH OF MASSACHUSETTSCOMMONWEALTH OF MASSACHUSETTSCOMMONWEALTH OF MASSACHUSETTSCOMMONWEALTH OF MASSACHUSETTS
PENSION
RESERVES INVESTMENT MANAGEMENT BOARDPENSION RESERVES INVESTMENT
MANAGEMENT BOARDPENSION RESERVES INVESTMENT MANAGEMENT BOARDPENSION
RESERVES INVESTMENT MANAGEMENT BOARD
Minutes of the Board Meeting
Thursday, August 15, 2024
commencing at 9:30 a.m.
(CONDUCTED REMOTELY)
PRIM Board OfficesPRIM Board OfficesPRIM Board OfficesPRIM Board Offices
53 State Street53 State Street53 State Street53 State Street
Boston, MassachusettsBoston, MassachusettsBoston, MassachusettsBoston, Massachusetts
2
A T T E N D E E SA T T E N D E E SA T T E N D E E SA T T E N D E E S
(Via Zoom)
Board MembersBoard MembersBoard MembersBoard Members
· Treasurer Deborah B. Goldberg, Chair
· Robert L. Brousseau
· Catherine D'Amato
· Ruth Ellen Fitch
· Theresa F. McGoldrick, Esq.
· Peter Monaco
· Dennis J. Naughton
· Paul E. Shanley, Esq.
Other Attendees (partial list):
· Alyssa Acker
· Anthony Falzone
· David Gurtz
· Emily Kowtoniuk
· Renee LeFevre
· Bill Li
· Michael McElroy
· Michael McGirr
· Veena Ramani
· Tim Schlitzer
· Michael Trotsky
3
P R O C E E D I N G S
A meeting of the Pension Reserves
Investment Management Board (PRIM Board) was held
remotely on August 15, 2024. The meeting was
called to order and convened at 9:30 a.m.
Treasurer and Receiver-General Deborah Goldberg
chaired the meeting.
TREASURER GOLDBERG: Good morning,
everyone, and welcome to the Mass. PRIM Board
meeting, Thursday, August 15, 2024.
This meeting will be held in accordance
with the provisions of Massachusetts Acts of 2022,
Chapter 22, which was most recently amended on
March 29, 2023, to include an extension of the
2020 Executive Order Suspending Certain Provisions
of the Open Meeting Law until March 31, 2025.
All members of the Board will
participate remotely via audiovisual
conferencing, and public access to the
deliberations of the Board will likewise be
provided via telephone, with all documents
referenced at the meeting available to be viewed
on PRIM's website,www.mapension.com.
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All persons speaking at today's meeting
are asked first to identify themselves. Also the
Open Meeting Law requires anyone wishing to record
a meeting to first notify the chair so that the
chair can inform the other attendees.
Tony, could you please inform us who's
recording, besides I am informing you that
stenographer Virginia Dodge from Lexitas is
transcribing and also recording this meeting.
Tony.
MR. FALZONE: Thank you.
Matthew Scheffler, MTRS member, will be
recording, and Doug Appell, P&I, will be
recording.
TREASURER GOLDBERG: Thank you.
If anyone else does intend to record
today's meeting, please first notify Seth Gitell
by email at sgitell@mapension.com.
Additionally, the Attorney General's
guidance on holding remote meetings reads as
follows: At the start of the meeting, the chair
must announce the name of the member or members
who are participating remotely.
I will now announce the names of all
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PRIM Board members who are participating remotely
in today's meeting. Robert Brousseau, Catherine
D'Amato, Ruth Ellen Fitch, Theresa McGoldrick,
Dennis Naughton, Paul Shanley and myself,
Treasurer Deborah Goldberg.
If any of the other members,
particularly if Peter Monaco does arrive, we will
be notified by Tony.
With that, the first item on the
agenda is approval of the Board meeting minutes.
And I seek a motion that the PRIM Board approve
the minutes of its May 30, 2024 meeting, attached
as Appendix A of the expanded agenda, and further
to authorize the executive director to take all
actions necessary to effectuate this vote.
Is there a motion?
MR. BROUSSEAU: So moved.
MR. SHANLEY: So moved.
TREASURER GOLDBERG: Is there a second?
MS. FITCH: Second.
TREASURER GOLDBERG: Roll call.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
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MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Paul?
MR. SHANLEY: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries. Thank you.
Next item on the agenda, the executive
director/chief investment officer report. And I
would like to bet that's Michael Trotsky.
MR. TROTSKY: Thank you very much,
Treasurer.
Welcome, everybody. Thanks for being
with us today on August 15. I can't believe it.
Many of you have heard these remarks at
one of the committee meetings. And I just want to
remind you that it is necessary for us to go
through these remarks so that they get recorded
verbatim and entered into the minutes of this
cycle.
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So the remarks are essentially the same
with a couple of updates.
First, fiscal year 2024, ending June 30,
2024, was a very successful and productive year.
The PRIT Fund ended with a record balance of
105.3 billion, 105.3. And that surpassed the
previous record of 96.6 billion set last fiscal
year. The PRIT Fund returned 9.9 percent gross or
9.5 percent net for a net gain of $9.1 billion in
the fiscal year with five of the seven asset
classes outperforming their benchmarks.
Staff researched and deployed
$6.6 billion in attractive new investments during
the year, so it was a very productive year where
we found $6.6 billion in new investments. And I
do believe that a 10 percent gain, 9.9 gross, in
this environment is a very solid accomplishment.
But perhaps, as I've mentioned before,
what I am most proud of in fiscal year 2024 is
that not a single person left our staff. Zero
turnover I believe is a very rare achievement with
today's highly mobile workforce. I have never
encountered that in any organization I've ever
been affiliated with.
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We also successfully recruited three
outstanding individuals, and we welcomed a total
of eight interns this year. All three new
employees and all eight interns of the class of
2024 are diverse in terms of race and/or gender.
And that puts PRIM's total workforce at 63 percent
diverse and 52 percent of our workforce is female.
And I do believe that the stability and
composition of our staff and our ability to hire
talent is particularly noteworthy because except
for a short time during the peak of the pandemic,
PRIM has adopted an in-the-office five days a week
policy with only a limited remote work allowance.
And I think this speaks to the unique
culture we have built at PRIM. We are dedicated
to our mission, and we're dedicated to each other.
70 people strong now. We have attracted this
group of highly trained, experienced and committed
employees who really want to be together in person
and want to be part of a winning team achieving
strong results.
Strong results, innovation, high
retention and the ability to attract outstanding
talent is something that each of us should be very
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proud of.
And it takes support from the very top.
Thank you, Treasurer. Working with you and your
staff has enabled this. And thank you to each
Board and committee member, who has really helped
enable us to build such a strong and cohesive
staff.
The tone does come from the top. And
your dedication to our mission, your appreciation
for staff, and most important, your engagement
with staff has played an enormous role in helping
us build this high-performing organization, an
organization that I think we should all be proud
of.
So again, I really thank you, all, very
much. You all play a very important role.
The excellent work of our staff
continued to receive local and national
recognition during the fiscal year. For example,
PRIM's private equity program was awarded Alpha
Edge recognition for alpha generation and was
recognized as Limited Partner of the Year for, and
I quote, "empowering women in private equity."
And it was recently reported that the
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private equity program once again finished in the
top five. It was number 4 in the American
Investment Council's annual ranking of public
pension plans, based on 10-year performance.
In addition, Bill Li, our director of
portfolio completion strategies, recently received
Alpha Edge Next Generation recognition.
PRIM ranked fourth in the U.S. for
assets managed by diverse managers, according to
Pensions and Investments. And PRIM was awarded
two Commonwealth Citations for Outstanding
Performance.
Additionally, I was notified that I will
receive a Lifetime Achievement Award, and I was
named on the CIO Power 100 list recently.
PRIM also earned the Certificate of
Achievement for Excellence in Financial Reporting
from the Government Finance Officers Association.
That's the GFOA. And that's for the 19th
consecutive year.
We successfully completed the CFA
Institute Global Investment Performance Standard
of Integrity and Transparency. That's the GIPS
standard, with which only a small handful of other
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pension funds in the country comply.
Once again, PRIM completed more than
30 separate audits, and all of them resulted in
unmodified clean opinions with no findings.
Obviously, all of these accomplishments
happened against the backdrop of an unusually
turbulent worldwide investing and geopolitical
environment. Yet, markets remained very strong.
U.S. equities were up 24.6 percent in the fiscal
year. Developed international equities were up
11.2 percent. And emerging market equities were
up 12.5 percent. Bonds, diversified bonds, up
2.6 percent as interest rates and inflation began
to decline.
The highest returning PRIT Fund asset
classes included global equities, value-added
fixed income, portfolio completion strategies,
which is primarily hedge funds, and timberland,
all returning more than 10 percent net of fees.
Hedge funds, as I mentioned, had a very
strong year and also had the highest Sharpe ratio,
that's risk-adjusted return, of any asset class
and a return of 12.5 percent, all with very low
volatility. Private equity returned nearly
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8 percent net of all fees, continuing its very
strong rebound.
And real estate was the weakest. It was
down nearly 7 percent for the year, but still far
outpacing the benchmark and peers. We'll have
more to say about that a little later.
The FUTURE Initiative, that's the
program to increase the diversity of PRIM's
investment managers, had another very successful
year, investing more than $2.3 billion with
diverse managers over six asset classes, including
approximately $270 million to emerging small
diverse managers.
Now the PRIT Fund currently invests more
than $12.6 billion, $12.6 billion, with diverse
investment managers. And that's 12 percent of the
PRIT Fund. And fourth in the nation means that
we're punching above our weight in assets under
management.
During the fiscal year, we adopted our
first ever stewardship framework and stewardship
policy, while also approving the stewardship
priorities. You'll hear more about that later in
today's agenda.
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PRIM voted 12,182 proxy ballots aligned
with PRIM's progressive proxy voting guidelines on
areas such as board diversity requirements,
overboarded directors, gender pay gaps, labor and
human rights, climate change and executive
compensation.
Last year, we also enhanced the custom
proxy voting guidelines to explicitly make the
connection between expected corporate behavior and
long-term value, while updating language on
biodiversity risks and other key issues.
And we continue to support MIT Sloan
School's Aggregate Confusion Project as its first
founding member. The goal of this project is to
develop tools to address inconsistencies in the
measurement of ESG data, which, as you know, has
become widely recognized as one of the obstacles
in ESG investing. Making progress there.
A few recent organizational updates. In
addition to the class of eight interns this year --
and they are an extraordinary group; they're sadly
leaving us slowly over the next couple of weeks --
we are happy to announce one new full-time
employee joined the PRIM team.
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Katherine Kovach -- I think you're on --
recently joined the PRIM team as an investment
analyst on the private equity team. Previously,
Katherine was an alternative senior analyst at
Corebridge Financial, that's formerly known as
AIG, in New York City.
Katherine graduated from the University
of Virginia in 2022 with a bachelor's degree in
commerce, accounting and finance.
So welcome to the team, Katherine. I
know you're off to an excellent start.
And as I mentioned earlier, and it is
new, PRIM's private equity portfolio was recently
ranked number 4 among 200 U.S. public pension
funds, based on our 10-year performance. PRIM is
the only fund that has been in the top five every
year of this study conducted by the American
Investment Council's public pension group,
including number 1 rankings in 2019, 2018, 2015
and 2013.
Bill Li, as I mentioned, received
Institutional Investor's Next Generation
recognition. The award honors, and I quote,
"distinguished leaders within the allocator
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community for their outstanding contributions to
portfolio construction."
Congratulations, Bill.
We'll be talking about the strong
performance of the hedge fund program later today,
and that is really great timing because the award
is for contributions to portfolio construction.
And last, PRIM recently received, as I
mentioned, the Certificate of Achievement for
Excellence in Financial Reporting. That's for the
19th consecutive year. This represents the
highest form of recognition in government
accounting and financial reporting, couple that
with more than 30 audits with no findings.
A big congratulations to Deb Coulter and
Qingmei Li and the rest of the finance team for
enabling that yet again.
On to markets and PRIT Fund performance.
The June quarter was relatively strong. The S&P
was up 4.3 percent. Developed international
markets were down just fractionally. Emerging
markets were up 5 percent, more than U.S. markets
in the June quarter, and diversified bonds were
flat.
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And for the year, that puts the S&P --
for the fiscal year ending June, the S&P was up
24.6 percent, developed international markets up
11.2 percent, emerging markets up 12.5 percent,
and diversified bonds were up 2.5 percent. Very
strong results.
And I'll have a comment or so later in
my remarks, but I'll note that even with the
turbulence we've gone through this quarter, we're
in August now, more than a month and a half into
the new quarter, this quarter is essentially flat
in the market so we're hanging in there.
We continue to monitor economic
conditions and geopolitical tensions throughout
the world. And it does seem like unprecedented
events happen on a weekly basis.
Volatility in the markets has increased.
Since the Investment Committee meeting only two
weeks ago, we had a significant market correction,
and that was followed by nearly a complete
rebound.
The economy is slowing a bit, but so is
inflation slowing. And the probability of a Fed
rate cut is increasing.
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The Producer Price Index and the
Consumer Price Index both showed improvements in
this week's reports. The PPI came in at
2.2 percent, and the CPI came in at 2.9 percent.
Those are at three-year lows.
And the CPI, Consumer Price Index,
slowed for the fourth consecutive month in July.
So that's good news.
So far, at least, the U.S. economy has
avoided the recession that so many believed would
occur last year. And now the consensus is that
the Fed will cut rates at least once before the
end of the year, and that may happen as early as
September.
Obviously there are a lot of moving
pieces in the investment landscape right now. And
over the past year, you know our resident economic
and strategy expert on the Investment Committee,
Connie Everson, has consistently pointed out the
positive economic indicators that really heralded
the strong double-digit equity gains we enjoyed
last fiscal year.
At this cycle's Investment Committee
meeting, two weeks ago, Connie outlined the recent
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strength of the consumer, namely consumer
spending, and historically low unemployment could
provide continuing tailwinds for economic and
market growth. We certainly hope so.
Having said all that, we are always
quite humble about our ability to predict the
future. And I quoted and I'll quote again the
founder of Oaktree and legendary investor Howard
Marks. He recently wrote, and I quote, "The only
thing worthy of certainty is the conclusion that
we shouldn't be expressing any of it," unquote.
As everybody is aware, our investment
philosophy is that nobody can predict the future
so we don't try. And nobody can predict the
direction of the market so we also don't try to do
that.
This is an uncertain time, but we can
take comfort in our carefully constructed
portfolio, which really has demonstrated its
ability to perform well, no matter what the future
can bring.
And while the last three fiscal years
have provided an extraordinary test for staff and
the PRIT Fund, we do remain pleased and confident
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in the resiliency of the PRIT Fund and its
performance over all time periods and throughout
several different market environments.
I'm extremely proud of the entire PRIM
team and how we have responded in the recent
turbulent environment, particularly last fiscal
year. And I am very thankful for the support and
the engagement of the PRIM Board and all our
committee members.
That support and confidence has enabled
us to build a staff second to none, a staff who
has consistently produced strong investment
performance and what I believe is extraordinary
non-investment innovation and responsiveness. I
believe really we are a steady ship in a very
uncertain time.
And with that, I'll take any questions
or comments you might have.
TREASURER GOLDBERG: Any questions for
Michael?
I'll just add that a week ago Monday,
when there was volatility in the market, and some
people were contacting me and going, "Oh, oh," I
said we don't pay attention to one-day ups and
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downs. We have a long-term strategy, and the key
to success is focusing on your strategy,
implementing your strategy and not overreacting or
reacting to variations in the market.
So it sounds like we are all, in our
group here, all on the same wavelength, which has
been a strategy that has worked for us through all
sorts of disruptions in the market that we've
experienced.
So I wonder if they would have said on
the rest of the week when the market went up, "Oh,
are you a buyer? Are you a buyer?"
With that, thank you, Michael.
If there are no other questions, I will
move on --
MR. BROUSSEAU: Treasurer, can I ask one
question?
TREASURER GOLDBERG: Of course you can,
Bob.
MR. BROUSSEAU: I know, Michael,
earlier, I guess, you mentioned, I think in the
May quarter, that we had transferred $665 million
to pay benefits. And I noticed in your report
this time, it said we had transferred
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$449 million.
What has caused this discrepancy in
those two numbers? Do you know?
MR. TROTSKY: I don't know off the top
of my head, but you're right. It's lower than
usual. We paid $449 million. And that is on the
low end of what we would expect.
We can get back to you with the reason
why. It probably has to do with the difference
between money coming in and money going out.
That's a net number.
MR. BROUSSEAU: Okay. Thank you.
TREASURER GOLDBERG: And money has come
in, Bob.
MR. TROTSKY: Right.
MR. BROUSSEAU: True.
TREASURER GOLDBERG: And that is our
analogy is our bucket, that we have a hole in the
bottom of our bucket, but we like to pour water
into the top faster than it goes out the bottom.
And Michael let me steal that phrase
from him about half dozen years ago. Right,
Michael?
MR. TROTSKY: That's right.
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Treasurer, you may have noticed that I
did not go through the performance slides.
TREASURER GOLDBERG: Right. That's the
next item on the agenda.
MR. TROTSKY: I could do that, or we
could skip it. I know you've all heard it, but I
could go through the performance slides just
briefly for more detail, but I think everyone on
the call has already heard me go through that.
TREASURER GOLDBERG: I believe you're
correct. So unless there's any objection, we
could skip the performance slides and move on to --
Oh, one of your favorite days of the
year. Correct?
MR. TROTSKY: That's correct.
TREASURER GOLDBERG: The next item on
the agenda -- there were no objections to skipping
the performance slides, correct? Everyone? I
just want to double-check that.
MR. TROTSKY: Yes. And you will be
hearing from each asset class a summary of
performance.
TREASURER GOLDBERG: So then the next
item on the agenda is the executive director
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fiscal year 2024 performance evaluation and fiscal
year 2025 goals.
This will be a voting item, but,
Michael, why don't we let you talk about it first,
and then we'll vote at the end.
Just, Tony, remind me that we don't have
a motion and a second so I do it correctly.
MR. FALZONE: That's right. So the
performance evaluation will come first, and Dennis
is handling that for this cycle.
TREASURER GOLDBERG: Right.
MR. FALZONE: And then the goals and
objectives are the actual voting item, which would
happen after the performance evaluation.
TREASURER GOLDBERG: So then, Dennis, is
this why you wore a tie today?
MR. NAUGHTON: Oh, absolutely.
Normally, I would be disheveled and probably have
my Hawaiian shirt on.
TREASURER GOLDBERG: Typically, yes. So
with that, I look forward, Dennis, to hearing your
presentation.
Hopefully anyone who had comments that
they wanted to make directed them to Dennis or met
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with Michael separately. I know, Ruth Ellen, you
came into the office and met with Michael.
I talk to Michael consistently, but I
usually do a little wrap-up before we complete it.
So with that, Dennis, I'm turning it
over to you.
MR. NAUGHTON: Well, thank you very
much, Treasurer. And good morning, everyone.
As you know, the executive director has
an annual performance review in accordance with
PRIM's executive director performance evaluation
policy.
And under that policy, Board members
are invited each year to meet with the executive
director to discuss general subjective aspects of
the executive director's performance.
Normally, this report, as I think you
probably all know, is presented by Administration
and Audit Committee Chair Bob Brousseau, who is
here with us this morning. However, since Bob has
been recovering from surgery, I was asked to
prepare and present Mike's evaluation, and
naturally, I was more than happy to do it.
Having served on the PRIM Board for
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quite a few years myself now, I have witnessed
Michael's consistently superlative evaluation
results in the past. And I can tell you that
once again this year, Michael's review by the
Board and committee members who contacted me is
outstanding.
Carrying on with the Administration and
Audit Committee Chair Bob Brousseau's practice,
it's my pleasure to again share with you now some
of the written comments that I received about
Michael from Board and committee members.
And I hope I haven't shared -- I'm not
going to share too many and bore you, but I don't
think that I will because we are all, I think,
very happy with the way things have been going
under Michael's stewardship.
So the first comment is as follows.
Every year, I search for superlative words to
beat the prior year's superlatives. If you use
the evaluation boxes and "outstanding," quote/
unquote, is the top rating, please use that across
the board.
Another respondent said he's a great
leader with an open mind. Builds and retains a
strong team and gives them recognition when
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appropriate.
And I think, just as an aside, we hear
that at every meeting. We hear that Michael does
that at every meeting during the course of the
year and at the committee meetings as well.
The person finishes by saying to that,
the results speak for themselves.
Another respondent said simply the best.
We are very fortunate to have him as PRIM's
leader.
And I want to interject. Comments were
extensive by people, and I just excerpted a few
things that I felt were representative. So I
don't want anyone to go away with the impression
this is all that people said. Not true by far.
They said plenty.
Another respondent said, I view Michael
Trotsky's performance as outstanding on the
criteria that are used to measure personal
results.
Yet another: Michael does an exemplary
job of leading the PRIM investment team. This is
a member of the investment team. His team
respects him, and he is respected throughout the
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industry.
Another. Michael is perhaps PRIM's most
valuable asset. He sets a consistent and clear
tone with every aspect of his leadership, work
ethic, character, collaboration and communication.
Yet another. I feel there are never
enough words to convey my utmost confidence,
optimism and gratitude for having Michael Trotsky
oversee our pension fund. He's built such a
community of leaders, experts and team players
within the staff at PRIM. He's created an
atmosphere of excitement, passion for their work,
inspiration and creativity in their approach to
investing. Once again, this year, I'd like to say
that Michael's performance as executive director
is outstanding, and I am grateful that we have him
to lead our fund.
Another comment. To be quite honest, my
evaluation comments for Michael are just about the
same as they've been in recent years. Frankly,
despite his and PRIM's continued success, it's
hard to find more superlatives to send his way.
Michael, I see you looking down there.
Are you turning red?
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Michael displayed, once again, another
person said, the qualities that I think make him a
strong CIO: appreciation for all aspects of the
markets from a big-picture perspective, while also
being able to drill down and understand the
details of each asset class. He combines this
with his personal qualities of being a strong
internal leader. He can attract and retain and
motivate the team. And a strong leader externally
with all of his constituencies.
Another comment. He's outstanding as a
leader for PRIM. He's respected and trusted
internally and externally.
Another. Michael has done an
outstanding job over the past fiscal year, and as
I have said in the past, PRIM's staff, committees
and the Board, beneficiaries and especially the
taxpayers in the Commonwealth are very fortunate
to have such a dedicated, intelligent and
thoughtful leader. Consistent with past years, I
would characterize Michael's overall performance
as outstanding.
Another. I continue to be both
impressed and pleased with PRIM's progress, and I
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continue to credit much of the culture, focus and
general good work to Mike's leadership.
We're getting close to the end here, I'm
afraid.
Another comment. Michael Trotsky's
leadership and performance is outstanding, as it
has been since he joined PRIM. I believe he's one
of the best executive directors in the public
funds industry in the country.
Now I am going to make a short comment
of my own, and then I am going to turn it over to
Bob Brousseau, who I know has things he wanted to
say personally.
Bob asked me, "Should I send my comments
to you, or should I say them myself?" And I think
we'd all agree since he is the trooper who's here
today recovering from surgery, he can speak for
himself.
But I will just say what I always say
because I can't add to the superlatives I've just
shared with you. So what I always say is,
Michael, thanks for being here. Please never
leave.
And now, Bob Brousseau with his
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comments.
MR. BROUSSEAU: Good morning, Treasurer.
Good morning, Dennis, Michael.
Dennis, I would like to thank you so
much. What a fantastic job you did in summarizing
the accolades that come Michael's way. However, I
would just like to add my evaluation of Michael.
And like all of the others, I say it
was, the last year, outstanding. And I would add,
I consider it to be outstanding plus. And I think
it should be in the record because his evaluation
does become a part of the record.
But when I look at $105.3 billion in
this last year, in the last 14 years of Michael's
leadership, our assets have more than doubled.
This is a tremendous boon to the Commonwealth of
Massachusetts and to the beneficiaries and the
retirees in this Commonwealth.
I would just like to mention one thing
that we've heard already, the fact that Michael
this year, The Allocator from With Intelligence is
awarding Michael with a Lifetime Achievement Award
for his work, and this work for us has been here
at PRIM.
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This is a tremendous award for Michael,
and I would like to congratulate him.
The awards earlier given to our staff
have already been listed, Dennis, be it with
portfolio completion strategies, private equity,
the GFOA. I'm not going to say anything else.
But I'd like to say also that
personally, I found that over the 14 years I've
known Michael, this is a man who has such
compassion for all of us, not only just the Board
members, but also for the committee members, staff
that he goes to bat for. And I'm sure it is a
pleasure working for him.
Not only that, but the compassion he
shows and the empathy he has shown for everybody
in this staff and in this organization is
outstanding plus.
And at this point, I would say, Michael,
you are a gem. We are pleased to have you. Thank
you.
MR. NAUGHTON: Treasurer, that concludes
the report that I had to present regarding
Michael's performance evaluation.
TREASURER GOLDBERG: Dennis, terrific
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job. And, Bob, thank you for your additions to
the comments.
So I have a little bit different
perspective, both in my role nationally and seeing
what occurs with pension funds in the other states
and also in terms of my other varying
responsibilities.
I have to say that, number 1,
outstanding goes without saying. But I want to
comment personally on both Michael's relationships
in working with me and his leadership with the
staff and my staff working together on so many
important challenges, issues, initiatives.
And overall, the relationships and the
working relationships are outstanding, and it
starts at the top and works its way down.
We have achieved a great deal together.
And I don't always find that to be the case. And
so Michael and I appreciate the working
relationship we have and have cultivated that
through all the different layers of our staff.
And I think that the new Stewardship and
Sustainability Committee is a wonderful example of
that collaboration, and it's ongoing and again
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another example of outstanding hiring by Michael.
And so one of the things I focus on as a
leader is ability to retain and develop those who
work with you. One of the statistics that Michael
has is even with having five days a week back in
office, he has had zero turnover in the last year.
I would like to see any other organization like
this one be able to say that. And that is an
example of the kind of management skills that I
like to see in every organization that I have a
relationship with.
So with that, I add my vote to
outstanding. And I'm glad to see and hear as
always that others feel similarly.
But, Michael, you know how I always like
to say, okay. That was this year. We start with
a clean slate, good or bad. And we will all be
back here next year, having just gone through this
process. And you don't want any of your boxes of
outstandings to slip at all.
But thank you for all you do and all
everyone else does within PRIM.
MR. TROTSKY: Thank you so much,
Treasurer, Dennis, Bob, everyone who participated.
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Obviously it means the world to me to
have your confidence and your leadership really.
The support that you all just elaborated for me
really extends to the staff, and it means the
world to everyone.
So the tone comes from the top. You
guys are the top. And you've enabled us to build
such a high-performing cohesive staff. And I
know, speaking for staff, that we appreciate it
all very much.
And it has been a very productive and
enjoyable relationship with the Treasurer's Office
and with everyone else.
So what does Bill Belichick say? On to
Cincinnati? Something like that. You're right.
A new year.
But thank you so much. It means the
world to me.
TREASURER GOLDBERG: Well, you're very
welcome.
And that takes us to our voting item so
I will seek a motion and a second, and then I'm
assuming that you will want to go over some of the
goals and objectives for the following year? Or
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everyone's read it, and we just vote on it?
Michael, you're on mute.
MR. TROTSKY: I'll just list a couple of
highlights and changes from this year.
TREASURER GOLDBERG: Okay. So I'm going
to do the motion and the second first.
So I seek a motion that the PRIM Board
approve the Administration and Audit Committee's
recommendation to approve the executive director's
fiscal year 2025 goals and objectives, attached as
Appendix D of the expanded agenda, and further to
authorize the executive director to take all
actions necessary to effectuate this vote.
Is there a motion?
MR. BROUSSEAU: So moved.
TREASURER GOLDBERG: Is there a second?
MS. D'AMATO: Second.
TREASURER GOLDBERG: Thank you,
Catherine. Thank you, Bob.
Go ahead, Michael.
MR. TROTSKY: Okay. So the fiscal year
2025 goals and objectives are in Appendix D. And
they were approved for your consideration at the
meeting of the Admin and Audit Committee earlier
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this month.
The goals and objectives are very
consistent with last year and include the
completion of our annual plans, which are reviewed
earlier in the year with each committee and the
board.
The goals and objectives really reflect
a continuation of the work we are already doing,
but there are some notable new additions this year
that I'm sure you noticed. And I'd just like to
highlight four of them.
First, a common goal in all areas of our
organization is to explore applications of
artificial intelligence, in particular, large
language models in our industry. AI will impact
our industry. It already is. And we need to be
ready for it. We've been spending more time
studying the potential impacts of AI on our
business processes and the processes of our
suppliers and partners.
And like everything we do at PRIM, our
approach will be thoughtful and deliberate, taking
especial care to safeguard our data and everything
we do.
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We've already had our first educational
session with Dr. Hod Lipson. He's a professor of
engineering and data science at Columbia.
And the first PRIM artificial
intelligence project is under way under Tony's
leadership. It leverages the power of generative
AI in large language models to create a unique
PRIMcentric knowledge source.
The initial implementation will combine
a very limited, nonfinancial PRIM dataset with the
capabilities of a large language model, and this
will allow PRIM to search, aggregate and report on
various historical data.
This is considered really a baby step in
the possibilities that AI may bring. Longer term,
we do see the potential for AI to impact our
investment analysis, our decision-making and our
manager monitoring. And we'll keep you posted on
the progress of this effort as it progresses.
This year, we will also refresh our
investment policy statement. At both the
Investment Committee and the Real Estate Committee
meetings, we released a draft of the new
investment policy statement for feedback before we
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finalize it later in the year.
The investment policy statement is a
fundamental document that serves as a roadmap,
guiding our investment decisions and ensuring we
remain aligned with our long-term goals. Updating
the investment policy statement is good governance
and is crucial to maintaining its relevance and
its effectiveness and to ensure that it aligns
with current and industry best practices. So it's
a normal thing that we do every three to five
years.
The risk team will perform a liquidity
study this year across all PRIM portfolios and
conduct an internal review of the sizing of
positions. That's a related effort.
Work is already under way. In fact,
some of the findings have already been
incorporated into the new investment policy
statement language, expectations about liquidity
in particular. And we had a healthy conversation
about liquidity at this cycle's Investment
Committee.
Remember, though, liquidity needs are
typically quite low to the PRIT Fund compared to
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its size. For example, as Bob pointed out, last
year's liquidity needs to pay benefits were
$449 million. That sounds like a lot of money,
and it is a lot of money, but it is less than one
half of 1 percent of the PRIT Fund's balance of
$105.3 billion. So it's really not a large
liquidity need in the grand scheme of things. We
expect that to go up.
Nevertheless, we conduct this review
mainly to set expectations for liquidity at each
asset class level.
And last, the fourth thing I want to
highlight -- and I believe I'm having an internal
meeting on this on Monday. I can't wait. The
finance team is working diligently to onboard a
new performance reporting system with
significantly enhanced capabilities and dashboards
that hopefully you will see very soon, and you'll
find them more intuitive and more useful. The
goal is to have those capacities in place by the
end of the calendar year.
Jennifer Murphy and Matt Liposky are
hard at work on that exciting project. I can't
wait to hear about it on Monday at our internal
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meeting. But it's coming.
That's it. Those are the four things I
wanted to highlight. I'll take any questions or
comments about the rest of the goals and
objectives.
Other than that, we could move forward.
TREASURER GOLDBERG: Are there
questions?
MR. BROUSSEAU: Treasurer, I have not a
comment, a question.
Michael, other than what is written
there, goal number 12, would you care to elaborate
any more? Or is it as we see printed here in
terms of goal number 12? Leading our peer private
equity institutional invested limited partners?
MR. TROTSKY: Yes. We've been hard at
work at that, and this is a good environment to
get better terms with our private equity managers.
And Mike McGirr and his whole team has been doing
that.
It's mainly with regard to contracting
language and rights of us as a limited partner.
And we can update you later in the year on our
progress and some examples of the success we've
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seen. But I've been very, very pleased with our
efforts there, and it comes at a good time where
we have a little leverage.
MR. BROUSSEAU: Thank you, Michael.
MR. TROTSKY: We can turn to Mike when
he's presenting, and maybe he'll give us a little
color on that as well.
TREASURER GOLDBERG: Thank you, Michael.
Are there other questions for Michael?
Well, we had a lengthy and deep
discussion in Admin and Audit, and everyone has
the appendix with the descriptions. Michael did
send them all to us earlier in the month.
What I recommend is if something comes
to mind, do not be shy. Call Michael. Go in and
see the office. From what I understand from Ruth
Ellen, it's worth seeing.
But with that, this is a voting item.
And we do have a roll call vote so I will move to
the vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
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TREASURER GOLDBERG: Ruth Ellen?
Ruth Ellen?
MS. McGOLDRICK: She's muted.
TREASURER GOLDBERG: Ruth Ellen, you're
muted.
I'll come back to you, Ruth Ellen.
MS. FITCH: Okay.
TREASURER GOLDBERG: Oh, I can hear you.
MS. FITCH: Yes. Sorry.
TREASURER GOLDBERG: And now we're
looking at your desk, just so you know. You've
changed your --
MS. FITCH: Yes. All right. Go ahead.
Yes.
TREASURER GOLDBERG: Okay. Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Peter?
MR. MONACO: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Paul?
MR. SHANLEY: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
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All right. The next item on the agenda
is the investment report. And we will start with
public markets, and it will be another Michael.
Tony?
MR. FALZONE: There Michael is.
MR. McELROY: Can people hear me?
TREASURER GOLDBERG: Now we can. We
couldn't hear you at all.
MR. McELROY: It looks like I just got
promoted. Okay. Well, great. Thank you.
Good morning, everyone. This is Michael
McElroy, the director of public markets. I'll
cover the market environment and performance for
both the second calendar quarter and the whole
fiscal year 2024 periods.
After last quarter's strong start to
the year, the equity market returns generally
followed through with another positive quarter.
In the second quarter, the U.S. large cap stocks
and the emerging market stocks were up about 4
percent in the quarter. And developed
international and small cap U.S. stocks were down
between 1 and 4 percent in the quarter. So it was
kind of a mixed
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quarter, depending geographically and then size-
wise.
The U.S. market continued to be driven
by the so-called Magnificent Seven large cap
technology stocks. The technology and
communication sectors were the only outperformers
in the second quarter, with several of these large
technology stocks up 20 percent or more in the
quarter.
The U.S. market's exhibiting a very high
degree of concentration, with these seven stocks
accounting for over 50 percent of the S&P 500
return over the last 12 months; the other 493
stocks contributing the other half of the return.
So we're really observing historic
performance deviations between the capitalization-
weighted and the equal-weighted indices. Relative
to how we've looked at this over time, very wide
deviations.
In terms of styles, growth outperformed
value in the U.S. and in the emerging markets.
And large stocks continue to outperform small
stocks.
For the full fiscal year, equity returns
were strong ranging between 8 to 25 percent with
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the U.S. large cap exhibiting the strongest
returns as was mentioned earlier.
Bond returns were mixed in the second
quarter. Core fixed income slightly declined.
The more credit-sensitive bonds were up, though,
almost 2 percent. Rates did increase at the
longer end of the yield curve, and credit spreads
were slightly wider in the quarter.
For the fiscal year, core fixed income
returns were slightly negative, but credit-
sensitive value-added fixed income was up almost
11 percent.
So equity results for the PRIT Fund in
the second quarter slightly lagged our benchmarks,
whereas our bond investments outperformed. Global
equity underperformance stemmed from our domestic
manager allocations along with EM managers
slightly lagging their benchmarks. Developed
international managers had a good quarter.
For the full fiscal '24 period, global
equity performance slightly lagged our benchmark.
Domestic manager allocations impacted performance,
as did international manager performance,
particularly our growth-oriented managers in
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international.
Emerging markets was a bright spot with
managers in aggregate almost 5 percent or
500 basis points ahead of benchmarks.
For our bond investments in fiscal '24,
both core and value-added were ahead of
benchmarks. Emerging markets debt managers
performed well, as did our credit managers.
Managers report that companies are
delivering good operating performance in this
environment, but market concentration and high
valuation levels in some sectors has obscured this
good operating performance.
The consumer seems to be holding up
well, and the labor market remains robust, though
recent data points, notwithstanding this morning's
data point about the consumer, indicate the market
supports might be weakening a bit. Inflation,
both the level and the trend of inflation, seem to
be stabilizing or declining in most markets.
So notwithstanding last week's volatile
market action, both stock and bond market
volatility have moderated and are below the levels
we saw a year ago.
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However, there does continue to be a
tug of war between bulls and bears in the market.
Bulls are heartened by falling inflation, lower
rates and a soft landing scenario, whereas bears
worry about the consumer, unemployment,
geopolitical tensions and high valuations.
Given these potential risk catalysts,
risk management remains a top priority for PRIM
staff and our managers. We recognize that
calling the timing or impact of these events is
impossible. So across the aggregate equity and
fixed income holdings within the PRIT Fund, we
have muted relative exposures to regions,
sectors, industries, countries, as well as
interest rate and credit risk.
So in closing, the public markets
portfolio delivered mixed results over the last
fiscal year with equities lagging a bit on a
relative basis and fixed income delivering
positive value-added.
Given the market environment we've been
in, we're encouraged that the results are within
our range of expectations for a portfolio with a
low tracking risk relative to the global markets.
Domestic equity markets are extremely narrow and
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concentrated. And fixed income markets offer very
attractive risk-adjusted yields and opportunities.
The public markets portfolio remains
well diversified across geographies, styles and
sectors and demonstrates this diversification
during market stress periods.
The aggregate risk of the overall equity
and fixed income portfolios remains low, and our
managers continue to deliver good long-term
benchmark-relative value-added.
So with that, I'm happy to take any
questions from anyone on the board.
TREASURER GOLDBERG: Are there questions
for Michael?
Hearing none, thank you, Michael.
MR. McELROY: Thank you.
TREASURER GOLDBERG: And the next item
is portfolio completion strategies. And that will
be Bill Li. I'm looking for Bill.
Thank you, Bill.
MR. LI: Good morning, everyone.
Can you hear me?
TREASURER GOLDBERG: Yes.
MR. LI: Great.
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Good morning. My name is Bill Li,
director of portfolio completion strategies or
PCS.
As Michael Trotsky earlier mentioned, we
had an exceptional year, exceptional performance,
measured on all three fronts of absolute return,
relative return and risk-adjusted return.
During last fiscal year, PCS, which is
predominantly hedge funds, was up by 10.2 percent.
PRIT hedge fund delivered 12.6 percent, outpacing
benchmark by 350 basis points, while maintaining a
healthy equity beta of .2.
Our risk-adjusted return continues to
more than triple that of the 60/40 market
portfolio, meaning the hedge fund program's
diversifying benefit to PRIT Fund remains strong.
So our barbell approach combining stable
value and directional funds worked. It has proven
to be a great way to construct a portfolio well-
balanced.
Manager selection was also standout. We
significantly outperformed peers by over 300 basis
points.
So those are the numbers side of the
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update.
Despite the strong figures, we're
carefully analyzing how much of that is tied to
the overall market. We regularly break down each
fund's performance to see what's driving results,
and it turns out that it's the improved alpha and
higher cash returns that are really boosting the
numbers.
In fact, our alpha nearly doubled. As
you know, we've been recycling capital from some
of the less promising legacy mandates and into
funds of higher quality and higher potential. And
this portfolio management strategy of watering the
flowers and removing the weeds obviously is paying
off.
As we kick off the new fiscal year, we
continue to prefer managers who share our long-
term vision. We particularly like managers who
can invest with a catalyst angle and are patient
enough to see them through. PRIM is committed to
the long game, making us the ideal partner for
those who need time to catalyze value.
Another highlight I want to share here
is that we're now spending more time checking in
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with managers. We think a hands-on and personable
approach here is important. And our goal is to
collect intelligence, which is sometimes subtle,
yet critical. You never know when a little chat
can turn up something really useful. It can help
us detect risks as well as spot great
opportunities early on.
In summary, PCS had an exceptional year.
To sustain this success, our team is intently
focused on both the number side and the people
side behind the investments, and we believe this
approach is essential for the portfolio's
durability.
That concludes my update. I really
appreciate your understanding and continued
support. And I remain at your disposal for any
questions.
TREASURER GOLDBERG: Thank you, Bill.
Are there questions for Bill?
Hit it out of the ballpark again.
Congratulations on a good year. I know that PCS
has in the past been challenging, and so it's
really terrific to see this kind of turnaround.
MR. LI: That surely has turned.
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TREASURER GOLDBERG: So next is private
equity. And is Mike on?
MR. MONACO: Hey, Madam Treasurer. It's
Peter.
TREASURER GOLDBERG: Oh, Peter. Hi
there.
MR. MONACO: I apologize. I was on mute
before, so I couldn't get off a quick question for
Mike McElroy. Could we just double back for
30 seconds?
TREASURER GOLDBERG: Sure.
MR. FALZONE: We'll promote Mike McElroy
back.
TREASURER GOLDBERG: Yes. He isn't on
screen, so we have to get him.
MR. MONACO: I can just hit him on
emails. No worries.
MR. FALZONE: He's back.
TREASURER GOLDBERG: Well, he's not
completely back. He's on his way back.
Go ahead.
MR. MONACO: Hey, Michael. Peter
Monaco.
What is your take on what is happening
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with corporate profit margins, I guess as proxied
by the S&P? It seemed and it felt like they were
under albeit modest pressure for a couple of few
quarters, but actually may be expanding again.
MR. McELROY: Yes. We certainly ask our
managers about that in terms of the companies.
And as I mentioned, the companies are reporting
good operating performance, and that's on the top
line as well as bottom line.
As you noted, margins were shrinking a
bit as costs were going up. But, you know,
companies have had a decent ability to pass
through some of those costs. And now with
inflation mitigating, we would expect that that
should be able to hold for a bit here.
So again, we don't make any predictions
on that. We're sort of observing and hearing what
our managers are saying.
But they're reporting good performance,
and I think a little disappointed in some cases
that that good operating performance is sort of
being hidden behind kind of just focus on very
thematic things in the market like AI, whereas
companies that cross many different sectors are
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reporting pretty good operating numbers.
MR. MONACO: Thanks very much.
MR. McELROY: Does that help?
MR. MONACO: Sure. Thank you.
MR. TROTSKY: Peter, I track that
through a data provider that tracks S&P earnings
and revenue growth as they report earnings. So I
can dig that up and send it to you.
But my recollection is that revenue
growth has slowed in this quarter's earning
reports, but earnings have accelerated slightly.
And I'm not sure the reason for that, but we can
talk about it.
MR. MONACO: Thanks.
TREASURER GOLDBERG: All righty.
Okay. We will bring back Michael
McGirr. Private equity.
MR. McGIRR: Thank you, Madam Treasurer.
So before jumping into some performance,
Bob, I wanted to quickly address your question
about private equity negotiations and that being a
critical goal, a key goal of Michael and the
entire private equity team.
So just a little bit of background.
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When we are making an investment, whether it's a
fund investment or otherwise, these are private
transactions that we are closing.
So I visually picture -- everything's
electronic now, but it's sort of like the stack of
papers you get when you're buying a new home.
It's substantial.
And these are private negotiations
between two parties. So they ebb and flow.
But if you think about the standard
package of a partnership, there's a limited
partnership agreement, there's a side letter, and
there's subscription documents. So those
documents are hundreds of pages. And we work very
closely with excellent external legal providers to
help prioritize key terms and conditions that we
want to focus on.
And I'm very encouraged by the progress
we've made in this area, especially with the
collaboration, very productive collaboration we've
had, private equity team has had, with the legal
team and the operations team.
So hopefully that gives you some
additional color.
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Great. Well, I am going to transition
to private equity performance.
And as Michael had mentioned, private
equity performance for the one-year was up
7.7 percent net. And that continues the recovery
that we've seen. And in the context of private
equity's long-term performance, which continues to
remain strong, our three-, our five- and our 10-
year numbers, all double digits. Our three-year
at 10 percent, five-year at 19 percent and our 10-
year at 18 and a half percent, all gross, remain
very, very healthy numbers.
And for this past quarter -- and as a
reminder, we're talking about -- with our quarter
lag, this is the January through March time
period. So it feels like a long time ago. But
nonetheless, it was a positive quarter, our sixth
straight positive quarter.
And private equity was up 1.9 percent
net. And for the one-year, 7.7 percent net.
Some additional color, just briefly, for
the quarter and the trailing one-year, for the
quarter, buyouts, growth equity and venture
capital were all up. And that was the first time
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really since the correction that we've seen all of
our underlying strategies have positive
performance.
The VC portfolio was up 1.3 percent for
the quarter. However, for the trailing one-year
ending 3/31, PRIM's 6/30, was down 4.8 percent.
Growth equity up 3 percent for the
quarter and about 8 percent for the trailing one-
year. And buyouts led the way for us, SMID
buyouts, up 2 percent for the quarter; larger
buyouts up 1.1 percent. And both trailing about
10 percent gains over the trailing year.
Turning to cash flows, in Q2,
distributions slowed to 390 million, resulting in
a cash outflow for the quarter. But we remain
cash flow-positive for the calendar year.
And zooming out to the industry, capital
calls continue to outpace distributions, by and
large. And according to PitchBook, a data
provider, that ratio is more like two to one. So
that makes our net cash flow positive feel good in
the broader context.
And with our positive performance for
the quarter, our assets grew to 17.8 billion.
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That's 17 percent of the PRIT Fund so we're within
our target allocation range. And our assets, like
the PRIT Fund, are at a new high watermark, which
is great.
I'll pause my comments there, and happy
to take any questions or comments.
TREASURER GOLDBERG: Are there questions
for Michael?
I'm just double-checking. Any
questions?
Okay. Hearing none, thank you, Michael.
MR. FALZONE: So, Michael, will Alyssa
be providing the co-investment update?
TREASURER GOLDBERG: I was going to ask
if that --
MR. McGIRR: Yes. Our next agenda item
is an update, and we should be promoting Alyssa.
MS. ACKER: I'm here, Michael.
MR. McGIRR: Oh, great.
TREASURER GOLDBERG: There you are.
Okay. Very good.
Thank you, Alyssa.
MS. ACKER: Great. And, Tony, are you
able to pull up Appendix E?
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MR. FALZONE: Yes.
MS. ACKER: Thank you.
MR. FALZONE: All set.
MS. ACKER: Thanks, Tony.
Good morning, everyone. I'm Alyssa
Acker, a senior investment officer on the private
equity team. And today I'm excited to share an
update on our private equity co-investment
portfolio and program.
Tony, you can go to the next slide.
The main takeaway I hope to leave
everyone with today is that this innovative,
internally managed program has been accretive to
the private equity portfolio returns, is not
adding additional risk, and it's made meaningful
contributions to Project SAVE.
A quick refresher on a co-investment in
private equity. These are minority direct
investments in a portfolio company alongside one
of PRIM's existing general partners at no fee and
no carry.
As some of you will remember, in 2014,
staff, with your input, debated the right model to
implement a co-investment program. We considered
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internal and external options and determined that
having an internal program would have the most
benefits.
Since then, we have successfully
designed and implemented the program. It's direct
with no management fees, no carry. And we're
proud to say it's meeting and exceeding the
original expectations.
As a reminder, the program that we
designed and was approved by the board in 2014
delegates the authority to the executive director
and CIO to approve the co-investments so long as
they meet the board-approved criteria.
Our co-investment program is set up to
invest alongside PRIM's existing general partners
that have been added to the PRIM Board-approved co-
investment bench. We believe that investing
alongside our existing managers is one of our most
important investment criteria for the co-
investment program.
And over the past 10 years, with your
vote, we've been expanding the number of managers
eligible for co-investment as we've increased our
deal flow.
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Today, the private equity co-investment
program is about $1.9 billion of market value.
It's around 10 percent of the private equity
portfolio and less than 2 percent of the PRIT
Fund.
We've scaled this portfolio without
adding any dedicated co-investment team resources.
We are one private equity team executing on fund
and co-investments. It's a team-wide initiative
to source and evaluate deals.
The success of the program also would
not be without other people at PRIM. We work very
closely with PRIM's risk, legal and operations
team on the program.
Today, we can speak to the portfolio
across the three PRIM investment parameters of
return, risk and cost.
Starting with return, the program has
been accretive to the overall private equity
portfolio. The portfolio is meeting and exceeding
private and public benchmarks. And while the
portfolio is mostly unrealized, the realized
performance so far has been quite strong.
Risk. We've built a diversified
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portfolio across the number of investments, the
managers we've co-invested with, strategy, sector,
vintage year as well as geography. Our co-
investment portfolio has not changed the risk
profile of the private equity program.
We're working very closely with Jay and
Shannon on PRIM's risk team to closely monitor the
co-investment portfolio.
Costs. We're most excited today to
share an update on the private equity co-
investment program towards Project SAVE. This
internally direct program has made significant
contributions. We estimate that to date, we have
realized $91 million in cost savings.
Based on the size of the portfolio, we
estimate that the full fee and savings potential
is over $380 million. And this amount will
continue to increase as we deploy additional
capital into co-investments.
Next slide, Tony.
So over the past 10 years, we've really
learned and iterated with your support and
feedback and wanted to share some additional key
takeaways, as well as some items that we're
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mindful of as we moved forward.
So on some of the takeaways, the co-
investment program has been a very cost-efficient
and time-efficient way for us to have additional
exposure to some of PRIM's best managers as we've
looked to scale private equity as a percentage of
the PRIT Fund over the past 10 years.
Having an effective process has been
critical. Co-investments have compressed
timelines. And having a well-defined investment
criteria, a timely investment approval mechanism
has been critical for our deal flow execution.
Our strong relationships with our general partners
has also been very important.
The co-investments is at the discretion
of our managers. And while we don't control the
deal flow, we try to best position ourselves and
be proactive. There are a lot of great examples
of how our team has unlocked co-investment
opportunities in a competitive market.
And on the flip side, once we do
complete a co-investment, we are spending more
time with our managers. We are developing unique
insights that we are then incorporating into our
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manager monitoring and future decision-making,
making us better fund investors.
Some of the things that we're mindful of
is the unique nature of co-investments. We have
noticed that LP demand for co-investments remains
quite robust, and we are making sure that our
model remains competitive.
We're also mindful of adverse selection.
We have no evidence that this is existing today,
but it's something that we will continue to
monitor. And we think this is mitigated by
investing only alongside PRIM's existing general
partners.
In conclusion, the program is meeting
and surpassing the original goals from 2014. It's
become an important and strategic part of the
private equity program. It's accretive to
returns. It's not adding additional risk, and
it's made significant contributions to Project
SAVE.
Let me stop there and take any
questions.
TREASURER GOLDBERG: Are there questions
for Alyssa?
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I'm a big fan of Project SAVE.
Any questions at all?
Thank you, Alyssa.
MS. ACKER: Thank you, Madam Treasurer.
TREASURER GOLDBERG: With that, we will
move on to real estate and timberland. Tim?
MR. SCHLITZER: Good morning, everybody.
Good to see you.
So I don't have any voting items for
today. Let me just give a brief performance
update. Happy to answer any questions, and we can
move on from there. And I will not be referring
to any materials specifically.
So just speaking for a second to the
portfolio and our allocation, both real estate and
timberland did end the year within a percentage
point of their allocation midpoints.
So I'll also note that there have been
no changes to our risk bucket weighting or
geographic segments. So really meaning the
portfolio construction and our overall approach
has remained consistent.
For the fiscal year, capital allocation
activity across both real estate and timberland
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equated to roughly $1.3 billion or 1.1 billion net
invested across several sectors, geographies and
structures, including three new managers to the
FUTURE program, which we were pleased to see.
I'll also note that we had no changes to
the real estate debt capital structure during the
year.
Just honing in a little bit more on real
estate returns there, we're pleased that PRIM's
managers and the overall positioning of the
portfolio have resulted in strong market
outperformance equating to 453 basis points for
the one-year period.
PRIM's relative performance across all
time frames is also strong. And as Michael, I
think, mentioned, drivers of outperformance were
really our positioning within the office and
industrial sectors, as well as our overweight to
data centers.
The negative absolute returns in the
private real estate portfolio, as we've mentioned
previously, have been driven primarily by
increases in interest rates over the past few
years impacting the entire market.
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The REIT portfolio outperformed by
46 basis points and provided a positive return of
5.9 percent, which did partially offset the
absolute negative performance in the private
portfolio.
So generally what I would say about our
approach right now is we're fairly measured in how
we're taking things in terms of our stance going
into year-end, particularly in the office sector,
as you might imagine.
We are seeing some positive signals. In
addition to positive returns in the REIT market,
which is often a leading indicator for private
returns, we're beginning to see more equity
capital returning to the private market as
expectations for lower interest rates grow.
I'll also note that the magnitude of
appraisal declines is slowing, possibly signaling
that we're approaching a bottom, at least in most
sectors. So we are cautious but optimistic, I
would say, on the market going forward.
Just turning to timberland, timberland
had a strong year, returning 10.6 percent or
71 basis points above benchmark. We saw strong
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returns across all of the major geographic
segments, with Australia and New Zealand lagging,
driven by a slowing Chinese economy and housing
market challenges. But still positive for the
year.
In terms of U.S. demand drivers, U.S.
housing starts are roughly flat in both the single-
family and multifamily segments year to date, but
volatile, as usual. Renovation activity continues
to be soft due to higher interest rates and less
sales activity, but this will evolve with the
interest rate environment.
And then just to wrap up, when I was
speaking with the committee, and I've pointed out
to all of you previously, the capital markets
continue to be pretty optimistic on the long-term
prospects for timberland, despite maybe what's
happening currently in the housing market. It is
a long-term asset class.
Lumber and timber may be at trough
levels currently, which is constructive from an
underwriting perspective. Expectations for lower
interest rates I think are going to improve the
housing market.
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And as we know, the U.S. is structurally
underbuilt. New construction will not only lift
timber prices, but should increase land values as
well, particularly for well-located assets.
Demographic drivers, I think we're aware
of trends there. The largest age cohort in this
country is currently between 30 and 35 years old.
That's a huge demand driver, going forward. And
we need to provide more housing for these folks.
And then lastly, carbon and renewable
resource revenues, solar, wind and carbon credits,
I think are going to be very important going
forward.
So we continue to be constructive on
timberland.
And those are my comments. Happy to
answer any questions.
TREASURER GOLDBERG: So, Tim, it's my
understanding that even with the small drop in the
interest rate in the last couple weeks, there was
suddenly a big increase in applications for
mortgages. Like there seems to be pent-up demand.
I would say that's on the residential side, not on
the commercial side.
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But I'm wondering if you also had heard
about that.
MR. SCHLITZER: I completely agree with
that. I think that's right. And I think that
there's a lot of expectation for demand as rates
come down. We'll have to see how both the supply
and the demand sort of play out.
I mean there is also a concern that
lower rates may ultimately drive housing prices up
because of that higher demand, but we'll just sort
of have to see how that inventory plays out.
Folks are still somewhat constrained --
we've talked about this -- by those kind of golden
handcuffs, the low rates that are in place now on
the existing mortgages.
So it's going to be interesting to
watch. But I agree with your comment completely.
TREASURER GOLDBERG: Thank you.
Any other questions for Tim? Or
comments?
Thank you, Tim.
MR. SCHLITZER: Thank you.
TREASURER GOLDBERG: So the next item on
the agenda is the investment policy statement
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update.
MR. TROTSKY: Dave Gurtz will be
handling that, take that one.
MR. GURTZ: Yes. Thank you, Treasurer,
and thank you, board.
TREASURER GOLDBERG: Let me make sure
that it's not a voting item.
It is not.
MR. GURTZ: That's right. This is not a
voting item. Rather, it's just an informational
update for you all.
As Michael mentioned earlier this
morning, the investment policy statement is a
fundamental document that serves as a roadmap. It
guides our investment decisions and ensures that
we remain aligned with our long-term goals.
And updating the IPS is just good
governance, and it's crucial to maintaining the
relevance and effectiveness of this document and
ensuring it aligns with current and industry best
practices.
So this review and update was initiated
with three primary goals. First was to align it
with current practices. We aim to ensure that our
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IPS accurately reflects the latest internal
procedures and strategies. As our organization
has evolved, so too must our governing documents.
Some of the changes that we made to
align with current practices include removing the
hedge fund section, as it used to be a dedicated
asset class, and move the relevant portions into
the portfolio completion strategy section where
hedge funds reside today.
Additionally, we added a new risk
management and a stewardship and sustainability
section to emphasize the importance of these areas
at PRIM.
Goal number 2 was to incorporate
industry best practices. The investment landscape
is continually changing, and it's imperative that
our IPS aligns with best practices recognized
across the industry.
Some of the best practices we
incorporated included a focus on principles-based
guardrails. Every investment decision
incorporates many factors, and principles are a
more helpful guide to these investment decisions.
Additionally, we added a PRIM staff
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section to the duties and responsibilities
section.
And the last goal was to frankly enhance
the clarity and consistency of this document. The
current IPS is a bit of a Frankenstein document
that has been created over many years. An
important aspect of this update was to improve the
language and format of the IPS to enhance the
consistency, clarity and overall usability of this
important document.
This update has been a collaborative
firm-wide effort. We have incorporated insights
from various internal teams, including each of the
asset class teams, as well as the risk, research,
legal and operations teams.
Additionally, we worked very closely
with NEPC, our asset allocation consultant, as
well as our other asset class consultants, who
have provided invaluable insights into industry
best practices.
The outcome of this extensive process is
an updated draft IPS for your review and feedback
attached as Appendix G. As I said, this is not a
voting item. We are not seeking approval of this
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document today. Rather, it's more informational
for you.
We have presented this draft IPS to the
Investment Committee and the Real Estate and
Timberland Committee for their feedback and
review.
Following feedback we received, we will
revise the draft accordingly and present a second
and hopefully final version to the Investment
Committee at its next meeting in November. And
then assuming that that committee approves it,
we'll present it to you, the board, for approval
at the next board meeting in December.
So in the meantime, if you have any
questions or feedback on the IPS, please reach out
to me.
And that's it. Thanks.
TREASURER GOLDBERG: Thank you, Dave.
Any questions for Dave at this time?
Okay then. We are moving on to the
stewardship and sustainability report, and there
will be two voting items. And I can tell you that
this committee has been hard at work.
There you go, Veena. You're on.
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MS. RAMANI: Great. Thank you very
much, Treasurer.
This is a voting item about the
engagement policy.
TREASURER GOLDBERG: So what I'm going
to do is I am going to seek a motion and a second,
and then we can have the presentation on this.
And I seek a motion that the PRIM Board
approve the Stewardship and Sustainability
Committee's recommendation to approve the draft
engagement policy attached as Appendix I of the
expanded agenda, and further to authorize the
executive director to take all actions necessary
to effectuate this vote.
Is there a motion?
MR. NAUGHTON: So moved.
TREASURER GOLDBERG: Is there a second?
MS. McGOLDRICK: Second.
TREASURER GOLDBERG: Thank you.
Go ahead, Veena.
MS. RAMANI: Thank you very much, Madam
Treasurer.
So hi, everyone. My name is Veena
Ramani. I'm the director of stewardship.
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So as quick context, in January, the
board approved the stewardship policy which laid
out the rationale for why we are working on
stewardship at all, underscoring that everything
that we do on the stewardship side is based on our
fiduciary duty to position the fund for long-term
value creation.
The engagement policy, which is in your
materials as Appendix I, builds on the stewardship
policy and fleshes out how stewardship will work
in practice, specifically how we will make choices
on when to engage and the tactics that we will use
for engagement.
The policy has three components. It
reiterates, as our stewardship policy does, that
active ownership is key to long-term value
creation and that engagement is a part of that.
It identifies four questions that we
will ask ourselves in deciding when to engage.
The goal of these questions is to make sure that
we don't just engage for the purpose of engaging,
but rather, that our engagement is intentional,
aligned as far as possible to our stewardship
priorities and then oriented towards specific
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outcomes.
It also lays out the tactics that we
will use when we engage, as well as identifies the
role of staff versus the stewardship committee and
the board in decision-making.
We had a good discussion about policy
during the Stewardship Committee meeting. And
based on committee feedback, updated language,
which previously referred to "like-minded
investors and other groups" with the phrase
"aligned investors and other groups who share
specific objectives."
You'll see this new phrase in the last
paragraph of the first page of the policy.
So we think that the new language is in
fact a much more specific and clear expression of
what we intend to achieve here. So again, many
thanks to the committee for raising this point and
also for some nimble realtime drafting that helped
to get to this point.
So let me stop there, and I'm happy to
answer any questions.
TREASURER GOLDBERG: Any questions for
Veena?
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I am hearing none, Veena.
I think I'll just make a comment. I in
particular am very pleased with the methodical,
thoughtful way that this committee is operating.
We have other members on the board who also sit on
this committee. And I think that we have
approached this challenge of how to define and
evaluate very, very thoughtfully, based on a great
deal of work that PRIM has done already, even as
being one of the first groups involved in the
Aggregate Confusion Project.
So I am very pleased with our approach.
And it gives us a lot of legitimacy on our focus,
which Veena stated right in the first sentence,
which is long-term value of the fund. And I think
that you can do all these things. And there's
really common sense to it. And I believe that
that is exactly what our positions exhibit.
And I like seeing Catherine D'Amato
nodding. So --
MS. D'AMATO: Treasurer, I would agree
with you. I think that having not had the
experience with the fund before and then seeing
that document, I thought it was a very positive,
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proactive document.
MS. McGOLDRICK: I just want to echo
both the Treasurer and Catherine. And I want to
thank Veena for her work on it.
This has been truly a deliberative
process where we at length in the committee have
really discussed how we want to see this vision
going forward. And I appreciate that she took the
time to make all of the suggested changes, that I
know Ruth Ellen had a few as well.
So I do think that in the board meeting,
you can't capture all that we were able to go over
in more fine detail in the committee meeting, and
I'm very pleased with this.
So thank you.
TREASURER GOLDBERG: Well, we have
actually, not just in this committee meeting, but
the buildup to it, Theresa, this is why I said
it's been extremely thoughtful and methodical.
MS. McGOLDRICK: Absolutely.
TREASURER GOLDBERG: Tremendous
engagement. And this isn't just throw something
on a piece of paper. So I'm very, very pleased
with this.
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MR. NAUGHTON: If I may make a quick
comment, Treasurer.
TREASURER GOLDBERG: Absolutely.
MR. NAUGHTON: As a member of the
committee as well as the board, I think we need to
stress and stress again, as was done by Veena in
her opening comments, that this is a way of
enhancing meeting our fiduciary responsibilities,
not just in the short run, but over time.
MR. BROUSSEAU: Madam Chair, I had a
question probably through you to Veena.
This whole issue of sustainability tie-
in with the DEI has become a political football
across the country with many states of course
refusing to participate or do anything.
Veena, where do you see PRIM? Are we in
probably a leadership role in the country in terms
of what we are doing with sustainability and
stewardship?
And in reading the report, I get a
feeling that, yes, we are a leader, if not ahead
of the curve, where many other states are trying
to just hold up their hands or refuse to do
anything with it.
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TREASURER GOLDBERG: I don't think
that's completely a fair statement because --
MR. BROUSSEAU: I said some states. Not
all.
TREASURER GOLDBERG: There are some -- I
mean I just read something recently about a
particular treasurer in a state where he's
actually cost the state an enormous amount of -- I
mean something like $300 million by not addressing
some of these issues.
So there is a whole broad spectrum.
What I think is great is the approach
that we've created by having our -- when I use the
term "methodically," we started these
conversations years ago.
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: And the approach
that we've taken and the thoughtfulness and the
inclusive nature in which we've done this is --
yes, I would say we are absolutely a leader. I do
not disagree with you.
But there are some other states out
there and not just -- in some states, the
controller manages the pension fund, and there
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have been some who have done some good work.
And what's great about Veena is she is
familiar with the spectrum and then sort of
funnels it into ideas that we use within our
committee. We don't have to reinvent the wheel.
But I would say in this one, you are
correct, Bob, that we are a leader.
MS. FITCH: Yes.
TREASURER GOLDBERG: And we were a
leader by joining in on the Aggregate Confusion
Project right from the very beginning in our
thoughtfulness about trying to develop
quantitative ways of evaluating what we were
doing. And that's highly unusual.
So as I said, this is a voting item. So
unless there are more comments, I'd be more than
happy, if people would like me to, to proceed with
the vote.
How's that sound?
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
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MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Peter?
MR. MONACO: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Paul?
MR. SHANLEY: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries.
Now, we have a second item under
Stewardship and Sustainability. And I'm going to
seek a motion that the PRIM board approve the
Stewardship and Sustainability Committee's
recommendation to approve the following
stewardship priorities: climate transition
planning, fair pay, sustainable forestry and
transparency as described in the expanded the
agenda, and further to authorize the executive
director to take all actions necessary to
effectuate this vote.
Is there a motion?
MS. McGOLDRICK: So moved.
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TREASURER GOLDBERG: Is there a second?
MS. FITCH: Second.
TREASURER GOLDBERG: Veena.
MS. RAMANI: Thank you very much, ma'am.
Tony, could you pull out slide 2 of
Appendix L, please.
So as these slides are being pulled up,
I want to take maybe a couple of minutes to remind
ourselves again about why we are recommending that
we focus our efforts around certain priorities.
We made a decision a year ago to develop
a stewardship program that was intentional,
focused and outcome-oriented. We can't be
everything to everyone. Developing priorities we
saw as central to that objective.
And we also wanted to develop our
priorities using an objective and analytical
process and make choices based on data and
research on long-term value creation.
So there's a lot of materials that we
provided in the materials that we sent out, but
what I hope to do today is basically make three
points.
I wanted to talk briefly about the
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details of the process that we went through. I
want to highlight these priorities that we
recommend picking and talk quickly about why. And
then finally end with talking, again briefly,
about the action steps that we intend to take to
give effect to these priorities.
So let me start with process. So as the
slide notes, we followed a three-stage process in
developing our stewardship priorities. As a part
of stage 1, we worked with a number of providers
to complete a materiality assessment of our public
markets portfolio.
So what this meant was we worked with
four groups to use their financial models to
identify environmental and social issues which
were considered to be most financially material to
us, based on sector concentrations. We shared
these initial results of stage 1 with both the
Stewardship Committee as well as all of you on the
board as a part of the January/February meeting
cycle.
As a part of stage 2, we worked with
MSCI to dig into these material issues with the
goal of trying to figure out what was happening at
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the company level. So during the Stewardship
Committee meeting, MSCI presented in detail on
their approach, as well as highlighted key
insights from their data analysis exercise.
MSCI's presentation is included in your
package as Appendix K.
And as a part of stage 3, we used the
insights from MSCI's analysis to develop
recommendations on priorities where we intend to
focus our efforts.
I also thought it was worth noting that
we did ask ourselves four questions in determining
these priorities. And I hope you recognize them
from the engagement policy that you all just
approved.
So the first question was: Is this
priority that we're recommending focusing on
relevant to the long-term performance of the fund?
Again, starting, as we always do, with long-term
value creation. And we used academic and industry
research to help develop a view on that.
The second question we asked ourselves
was can our efforts lead to outcomes that are
measurable? So in other words, is there a way for
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us to track where we're making a difference versus
not?
The third question we asked ourselves
is: Is there an opportunity for us to contribute
to the development of thought leadership on this
issue?
And finally, do we have the expertise to
do this work, either internally within the
organization or through our partners?
Tony, next slide, please.
So this slide lays out our recommended
priorities, which the Treasurer previewed. And so
based on the process we went through, the
priorities that we recommend focusing on are
climate transition planning, fair pay, sustainable
forestry and transparency.
Climate transition planning is simply a
term of art that means climate-aware planning. We
picked this issue for two reasons: growing
corporate greenhouse gas emissions, largely
associated with energy use, and two, the value
creation potential for investing early in climate
change solutions. Our intended focus here is to
encourage our companies and managers to align
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their value creation strategies with the risks and
opportunities of climate change and to disclose
their strategies on this.
Our second proposed priority is fair pay
or specifically driving the uptake of transparent
and equitable pay practices. We picked this issue
because research is unequivocal that companies
that pay their employees equitably retain their
employees.
When trying to dig into this, we also
found that transparency on pay is quite limited.
So our intended approach here is to engage
relevant companies in our portfolio on pay
transparency and pay equity and also to explore
innovations in this area.
Our third proposed priority is
sustainable forestry or supporting practices that
reduce forest loss and promote resilience. We
picked this issue, recognizing the fast-growing
research on the significant market value at risk
from natural capital degradation and the links
between forest and climate change.
This is very much an emerging area from
a stewardship point of view, but we think we can
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leverage both new and emerging investor groups
that are focused on this issue, as well as learn
from the work that's already happening within the
context of our significant timber portfolio.
Our final proposed priority is
transparency. When we worked with MSCI to dig
into corporate data on the themes that our
materiality process had surfaced, we paid
attention to what the data showed, but we also
paid attention to where the data wasn't.
And our takeaway is that there is a
growing volume of data on environmental and social
issues, but information that's investor-relevant
and decision-useful is still limited. So our
intended approach here is to work with companies,
as well as the broader investor community, to
encourage quality and usable disclosure,
particularly on stewardship priorities.
Tony, can you move on to slide 8,
please?
So the slides that I'm skipping over
actually provide the details on the assessment
process we went through to make sure that the
priorities we picked meet the criteria that we'd
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identified, but I want to maybe end talking about
next steps.
So while we have identified stewardship
priorities, we see the operationalization of these
priorities as being a cross-fund exercise. These
priorities were developed in consultation with the
asset class teams and will be operationalized in
partnership with them.
We had a very good discussion in the
Stewardship Committee meeting about how these
priorities would be implemented. And the slide
lays out how we see it playing out.
We see this as beginning with getting a
much more granular understanding of how these
priorities are playing out at an asset class level
and then building on that understanding to engage
companies, managers and consultants to collaborate
with aligned investor groups, and then finally of
course to report on progress.
Our plan is to develop a much more
detailed action plan with the other teams that
actually flesh out the details of these next steps
and circle back with the board on this during the
next cycle of meetings.
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So let me stop there. Happy to take
your questions.
TREASURER GOLDBERG: Questions? Any at
all?
But as you can see from Veena's
presentation, again, I can only use the word --
every time I look at all this, I go methodical
approach, common sense approach and coordination
and collaboration. Those are the words that come
into my head.
MS. D'AMATO: And, Madam Chair, this is
Catherine, and so many other places running away
from this. So in terms of the embrace of this
kind of work, of it's -- not addressing it. It's
just so common. Especially the DEI work.
TREASURER GOLDBERG: Well, you know, at
their peril.
MS. D'AMATO: Yes. I mean it's amazing
how many have buried it. Or it's over. Or we
don't need to pay attention to it anymore in this
particular framework.
So it's just the period we're in, I
think, but it just speaks to the leadership of you
and your team.
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TREASURER GOLDBERG: Well, the example
that really highlights to me of a state where
these issues are not being addressed and already
harming the residents who are there is Florida.
Try to get insurance for your home in
Florida right now. And it's not just in southern
Florida. It's the entire state.
MS. D'AMATO: Yes. Yes.
TREASURER GOLDBERG: There are carriers.
We heard last year of carriers leaving Florida,
and there are increasingly more carriers leaving
Florida.
What does that do to the average
homeowner? Or retirees, for that matter?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: So not addressing
these things has so many negative long-term
effects. And for pension funds, you have to
carefully look at what companies and what groups
that we invest with are looking at the issues.
Wildfires is another one.
If you don't look at it and you close
your eyes, you could get your pension fund in
trouble. So what we're doing is we have our eyes
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wide open.
MS. McGOLDRICK: Yes. I mean I would
just add you can't bury your head in the sand with
this stuff. I know there's a lot of funds that
aren't addressing it and not as progressive as us.
And they're not doing their fiduciary
obligation, in my opinion. This is a new world,
and we have a wider fiduciary obligation than we
used to because of these events. And it's only
going to negatively impact your beneficiaries'
pensions if you don't.
TREASURER GOLDBERG: Agree.
MS. FITCH: Agree.
TREASURER GOLDBERG: So this is a voting
item. Are we ready to vote, or are there more
comments?
I see nods. Okay, then.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
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MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Peter?
MR. MONACO: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Paul?
MR. SHANLEY: Yes.
TREASURER GOLDBERG: Myself, yes.
The motion carries. Thank you.
Now, that was the last of our voting
items.
Okay. Finance and administration
report.
MR. FALZONE: Thank you, Treasurer.
So as you said, I don't have any voting
items, and I will make this quick. Emily is going
to be joining us to provide a legislative update.
Before I go to Item A, I do want to also
congratulate Deb Coulter and Qingmei Li for the
GFOA certificate of excellence. 19 years running
is quite an achievement. I also want to thank
them for the hard work they do, and they do it,
and they make it look easy.
So thank you for the finance team on
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that.
Matt Liposky, also hot off the presses,
finished the verification, the GIPS verification,
for fiscal year 2024. You folks will be receiving
that shortly.
Matt Liposky, our chief investment
operating officer, along with Jessica Murphy,
helped worked with the GIPS verification. Again,
no issues.
Congratulations to them and the
investment operations team.
And then obviously this is the end of
the year. HR and IT support, everyone in the
organization, I want to thank them as well.
So with that being said, I'll move on to
the schedule. This is just for your reading
pleasure. We've already had a few conversations,
and I hope that we can accommodate everyone, but
this will go up for a vote at the next cycle. So
again, it's not a voting item.
And then with that, I'll ask Dave to
promote Emily, and she can provide the legislative
update, unless anyone has any questions for me.
TREASURER GOLDBERG: Any questions for
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Tony?
Okay. Please promote Emily.
MS. KOWTONIUK: Hello. Good morning.
So I have a quick update for you all
today. We do have an FY '25 budget in place. It
does not include the language that alters the PRIM
Board, although we are still watching stand-alone
legislation, which is still pending.
We're also still watching for action on
the push to make permanent the COVID era policy to
allow for remote meetings. So as a reminder, the
current extension expires March 31 of 2025. So
that's coming up.
So legislature is still going to be
meeting in informal sessions through December, so
we're going to watch for action. And we've been
promised a more active off-season by both the
speaker and senate president this year, so stay
tuned.
TREASURER GOLDBERG: Emily, didn't I
hear there was potential that they may have the
unusual situation of actually going into a formal
session?
MS. KOWTONIUK: Yes. So they may come
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back. They left on the table an economic
development bill, which includes a bond
authorization that requires a two-thirds vote. So
they may have to call folks back, if they can
reach agreement.
TREASURER GOLDBERG: Hasn't the governor
said publicly that she anticipates they will come
back in a formal session?
MS. KOWTONIUK: She has, but we're not
counting any chickens yet.
TREASURER GOLDBERG: Because they're not
hatched.
MS. KOWTONIUK: Exactly.
TREASURER GOLDBERG: Any questions for
Emily?
MS. D'AMATO: That was good analogy,
Emily.
I've heard that from two lobbyists as
well, to bring them back to get the economic bill
done. The governor is putting a lot of pressure
to bring that back. So not sure they'll take up
all the other residual bills that are still
sitting out there, but there's clearly --
TREASURER GOLDBERG: Yes.
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MS. D'AMATO: We'll see.
TREASURER GOLDBERG: Yes. Exactly.
Any other questions for Emily?
MS. KOWTONIUK: Thank you.
TREASURER GOLDBERG: Thank you, Emily.
MR. FALZONE: Thank you.
TREASURER GOLDBERG: The rest is just
FYI.
MR. FALZONE: Correct. I don't have a
client service update happening today. There's
nothing new other than what's in the package, but
we will have one next cycle.
Thank you.
TREASURER GOLDBERG: Okay then.
MS. FITCH: Okay. Good.
TREASURER GOLDBERG: Believe it or not,
I seek a motion to adjourn.
MS. FITCH: Wow.
TREASURER GOLDBERG: Was that a motion,
Ruth Ellen?
MS. FITCH: No. That was a surprise.
TREASURER GOLDBERG: I seek a motion to
adjourn.
MR. NAUGHTON: Move to adjourn.
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MR. BROUSSEAU: Second.
TREASURER GOLDBERG: Roll call vote.
Bob?
MR. BROUSSEAU: Yes.
TREASURER GOLDBERG: Catherine?
MS. D'AMATO: Yes.
TREASURER GOLDBERG: Ruth Ellen?
MS. FITCH: Yes.
TREASURER GOLDBERG: Theresa?
MS. McGOLDRICK: Yes.
TREASURER GOLDBERG: Peter?
MR. MONACO: Yes.
TREASURER GOLDBERG: Dennis?
MR. NAUGHTON: Yes.
TREASURER GOLDBERG: Paul?
MR. SHANLEY: Yes.
TREASURER GOLDBERG: Myself, yes.
Motion carries.
Thank you, everyone.
(Meeting adjourned at 11:20 a.m.)
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PENSION RESERVES INVESTMENT
TRUST FUND
(A Component Unit of the Commonwealth of Massachusetts)
COMPREHENSIVE ANNUAL FINANCIAL
REPORT
Fiscal Year Ended June 30, 2016
(With Basic Financial Statements for the Fiscal Years Ended June 30, 2016 and 2015)
Deborah B. Goldberg, Treasurer and Receiver General, Chair
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer
PENSION RESERVES INVESTMENT TRUST FUND
(A Component Unit of the Commonwealth of Massachusetts)
COMPREHENSIVE ANNUAL FINANCIAL REPORT
For the Year Ended June 30, 2016
(With Basic Financial Statements for the Fiscal Years Ended June 30, 2016 and 2015)
Prepared By
Pension Reserves Investment Management Board Staff
PENSION RESERVES INVESTMENT TRUST FUND
COMPREHENSIVE ANNUAL FINANCIAL REPORT FISCAL YEAR 2016
For More Information
All correspondence may be directed to:
Paul Todisco
Director of Client Services
Pension Reserves Investment Management Board
84 State Street
Boston, MA 02109
Telephone: 617-946-8423 (Direct)
Facsimile: 617-946-8475
Website: www.mapension.com
PENSION RESERVES INVESTMENT TRUST FUND
COMPREHENSIVE ANNUAL FINANCIAL REPORT FISCAL YEAR 2016
Table of Contents
Page
Introductory Section:
Letter of Transmittal 3 – 13
Certificate of Achievement for Excellence in Financial Reporting 14
PRIM Board Trustees 15
Advisory Committees to the PRIM Board 16 – 17
PRIM Board Staff Organizational Chart 18
PRIM Board Investment Advisors 19
Financial Section:
Independent Auditors’ Report 20 – 22
Management’s Discussion and Analysis (Unaudited) 23 – 27
Basic Financial Statements:
Statements of Pooled Net Position 28
Statements of Changes in Pooled Net Position 29
Notes to Financial Statements 30 – 62
Supplemental Schedules:
Schedule of Pooled Net Position – Capital Fund and Cash Fund 63
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund 64
Investment Section:
Total PRIT Fund Performance Summary 65
Investment Strategy Overview 66 – 67
PRIT Core Performance: Fiscal Year 2016 68 – 69
Domestic Equity Portfolio 70 – 71
International Equity Portfolio 72 – 73
Emerging Markets Portfolio 74 – 75
Core Fixed Income Portfolio 76 – 78
Value-Added Fixed Income Portfolio 79 – 81
Real Estate Portfolio 82 – 84
Timberland Portfolio 85 – 86
Private Equity Portfolio 87 – 91
PENSION RESERVES INVESTMENT TRUST FUND
COMPREHENSIVE ANNUAL FINANCIAL REPORT FISCAL YEAR 2016
Table of Contents, continued
Page
Hedge Funds Portfolio 92
Portfolio Completion Strategies Portfolio 93
Overlay 93
Schedule of Time-Weighted Returns by Asset Class 94
Investment Summary at Fair Value 95
Summary Schedule of Broker Commissions 96
Schedule of Management Fees 97
Schedule of Retirement Systems by Investment 98 – 99
Investment Policy Statement 100 – 102
Statistical Section:
Schedules of Changes in Pooled Net Position 103
Financial Highlights and Financial Highlights Ratios 104 – 110
PRIT Fund Asset Allocation 111
PENSION RESERVES INVESTMENT TRUST FUND
COMPREHENSIVE ANNUAL FINANCIAL REPORT FISCAL YEAR 2016
Introductory Section
PENSION RESERVES INVESTMENT TRUST FUND
THIS PAGE INTENTIONALLY LEFT BLANK
84 State Street, Second Floor Deborah B. Goldberg, Treasurer and Receiver General, Chair
Boston, Massachusetts 02109 Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer
COMPREHENSIVE ANNUAL FINANCIAL REPORT 3 FISCAL YEAR 2016
December 6, 2016
To Chairman Goldberg, the Trustees of the Pension Reserves Investment Management Board (the PRIM
Board), Committee members, Participants and Beneficiaries:
I am pleased to transmit the Comprehensive Annual Financial Report (CAFR) of the Massachusetts Pension
Reserves Investment Trust Fund (the PRIT Fund) for the fiscal year ending June 30, 2016. The document
that follows is the 12th consecutive CAFR produced in the 32-year existence of the PRIM Board as Trustee
of the PRIT Fund. We hope that you will find the CAFR useful in understanding the performance and
financial position of the PRIT Fund as of and for the fiscal year ended June 30, 2016.
The CAFR contains the basic financial statements presented in accordance with U.S. generally accepted
accounting principles (GAAP) and the standards applicable to financial audits set forth by Government
Auditing Standards. The CAFR and the basic financial statements are the responsibility of the PRIM Board.
The fiscal year 2016 audit was conducted by KPMG LLP, a firm of licensed certified public accountants.
The CAFR is divided into four major sections:
Introductory Section: This section contains the letter of transmittal, the Certificate of Achievement for
Excellence in Financial Reporting and outlines the PRIM Board’s organizational structure.
Financial Section: This section contains the report of the independent auditors, Management’s Discussion
and Analysis (MD&A), the financial statements of the PRIT Fund, the notes to the financial statements and
supporting schedules.
Investment Section: This section contains a summary of the PRIT Fund’s investment strategy, investment
policies, investment holdings and investment results and supporting tables and schedules.
Statistical Section: This section contains information regarding financial ratios of the PRIT Fund.
Within the financial section, the MD&A follows the independent auditors’ report and provides an overview
of the PRIT Fund’s financial statements and financial results. The MD&A complements this letter of
transmittal and should be read in conjunction with this letter. Responsibility for both the accuracy and
completeness of the data and the contents of this report rests with the PRIM Board. The PRIM Board has
implemented a system of internal controls designed to provide reasonable assurance that the financial
statements are free from material misstatements, that all assets will be properly safeguarded and that
transactions will be properly executed. The concept of reasonable assurance recognizes that the cost of a
control should not exceed the benefits to be derived. The objective is to provide reasonable, rather than
absolute, assurance that the financial statements are free of any material misstatements.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 4 FISCAL YEAR 2016
Profile of the PRIT Fund
The PRIT Fund is a pooled investment trust fund established to invest the assets of the Massachusetts State
Teachers’ and Employees’ Retirement Systems, as well as the assets of county, authority, district and
municipal retirement systems. The PRIT Fund was created by the Legislature in 1983 (Chapter 661 of the
Acts of 1983) with a mandate to accumulate assets through investment earnings to reduce the
Commonwealth’s unfunded pension liability, and to assist local participating retirement systems in meeting
future pension obligations. The PRIT Fund merged with the Massachusetts State Teachers’ and Employees’
Retirement Systems (MASTERS) Trust in 1997, in accordance with Chapter 315 of the Acts of 1996.
The Massachusetts State Teachers’, State Employees’ and State-Boston/Teachers’ Retirement Systems, as
well as the State Retiree Benefits Trust Fund, are mandated by statute to invest all of their assets in the
PRIT Fund. Other retirement systems may voluntarily invest all or part of their assets in the PRIT Fund.
Furthermore, Chapter 84 of the Acts of 1996 explicitly granted retirement boards the ability to invest only
in individual asset classes of the PRIT Fund through a segmentation program. See Note 1 of the financial
statements for more information on the profile and background of the PRIT Fund.
The most recent Public Employee Retirement Administration Commission (PERAC) valuation report, dated
August 17, 2016, calculated the Commonwealth’s unfunded actuarial pension liability at $37.9 billion. The
PERAC valuation report estimates that, as of January 1, 2016, the pension liability is 56.7% funded using a
target date of 2036. It should be noted that the unfunded actuarial pension liability is calculated on a
calendar year basis.
The PRIM Board seeks to maximize the return on the PRIT Fund investments within acceptable levels of risk
by broadly diversifying its investment portfolio, capitalizing on economies of scale to achieve cost-effective
operations and gaining access to high quality, innovative investment management firms. The PRIT Fund’s
Investment Policy Statement establishes investment objectives and policies designed to provide a
framework for implementing investment strategy and oversight. A summary of the Investment Policy
Statement is included in the Investment Section.
As of June 30, 2016, the PRIT Fund had approximately $60.7 billion in net position compared to $61.2 billion
at the end of fiscal year 2015, which is a decrease of $550.9 million in net position. The PRIM Board
contracts with a custodian bank to safeguard investment holdings and to ensure the proper settlement and
recording of investment and cash transactions.
Executive Director/ Chief Investment Officer Discussion
Fiscal year 2016 was a challenging year for the PRIM Board and most public pensions across the nation.
Mixed economic data around the globe coupled with continued turbulence in Greece, China, Puerto Rico
and the Middle East continued to fuel market volatility. A slowdown in China following the unexpected
devaluation of its currency increased concerns about global growth. From the outset of fiscal year 2016,
equity markets began a decline that would last until around mid-February 2016. Although U.S. and foreign
equity markets plunged immediately following the “Brexit” vote on June 23, 2016, markets rebounded
strongly. The PRIT Fund performed strongly during this turbulent fiscal year because of the asset allocation
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 5 FISCAL YEAR 2016
changes made over the past five years. As a reminder, we have: (1) reduced our global equities allocation
from 49 percent to its current target of 40 percent; (2) converted our core fixed income portfolio to include
long duration Treasury STRIPS (Separate Trading of Registered Interest and Principal of Securities), an asset
that typically is negatively correlated to equities; and (3) created and funded a new allocation, Portfolio
Completion Strategies, to identify less volatile strategies with low correlation to equities. Given the
volatility in the markets, these changes proved to be very well-timed. The PRIT Fund’s 5% allocation to
20+ Year STRIPS was the top contributor to absolute performance, up 30.1% in fiscal year 2016. Private
equity and real estate also were strong contributors, both up 12.2%. As the fiscal year ended, headlines
continued to point to slow and steady, but unremarkable economic growth. The PRIT Fund returned 2.3%
for the fiscal year, outperforming its policy benchmark by 84 basis points. The PRIT Fund’s 2.3% return
ranked it in the top 10% of all public plans greater than $1 billion, according to the Wilshire Trust Universe
Comparison Services (TUCS) rankings survey. The PRIT Fund also significantly outperformed a number of
very highly-regarded public pension plans and endowments.
Organizationally, fiscal year 2016 was an outstanding year. No senior-level employees departed, and
consistent with the Board-approved hiring plans, we were able to fill six staff vacancies with top talent. We
are now nearly fully-staffed with exceptional investment and finance professionals and all of our job
postings attract literally hundreds of talented and well-qualified applicants. Our team continues to be
recognized around the nation for the success and innovation of our investment program and for the
transparency and completeness of our financial reporting.
PRIT Fund Performance
As of June 30, 2016, the PRIT Fund net position stood at $60.7 billion. The PRIT Fund’s trailing 1-, 3-, 5- and
10-year returns remain strong both on an absolute and on a relative basis.
For the year ending June 30, 2016, the PRIT Fund was up 2.3%, outperforming the total core
benchmark of 1.5% by 84 basis points.
The return equates to an investment gain of $1.4 billion.
The outperformance equates to added value of $514 million above the benchmark return.
Net total outflows to pay benefits for the fiscal year were approximately $1.6 billion.
Five of the seven major asset classes outperformed their benchmarks.
The PRIT Fund ratio of total expenses was 53 basis points, flat with fiscal year 2015, and down from
55 basis points in fiscal year 2014.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 6 FISCAL YEAR 2016
PRIT Total Core Fund Returns (Gross of Fees)
Annualized Returns as of June 30, 2016
PRIT Asset Class Performance (Gross of Fees)
Year Ended June 30, 2016
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 7 FISCAL YEAR 2016
PRIT Asset Class Performance (Gross of Fees)
Annualized Return as of June 30, 2016
PRIT Core Fund Performance Summary
Gross of Fees Performance
Trailing 1-Year Performance as of June 30, 2016
Trailing 1-Year
Performance: June 30, 2016 Return
Benchmark
Return
Over/(Under)
Benchmark
(bps)
$Value
(millions)
% of
PRIT
Fund
Total PRIT Fund 2.3% 1.5% 84 $ 60,599 100%
Total Global Equity -3.9% -5.0% 107 25,642 42.3%
Domestic Equity 1.6% 2.2% (59) 11,360 18.7%
International Developed -7.7% -10.0% 227 10,018 16.5%
Emerging Markets -9.5% -12.1% 258 4,264 7.0%
Private Equity 12.2% 12.2% 0 6,707 11.1%
Real Estate 12.2% 12.1% 12 6,302 10.4%
Total Timberland 0.4% 2.9% (246) 2,012 3.3%
Hedge Funds -5.4% -5.4% 1 5,192 8.6%
Value Added Fixed Income 1.0% -5.8% 679 5,120 8.4%
Core Fixed Income 14.7% 15.0% (34) 8,404 13.9%
*Private Equity, a long-term asset class, does not have a relevant 1-year benchmark.
**Total does not add to 100% due to small allocations such as Portfolio Completion Strategies not included in this chart.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 8 FISCAL YEAR 2016
Summary of Fiscal Year 2016 Key Accomplishments
A. Organizational
1. Maintained low employee turnover
No senior level staff departed in fiscal year 2016
2. Summary of recent recognition for the PRIM Board and its staff members
Eric Nierenberg, Ph.D., Director of Hedge Funds & Low Volatility Strategies, was awarded
Institutional Investor magazine’s Large Public Fund of the Year Award. The award recognizes
performance innovation, achievements and contributions to the industry in the past year (June
2016)
Sarah N. Samuels, CFA, Deputy Chief Investment Officer, was awarded Banker & Tradesman’s
“Women of FIRE award.” The award recognizes the most talented, the most ambitious and the
most innovative women in key sectors of the economy (June 2016)
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer, was awarded Chief
Investment Officer Magazine’s “CIO Innovation Award” (December 2015)
Sarah N. Samuels, CFA, Deputy Chief Investment Officer, was awarded the Next Generation
Award by Chief Investment Officer Magazine. This is a worldwide award that recognizes up-
and-coming asset owners who have made meaningful contributions to their organizations
(December 2015)
The Private Equity Growth Capital Council ranked PRIM’s private equity program FIRST (#1)
among 155 U.S. public pension plans
Chris Supple, Deputy Executive Director and General Counsel, reappointed to a 3rd term as Co-
Chair of the Securities Litigation Committee at the National Association of Public Pension
Attorneys (NAPPA)
Hedge Fund Intelligence named PRIM #2 on its InvestHedge 30-top performing U.S. public
pension fund hedge fund programs based on performance (July 2015)
3. Encouraged professional and continuing education for all PRIM Board, committee, and staff
members
PRIM staff credentials: 2 Ph.D.’s, 8 Master’s Degrees, One J.D., 8 CFAs, 6 CPAs and 19 CFA
Claritas
The Board, committee and staff members frequently participate in educational courses and
conference
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 9 FISCAL YEAR 2016
The PRIM Board hosted top industry managers and thought-leaders for informal “Brown Bag
Luncheon Series”. Speakers included: William Ackman (Pershing Square), Edward Ladd (BNY
Mellon), Howard Marks (Oaktree) and Glenn Strehle (MIT Treasurer Emeritus and PRIM
Investment Committee)
4. Continued to implement the PRIM Professional Development Program
Continued to support and develop cross-training and career development program, which
allows high-performing employees to grow their expertise beyond their core responsibilities
5. Continued diversity staffing initiatives
Hired six summer interns, two of whom were participants in the “Women in Finance
Fellowship” created by Treasurer Deborah B. Goldberg, and sponsored one intern from “Girls
Who Invest,” a non-profit on whose Advisory Board Deputy Chief Investment Officer Sarah N.
Samuels, CFA sits
Participated in the planning of the CFA Institute’s Gender and Alpha Diversity Conference
6. Held PRIM Investor Conference
Held November 5, 2015 at the College of the Holy Cross, Worcester, MA
Attendance was the highest in the PRIM Board’s history, with more than 200 attendees
representing member retirement boards from across the Commonwealth
7. Creation of PRIM Investor Advisory Council
The Council consists of representatives from participants in the PRIT Fund and the Fund’s
investment sleeves. Members will serve two-year terms
The Council will provide our clients a forum to provide regular feedback, which I will regularly
report back to the Board
8. Successfully completed the first phase of Project SAVE (“Strategic Analysis for Value
Enhancement”)
Launched in January 2013, the project realized more than $120 million in annual value
enhancement initiatives
Project SAVE is now firmly a part of the PRIM Board’s culture and processes – an integral and
important part of every decision
Project SAVE has been nationally recognized for its innovation and success
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 10 FISCAL YEAR 2016
PROJECT SAVE Annualized Value
Target
Annualized Value
Realized
% of Target
Achieved
INITIAL PROGRAMS
Hedge Fund-of-Funds Unwind $40 mm $38.2 mm 96%
Cash Overlay Program $20 mm $26.5 mm 133%
Public Markets Fee Negotiations $1.5 mm $1.9mm 129%
Private Equity Co-Investment $25 mm $0.6mm 2%
Hedge Fund Fee Negotiations $7 mm $33.7 mm 482%
Hedge Fund Replication $7 mm $14.8 mm 211%
Securities Litigation $0.7mm $0.6 mm 82%
INITIAL PROGRAMS TOTALS $101.2 mm $116.3 mm 115%
FOLLOW-ON PROGRAMS
Real Estate direct- or co-investment $2 mm $0
Securities Lending $15.2 mm $10.9 mm
Private Equity Stock Distribution $0.3mm $0.1mm
TOTAL PROJECT SAVE PROGRAMS $127.3 mm
9. Launched Project SAVE: Phase II “Exploration of Internal Investment Management”
Creation of internal task force to explore feasibility of internal investment management at the
PRIM Board, headed by Investment Committee Member Michael Even, CFA, President and CEO
of Numeric Investors
Potential benefits include: additional insight into markets, improved manager selection,
improved manager monitoring, expanded ability to hire and retain superb employees and fee
savings
B. Investments, Legal, Finance, Operations and Technology.
1. Public Markets and Investment Research
Completed investment research on foreign currency hedging, corporate credit, inflation and
trigger point rebalancing
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 11 FISCAL YEAR 2016
Continued to build out internal asset allocation tools to inform investment decisions
Strong portfolio performance: U.S. 20+ Year STRIPS absolute return of 30%
Promoted the PRIM Board’s shared goal of institutionalizing collaboration across asset class
teams
2. Private Equity
Portfolio generated strong returns for the PRIT Fund in fiscal year 2016 and earned recognition
for the number one 10-year performance in the nation
Completed improvements to investment process for manager evaluation; created new
analytical tools to aid in manager selection and monitoring
Completed middle markets buyouts research and co-investment bench recommendations,
adding 17 firms to the co-investment bench; completed two co-investments
3. Hedge Funds and Portfolio Completion Strategies.
Successfully negotiated all new hedge fund investments in managed account format with
significant fee discounts
Identified and funded six new hedge funds ($925 million)
Identified and funded two new Portfolio Completion Strategies (PCS) investments ($450
million)
Began research on factor-based asset allocation models
Continued to identify new investment ideas for PCS bucket, including alternative risk premia,
unconstrained fixed-income and real asset investing
4. Real Estate and Timberland
Completed non-core commitment of $100 million
Funded global REIT mandates (two funds, $300 million total investment)
Acquired timberland property in Washington ($375 million)
Completed sale of our largest property for a 19.3% IRR and 1.3X multiple; the PRIM Board’s net
gain on the sale was $90 million; 26-month hold period
5. Legal
Successfully implementing settlement proceeds allocation and distribution of the last of the
three recent securities litigation class action lawsuits in which the PRIM Board served as lead
plaintiff (Fannie Mae – $170 million settlement); the court granted approval of the settlement
in 2015, claims-filing process was completed in early 2016 and plan allocation expected to be
approved by the court in Q4 2016, with distribution to follow
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 12 FISCAL YEAR 2016
Passive class member domestic securities class action litigation: continue to improve the PRIM
Board’s litigation claims and monitoring systems, and continue to ensure that no opportunities
are missed and maximum recovery and participation in settlements is achieved
Adopted new and innovative claims-filing method initially projected to result in a 10% increase
annually in the PRIM Board passive class member securities litigation settlement recoveries;
new system is on pace to exceed substantially its target revenue increase
Offensive litigation: prepared to file litigation, negotiated settlement, and/or filed litigation,
including foreign securities litigation, in Australia, Belgium, France, Italy, Japan, the
Netherlands, the United Kingdom, the federal court of claims in Washington D.C. and the
federal district court in Texas; successfully settled cases in Japan and Belgium
6. Client Services
Director of Client Services conducted 75 presentations with the PRIM Board and the State
Retiree Benefits Trust Fund (SRBTF) clients
On-boarded 13 new government entities, with assets totaling $63.9 million, to the SRBTF
Issued GASB 67 and 68 disclosure information to clients in a timely fashion
7. Finance, Operations and Technology
Enhanced the PRIM Board budget process
Implemented new proxy voting guidelines
Performed and communicated scenario analysis of the “Brexit” event
Established strategies to increase the diversity of candidates when filling open positions
Completed multiple audits conducted by KPMG and PERAC
Acknowledgements
I would like to thank the Board members who left the PRIM Board in fiscal year 2016: Dana Pullman,
Anthony Hubbard and Michael Heffernan. I am grateful to them for their service to our beneficiaries and
the taxpayers of Massachusetts. I am pleased to report that Treasurer Goldberg asked Anthony Hubbard
to remain on the Real Estate and Timberland Committee, and he has agreed to continue as a member. We
also welcomed three new Board members and two new Committee members: James B. G. Hearty, Peter
Monaco, Carly Rose, Lydia Chesnick, and Robert Gifford.
Our success could not be achieved without the continued support of our Board and its Chair, Treasurer
Goldberg. It is a pleasure working alongside her and her staff and I hope to continue that relationship long
into the future.
The PRIM Board’s accomplishments are not the result of any one individual. They are the collective effort
of one of the finest teams in the country. The culture we have created at the PRIM Board, with the Board’s
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 13 FISCAL YEAR 2016
encouragement and support, has attracted some of the most talented individuals in the industry, on both
the investment and financial operations sides. I am proud to head such a talented staff and to serve with
such engaged and dedicated Board and Committee members.
Very respectfully,
Michael G. Trotsky, CFA
Executive Director and Chief Investment Officer
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 14 FISCAL YEAR 2016
Certificate of Achievement for Excellence in Financial Reporting
The Government Finance Officers Association of the United States and Canada (GFOA) awarded a
Certificate of Achievement for Excellence in Financial Reporting to the PRIM Board for its comprehensive
annual financial report for the fiscal year ended June 30, 2015. This was the 11th consecutive year that the
PRIM Board has achieved this prestigious award. In order to be awarded a Certificate of Achievement, an
entity must publish an easily readable and efficiently organized comprehensive annual financial report.
This report must satisfy both U.S. generally accepted accounting principles and applicable legal
requirements.
A Certificate of Achievement is valid for a period of one year only. We believe that our current
comprehensive annual financial report continues to meet the Certificate of Achievement Program’s
requirements and we are submitting it to the GFOA to determine its eligibility for another certificate.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 15 FISCAL YEAR 2016
PRIM Board Trustees
Deborah B. Goldberg, Chair, Ex Officio Member
State Treasurer & Receiver General, Commonwealth of Massachusetts
Robert L. Brousseau, Elected Representative, State Teachers Retirement System
Retired Teacher, Town of Wareham Public School System
Ruth Ellen Fitch, Appointee of the State Treasurer
Retired President and CEO, The Dimock Center
James B. G. Hearty, Designee of the Governor
Partner, Clough Capital
Theresa F. McGoldrick, Esq., Elected Member, State Employees’ Retirement Board
President, SEIU/NAGE Unit 6
Peter Monaco, Appointee of the Governor
Managing Director, Raptor Group Holdings
Dennis J. Naughton, Elected Member, State Teachers’ Retirement Board
Retired Educator, Millis Public Schools
Carly Rose, Appointee of the Governor
Public Safety Union Member
Paul E. Shanley, Elected Representative, State Employees' Retirement System
Director of Professional Liability, Amity Insurance, Quincy, MA
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 16 FISCAL YEAR 2016
Advisory Committees to the PRIM Board
Investment Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Joseph C. Bonfiglio
Massachusetts & Northern New England Laborers’ District Council
C. LaRoy Brantley
Investment Consultant, Cambridge Associates, LLC
Michael Even, CFA
President and CEO, Numeric Investors
Constance M. Everson, CFA
Managing Director, Capital Markets Outlook Group
Ruth Ellen Fitch
Board Member
James B. G. Hearty
Board Member
Edward W. Kane
Senior Advisor, HarbourVest Partners, LLC
Peter Monaco
Board Member
Paul E. Shanley
Board Member
Glenn P. Strehle, CFA
Treasurer Emeritus, MIT
Timothy L. Vaill
Former Chairman & CEO, Boston Private Financial
Current CFO, Anbaric Energy
Real Estate Committee
Jill S. Hatton, CRE, Chair
Real Estate Investment Professional
Deborah B. Goldberg
Ex Officio Board Member
Lydia Chesnick, Esq.
Partner, Bernkopf Goodman LLP
Robert Gifford
Robert Gifford Advisory
Anthony E. Hubbard, Esq.
Mintz Levin
Dr. Jack Lutz, PhD.
Forest Research Group
William F. McCall, Jr., CRE
McCall & Almy, Inc.
Garlan Morse, Jr., CRE
Morris and Morse Company, Inc.
Peter F. O’Connell
Marina Bay Company
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 17 FISCAL YEAR 2016
Advisory Committees to the PRIM Board, continued
Administration and Audit Committee
Robert L. Brousseau, Chair
Board Member
Deborah B. Goldberg
Ex Officio Board Member
Ted C. Alexiades, CPFO
Hingham Town Administrator
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Joseph Connolly
Norfolk County Treasurer
Karen E. Gershman, CPA
Chief Operating Officer, Health Advances
Eileen Glovsky
Consultant, Syncom Consulting
James B. G. Hearty
Board Member
Theresa F. McGoldrick, Esq.
Board Member
Dennis J. Naughton
Board Member
Michele A. Whitham, Esq.
Founder & Principal, Whitham Law LLC
Compensation Committee
Michele A. Whitham, Esq., Chair
Founder & Principal, Whitham Law LLC
Deborah B. Goldberg
Ex Officio Board Member
Robert L. Brousseau
Board Member
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Joseph Connolly
Norfolk County Treasurer
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 18 FISCAL YEAR 2016
PRIM Board Staff Organizational Chart
Executive Director & Chief
Investment Officer
Michael G. Trotsky, CFA
Deputy Executive
Director & General
Counsel
Christopher J. Supple
Director of
Communications
Eric Convey
Chief Operating Officer &
Chief Financial Officer
David M. Gurtz, CPA, CFA
Director of Risk
Management
Open
Risk Management
Officer
Donald Payne
Director of Finance &
Administration
Dan Eckman, CPA
Senior Financial Mgr
Catherine Hodges
Financial Analyst
Veronica Williams
Executive Assistant
Steffanny Rosario
Office Administrator
Alyssa Smith
Accounting Assistant
Christina Satcher
Administrative Assistant
Open
Receptionist
Heather Sweeney
Director of Investment
Operations
Matthew Liposky
Mgr of Investment
Team Reporting
Izzy Markov, CPA
Mgr of Real Estate &
Timberland Team
Reporting
George Tsipakis
Mgr of Hedge Fund &
Private Equity
Eilleen Molloy
Accounting Assistant
Morgan Burns, CPA
Director of Technology
Anthony J. Falzone
Help Desk Specialist
Carlo Scapra
Director of Human
Resources
Deborah Coulter, CPA
Mgr of Client Team
Reporting & Cash Mgmt
Jennifer Cole
Compliance Analyst
Ellen Hennessy
Financial Reporting Mgr
Qingmei Li, CPA
Deputy Chief
Investment Officer
Sarah N. Samuels, CFA,
CAIA
Senior Investment
Officer
Public Equities
Andre Clapp, Ph.D., CFA
Senior Investment
Officer
Fixed Income
J. Chuck LaPosta, CFA
Investment Analyst
Andre Abouhala
Investment Analyst
Andrew Gromer
Director of Hedge Funds
& Portfolio Completion
Strategies
Eric R. Nierenberg, Ph.D.
Investment Officer
Bill Li, CFA
Director of Real Estate
& Timberland
Timothy V. Schlitzer,
CRE, CFA
Senior Investment
Officer
John La Cara
Investment Officer
Christina Marcarelli
Director of Private
Equity
Michael R. Bailey
Senior Investment
Officer
Michael M. McGirr, CFA
Investment Analyst
Alyssa Fiore
Director of Client
Services
Paul Todisco
Senior Client Services
Officer
Open
Client Services Analyst
Samuel Olivier
Executive Assistant
Amaran C. Soja
Denotes Executive Management Team
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 19 FISCAL YEAR 2016
PRIM Board Investment Advisors
Callan Associates
Public Market Advisory Services
Aberdeen Asset Management Inc.
Hedge Funds Advisory Services
Hamilton Lane
Private Equity Advisory Services
NEPC, LLC
Asset Allocation Advisory Services
The Townsend Group
Real Estate and Timberland Advisory Services
PENSION RESERVES INVESTMENT TRUST FUND
COMPREHENSIVE ANNUAL FINANCIAL REPORT FISCAL YEAR 2016
Financial Section
KPMG LLP
Two Financial Center
60 South Street
Boston, MA 02111
KPMG LLP is a Delaware limited liability partnership,
the U.S. member firm of KPMG International Cooperative
(“KPMG International”), a Swiss entity.20
Independent Auditors’ Report
The Administration and Audit Committee and Trustees,
Pension Reserves Investment Management Board and
Participating and Purchasing Systems of the Pension Reserves Investment Trust Fund:
Report on the Financial Statements
We have audited the accompanying financial statements of the Pension Reserves Investment Trust Fund (the
PRIT Fund), a component unit of the Commonwealth of Massachusetts, as of and for the years ended June 30,
2016 and 2015, and the related notes to the financial statements, which collectively comprise the PRIT
Fund’s basic financial statements as listed in the table of contents.
Management’s Responsibility for the Financial Statements
Management is responsible for the preparation and fair presentation of these financial statements in
accordance with U.S. generally accepted accounting principles; this includes the design, implementation,
and maintenance of internal control relevant to the preparation and fair presentation of financial statements
that are free from material misstatement, whether due to fraud or error.
Auditors’ Responsibility
Our responsibility is to express an opinion on these financial statements based on our audits. We conducted
our audits in accordance with auditing standards generally accepted in the United States of America and the
standards applicable to financial audits contained in Government Auditing Standards, issued by the
Comptroller General of the United States. Those standards require that we plan and perform the audits to
obtain reasonable assurance about whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the
financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of
the risks of material misstatement of the financial statements, whether due to fraud or error. In making those
risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair
presentation of the financial statements in order to design audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal
control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of
accounting policies used and the reasonableness of significant accounting estimates made by management,
as well as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our
audit opinion.
21
Opinion
In our opinion, the financial statements referred to above present fairly, in all material respects, the pooled
net position of the Pension Reserves Investment Trust Fund as of June 30, 2016 and 2015, and the changes
in its pooled net position for the years then ended in accordance with U.S. generally accepted accounting
principles.
Other Matters
Required Supplementary Information
U.S. generally accepted accounting principles require that the management’s discussion and analysis on
pages 23-27 be presented to supplement the basic financial statements. Such information, although not a part
of the basic financial statements, is required by the Governmental Accounting Standards Board who
considers it to be an essential part of financial reporting for placing the basic financial statements in an
appropriate operational, economic, or historical context. We have applied certain limited procedures to the
required supplementary information in accordance with auditing standards generally accepted in the United
States of America, which consisted of inquiries of management about the methods of preparing the
information and comparing the information for consistency with management’s responses to our inquiries,
the basic financial statements, and other knowledge we obtained during our audit of the basic financial
statements. We do not express an opinion or provide any assurance on the information because the limited
procedures do not provide us with sufficient evidence to express an opinion or provide any assurance.
Other Supplementary Information
Our audit was conducted for the purpose of forming an opinion on the PRIT Fund’s basic financial
statements. The Schedule of Pooled Net Position – Capital Fund and Cash Fund and Schedule of Changes in
Pooled Net Position – Capital Fund and Cash Fund (collectively, the Schedules) are presented for purposes
of additional analysis and are not a required part of the basic financial statements.
The Schedules are the responsibility of management and were derived from and relate directly to the
underlying accounting and other records used to prepare the basic financial statements. Such information has
been subjected to the auditing procedures applied in the audit of the basic financial statements and certain
additional procedures, including comparing and reconciling such information directly to the underlying
accounting and other records used to prepare the basic financial statements or to the basic financial statements
themselves, and other additional procedures in accordance with auditing standards generally accepted in the
United States of America. In our opinion, the Schedules are fairly stated, in all material respects, in relation
to the basic financial statements as a whole.
Other Information
The Introductory, Investment and Statistical Sections have not been subjected to the auditing procedures
applied in the audit of the basic financial statements and, accordingly, we do not express an opinion or
provide any assurance on them.
22
Other Reporting Required by Government Auditing Standards
In accordance with Government Auditing Standards, we have also issued our report dated October 13, 2016
on our consideration of the PRIT Fund’s internal control over financial reporting and on our tests of its
compliance with certain provisions of laws, regulations, contracts, and other matters. The purpose of that
report is to describe the scope of our testing of internal control over financial reporting and compliance and
the results of that testing, and not to provide an opinion on internal control over financial reporting or on
compliance. That report is an integral part of an audit performed in accordance with Government Auditing
Standards in considering the PRIT Fund’s internal control over financial reporting and compliance.
October 13, 2016
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2016 and 2015
(Unaudited)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 23 FISCAL YEAR 2016
This section presents management’s discussion and analysis of the Pension Reserves Investment Trust Fund’s
(the PRIT Fund’s) financial performance for the fiscal years ended June 30, 2016 and 2015 and should be read in
conjunction with the financial statements, which follow this section.
The PRIT Fund is a pooled investment fund, created in 1983 through Massachusetts legislation, that invests the
assets of the State Teachers’ and State Employees’ Retirement Systems and the assets of county, authority,
school district, and municipal retirement systems that choose to invest in the PRIT Fund, as well as the assets of
the State Retiree Benefits Trust (SRBT) Fund.
The investment return percentages reported in management’s discussion and analysis are presented gross of
management fees.
Overview of the Financial Statements
The financial statements include the statements of pooled net position and the statements of changes in pooled
net position. They present the financial position of the PRIT Fund as of June 30, 2016 and 2015 and its financial
activities for the years then ended. The notes to the financial statements provide further information that is
essential to a full understanding of the financial statements. The notes describe the significant accounting policies
of the PRIT Fund and provide detailed disclosures on certain account balances. The supplementary schedules of
pooled net position and changes in pooled net position on pages 63 and 64 separately display the balances and
activities of the Capital Fund and Cash Fund of the PRIT Fund.
The financial statements of the PRIT Fund are reported using the economic resources measurement focus and
the accrual basis of accounting. They are prepared in conformity with U.S. generally accepted accounting
principles, as promulgated by the Governmental Accounting Standards Board (GASB).
In fiscal year 2016, the PRIT Fund retrospectively adopted GASB Statement No. 72, Fair Value Measurement and
Application (GASB 72), which is effective for governmental entities with fiscal periods beginning after June 15,
2015. Although the adoption did not materially change the way in which the PRIT Fund’s assets and liabilities are
measured, it did result in enhanced disclosures, which have also been applied to the comparable 2015 financial
information.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2016 and 2015
(Unaudited)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 24 FISCAL YEAR 2016
Financial Highlights
Fiscal Year 2016
The net position of the PRIT Fund decreased $550.9 million during the year ended June 30, 2016. Total net
position was $60.7 billion at June 30, 2016, compared to $61.2 billion at June 30, 2015.
Net investment income for fiscal year 2016 was $1.1 billion, compared to net investment income of $2.1
billion for the prior fiscal year. The PRIT Fund returned 2.29% in fiscal year 2016, compared to 3.86% in
fiscal year 2015.
Contributions to the PRIT Fund totaled $2.4 billion during fiscal year 2016, compared to $2.2 billion in 2015.
Redemptions from the PRIT Fund totaled $4.0 billion during the year ended June 30, 2016, compared to
$3.7 billion during the year ended June 30, 2015.
Fiscal Year 2015
The net position of the PRIT Fund increased $567.0 million during the year ended June 30, 2015. Total net
position was $61.2 billion at June 30, 2015, compared to $60.7 billion at June 30, 2014.
Net investment income for fiscal year 2015 was $2.1 billion, compared to net investment income of $9.0
billion for the prior fiscal year. The PRIT Fund returned 3.86% in fiscal year 2015, compared to 17.53% in
fiscal year 2014.
Contributions to the PRIT Fund totaled $2.2 billion during fiscal year 2015, compared to $2.1 billion in 2014.
Redemptions from the PRIT Fund totaled $3.7 billion during the year ended June 30, 2015, compared to
$3.6 billion during the year ended June 30, 2014.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2016 and 2015
(Unaudited)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 25 FISCAL YEAR 2016
Condensed Financial Information
Summary balances and activities of the PRIT Fund as of and for the years ended June 30, 2016, 2015, and 2014
are presented below:June 30
2016 2015 2014
(Dollars in thousands)
Summary of pooled net position:
Assets:
Investments $ 63,387,573 63,019,272 62,501,717
Cash 221,028 282,624 189,947
Securities lending collateral 622,640 557,158 —
Receivables and other assets 624,478 1,658,706 1,045,399
Total assets 64,855,719 65,517,760 63,737,063
Liabilities:
Other liabilities 3,511,540 3,677,057 3,035,697
Securities lending obligations 622,487 557,135 —
Management fees payable to PRIM 28,887 39,823 24,592
Total liabilities 4,162,914 4,274,015 3,060,289
Net position held in trust for
pool participants $ 60,692,805 61,243,745 60,676,774June 30
2016 2015 2014
(Dollars in thousands)
Summary of changes in pooled net position:
Additions:
Contributions $ 2,402,074 2,178,927 2,050,248
Net investment income 1,091,671 2,073,376 8,991,375
Total additions 3,493,745 4,252,303 11,041,623
Deductions:
Redemptions 4,044,685 3,685,332 3,594,474
Change in pooled net position (550,940) 566,971 7,447,149
Net position held in trust for pool participants:
Balance, beginning of year 61,243,745 60,676,774 53,229,625
Balance, end of year $ 60,692,805 61,243,745 60,676,774
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2016 and 2015
(Unaudited)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 26 FISCAL YEAR 2016
The PRIT Fund Performance during the year ended June 30, 2016
The PRIT Fund began fiscal year 2016 with net position of $61.2 billion and ended the fiscal year with a net
position of $60.7 billion, representing a 0.90% decrease. Net investment income for the year ended June 30, 2016
was $1.1 billion, which when added to net participant redemptions (contributions less redemptions) of $1.6
billion, resulted in an overall decrease in net position of $550.9 million.
For the year ended June 30, 2016, the PRIT Fund returned 2.29%, exceeding its benchmark of 1.46% by 83 basis
points. The benchmark provides a measure of how well the PRIT Fund has implemented its asset allocation plan.
It assumes that the PRIT Fund’s actual allocation is identical to its target allocation and that all asset classes
achieve index like returns.
The asset classes of the PRIT Fund and related investment returns for the year ended June 30, 2016 are as follows:
Global Equity -3.93%; Core Fixed Income 14.69%; Value Added Fixed Income 1.04%; Private Equity 12.15%; Real
Estate 12.21%; Timberland 0.44%; Hedge Funds -5.37%; Portfolio Completion Strategies 8.70%; and Overlay
1.73%.
The PRIT Fund outperformed its benchmark for the fiscal year ended June 30, 2016 and has returned an average
of 9.38% annually since January 1, 1985. According to the Trust Universe Comparison Service (TUCS) for Public
Pension Funds, the most widely accepted benchmark for the performance of institutional assets, the PRIT Fund
ranked in the top quartile of public pension plans with net position in excess of $1 billion over the three year
period ended June 30, 2016.
The PRIT Fund Performance during the year ended June 30, 2015
The PRIT Fund began fiscal year 2015 with net position of $60.7 billion and ended the fiscal year with a net
position of $61.2 billion, representing a 0.93% increase. Net investment income for the year ended June 30, 2015
was $2.1 billion, which when added to net participant redemptions (contributions less redemptions) of $1.5
billion, resulted in an overall increase in net position of $567.0 million.
For the year ended June 30, 2015, the PRIT Fund returned 3.86%, exceeding its benchmark of 2.74% by 112 basis
points. The benchmark provides a measure of how well the PRIT Fund has implemented its asset allocation plan.
It assumes that the PRIT Fund’s actual allocation is identical to its target allocation and that all asset classes
achieve index like returns.
The asset classes of the PRIT Fund and related investment returns for the year ended June 30, 2015 are as follows:
Global Equity 0.88%; Core Fixed Income 4.68%; Value Added Fixed Income -2.60%; Private Equity 15.57%; Real
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2016 and 2015
(Unaudited)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 27 FISCAL YEAR 2016
Estate 11.99%; Timber/Natural Resources -1.35%; Hedge Funds 3.68%; Portfolio Completion Strategies -5.09%;
and Overlay 2.09%.
Other Information
This financial report is designed to provide a general overview of the PRIT Fund’s financial results. Additional
information can be found on the PRIM Board’s website at www.mapension.com. Questions concerning any of
the information provided in this report or requests for additional financial information should be addressed to
the Pension Reserves Investment Management Board, 84 State Street, Boston, Massachusetts 02109.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Pooled Net Position
June 30, 2016 and 2015
(Dollars in thousands)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 28 FISCAL YEAR 20162016 2015
Assets:
Investments, at fair value:
Short-term $ 1,204,170 1,733,529
Fixed income 14,046,001 14,389,277
Equity 24,907,679 24,642,955
Timberland 2,003,805 1,664,581
Private equity funds 6,661,690 6,980,423
Real estate:
Real estate properties 6,021,497 6,292,315
Equity 1,484,402 1,157,438
Real estate funds 208,110 178,364
Other 45,066 56,218
7,759,075 7,684,335
Hedge funds:
Investment funds 3,664,988 4,866,593
Equity 1,078,035 533,459
Cash and cash equivalents 618,269 354,884
Fixed income 563,834 8,016
Other 130,825 63,175
6,055,951 5,826,127
Portfolio completion strategies:
Cash and cash equivalents 221,703 97,011
Investment funds 221,575 —
Equity 170,824 —
Other 115,499 1,034
Fixed income 19,601 —
749,202 98,045
Total investments 63,387,573 63,019,272
Cash 221,028 282,624
Securities lending collateral 622,640 557,158
Interest and dividends receivable 164,874 139,679
Receivable for investments sold and other assets 101,228 1,281,902
Securities sold on a when-issued basis 295,967 223,685
Foreign currency forward contracts 62,409 13,440
Total assets 64,855,719 65,517,760
Liabilities:
Payable for investments purchased and other liabilities 170,744 1,010,502
Real estate debt and other liabilities 1,450,193 1,517,304
Securities lending obligations 622,487 557,135
Securities purchased on a when-issued basis 755,796 648,945
Foreign currency forward contracts 36,752 25,810
Management fees payable to PRIM 28,887 39,823
Hedge funds liabilities:
Securities sold short, at fair value 972,953 407,664
Other 125,102 66,832
1,098,055 474,496
Total liabilities 4,162,914 4,274,015
Net position held in trust for pool participants $ 60,692,805 61,243,745
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Changes in Pooled Net Position
Years ended June 30, 2016 and 2015
(Dollars in thousands)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 29 FISCAL YEAR 20162016 2015
Additions:
Contributions:
State employees $ 727,147 580,527
State teachers 752,835 721,148
Other participants 922,092 877,252
Total contributions 2,402,074 2,178,927
Net investment income:
From investment activities:
Net realized gain on investments and foreign currency
transactions 1,420,910 2,527,856
Net change in unrealized depreciation on investments
and foreign currency translations (1,668,459) (1,699,446)
Interest income 288,535 270,131
Dividend income 688,955 650,996
Timberland income 684 11,854
Private equity income 147,228 151,001
Hedge funds income (loss) 12,136 (4,438)
Portfolio completion strategies income (loss) 3,537 (241)
Real estate:
Income 523,069 494,285
Expenses (224,147) (212,767)
298,922 281,518
Income from investment activities 1,192,448 2,189,231
Investment management and other management fees (112,129) (120,781)
Net income from investment activities 1,080,319 2,068,450
From securities lending activities:
Securities lending income 12,927 5,624
Securities lending expenses (1,575) (698)
Net income from securities lending activities 11,352 4,926
Total net investment income 1,091,671 2,073,376
Total additions 3,493,745 4,252,303
Deductions:
Redemptions:
State employees 1,452,096 1,266,799
State teachers 1,667,879 1,650,026
Other participants 924,710 768,507
Total deductions 4,044,685 3,685,332
Net (decrease) increase in pooled net position (550,940) 566,971
Net position held in trust for pool participants:
Balance, beginning of year 61,243,745 60,676,774
Balance, end of year $ 60,692,805 61,243,745
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 30 FISCAL YEAR 2016
(1) Description of the Pension Reserves Investment Trust Fund
(a) General
The Pension Reserves Investment Trust Fund (the PRIT Fund), a component unit of the
Commonwealth of Massachusetts, was created in 1983 under Chapter 661 of the Acts of 1983, as
amended by Chapter 315 of the Acts of 1996. The PRIT Fund is a pooled investment fund that invests
the assets of the State Teachers’ and State Employees’ Retirement Systems of Massachusetts and
the assets of county, authority, school district, and municipal retirement systems that choose to
invest in the PRIT Fund, as well as the assets of the State Retiree Benefits Trust (SRBT) Fund. The PRIT
Fund is not registered with the Securities and Exchange Commission, but is subject to oversight
provided by the Pension Reserves Investment Management Board (the PRIM Board). The PRIM Board
was created by legislation to provide general supervision of the investments and management of the
PRIT Fund. The PRIM Board is a separate legal entity that issues its own financial statements, which
are not included in the accompanying financial statements of the PRIT Fund.
A nine-member Board of Trustees governs the PRIM Board. The Trustees include: (1) the Governor,
ex officio, or his designee; (2) the State Treasurer, ex officio, or his designee who shall serve as Chair
of the PRIM Board; (3) a private citizen experienced in the field of financial management appointed
by the State Treasurer; (4) an employee or retiree who is a member of the State Teachers’ Retirement
System, elected by the members of such system for a term of three years; (5) an employee or retiree
who is a member of the State Employees’ Retirement System, elected by the members of such system
for a term of three years; (6) the elected member of the State Retirement Board; (7) one of the
elected members of the Teachers’ Retirement Board chosen by the members of the Teachers’
Retirement Board; (8) a person who is not an employee or official of the Commonwealth appointed
by the Governor; and (9) a representative of a public safety union appointed by the Governor.
Appointed members serve for a term of four years. The Board of Trustees has the authority to employ
an Executive Director, outside investment managers, custodians, consultants, and others as it deems
necessary; to formulate policies and procedures; and to take such other actions as necessary and
appropriate to manage the assets of the PRIT Fund.
The PRIM Board seeks to manage the PRIT Fund to ensure that pension assets are well invested so
that current and future benefit obligations are adequately funded in a cost-effective manner. The
PRIM Board therefore seeks to maximize the total return on investment within acceptable levels of
risk and cost for an approximately 60% funded public pension fund. Under current law, by the year
2040, the PRIT Fund will have grown, through annual payments in accordance with a legislatively
approved funding schedule and through total return of the PRIT Fund, to an amount sufficient to
meet the then-existing pension obligations of the Commonwealth. The Commonwealth has adopted
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 31 FISCAL YEAR 2016
a schedule of state pension appropriations that assumes a long-term actuarial rate of return for the
PRIT Fund of 7.5%.
The State Teachers’ and State Employees’ Retirement Systems and the SRBT Fund are mandated by
statute to invest all of their assets in the PRIT Fund and are, therefore, considered involuntary
participants. The assets of the State-Boston Retirement System attributable to teachers who are
members of that system are also mandated to be held in the PRIT Fund. Other retirement systems
have the option to become Participating or Purchasing System participants in the PRIT Fund.
Participating Systems must transfer all of their assets to the PRIT Fund, commit to remain invested
for five years, and are entitled to share in appropriations made to the PRIT Fund by the
Commonwealth in accordance with Massachusetts General Laws, Chapter 32, Section 22B. The
Commonwealth has made no such appropriation to the PRIT Fund on behalf of Participating Systems
since fiscal year 2000.
Purchasing Systems may invest all or a portion of their assets in the PRIT Fund and retain the ability
to contribute and withdraw funds at their discretion; however, they are not entitled to state
appropriations. Participating and Purchasing Systems share in the investment earnings of the PRIT
Fund based on their proportionate share of net position. As of June 30, 2016, there were 39
Participating Systems and 56 Purchasing Systems invested in the PRIT Fund.
(b) Investment Funds
The PRIT Fund consists of two investment funds, the Capital Fund and the Cash Fund. Each of these
funds is managed, accounted for, and held separately by the PRIT Fund’s custodian.
The Cash Fund consists of short-term investments, which are used to meet the liquidity requirements
of Participating and Purchasing Systems. All Cash Fund earnings are reinvested. The State Teachers’
Retirement System and the State Employees’ Retirement System make daily deposits into the Cash
Fund, which is their source of funds for benefit payments and operating expenses. The Cash Fund
maintains a stable net position value of $1.00 per unit.
Assets contributed by retirement systems are initially deposited in the Cash Fund and then
transferred to the Capital Fund. Funds transferred into the Capital Fund are generally invested in the
General Allocation Account, which invests in all asset classes of the PRIT Fund in accordance with the
PRIM Board’s asset allocation plan and investment policy guidelines. The Capital Fund serves as the
investment portfolio of the PRIT Fund and consists of the following accounts at June 30, 2016:
General Allocation (holds units of all other accounts), Domestic Equity, International Equity, Emerging
Markets Equity, Core Fixed Income, Value-Added Fixed Income, Real Estate, Timberland, Hedge
Funds, Distressed Debt, Overlay, Portfolio Completion Strategies, Liquidating Portfolios, Private
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 32 FISCAL YEAR 2016
Equity Investments, and Private Equity Investments Vintage Years 2000-2016. Vintage Year refers to
the fiscal year in which the PRIT Fund made a commitment to invest in a private equity investment.
The Capital Fund consists of the following accounts at June 30, 2015: General Allocation (holds units
of all other accounts), Domestic Equity, International Equity, Emerging Markets Equity, Core Fixed
Income, Value-Added Fixed Income, Real Estate, Timber/Natural Resources, Hedge Funds, Distressed
Debt, Overlay, Portfolio Completion Strategies, Private Equity Investments, and Private Equity
Investments Vintage Years 2000-2015.
Upon deposit by a Participating or Purchasing System into the accounts of the Capital Fund, units of
participation equal to the total value of the contribution are issued. The value of a unit of each
account is determined monthly by dividing the value of the net position of the account by the number
of units outstanding at each month-end valuation date. The unit price fluctuates with the
performance of the Capital Fund. The number of units generally changes only when a retirement
system makes a contribution or redemption.
Chapter 84 of the Acts of 1996 permits Massachusetts retirement boards to purchase units in the
individual investment accounts of the PRIT Fund as an alternative to investing in its General Allocation
Account. This investment option, also referred to as “segmentation,” was established by an
amendment to the PRIM Board’s Operating Trust Agreement in 1994 in response to requests from
retirement boards wishing to invest in certain asset classes of the PRIT Fund. Purchasing Systems, as
“segmented investors,” may invest in one or more of the following accounts of the Capital Fund:
Domestic Equity, International Equity, Emerging Markets, Core Fixed Income, Public Value Added
Fixed Income, Real Estate, Hedge Funds, and Private Equity Vintage Year accounts. At June 30, 2016
and 2015, there were 41 and 39 segmented investors, respectively, in the PRIT Fund. The remaining
Purchasing Systems invested in the General Allocation Account.
(2) Summary of Significant Accounting Policies
(a) Basis of Accounting and Financial Statement Presentation
The financial statements of the PRIT Fund are reported using the economic resources measurement
focus and the accrual basis of accounting. They are prepared in conformity with U.S. generally
accepted accounting principles, which require management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, and disclosure of contingent assets and
liabilities, at the dates of the financial statements and the reported amounts of additions and
deductions during the reporting periods. Actual results could differ from those estimates.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 33 FISCAL YEAR 2016
The PRIT Fund follows Governmental Accounting Standards Board (GASB) guidance as applicable to
external investment pools.
The PRIT Fund consolidates assets and liabilities of its single-member limited liability corporations.
As described further in (b) below and in Note 3, in fiscal year 2016 the PRIT Fund retrospectively
adopted GASB Statement No. 72, Fair Value Measurement and Application (GASB 72), which is
effective for governmental entities with fiscal periods beginning after June 15, 2015. Although the
adoption did not materially change the way in which the PRIT Fund’s assets and liabilities are
measured, it did result in enhanced disclosures, which have also been applied to the comparable
2015 financial information.
In addition, certain amounts have been reclassified in the 2015 financial statements to conform to
the 2016 presentation.
(b) Investments
The PRIM Board recognizes that over the long term, asset allocation is the single greatest contributor
of return and risk to the PRIT Fund. The PRIM Board’s asset allocation plan embodies its decisions to
invest portions of the Capital Fund in global equity securities, core fixed income securities, value-
added fixed income, real estate, timberland, hedge funds, private equity, portfolio completion
strategies and, where appropriate, the various sub asset classes of each asset class. Statutes prohibit
the PRIT Fund from investing in certain securities. The PRIM Board ensures that investment managers
adhere to the requirements of Massachusetts General Laws.
Security transactions are recorded on the date the securities are purchased or sold. The cost of a
security is the purchase price or, in the case of assets transferred to the PRIT Fund by a Participating
or Purchasing System, the fair value of the securities on the transfer date. The calculation of realized
gains (losses) is independent of the calculation of the net change in unrealized appreciation
(depreciation) on investments. Realized gains and losses on investments sold in the current year
include previously recorded unrealized amounts and are included in net realized gain on investments
in the accompanying statements of changes in pooled net position.
The PRIM Board values investments in fixed income, money market, other short-term investments,
and U.S. government agency obligations using independent pricing services. In determining the price,
the services may reflect such factors as market prices, yields, maturities, and ratings, supplemented
by dealer quotations. Investments in equity securities, including exchange-traded funds, traded on
national securities exchanges are valued at the last daily sale price or, if no sale price is available, at
the closing bid price. Securities traded on any other exchange are valued in the same manner or, if
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 34 FISCAL YEAR 2016
not so traded, on the basis of closing over-the-counter (OTC) bid prices. If no bid price exists,
valuation is determined by the custodian bank either by establishing the mean between the most
recent published bid and asked prices or averaging quotations obtained from dealers, brokers, or
investment bankers. Securities for which such valuations are unavailable are reported at their fair
value as estimated in good faith by the PRIM Board based on information provided by the investment
managers responsible for such investments. Fair values for investments in pooled investment
vehicles (commingled funds), such as mutual and similar funds with a readily determinable fair value,
are based on the commingled fund’s published net asset value (NAV) which are valued based on the
underlying marketable securities or in the absence of readily ascertainable market values, the price
of identical or similar securities.
The PRIT Fund invests a portion of its assets in emerging capital markets. These investments may
involve greater risks than investments in more developed markets, and the prices of such
investments may be volatile. The consequences of political, social, or economic changes in these
markets may have disruptive effects on the market prices of these investments and the income they
generate, as well as the PRIT Fund’s ability to repatriate such amounts.
As described further below, certain qualifying investments may be measured using NAV as a practical
expedient to estimate fair value unless as of the measurement date it is probable that the PRIT Fund’s
interest will be sold at an amount different than NAV. As of June 30, 2016 and 2015, the PRIT Fund
had no plans or intentions to sell such investments at amounts other than NAV.
Investments in real estate represent the PRIT Fund’s ownership interest in PRIT Core Realty Holdings
LLC (the LLC). On October 19, 2001, the LLC was formed and was governed by an operating
agreement entered into by the PRIM Board, as trustee of the PRIT Fund, as the sole member. The
principal purpose of the LLC is to conduct the investment activities of the real estate program in a
manner consistent with the PRIT Fund Declaration of Trust and any business or activities incidental
to or in support of such investment activities.
The LLC holds investments in real estate properties, real estate fund investments, and Real Estate
Investment Trust (REIT) securities. Investments in real estate properties are stated at fair value based
on appraisals prepared by independent real estate appraisers or on estimated valuations determined
by the PRIM Board assuming highest and best use of the assets. These estimated valuations are based
on valuations prepared by the real estate investment managers under the general supervision of the
PRIM Board. Generally, third-party appraisals are performed on each real estate property within
18 months of the date of acquisition and at least annually thereafter. Determination of fair value
involves judgment because the actual fair value of a real estate investment can be determined only
by negotiation between parties in a sales transaction. Due to the inherent uncertainty of valuation,
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 35 FISCAL YEAR 2016
fair values used may differ significantly from values that would have been determined had a ready
market for the investments existed, and the differences could be material. Real estate fund
investments are invested through limited partnerships and are recorded at fair value estimated by
the PRIM Board, generally using the NAVs provided by general partners as a practical expedient. The
NAVs provided by general partners are generally based on appraised value of underlying real estate
investments, which considers inputs such as comparable sales, projected income, discount rate, and
capitalization rates. REIT securities are publicly traded securities and are valued in the same manner
as the PRIT Fund’s traded equity securities.
Investments in timberland are valued similarly to investments made by the LLC in real estate
properties; however, independent appraisals of timberland investments are performed annually.
Hedge fund investments represent the PRIT Fund’s ownership in direct hedge funds, managed
accounts and hedge fund-of-funds. The fair values of the PRIT Fund’s interest in direct hedge funds
and hedge fund-of-funds are estimated by the PRIM Board, generally using NAVs provided by fund
managers as a practical expedient. NAVs for direct hedge funds generally are based on the value of
the underlying marketable securities or in the absence of readily ascertainable market values, the
price of identical or similar securities. NAVs for hedge fund-of-funds are generally based on the value
of the NAVs of the underlying funds which value their investments similar to direct hedge funds.
Managed account investments in equity securities, fixed income, and other investments are valued
using independent pricing services. In the event that pricing information is not available, then the
investment is reported at fair value as estimated in good faith by the PRIM Board based on
information provided by the investment manager responsible for such investment. Cash and cash
equivalents held in managed accounts consist of highly liquid investments that are readily convertible
into cash. The carry amount of these securities approximate fair value.
Private equity investments are typically made through limited partnerships that, in turn, invest in
venture capital, leveraged buyouts, private placements, and other investments where the structure,
risk profile, and return potential differ from traditional equity and fixed income investments. These
investments are recorded at fair values estimated by the PRIM Board, generally using the NAVs
provided by general partners as a practical expedient. The NAVs generally are based on the value of
underlying investment holdings which are determined by investment managers and generally
consider variables such as operating results, earnings of the underlying holdings, projected cash
flows, recent sales prices, and other pertinent information. These estimated fair values are
determined in good faith by investment managers or general partners using consistently applied
procedures.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 36 FISCAL YEAR 2016
Portfolio completion strategies investments represents the PRIT Fund’s investments in funds and
managed accounts. The investments in funds are recorded at fair value as estimated in good faith by
the PRIM Board, generally using NAVs provided by fund managers as a practical expedient. NAVs for
these funds are valued similar to direct hedge funds because they generally involve marketable
securities. Managed account investments in equity securities, fixed income, and other investments
are valued using independent pricing services or independent appraisals. In the event that pricing
information is not available, then the investment is reported at fair value as estimated in good faith
by the PRIM Board based on information provided by the investment manager responsible for such
investment. Cash and cash equivalents held in managed accounts consist of highly liquid investments
that are readily convertible into cash. The carry amount of these securities approximate fair value.
(c) Investment Income
Dividend income is recorded on the ex-dividend date, and interest income is accrued as earned. For
the years ended June 30, 2016 and 2015, foreign taxes withheld of $20,252 and $25,167,
respectively, have been netted against dividend income in the statements of changes in pooled net
position. Real estate income includes dividends earned on REIT securities as well as cash distributions
of operating income from investments in real estate properties. Timberland income includes cash
distributions of operating income from investments in timberland properties. Private equity income
is recorded on a cash distribution basis.
(d) Foreign Currency Translation and Transactions
The accounting records of the PRIT Fund are maintained in U.S. dollars. Investment securities and
other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the
prevailing rates of exchange at month-end. Purchases and sales of securities, income receipts, and
expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective
dates of the transactions.
Unrealized net currency gains and losses from valuing foreign currency-denominated assets and
liabilities at month-end exchange rates are reflected as a component of net unrealized appreciation
(depreciation) on investments. For financial reporting purposes, it is not practicable to isolate that
portion of the results of operations arising as a result of changes in foreign exchange rates from the
fluctuations arising from changes in the market price of securities during the period.
Net realized gains and losses on foreign currency transactions represent principally gains and losses
from sales and maturities of forward foreign currency contracts, disposition of foreign currencies,
and currency gains and losses realized between the trade and settlement dates on securities
transactions.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 37 FISCAL YEAR 2016
(e) Derivative Instruments
In accordance with GASB Statement No. 53, Accounting and Financial Reporting of Derivative
Instruments, the PRIT Fund has recorded all of its derivative activity at fair value as investment
instruments within the equity, fixed income, and real estate investments and the related change in
such instruments within the net change in unrealized appreciation (depreciation) on investments and
foreign currency translations in the accompanying financial statements. As described in GASB 72, a
credit valuation adjustment should be applied, when applicable, for nonperformance risk using the
PRIT Fund’s credit risk (liability) in determining fair value.
The PRIT Fund regularly trades derivative financial instruments with off-balance sheet risk in the
normal course of its investing activities to manage exposure to certain risks within the fund. The PRIT
Fund also enters into derivative transactions to gain exposure to currencies and markets where
derivatives are the most effective instrument. The PRIT Fund’s derivative financial instruments
include foreign currency exchange contracts, financial and commodity futures contracts, and
customized swap agreements (see note 7 for more detail). These derivative instruments can be
exchange-traded or OTC contracts. The primary difference in risk associated with OTC contracts and
exchange-traded contracts is credit and liquidity risks. For exchange-traded contracts, credit risk is
limited to the role of the exchange or clearing corporation. OTC contracts contain credit risk for
unrealized gains from various counterparties for the duration of the contract.
(f) When-Issued Securities Transactions
The PRIT Fund may purchase or sell securities on a “when-issued” or delayed-delivery basis. Delivery
and payment for such securities may take place a month or more after the trade date. Normally,
settlement occurs within three months. The price of the underlying securities and the date when the
securities will be delivered and paid for are fixed at trade date. During the time a delayed delivery
sell transaction is outstanding, the contract is marked to market daily and substantially equivalent
deliverable securities are held by the PRIT Fund for the transaction to the extent available. For
delayed delivery purchase transactions, the PRIT Fund maintains segregated assets with a fair value
equal to or greater than the amount of its purchase commitments. The receivables and payables
associated with the sale and purchase of delayed delivery securities are reflected in the
accompanying statements of pooled net position as securities sold and purchased on a when-issued
basis. Losses may arise due to changes in the value of the underlying securities, if the counterparty
does not perform under the contract, or if the issuer does not issue the securities due to political,
economic, or other factors.
The PRIT Fund may also enter into mortgage dollar-roll and reverse mortgage dollar-roll agreements
on a when-issued basis. A mortgage dollar-roll is an agreement in which the PRIT Fund sells securities
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 38 FISCAL YEAR 2016
on a when-issued basis and simultaneously contracts with the same counterparty to repurchase
similar (same type, coupon, and maturity) but not identical securities on a specified future date.
During the roll period, principal and interest on these securities are not received. The PRIT Fund is
compensated by the difference between the current sales price and the forward price for the future
purchase. A reverse mortgage dollar-roll is an agreement to buy securities and to sell substantially
similar securities on a specified future date. During the roll period, the PRIT Fund receives the
principal and interest on the securities purchased. The receivables and payables associated with
mortgage dollar-rolls and reverse mortgage dollar-rolls are also reflected in the accompanying
statements of pooled net position as securities sold and purchased on a when-issued basis.
(3) Fair Value Measurements of Investments
In accordance with GASB 72, except for investments measured using NAV as a practical expedient to
estimate fair value, the PRIT Fund categorizes the fair value measurements of its investments within the
fair value hierarchy established by generally accepted accounting principles. The fair value hierarchy
categorizes the inputs to valuation techniques used for fair value measurement into three levels as follows:
Level 1 – Inputs that reflect quoted prices (unadjusted) in active markets for identical assets or liabilities
that the fund has the ability to access at the measurement date. Most of the PRIT Fund’s directly held
marketable securities, mutual funds and exchange traded funds would be examples of Level 1
investments.
Level 2 – Inputs other than quoted prices that are observable for an asset or liability either directly or
indirectly, including inputs in markets that are not considered to be active. Because they must often be
priced on the basis of transactions involving similar but not identical securities or do not trade with
sufficient frequency, certain directly held fixed income securities are categorized in Level 2.
Level 3 – Unobservable inputs based on the best information available, using assumptions in
determining the fair value of investments and derivative financial instruments. Generally, the PRIT
Fund’s directly held investments in real estate and timberland will be categorized in Level 3 because a
preponderance of inputs used to estimate fair value are not observable. For similar reasons, certain
fixed income securities may also be categorized in Level 3.
The fair value hierarchy gives the highest priority to Level 1 inputs and the lowest priority to Level 3 inputs.
In certain instances where the determination of the fair value measurement is based on inputs from
different levels of the fair value hierarchy, the level in the fair value hierarchy is based on the lowest level
of input that is significant to the fair value measurement.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 39 FISCAL YEAR 2016
The following tables present a summary of the fair value hierarchy of investments that are measured at fair
value on a recurring basis at June 30, 2016 and 2015:2016
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Investments at fair value
Short-term:
Money market investments $ 1,204,170 — 1,204,170 — —
Fixed income:
U.S. government obligations (1) 5,546,901 5,546,901 — — —
Domestic fixed income (2) 4,100,864 17,500 4,064,372 18,992 —
International fixed income (3) 3,162,671 142,939 3,019,386 346 —
Distressed debt (4) 1,235,565 — — — 1,235,565 1,100,129
14,046,001 5,707,340 7,083,758 19,338 1,235,565
Equity:
Domestic equity securities 10,696,300 10,696,263 — 37 —
International equity securities 14,211,379 14,185,209 — 26,170 —
24,907,679 24,881,472 — 26,207 —
Timberland 2,003,805 — — 2,003,805 —
Private equity funds:
Special equity (5) 4,884,250 — — — 4,884,250 3,376,056
Venture capital (6) 1,599,074 — — — 1,599,074 555,159
Natural resources (7) 178,366 178,366 62,628
6,661,690 — — — 6,661,690 3,993,843
Real estate:
Real estate properties 6,021,497 — — 6,021,497 —
Real estate equity securities 1,484,402 1,469,759 14,643 — —
Real estate funds (8) 208,110 — — — 208,110 142,987
Other 45,066 — — 45,066 —
7,759,075 1,469,759 14,643 6,066,563 208,110
Hedge funds:
Event-driven hedge funds (9) 1,901,580 — — — 1,901,580 156,491
Relative value hedge funds (10) 520,060 — — — 520,060
Equity long/short hedge funds (11) 319,669 — — — 319,669
Fund of funds (12) 923,679 — — — 923,679
Equity securities 1,078,035 1,076,466 868 701 —
Cash and cash equivalent 618,269 595,909 22,360 — —
Fixed income securities 563,834 89 489,490 74,255 —
Other 130,825 21,541 — 109,284 —
6,055,951 1,694,005 512,718 184,240 3,664,988
Portfolio completion strategies:
Investment funds (13) 221,575 — — — 221,575
Cash and cash equivalent 221,703 221,703 — — —
Equity securities 170,824 170,824 — — —
Fixed income securities 19,601 — 19,601 — —
Other 115,499 6,581 — 108,918 —
749,202 399,108 19,601 108,918 221,575
Total investments $ 63,387,573 34,151,684 8,834,890 8,409,071 11,991,928
Securities lending collateral:
Repurchase agreements $ 200,000 — 200,000 — —
Money market investments 72,931 — 72,931 — —
Domestic fixed income (14) 349,709 — 349,709 — —
Total securities lending collateral $ 622,640 — 622,640 — —
Hedge fund liabilities at fair value
Securities sold short:
Equity securities $ 849,579 849,579 — — —
Cash and cash equivalent 114,066 — 114,066 — —
Fixed income securities 9,308 88 9,220 — —
972,953 849,667 123,286 — —
Other 125,102 — — 125,102 —
Total hedge fund liabilities $ 1,098,055 849,667 123,286 125,102 —
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 40 FISCAL YEAR 20162015
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Investments at fair value
Short-term:
Money market investments $ 1,733,529 — 1,733,529 — —
Fixed income:
U.S. government obligations (1) 5,225,621 5,225,621 — — —
Domestic fixed income (2) 4,660,555 17,198 4,599,426 43,931 —
International fixed income (3) 3,152,349 145,131 3,006,427 791 —
Distressed debt (4) 1,350,752 — — — 1,350,752 1,024,607
14,389,277 5,387,950 7,605,853 44,722 1,350,752
Equity:
Domestic equity securities 10,353,626 10,352,860 766 — —
International equity securities 14,289,329 14,265,070 — 24,259 —
24,642,955 24,617,930 766 24,259 —
Timberland 1,664,581 — — 1,664,581 —
Private equity funds:
Special equity (5) 5,131,206 — — — 5,131,206 3,422,258
Venture capital (6) 1,579,424 — — — 1,579,424 616,384
Natural resources (7) 269,793 269,793 61,436
6,980,423 — — — 6,980,423 4,100,078
Real estate:
Real estate properties 6,292,315 — — 6,292,315 —
Real estate equity securities 1,157,438 1,148,948 8,490 — —
Real estate funds (8) 178,364 — — — 178,364 50,788
Other 56,218 — — 56,218 —
7,684,335 1,148,948 8,490 6,348,533 178,364
Hedge funds:
Event-driven hedge funds (9) 2,310,405 — — — 2,310,405 83,977
Relative value hedge funds (10) 678,656 — — — 678,656
Equity long/short hedge funds (11) 581,334 — — — 581,334
Fund of funds (12) 1,296,198 — — — 1,296,198
Equity securities 533,459 533,459 — — —
Cash and cash equivalent 354,884 346,214 8,670 — —
Fixed income securities 8,016 8,016 — — —
Other 63,175 — — 63,175 —
5,826,127 887,689 8,670 63,175 4,866,593
Portfolio completion strategies:
Cash and cash equivalent 97,011 97,011 — — —
Other 1,034 1,034 — — —
98,045 98,045 — — —
Total investments $ 63,019,272 32,140,562 9,357,308 8,145,270 13,376,132
Securities lending collateral:
Repurchase agreements $ 200,000 — 200,000 — —
Money market investments 147,978 — 147,978 — —
Domestic fixed income (14) 209,180 — 209,180 — —
Total securities lending collateral $ 557,158 — 557,158 — —
Hedge fund liabilities at fair value
Securities sold short:
Equity securities $ 398,605 398,605 — — —
Fixed income securities 9,059 9,059 — — —
407,664 407,664 — — —
Other 66,832 — — 66,832 —
Total hedge fund liabilities $ 474,496 407,664 — 66,832 —
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 41 FISCAL YEAR 2016
(1) Fiscal 2016 rates range from 0.00% to 9.13%, and maturities range from 2016 to 2046. Fiscal 2015
rates range from 0.00% to 9.13%, and maturities range from 2015 to 2045.
(2) Fiscal 2016 rates range from 0.00% to 13.38%, and maturities range from 2016 to 2115. Fiscal 2015
rates range from 0.00% to 12.64%, and maturities range from 2015 to 2115.
(3) Fiscal 2016 rates range from 0.00% to 16.15%, and maturities range from 2016 to 2115. Fiscal 2015
rates range from 0.00% to 16.39%, and maturities range from 2015 to 2115.
(4) This represents investments in 38 and 33 private partnerships that invest directly in distressed debt
investment opportunities at June 30, 2016 and 2015, respectively. These investments cannot be
redeemed. Distributions are received as the partnerships liquidate the underlying assets of the funds.
The life cycles of the private partnerships are typically 10 to 15 years.
(5) This includes investments in 170 and 155 private partnerships focused on acquisition financing,
equity infusion capital, recovery investments, and special situations at June 30, 2016 and 2015,
respectively. These private partnerships typically have 10 to 15 year life cycles during which limited
partners are unable to redeem their positions, but instead, receive distributions as the partnerships
liquidate the underlying assets of the funds.
(6) This includes investments in 119 and 107 private partnerships focused on investing in companies in
a range of stages of development from start-up/seed-stage, to early stage, to later-stage at June 30,
2016 and 2015, respectively. These investments are not redeemable. Distributions are received as
the partnerships liquidate the underlying assets of the funds. The private partnerships typically have
a life cycle of 10 to 15 years.
(7) This represents investments in four private partnerships that make investments in the energy and
natural resources industries at June 30, 2016 and 2015. Limited partners are unable to withdraw
from the partnerships. Distributions are received as the partnerships liquidate the underlying assets.
The four private partnerships have life cycles of 10 to 11 years and a weighted average remaining life
of approximately two and three years at June 30, 2016 and 2015, respectively.
(8) This includes seven closed-end real estate funds that invest in U.S. real estate at June 30, 2016 and
2015. These investments are not redeemable. The funds have initial terms of eight to 11 years with
extension of one to two years, and have a weighted average remaining life of approximately five and
six years at June 30, 2016 and 2015, respectively.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 42 FISCAL YEAR 2016
(9) This includes 14 hedge funds that invest in event-driven strategies such as credit-event, equity-event,
multi-event driven, and stressed/distressed credit positions at June 30, 2016 and 2015. Redemption
frequency for these investments ranged from quarterly to two years with 45 to 90 days’ notice.
(10) This includes four hedge funds that invest in relative value strategies such as fixed income relative
value, credit-relative value, and multi-relative value positions at June 30, 2016 and 2015. Redemption
frequency for these investments ranged from monthly to quarterly with 45 to 90 days’ notice.
(11) This includes four and five hedge funds that invests in equity long/short strategies where there is
combination of long and short positions primarily in publicly traded equities at June 30, 2016 and
2015, respectively. Redemption frequency for these investments ranged from quarterly to three
years with 45 to 60 days’ notice.
(12) This includes one active hedge fund of funds manager, valued at $867,595 and $1,210,770, at June
30, 2016 and 2015, respectively, which invests in emerging hedge fund managers. Redemption
frequency for this fund is monthly with 30 days’ notice. The remaining balance represents
investments in five liquidating portfolios in which distributions are received as the funds liquidates
the underlying assets.
(13) Portfolio completion strategies may include long-term strategic investments or short-term
opportunistic investments. This includes two funds at June 30, 2016. One of the funds is valued at
$209,075, and is invested in a multi-strategy risk premia program. Redemption frequency for this
fund is monthly with 30 days’ notice. The other fund is valued at $12,500, and is invested in a fund
that seeks to make short-duration investments targeting residential land development opportunities
across the U.S. Investment in this fund is not redeemable and distributions are received as the fund
liquidates its underlying assets.
(14) U.S. government agency securities with maturities of less than three months.
(4) Deposits and Investments Risks
(a) Custodial Credit Risk
Custodial credit risk is the risk that in the event of bank failure, the PRIT Fund’s deposits and
investments may not be returned. The PRIM Board manages the PRIT Fund’s exposure to custodial
credit risk by requiring all relevant investment managers to hold investments in separate accounts
with the PRIM Board’s custodian (see note 8). The PRIM Board has not adopted a formal custodial
credit risk policy.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 43 FISCAL YEAR 2016
Cash balances represent amounts held in bank depository accounts that may be subject to custodial
credit risk. The PRIT Fund maintains cash and cash equivalents with various major financial
institutions. The combined account balances at a specific financial institution may periodically exceed
federally insured limits. No losses have been incurred as of June 30, 2016 and 2015.
(b) Interest Rate Risk
Interest rate risk is the risk that changes in interest rates of fixed income investments will adversely
affect the fair value of an investment. While the PRIM Board does not have a formal policy relating
to interest rate risk, the PRIM Board manages the PRIT Fund’s exposure to fair value loss arising from
movements in interest rates by establishing duration guidelines with its fixed income investment
managers. The guidelines with each individual manager require that the effective duration of the
domestic fixed income investment portfolio be within a specified percentage or number of years of
the effective duration band of the appropriate benchmark index. For emerging markets fixed income
investments, the portfolio must have duration with a band ranging from three to eight years.
Effective duration is a measure of a fixed income investment’s exposure to fair value changes arising
from changes in interest rates. Effective duration makes assumptions regarding the most likely timing
and amounts of variable cash flows. These assumptions take into consideration factors indicative of
investments highly sensitive to interest rate changes, including callable options, prepayments, and
other factors. These factors are reflected in the effective duration numbers provided in the following
table. The PRIM Board compares the effective duration of a manager’s portfolio to their relevant
benchmark including Barclays Capital Aggregate index, US Treasury STRIPS 20+ Year index, Barclays
Capital US TIPS index, Barclays Capital Inflation Linked Bonds index, S&P LSTA Leveraged Loan index,
JP Morgan Global Emerging Markets Bond index, JP Morgan Global Diversified Emerging Markets
Bond index, and the Merrill Lynch High Yield Master II index.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 44 FISCAL YEAR 2016
The following table shows the debt investments by investment type, fair value, and effective
weighted duration rate at June 30:2016 2015
Effective Effective
weighted weighted
duration duration
Investment Fair value rate Fair value rate
(Years) (Years)
Asset-backed securities $ 73,442 0.45 $ 154,740 2.19
Commercial mortgage-
backed securities 163,728 1.80 235,583 2.18
Commercial paper and CDs — — 51,922 0.14
Corporate bonds and other
credits 4,029,424 6.60 4,018,855 13.01
U.S. government bonds 4,299,621 22.60 3,988,370 24.23
U.S. government agencies 23,164 3.68 55,097 3.91
U.S. government TIPS 1,247,280 6.50 1,237,251 8.04
U.S. government mortgage-
backed securities 940,359 2.19 1,179,408 1.99
Global inflation linked bonds 386,483 9.02 378,121 9.61
Municipal bonds 39,939 11.12 40,134 10.35
Hedge funds 563,834 5.79 8,016 4.08
Portfolio completion strategies 19,601 2.37 — —
Pooled money market fund 1,204,170 N/A 1,733,529 N/A
Other pooled funds 2,842,561 N/A 3,049,796 N/A
Total fixed income
and short-term
investments $ 15,833,606 $ 16,130,822
Securities lending collateral investments:
U.S. government agencies $ 349,709 N/A $ 209,180 N/A
Pooled money market fund 72,931 N/A 147,978 N/A
Repurchase agreements 200,000 N/A 200,000 N/A
Total securities lending
collateral investments $ 622,640 $ 557,158
N/A - No effective duration
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 45 FISCAL YEAR 2016
(c) Credit Risk
Credit risk is the risk that an issuer or other counterparty to an investment will fail to meet its debt
obligations.
The PRIM Board does not have a formal investment policy governing credit risk; each fixed income
securities investment managers is given a specific set of guidelines to invest within based on the
mandate for which it was hired. These guidelines vary depending on the manager’s strategy and the
role of its portfolio to the overall diversification of the PRIT Fund. The guidelines for the PRIT Fund’s
core fixed income portfolio establish the minimum credit rating for any security in the portfolio and
the overall weighted average credit rating of the portfolio. For example, all securities held must
generally be investment grade. The guidelines for the PRIT Fund’s high yield fixed income portfolio
establish a market value range of securities to be held with a specific minimum credit rating and the
overall weighted average credit rating of the portfolio.
Credit risk for derivative instruments held by the PRIT Fund results from counterparty risk. The PRIT
Fund is exposed to credit risk resulting from counterparties being unable to meet their obligations
under the terms of the derivative agreements. See note 7 for more information on the PRIT Fund’s
derivative instruments.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 46 FISCAL YEAR 2016
The
weighted average quality rating of the debt securities portfolio,
excluding pooled investments, investments explicitly backed by the
U.S.
government and other nonrated investments was BBB+ at June 30, 2016 and
A- at June 30, 2015. The following tables present the
PRIT Fund’s fixed-income securities credit ratings at June 30:2016
Total Investment grade Noninvestment grade
Investment fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 73,442 29,537 36,851 1,761 5,101 192 —
Commercial mortgage-backed securities 163,728 71,377 35,740 28,943 13,594 12,777 1,297
Corporate bonds and other credits 4,029,424 115,468 1,134,288 1,216,684 1,146,453 154,629 261,902
U.S. government agencies 23,164 — 23,164 — — — —
U.S. government mortgage-backed securities 725,327 111 318,803 — — — 406,413
Global inflation linked bonds 386,483 120,874 188,641 76,099 869 — —
Municipal bonds 39,939 678 32,265 4,763 2,233 — —
Hedge funds 563,834 — — — — — 563,834
Portfolio completion strategies 19,601 — — — — — 19,601
Pooled money market fund 1,204,170 — — — — — 1,204,170
Other pooled funds 2,842,561 — — — — — 2,842,561
Total credit risk, fixed income, and short-term
investments 10,071,673 338,045 1,769,752 1,328,250 1,168,250 167,598 5,299,778
Fixed income investments explicitly
backed by the U.S. government 5,761,933
Total fixed income and short-term investments $ 15,833,606
Securities lending collateral investments:
U.S. government agencies $ 349,709 — 349,709 — — — —
Pooled money market fund 72,931 — — — — — 72,931
Repurchase agreements 200,000 — — 150,000 — — 50,000
Total securities lending collateral investments $ 622,640 — 349,709 150,000 — — 122,931
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 47 FISCAL YEAR 20162015
Total Investment grade Noninvestment grade
Investment fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 154,740 69,846 76,967 779 6,905 243 —
Commercial mortgage-backed securities 235,583 64,170 57,091 52,448 37,610 23,050 1,214
Commercial paper and CDs 51,922 — 3,097 48,825 — — —
Corporate bonds and other credits 4,018,855 127,408 1,271,634 1,318,177 889,931 141,220 270,485
U.S. government agencies 55,097 — 55,097 — — — —
U.S. government mortgage-backed securities 988,164 105 636,993 — — — 351,066
Global inflation linked bonds 378,121 110,287 172,755 95,079 — — —
Municipal bonds 40,134 593 34,475 1,948 3,118 — —
Hedge funds 8,016 — — — — — 8,016
Pooled money market fund 1,733,529 — — — — — 1,733,529
Other pooled funds 3,049,796 — — — — — 3,049,796
Total credit risk, fixed income, and short-term
investments 10,713,957 372,409 2,308,109 1,517,256 937,564 164,513 5,414,106
Fixed income investments explicitly
backed by the U.S. government 5,416,865
Total fixed income and short-term investments $ 16,130,822
Securities lending collateral investments:
U.S. government agencies $ 209,180 — 209,180 — — — —
Pooled money market fund 147,978 — — — — — 147,978
Repurchase agreements 200,000 — — 200,000 — — —
Total securities lending collateral investments $ 557,158 — 209,180 200,000 — — 147,978
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 48 FISCAL YEAR 2016
(d) Foreign Currency Risk
Foreign currency risk is the risk that changes in exchange rates will adversely affect the fair value of
investments. Although the PRIM Board has no overall policy regarding foreign currency risk, the PRIM
Board does manage the PRIT Fund’s exposure to foreign currencies by establishing investment
guidelines with each of its managers who invest in securities not denominated in U.S. dollars. These
guidelines set maximum investment balances for any currency and/or country holdings must be
within a certain percentage of predefined benchmarks. In addition, the PRIM Board’s investment
managers may actively manage exposure to foreign currencies through the use of forward foreign
currency contracts. The following tables present the PRIT Fund’s foreign currency exposures at
June 30 (stated in U.S. dollars):2016
Hedge funds
Cash and and portfolio
short-term Fixed completion Private equity Timberland
investments Equity income strategies investments investments Total
Australian Dollar $ 6,637 491,114 13,220 (3,347) — 175,093 682,717
Brazilian Real 1,049 137,849 228,287 — — — 367,185
British Pound 17,560 2,015,961 356,450 29,845 38,393 — 2,458,209
Canadian Dollar 16,736 436,169 30,932 4,832 6,867 — 495,536
Danish Krone 1,689 314,872 2,381 3,917 — — 322,859
Euro 12,219 2,236,302 272,994 97,699 1,093,515 — 3,712,729
Hong Kong Dollar 10,759 994,567 (595) 1,666 — — 1,006,397
Indian Rupee 2,125 352,427 4,166 — — — 358,718
Japanese Yen 59,386 2,294,481 73,095 1,250 — — 2,428,212
New Taiwan Dollar 3,927 444,196 — — — — 448,123
S. African Comm Rand 4,362 250,774 126,634 136 — — 381,906
South Korean Won 5,663 548,619 36,375 2 — — 590,659
Swedish Krona 194 360,744 11,507 3,504 — — 375,949
Swiss Franc 19,490 782,579 — 5,955 — — 808,024
Other foreign currencies 18,553 1,017,779 911,989 (4,409) — — 1,943,912
Total securities
subject to
foreign
currency risk 180,349 12,678,433 2,067,435 141,050 1,138,775 175,093 16,381,135
International investments
denominated in U.S. dollars — 1,532,946 1,095,236 — — — 2,628,182
Total
international
investments
and cash
deposits $ 180,349 14,211,379 3,162,671 141,050 1,138,775 175,093 19,009,317
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 49 FISCAL YEAR 20162015
Cash and
short-term Fixed Private equity Timber
investments Equity income investments investments Total
Australian Dollar $ 4,699 452,827 12,549 — 172,588 642,663
Brazilian Real 918 108,213 197,872 — — 307,003
British Pound 29,184 2,276,111 362,371 91,237 — 2,758,903
Canadian Dollar 23,085 462,151 31,505 18,364 — 535,105
Danish Krone 351 303,635 3,947 — — 307,933
Euro 9,530 2,340,962 293,225 1,188,043 — 3,831,760
Hong Kong Dollar 9,336 1,077,867 — — — 1,087,203
Japanese Yen 116,886 2,240,071 47,659 — — 2,404,616
Mexican Peso 13,091 103,000 129,819 — — 245,910
New Taiwan Dollar 16,188 449,513 — — — 465,701
S. African Comm Rand 1,729 286,470 91,292 — — 379,491
South Korean Won 2,614 514,806 27,665 — — 545,085
Swedish Krona 808 366,189 16,956 — — 383,953
Swiss Franc 11,318 789,138 — — — 800,456
Other foreign currencies 13,614 1,002,358 681,368 — — 1,697,340
Total securities
subject to
foreign
currency risk 253,351 12,773,311 1,896,228 1,297,644 172,588 16,393,122
International investments
denominated in U.S. dollars — 1,516,018 1,256,121 — — 2,772,139
Total
international
investments
and cash
deposits $ 253,351 14,289,329 3,152,349 1,297,644 172,588 19,165,261
(e) Concentration of Credit Risk
The PRIM Board manages the PRIT Fund’s exposure to concentration of credit risk by establishing
guidelines with each investment manager that limit the percentage of investment in any single issue
or issuer. The PRIT Fund has no investments, at fair value, that exceed 5% of the PRIT Fund’s total
investments as of June 30, 2016 and 2015.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 50 FISCAL YEAR 2016
(f) Financial Instruments with Off-Balance-Sheet Risk
In the normal course of business, the PRIT Fund enters into financial instrument transactions with
off-balance-sheet risk. These financial instruments involve varying degrees and type of risks,
including credit and market risks, which may be in excess of the amounts recognized in the
Statements of Pooled Net Position. Futures and foreign currency exchange contracts represent
commitments to purchase or sell foreign currencies at a future date and at a specified price. The PRIT
Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms
of their contracts or if the value of the foreign currency changes unfavorably.
(5) Securities Lending Program
In October 2014, the PRIM Board hired a third-party securities lending agent to launch a securities lending
program on January 2, 2015. The program loans domestic and international equity, REIT, and fixed income
securities for collateral with a simultaneous agreement to return the collateral for the same securities in
the future. Securities on loan are secured with collateral ranging from 102% to 105% determined by the
type of securities lent. Securities on loan are valued daily to maintain the collateral requirement and, where
applicable, additional collateral is delivered. At June 30, 2016 and 2015, the PRIT Fund has no credit risk
exposure to borrowers because the borrowers provided collateralization greater than 100% of the fair
value of the securities on loan. The PRIT Fund cannot pledge or sell the collateral securities unless the
lending agent defaults. The lending agent is required to indemnify the PRIT Fund in the event that it fails to
return the securities on loan (and if the collateral is inadequate to replace the securities on loan) or if the
lending agent fails to perform its obligations as stipulated in the agreement. There was no loss during the
years ended June 30, 2016 and 2015 resulting from default by the lending agent.
Securities loans are terminable on demand therefore maturities of the securities loans do not generally
match the maturities of investments made with cash collateral. Investments made with cash collateral are
primarily in short-term investments with maximum maturity of three months from the date of purchase.
Securities on loan are included in investments at fair value in the accompanying statements of pooled net
position. As of June 30, 2016 and 2015, the fair value of securities on loan was $593,133 and $534,843,
respectively, and the associated cash collateral was $622,487 and $557,135, respectively. The cash
collateral received is reported as securities lending obligations in the accompanying statements of pooled
net position. There was no security collateral or noncash collateral at June 30, 2016 and 2015. The fair value
of reinvested cash collateral was $622,640 and $557,158 at June 30, 2016 and 2015, respectively, and is
reported as securities lending collateral in the accompanying statements of pooled net position.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 51 FISCAL YEAR 2016
(6) Real Estate Debt
(a) Notes Payable
The LLC’s notes payable obligations consisted of the following as of June 30:2016 2015
Senior unsecured term loan $ 500,000 500,000
Senior unsecured notes 500,000 500,000
Total $ 1,000,000 1,000,000
Scheduled long-term maturities of existing indebtedness at June 30, 2016 in each of the next
five years and in the aggregate thereafter are as follows:Amount
Year ending June 30:
2017 $ —
2018 500,000
2019 —
2020 175,000
2021 —
2022–2025 325,000
$ 1,000,000
(i) Senior Unsecured Term Loan
On February 12, 2013, the LLC issued a Senior Unsecured Term Loan in the aggregate
principal amount of $500,000, maturing February 12, 2018. Interest is payable monthly
based on LIBOR plus an applicable rate based upon the range into which the Total
Leverage Ratio falls as outlined in the Term Loan agreement. As of June 30, 2016 and
2015, the applicable rate is 1.15%.
(ii) Senior Unsecured Notes
On February 14, 2013, the LLC issued 3.25% Series A Senior Notes in the aggregate
principal amount of $175,000 maturing February 14, 2020; 3.85% Series B Senior Notes
in the aggregate principal amount of $175,000 maturing February 14, 2023; 4.00%
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 52 FISCAL YEAR 2016
Series C Senior Notes in the aggregate principal amount of $150,000 maturing
February 14, 2025. Interest on the notes is payable semi-annually.
Both the Senior Unsecured Term Loan and Senior Unsecured Notes contain certain financial
covenants as outlined in the respective agreements. The LLC was in compliance with such covenants
at June 30, 2016 and 2015.
(b) Mortgage Loans Payable
The LLC had 16 and 21 property-level mortgage loans payable as of June 30, 2016 and 2015,
respectively. The mortgages have a weighted average interest rate of 3.70% and 3.86% and a
weighted average maturity of 2.8 and 2.9 years at June 30, 2016 and 2015, respectively. The
following table presents the face value of mortgage loans payable at June 30:2016 2015
Mortgage loans payable $ 424,416 511,769
Total $ 424,416 511,769
(c) Other Liabilities:
The LLC had other liabilities of $25,777 and $5,535 as of June 30, 2016 and 2015, respectively.
(7) Derivative Investments
The PRIT Fund regularly trades financial instruments with off-balance-sheet risk in the normal course of its
investing activities to assist in managing exposure to market risks. These financial instruments include
foreign currency exchange contracts, futures contracts, and swap contracts.
(a) Foreign Currency Exchange Contracts
A foreign currency exchange contract is an agreement between two parties to buy or sell a fixed
quantity of currency at a set price on a future date. The PRIT Fund may enter into foreign currency
exchange contracts to hedge its exposure to the effect of changes in foreign currency exchange rates
upon its non-U.S. dollar-denominated investments. The fair value of such contracts will fluctuate with
changes in currency exchange rates. The contracts are valued daily, and the changes in fair value are
recorded by the PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund
records a realized gain or loss equal to the difference between the cost of the contract at the time it
was opened and the value at the time it was closed.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 53 FISCAL YEAR 2016
Foreign currency exchange contracts open at June 30 (in U.S. dollars) were as follows:2016
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) gains losses
Foreign currency exchange
contracts purchased:
Australian Dollar $ 46,086 45,633 7/1/16-8/3/16 $ — (453)
Brazilian Real 106,987 97,242 7/1/16-10/4/16 — (9,745)
British Pound 755,957 791,328 7/1/16-8/12/16 35,371 —
Canadian Dollar 58,283 58,210 7/6/16-8/12/16 — (73)
Euro 561,710 563,233 7/1/16-9/26/16 1,523 —
Hong Kong Dollar 36,416 36,392 7/5/16-11/7/16 — (24)
Japanese Yen 148,407 142,230 7/1/16-9/26/16 — (6,177)
Mexican New Peso 54,287 53,869 7/5/16-3/3/19 — (418)
New Taiwan Dollar 44,823 44,189 7/1/16-9/21/16 — (634)
New Zealand Dollar 42,885 41,772 7/6/16-8/3/16 — (1,113)
Singapore Dollar 76,410 74,925 8/18/16-9/21/16 — (1,485)
South African Comm Rand 57,047 54,085 7/1/16-9/21/16 — (2,962)
South Korean Won 58,177 57,307 71/16-9/21/16 — (870)
Turkish Lira 42,359 41,242 7/13/16-9/21/16 — (1,117)
Other foreign currencies 318,686 319,138 7/1/16-2/15/17 2,910 (2,458)
Foreign currency exchange
contracts sold:
Brazilian Real 99,223 91,567 7/1/16-10/4/16 7,656 —
British Pound 388,413 393,671 7/1/16-7/19/16 — (5,258)
Colombian Peso 66,469 63,125 7/1/16-9/21/16 3,344 —
Euro 325,635 326,750 7/1/16-9/26/16 — (1,115)
Hong Kong Dollar 46,094 46,067 7/2/16-11/7/16 27 —
Indian Rupee 35,964 35,879 7/1/16-9/21/16 85 —
Japanese Yen 84,225 83,175 7/1/16-8/12/16 1,050 —
Malaysian Ringgit 85,647 82,302 7/27/16-9/21/16 3,345 —
Polish Zloty 38,750 39,316 7/1/16-9/21/16 — (566)
South African Comm Rand 48,784 46,661 7/1/16-9/21/16 2,123 —
Thailand Baht 63,604 63,193 7/5/16-9/21/16 411 —
Turkish Lira 97,057 94,608 7/1/16-9/21/16 2,449 —
Other foreign currencies 296,833 297,002 7/1/16-3/15/17 2,115 (2,284)
Total $ 62,409 (36,752)
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 54 FISCAL YEAR 20162015
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) gains losses
Foreign currency exchange
contracts purchased:
Australian Dollar $ 34,988 34,852 7/2/15–8/17/15 $ — (136)
Brazilian Real 167,092 167,462 7/1/15–10/4/16 370 —
British Pound 749,982 740,541 7/2/15–8/5/15 — (9,441)
Canadian Dollar 51,671 52,682 7/2/15–7/21/15 1,011 —
Chinese Yuan Renminbi 49,068 48,222 7/23/15–9/16/15 — (846)
Euro 603,573 601,815 7/2/15–8/18/15 — (1,758)
Japanese Yen 279,827 277,681 7/2/15–9/24/15 — (2,146)
Mexican New Peso 159,721 163,325 7/7/15–9/30/15 3,604 —
New Turkish Lira 80,305 78,889 7/15/15–9/16/15 — (1,416)
Polish Zloty 36,427 36,939 7/2/15–9/16/15 512 —
Singapore Dollar 57,915 57,712 7/2/15–9/16/15 — (203)
South African Comm Rand 48,899 48,356 7/3/15–9/16/15 — (543)
South Korean Won 38,164 38,225 7/1/15–9/16/15 61 —
Other foreign currencies 224,170 225,609 7/1/15–12/4/15 2,683 (1,246)
Foreign currency exchange
contracts sold:
Brazilian Real 144,387 143,624 7/2/15–9/16/15 763 —
British Pound 385,343 386,077 7/1/15–8/5/15 — (734)
Canadian Dollar 34,009 34,345 7/3/15–7/22/15 — (336)
Chilean Peso 42,621 43,701 7/27/15–9/16/15 — (1,080)
Chinese Yuan Renminbi 54,564 53,939 8/13/15–9/16/15 625 —
Euro 348,545 350,536 7/1/15–8/18/15 — (1,991)
Indian Rupee 37,051 36,763 7/1/15–9/16/15 288 —
Japanese Yen 171,258 169,829 7/1/15–9/15/15 1,429 —
Malaysian Ringgit 34,848 35,210 7/2/15–9/17/15 — (362)
Mexican New Peso 61,529 62,623 7/1/15–9/30/15 — (1,094)
New Turkish Lira 91,317 90,507 7/29/15–9/16/15 810 —
Polish Zloty 66,252 67,074 7/2/15–9/16/15 — (822)
South African Comm Rand 50,825 49,936 7/6/15–9/16/15 889 —
Other foreign currencies 241,876 243,137 7/1/15–12/16/15 395 (1,656)
Total $ 13,440 (25,810)
For the years ended June 30, 2016 and 2015, the change in net unrealized appreciation (depreciation)
on foreign currency exchange contracts was $38,027 and $(4,429), respectively.
(b) Futures Contracts
The PRIT Fund enters into financial and commodity futures on various exchanges. A futures contract
is an agreement between two parties to buy or sell units of a particular index, security, or commodity
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 55 FISCAL YEAR 2016
at a set price on a future date. Upon entering into financial and commodity futures contracts, the
PRIT Fund is required to pledge to the broker an amount of cash or securities equal to a certain
percentage of the contract amount (initial margin deposit). Pursuant to the contract, the PRIT Fund
agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value
of the contract. Such receipts or payments are known as “variation margin” and are recorded by the
PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund records a realized
gain or loss equal to the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The potential risk to the PRIT Fund is that the change in value of
futures contracts primarily corresponds with the value of underlying instruments, which may not
correspond to the change in value of the hedged instruments. The PRIT Fund is also subject to credit
risk should its clearing brokers be unable to meet their obligations to the PRIT Fund.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 56 FISCAL YEAR 2016
Futures contracts held at June 30 were as follows:2016
Gross Unrealized
Number of Expiration notional Fair value appreciation
Description contracts date amount of contracts (depreciation)
Short cash and cash equivalents:
90-Day Eurodollar (159) 12/16 $ (39,194) (39,482) (288)
Long cash and cash equivalents:
90-Day Eurodollar 514 12/17-9/18 127,374 127,358 (16)
Euro FX currency 287 9/16 40,948 39,848 (1,100)
Other long cash and cash
equivalents 924 9/16 89,133 88,157 (976)
Long fixed income:
US 5-Yr Treasury Notes 1,393 9/16 168,487 170,175 1,688
US 10-Yr Treasury Notes 1,319 9/16 171,195 175,406 4,211
Ultra US Treasury Bond 622 9/16 110,530 115,925 5,395
Other long fixed income 4,113 8/16-9/16 33,975 36,622 2,647
Short fixed income:
US 2-Yr Treasury Notes (366) 9/16 (80,112) (80,274) (162)
US Treasury Bond (702) 9/16 (114,794) (120,985) (6,191)
Other short fixed income (394) 9/16 (94,416) (95,597) (1,181)
Short equity and commodities:
S&P 500 E-mini Index (1,428) 9/16 (150,304) (149,240) 1,064
Other short equity and
commodities (12,810) 7/16-9/16 (37,013) (38,118) (1,105)
Long equity and commodities:
S&P 500 E-mini Index 1,656 9/16 171,808 173,069 1,261
S&P Midcap 400 E-mini Index 285 9/16 41,964 42,551 587
MINI MSCI Emerging
Markets Index 2,951 9/16 120,229 123,160 2,931
MSCI EAFE Index 1,133 9/16 90,451 91,501 1,050
TOPIX Index 546 9/16 67,555 66,287 (1,268)
Other long equity and
commodities 4,695 7/16-9/16 227,229 228,929 1,700
Total futures
exposure $ 945,045 955,292 10,247
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 57 FISCAL YEAR 20162015
Gross Unrealized
Number of Expiration notional Fair value appreciation
Description contracts date amount of contracts (depreciation)
Short cash and cash equivalents:
90-Day Eurodollar (3,243) 12/15-12/17 $ (792,354) (796,126) (3,772)
Long cash and cash equivalents:
90-Day Eurodollar 3,895 7/15-3/16 968,943 970,133 1,190
Other long cash and cash
equivalents 1,642 9/15 173,229 173,642 413
Long fixed income:
US 5-Yr Treasury Notes 818 9/15 97,279 97,553 274
US 10-Yr Treasury Notes 2,580 9/15 327,007 325,523 (1,484)
Ultra US Treasury Bond 1,490 9/15 231,003 229,553 (1,450)
Other long fixed income 4,041 8/15-9/15 61,747 64,493 2,746
Short fixed income:
TSE 10-Yr Japanese
Government Bond (61) 9/15 (72,048) (73,266) (1,218)
US 10-Yr Treasury Notes (386) 9/15 (48,770) (48,702) 68
Other short fixed income (631) 9/15 (107,490) (105,804) 1,686
Short equity and commodities:
Other short equity and
commodities (1,495) 7/15-9/15 (21,461) (21,514) (53)
Long equity and commodities:
S&P 500 E-mini Index 6,319 9/15 661,075 649,088 (11,987)
S&P 500 Index 1,175 9/15 614,290 603,480 (10,810)
MINI MSCI Emerging
Markets Index 4,264 9/15 205,358 204,544 (814)
MSCI EAFE Index 1,122 9/15 104,814 102,887 (1,927)
Dow Jones EURO STOXX
50 Index 1,477 9/15 58,338 56,545 (1,793)
Other long equity and
commodities 3,378 7/15-9/15 353,241 348,252 (4,989)
Total futures
exposure $ 2,814,201 2,780,281 (33,920)
For the years ended June 30, 2016 and 2015, the change in net unrealized appreciation (depreciation)
on futures contracts was $44,167 and $(57,235), respectively.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 58 FISCAL YEAR 2016
(c) Swaps
The PRIT Fund enters into swap agreements to gain exposure to certain markets and actively hedge
other exposures to market and credit risks. The PRIT Fund utilizes interest rate, credit default,
inflation, and total return swaps within the portfolio. The PRIT Fund’s OTC swap agreements are
recorded at fair value as estimated by the PRIM Board. These estimated fair values are determined
in good faith by using information from the PRIT Fund’s investment managers, including methods
and assumptions considering market conditions and risks existing at the date of the statements of
pooled net position. Such methods and assumptions incorporate standard valuation conventions and
techniques, such as discounted cash flow analysis and option pricing models. All methods utilized to
estimate fair values result only in general approximations of value, and such values may or may not
actually be realized.
Open swap contracts at June 30 were as follows:2016
PRIT Net
PRIT pays/receives Gross unrealized
pays/receives index/ Maturity notional appreciation
Description interest rate protection date amount (depreciation)
Interest rate swaps 0.99%-16.15% Various* 11/16-9/46 $ 1,032,138 (18,812)
Inflation swaps 2.07%-3.53% Inflation 3/18-12/44 32,831 (539)
protection
Credit default swaps 0.11%-5.00% Credit default 9/16-5/63 86,457 (4,868)
protection
Total return swaps 0.29%-1.75% Various* 7/16-9/16 5,929 5,732
Total swaps $ 1,157,355 (18,487)
* PRIT pays/receives counterparty based on 3-Month USD LIBOR, 3-Month CNY rate, 3-Month HKD HIBOR rate, 6-Month
GBP LIBOR, 6-Month SGD rate, Brazil CDI rate, Mexican TIIE rate.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 59 FISCAL YEAR 20162015
PRIT Net
PRIT pays/receives Gross unrealized
pays/receives index/ Maturity notional appreciation
Description interest rate protection date amount (depreciation)
Interest rate swaps 0.12%–13.92% Various* 4/16–12/45 $ 1,335,368 2,669
Inflation swaps 1.85%–3.52% Inflation 3/16–12/44 61,214 (599)
protection
Credit default swaps 0.11%–3.36% Credit default 9/15–5/46 186,582 (5,677)
protection
Total swaps $ 1,583,164 (3,607)
* PRIT pays/receives counterparty based on 1-Month LIBOR, 3-Month USD LIBOR, 3-Month CNY rate, 3-Month HKD
HIBOR rate, 3-Month SAFEX-JIBAR rate, 6-Month Euro LIBOR, 6-Month GBP LIBOR, 6-Month JPY LIBOR, 6-Month SGD
rate, 6-Month THBFIX rate, Brazil CDI rate, China seven-day repo rate, Mexican TIIE rate.
For the years ended June 30, 2016 and 2015, the change in net unrealized appreciation (depreciation)
on swap contracts was $(14,880) and $(14,690), respectively.
The PRIT Fund’s exposures in the event of nonperformance by counterparties at June 30 were as
follows:2016
Interest rate Credit default Total return and
swaps swaps inflation swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Bank of America NA A $ — — 11,436 (1,818) — —
Barclays Bank PLC A — — 8,871 (425) 27,430 (1,003)
CME Group Inc. AA- 323,755 (7,906) — — — —
Deutsche Bank AG BBB 13,078 (496) 8,300 (131) — —
Goldman Sachs A — — 15,850 (589) 10,661 5,990
IntercontinentalExchange Holdings Inc. A — — 13,800 (720) — —
LCH.Clearnet Ltd A+ 147,600 (6,353) — — — —
U.S. Bank National Association AA- 500,000 (3,408) — — — —
All others Various 47,705 (649) 28,200 (1,185) 669 206
$ 1,032,138 (18,812) 86,457 (4,868) 38,760 5,193
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 60 FISCAL YEAR 20162015
Interest rate Credit default Inflation
swaps swaps swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Bank of America NA A $ 966 (2) 33,385 (2,259) — —
Barclays Bank PLC A- 47,978 160 31,513 (590) 54,860 (279)
CME Group Inc. AA- 212,920 636 — — — —
Citibank NA A 21,807 52 10,213 (339) — —
Deutsche Bank AG BBB+ 6,899 68 26,300 (153) — —
LCH.Clearnet Ltd A+ 386,810 1,541 — — — —
UBS AG BBB+ 23,797 (361) 21,071 (3) — —
U.S. Bank National Association AA- 500,000 303 — — — —
All others Various 134,191 272 64,100 (2,333) 6,354 (320)
$ 1,335,368 2,669 186,582 (5,677) 61,214 (599)
(8) Investment Management and Other Management Fees
In accordance with the PRIM Board’s Operating Trust Agreement, expenses incurred by the PRIM Board in
managing the PRIT Fund are charged to the PRIT Fund in the form of management fees. These expenses
consist of investment management fees, investment advisory fees, custodian fees and professional fees,
as well as staff salaries and other administrative expenses of the PRIM Board.
(a) Investment Management Fees
Investment management fees are paid to discretionary managers pursuant to executed contracts.
Total investment management fees were $94,583 and $105,757 for the years ended June 30, 2016
and 2015, respectively. $65,241 and $83,142 were incurred by the PRIM Board for the years ended
June 30, 2016 and 2015, respectively, and the remaining investment management fees were incurred
by the single-member limited liability corporations that are consolidated into the PRIT Fund.
All domestic, international, and emerging market equity managers are paid a base fee calculated as
a percentage of either current net assets under management or an agreed-upon funded amount,
typically equal to the amount of original and subsequent funding. In certain cases, this is subject to
periodic revision. Base fees are paid quarterly. In addition, some active (nonindexed) equity
managers are eligible to receive a performance fee. Such fees are earned annually by those managers
whose annualized three-year performance exceeds the contractual benchmark by a specified
minimum amount.
Fixed income managers are generally paid a quarterly asset-based fee. Certain managers are eligible
for a performance fee.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
(Continued)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 61 FISCAL YEAR 2016
Fees for private equity investments are typically a percentage of committed capital with the fee
percentage decreasing over time. In addition, the general partners (investment managers) of private
equity limited partnerships are allocated additional profit, known as carried interests, based on the
net gains generally above a specified hurdle rate, on realized partnership investments.
The LLC’s investment management fees generally consist of a base fee and a performance fee. Base
fees are calculated and paid monthly. Performance fees are paid every two years to managers who
out-perform their respective hurdle rates.
Timberland investment management fees consist of a base fee and a performance fee component
and are calculated and paid similar to the LLC’s investment management fees; however, performance
fees are paid every three years.
Hedge fund-of-funds investment managers are paid base fees, which are calculated and paid
quarterly.
Fees for direct hedge fund and portfolio completion strategies investments generally consist of a
base fee and a performance fee based on return.
The majority of investment management fees for private equity and distressed debt investments are
charged by the general partners to the investment partnerships and not to the limited partner
investors directly. All investment management fees for hedge funds and commingled account
investments are charged to the respective investments. Base investment management fees for
investments in real estate properties and timber are charged against the respective investments.
Therefore, the fair values of these investments are reported net of “indirect” management fees.
(b) Investment Advisory Fees
NEPC, LLC, Callan Associates, Aberdeen Asset Management Inc., Hamilton Lane, and The Townsend
Group served as the PRIM Board’s principal investment advisors in fiscal year 2016. NEPC, LLC served
as the asset allocation advisor, Callan Associates served as the public markets advisor, Aberdeen
Asset Management Inc. provided hedge fund advisory services, Hamilton Lane served as the private
equity advisor, and The Townsend Group provided real estate and timberland advisory services.
These investment advisors, among others, provided the PRIM Board with comprehensive investment
advisory services, including recommendations on asset allocation, selection of investment managers,
and the monitoring of performance of the PRIT Fund and its individual investment managers.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2016 and 2015
(Dollars in thousands)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 62 FISCAL YEAR 2016
For the years ended June 30, 2016 and 2015, as compensation for their services, investment advisors
earned fees aggregating $5,935 and $4,161, respectively, and are included in investment
management and other management fees in the accompanying statements of changes in pooled net
position.
(c) Custodian Fees
BNY Mellon is the investment custodian and record keeper for the PRIT Fund. BNY Mellon records all
daily transactions, including investment purchases and sales, investment income, expenses, and all
participant activity for the PRIT Fund. BNY Mellon also provides portfolio performance analysis each
month for the PRIT Fund.
For the years ended June 30, 2016 and 2015, custodian fees were $805 and $674, respectively, and
are included in investment management and other management fees in the accompanying
statements of changes in pooled net position.
(d) Other Administrative Fees
For the years ended June 30, 2016 and 2015, other administrative expenses of the PRIM Board,
including employee compensation, professional fees and occupancy costs, charged to the PRIT Fund
totaled $10,806 and $10,561, respectively, and are included in investment management and other
management fees in the accompanying statements of changes in pooled net position.
(9) Commitments
As of June 30, 2016 and 2015, the PRIT Fund had outstanding unfunded commitments to invest
approximately $5.4 billion and $5.2 billion, respectively, in distressed debt, private equity funds, hedge
funds, and real estate investments.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Pooled Net Position – Capital Fund and Cash Fund
June 30, 2016
(Dollars in thousands)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 63 FISCAL YEAR 2016Capital Fund Cash Fund Total
Assets:
Investments, at fair value:
Short-term $ 1,110,465 93,705 1,204,170
Fixed income 14,046,001 — 14,046,001
Equity 24,907,679 — 24,907,679
Timberland 2,003,805 — 2,003,805
Private equity funds 6,661,690 — 6,661,690
Real estate:
Real estate properties 6,021,497 — 6,021,497
Equity 1,484,402 — 1,484,402
Real estate funds 208,110 — 208,110
Other 45,066 — 45,066
7,759,075 — 7,759,075
Hedge funds:
Investment funds 3,664,988 — 3,664,988
Equity 1,078,035 — 1,078,035
Cash and cash equivalents 618,269 — 618,269
Fixed income 563,834 — 563,834
Other 130,825 — 130,825
6,055,951 — 6,055,951
Portfolio completion strategies:
Cash and cash equivalents 221,703 — 221,703
Investment funds 221,575 — 221,575
Equity 170,824 — 170,824
Other 115,499 — 115,499
Fixed income 19,601 — 19,601
749,202 — 749,202
Total investments 63,293,868 93,705 63,387,573
Cash 221,028 — 221,028
Securities lending collateral 622,640 — 622,640
Interest and dividends receivable 164,768 106 164,874
Receivable for investments sold and other assets 101,228 — 101,228
Securities sold on a when-issued basis 295,967 — 295,967
Foreign currency forward contracts 62,409 — 62,409
Total assets 64,761,908 93,811 64,855,719
Liabilities:
Payable for investments purchased and other liabilities 170,744 — 170,744
Real estate debt and other liabilities 1,450,193 — 1,450,193
Securities lending obligations 622,487 — 622,487
Securities purchased on a when-issued basis 755,796 — 755,796
Foreign currency forward contracts 36,752 — 36,752
Management fees payable to PRIM 28,887 — 28,887
Hedge funds liabilities:
Securities sold short, at fair value 972,953 — 972,953
Other 125,102 — 125,102
1,098,055 — 1,098,055
Total liabilities 4,162,914 — 4,162,914
Net position held in trust for pool
participants $ 60,598,994 93,811 60,692,805
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund
Year ended June 30, 2016
(Dollars in thousands)
COMPREHENSIVE ANNUAL FINANCIAL REPORT 64 FISCAL YEAR 2016Capital Fund Cash Fund Total
Additions:
Contributions:
State employees $ — 727,147 727,147
State teachers — 752,835 752,835
Other participants — 922,092 922,092
Total contributions — 2,402,074 2,402,074
Net investment income:
From investment activities:
Net realized gain on investments and
foreign currency transactions 1,420,910 — 1,420,910
Net change in unrealized depreciation on investments
and foreign currency translations (1,668,459) — (1,668,459)
Interest income 287,805 730 288,535
Dividend income 688,955 — 688,955
Timberland income 684 — 684
Private equity income 147,228 — 147,228
Hedge funds income 12,136 — 12,136
Portfolio completion strategies income 3,537 — 3,537
Real estate:
Income 523,069 — 523,069
Expenses (224,147) — (224,147)
298,922 — 298,922
Income from investment activities 1,191,718 730 1,192,448
Investment management and other management fees (112,129) — (112,129)
Net income from investment activities 1,079,589 730 1,080,319
From securities lending activities:
Securities lending income 12,927 — 12,927
Securities lending expenses (1,575) — (1,575)
Net income from securities lending activities 11,352 — 11,352
Total net investment income 1,090,941 730 1,091,671
Total additions 1,090,941 2,402,804 3,493,745
Deductions:
Redemptions:
State employees — 1,452,096 1,452,096
State teachers — 1,667,879 1,667,879
Other participants — 924,710 924,710
Total deductions — 4,044,685 4,044,685
Interfund transfers (out) in, net (1,666,264) 1,666,264 —
Net increase (decrease) in pooled net position (575,323) 24,383 (550,940)
Net position held in trust for pool participants:
Balance, beginning of year 61,174,317 69,428 61,243,745
Balance, end of year $ 60,598,994 93,811 60,692,805
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND
COMPREHENSIVE ANNUAL FINANCIAL REPORT FISCAL YEAR 2016
Investment Section
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 65 FISCAL YEAR 2016
Total PRIT Fund Performance Summary (*)
For the periods ended June 30, 2016
2.3%
7.7%
7.1%
5.7%
9.4%
1.5%
6.2%
5.7% 5.3%
9.7%
0.8%
1.5% 1.3%
0.4%
-0.3%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1 Year 3 Years 5 Years 10 Years Since Inception (**)
PRIT Fund Total Core Benchmark Value Added
(*) Gross of Fees. Total PRIT Fund includes the Core Fund and Cash Fund. Returns are annualized and
calculated based on a time-weighted rate of return methodology.
(**) Performance inception date of January 1, 1985
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 66 FISCAL YEAR 2016
Investment Strategy Overview
The PRIT Fund was formed in December 1983 with a mandate to accumulate assets through investment earnings
to reduce the Commonwealth of Massachusetts’ unfunded pension liability and, further on, to assist local
participating retirement systems in meeting their future pension obligations. The PRIM Board is charged with the
general oversight of the PRIT Fund. The PRIM Board seeks to maximize the return on investments within
acceptable levels of risk by broadly diversifying its investment portfolio, capitalizing on economies of scale to
achieve cost-effective operations, and gaining access to high quality, innovative investment management firms,
all under the management of a professional staff and members of the PRIM Board. The PRIM Board’s overall
investment performance goal is to achieve an annual rate of return that exceeds the targeted actuarial rate of
return used in determining the Commonwealth of Massachusetts’ pension obligations (currently 7.5%). A
summary of other investment objectives is provided in the Investment Policy Statement at the end of this section.
As of June 30, 2016, the PRIM Board employed thirty-one public markets investment managers, one hundred
three private equity markets managers, twelve real estate and timberland managers, one hedge fund-of-funds
manager, twenty-four direct hedge fund managers, five portfolio completion strategies managers, and five
external investment advisors. The PRIT Fund had approximately $60.7 billion in assets under management at June
30, 2016. Each investment manager operates within guidelines that are established by the PRIM Board and are
delineated in a detailed investment management agreement or partnership agreement.
The PRIT Fund’s net investment portfolio fair values reported in this section and used as a basis for calculating
investment returns differ from those shown in the Financial Section and the Financial Highlights in the Statistical
Section of this report. The values used in this section are the appropriate industry standard basis for investment
return calculations and are net of all investment receivables and payables. Unless otherwise noted, all return
information provided is gross of fees. In addition, “PRIT Core” return information refers to returns for the PRIT
Capital Fund. PRIT Core return information excludes the impact of the Cash Fund on the total PRIT Fund return.
Asset Allocation and Diversification Discussion
The Investment Policy Statement adopted by the PRIM Board in September 1998 and subsequently updated in
December 2014 states that over the long-term, asset allocation is the single greatest contributor of return and
risk to the PRIT Fund. At reasonable intervals of not more than three to five years, the PRIM Board will complete
a comprehensive review of its Asset Allocation Plan and its underlying assumptions, including: the
Commonwealth’s current and projected pension assets and liabilities; long-term capital markets rate of return
assumptions; and the PRIM Board’s risk tolerances. The PRIM Board shall examine the Asset Allocation Plan
annually, and shall consider adjustments to the Plan as may be appropriate given the Plan’s long-term nature and
objectives. The PRIM Board’s last comprehensive review of the PRIT Fund asset allocation was conducted during
fiscal year 2014.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 67 FISCAL YEAR 2016
(1) Asset allocation approved February 2, 2016.
(2) These asset classes do not have target % because they are not components of the long-term policy target asset allocation.
(3) Totals may not add due to rounding.
In addition to asset allocation, the PRIM Board seeks to diversify the PRIT Fund through a complementary
diversification of investment styles within various asset classes. The PRIM Board requires detailed investment
guidelines with each investment manager to ensure portfolios are managed with appropriate diversification and
risk control.
Income and Expense Allocation
Income earned and expenses incurred in each investment account are allocated to retirement systems based on
each individual retirement system’s share of ownership in each investment account. Expenses are classified in
three categories for purposes of allocation to retirement systems: 1) investment management fees, 2) investment
advisory fees, and 3) operational fees. Investment management fees are those directly associated with the
investment management of a certain account. Investment advisory fees are fees that are either directly
associated with an individual asset class, or, for general advisors, are allocated pro-rata based on net asset values
of each asset class. Operational fees are custodian and other administrative expenses incurred by the PRIM Board
in managing the PRIT Fund and are allocated pro-rata based on net asset values of each asset class.Asset Class
6/30/2016
Allocation % (3)
Long-Term Policy
Target % (1)
Global Equity 42.3 40.0
Core Fixed Income 13.9 13.0
Value-Added Fixed Income 8.4 10.0
Real Estate 10.4 10.0
Private Equity 11.1 10.0
Timberland 3.3 4.0
Hedge Funds 8.6 9.0
Portfolio Completion Strategies 1.2 4.0
Overlay (2) 0.5 0.0
Liquidating Portfolios (2) 0.3 0.0
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 68 FISCAL YEAR 2016
PRIT Core Performance: Fiscal Year 2016
Returns are calculated based on a time-weighted rate of return methodology. PRIT Core Returns (gross of fees)
and benchmarks for the periods ended June 30, 2016:
In the fiscal year 2016, the PRIT Core Fund returned 2.30%, outperforming the Total Core benchmark return of
1.46% by 84 basis points. The PRIT Fund began fiscal year 2016 with net position of $61.2 billion and ended with
$60.7 billion. On a gross basis the fund decreased $550.9 million, which is the result of $1.1 billion in net
investment income along with $1.6 billion in net redemptions from the State Employees, State Teachers’ and
Participant accounts.
The quarterly returns of the PRIT Core Fund in fiscal year 2016 were as follows:
-3.79% for September 30, 2015 – versus a benchmark return of -4.81%.
2.40% for December 31, 2015 – versus a benchmark return of 2.16%.
0.40% for March 31, 2016 – versus a benchmark return of -1.00%.
1.89% for June 30, 2016 – versus a benchmark return of 2.52%.
The PRIT Fund seeks to outperform its three benchmarks in both up and down markets. In order of priority, these
benchmarks are as follows: 1) beating the actuarial rate of return assumption of 7.5%; 2) exceeding the long-term
Total Core Benchmark, which measures how well the PRIT Fund has implemented its asset allocation; and 3)
achieving top quartile rankings in the TUCS report, which measures the PRIT Fund’s investment performance
against its peers nationwide. Through June 30, 2016, the PRIT Core Fund returned 9.33% since inception,
outperforming the actuarial rate of return of 7.5% by 183 basis points. According to the TUCS ranking, the PRIT
Fund’s performance ranked in the top quartile of all U.S. Public Pension Funds over $1 billion in size for the one
and three-year periods ending June 30, 2016.
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
1 Year 3 Years 5 Years 10 Years
2.3%
7.7%
7.1%
5.7%
1.5%
6.2% 5.7% 5.3%
1.0%
7.0% 7.0%
6.0%
PRIT Core Total Core Benchmark TUCS Universe Median
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 69 FISCAL YEAR 2016
Management Costs
Expenses incurred by the PRIM Board in managing the PRIT Fund are charged to the PRIT Fund. These expenses
consist of investment management fees, advisory fees, custodian fees, professional fees, salaries and
administrative expenses of the PRIM Board.
The PRIM Board tracks two types of fees: 1) direct fees and 2) indirect fees. Direct fees are fees the PRIM Board
pays directly to vendors for services rendered. These fees include most investment management fees, advisory
fees, custodian fees, and salaries and administrative expenses of the PRIM Board. Indirect fees are expenses
typically incurred when investing in partnerships or other commingled investment vehicle structures, such as
private equity funds, hedge funds, real estate, timberland, and other commingled funds. Indirect management
fees incurred in these funds are charged to the respective investments. The fair value of these investments are
reported net of indirect management fees.
The PRIM Board’s investment managers operate with formal contracts. Investment management fees accounted
for approximately 78.1% of the PRIM Board’s total direct expenses for fiscal 2016. The PRIM Board also contracts
with a custodian and investment advisors. Fees to these providers were approximately 8.1% of the PRIM Board’s
total expense for fiscal year 2016.
Project SAVE which stands for “Strategic Analysis for Value Enhancement” was launched in 2013. The mission of
this effort is to seek “value enhancement” for the PRIM Board, in terms of cost savings and return
enhancements. The PRIM Board has successfully completed the first phase of Project SAVE, and since its launch,
Project SAVE has realized over $120 million in value enhancement initiatives. The PRIM Board continues to
monitor the portfolio and processes for value enhancing opportunities and has begun research on the next phase
of Project SAVE.
The total cost of managing the PRIT Fund for fiscal year 2016, inclusive of investment management (direct and
indirect), advisory, custodial and overhead charges remained unchanged at 53 basis points of the average net
asset value of the PRIT Fund compared to fiscal year 2015. For information on expense ratios for each investment
account, refer to the Financial Highlights and Financial Highlights Ratios on pages 104-110 included in the
Statistical Section of this report.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 70 FISCAL YEAR 2016
Domestic Equity Portfolio
As of June 30, 2016, the Domestic Equity portfolio had approximately $11.4 billion in net assets, which
represented 18.7% of the PRIT Fund. Approximately 79% of the domestic equity portfolio is invested utilizing a
large capitalization equity strategy (large cap) with the remaining 21% invested in small and middle capitalization
equity strategies (small/smid cap). In the view of the PRIM Board, the overall domestic equity portfolio is highly
diversified and balanced. The allocation between passively managed large cap investments, passively managed
small/smid cap investments, and actively managed small/smid cap investments is highlighted below.
During the fiscal year, the Russell 2500 Index portfolio and three of the four active small/smid capitalization
managers outperformed their benchmarks. The S&P 500 Index portfolio and one active small/smid capitalization
manager underperformed their respective benchmarks. As of fiscal year end, the weighting of Domestic Equity
was 44.3% of the Global Equity portfolio.
Style Neutrality. Because different styles (i.e. growth-oriented versus value oriented stocks) of investment
management are favored in different economic and market environments, and because of the Board’s long-term
perspective, the Board seeks to maintain a style-neutral portfolio.
Portfolio Risks. Although historically long-term returns in equity investments have exceeded all other public
market asset classes (i.e. fixed income and cash), as evidenced by the recent years, there is no guarantee that
this trend will continue or that investment in the short-term or long-term will produce positive results. Prices
may fluctuate based on changes in a company’s financial condition and on overall market and economic
conditions. Smaller companies are especially sensitive to these factors. There is a significant risk of loss of
principal due to market and economic conditions.
Portfolio Returns. For the fiscal year, the portfolio produced a 1.64% return compared to 2.23% for the portfolio
benchmark. The PRIT Fund’s large cap managers returned 3.51% compared to the 3.99% return of the large cap
benchmark S&P 500 index. The PRIT Fund’s small/smid cap managers returned -5.08% compared to the -4.25%
79%
13%
8%
Domestic Equity Portfolio
As of June 30, 2016
S&P 500 Index
Russell 2500 Index
Active Small/SMID Cap
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 71 FISCAL YEAR 2016
return of the small/smid cap benchmark which is calculated by applying the investment performance of the sub
asset class benchmarks to the sub asset class weights within the small/smid cap equity portfolio.
On a three-, five-, and 10-year basis through June 30, 2016, the PRIT Fund’s Domestic Equity portfolio has
returned 10.67%, 11.40%, and 6.06%, respectively, compared to the benchmark, which returned 10.98%, 11.54%,
and 6.96%, respectively.
The top ten holdings in the Domestic Equity portfolio at June 30, 2016 are illustrated below. A complete listing
of holdings is available upon request.# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Apple Inc. 259,025$ 2.28%
2 Microsoft Corp. 199,240 1.75%
3 Exxon Mobil Corp. 191,635 1.69%
4 Johnson & Johnson 164,768 1.45%
5 General Electric 143,284 1.26%
6 Amazon.com Inc. 137,036 1.21%
7 Berkshire Hathaway Inc. 133,533 1.18%
8 AT&T Inc. 131,685 1.16%
9 Facebook Inc. 130,782 1.15%
10 JPMorgan Chase & Co. 112,261 0.99%
TOTAL 1,603,249$ 14.12%
The PRIT Fund’s Domestic Equity managers at June 30, 2016 are presented in the following table:Manager Investment Mandate
Portfolio Fair Value at
June 30, 2016 ($000s)
State Street Global Advisors S&P 500 Index $ 8,943,192
State Street Global Advisors Russell 2500 Index 1,532,539
Frontier Capital Management Small Cap Value 262,499
Huber Capital Small Cap Value 218,163
Riverbridge Partners SMID Cap Growth 165,495
Summit Creek Advisors Small Cap Growth 239,173
Other portfolio net assets (1,315)
$ 11,359,746Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 72 FISCAL YEAR 2016
International Equity Portfolio
As of June 30, 2016, the International Equity portfolio had approximately $10.0 billion in net assets, representing
16.5% of the PRIT Fund. The active international equity managers are benchmarked against the Custom MSCI
EAFE Net Dividends index (Custom MSCI EAFE), whose name is derived from the geographical areas of inclusion
– Europe, Australia and the Far East. The International Equity portfolio is allocated to one passively managed
account (which comprises 48% of the portfolio) and four actively managed accounts (52% of the portfolio). The
passive manager is benchmarked against the Custom World ex-U.S. Investable Market Index – Net dividends
(Custom World ex-U.S. IMI). The PRIM Board maintains a target weighting of 50% passive and 50% active for the
International Equity portfolio.
The primary strategy for this portfolio is investing in companies in developed markets, industrialized nations
outside of the United States, including, but not limited to, Japan, Germany, the United Kingdom, France, Italy,
Switzerland, Hong Kong, Canada, and Australia. As of fiscal year-end, the weighting of International Equity was
39.1% of the Global Equity portfolio.
Portfolio Risks. Investing in developed markets outside of the United States carries additional risks as compared
to U.S. domestic investments. The added risks are primarily associated with currency, higher trading and
settlement cost, and less stringent investor protections and disclosure standards.
Portfolio Returns. For the fiscal year ending June 30, 2016, the International Equity portfolio returned -7.69%
compared to the asset class benchmark return (50% Custom MSCI EAFE/50% Custom World ex-U.S. IMI at
6/30/2016) of -9.96%. All of the PRIT Fund’s four active international equity managers outperformed the Custom
MSCI EAFE index for the fiscal year. The passive manager outperformed the Custom World ex-U.S.IMI index for
the fiscal year. Over the longer-term, PRIT’s international equity managers continue to add value over the asset
class benchmark. On a three-, five-, and 10-year basis through June 30, 2016, the PRIT Fund’s international equity
managers posted returns of 3.76%, 3.28%, and 2.86%, respectively, ahead of the benchmark, which returned
2.30%, 1.42%, and 1.66%, respectively, over the same periods.
52%
48%
International Equity Portfolio
As of June 30, 2016
Active
Custom World EX-US
Index
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 73 FISCAL YEAR 2016
The top ten holdings in the International Equity portfolio at June 30, 2016 are illustrated below. A complete listing
of holdings is available upon request.# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Nestle SA 153,156$ 1.53%
2 Roche Holding AG 116,474 1.16%
3 Novartis AG 106,817 1.07%
4 Novo Nordisk A/S 106,250 1.06%
5 Unilever PLC 100,542 1.00%
6 BP PLC 85,899 0.86%
7 Kao Corp. 84,465 0.84%
8 GlaxoSmithKline PLC 67,227 0.67%
9 Sanofi 66,742 0.67%
10 Toyota Motor Corp 66,275 0.66%
TOTAL 953,847$ 9.54%
The PRIT Fund’s International Equity managers at June 30, 2016 are presented in the following table:Manager Investment Mandate
Portfolio Fair Value at
June 30, 2016 ($000s)
State Street Global Advisors Custom World ex-US IMI Index $ 4,858,041
Marathon-London Custom MSCI EAFE 2,366,576
Baillie Gifford Custom MSCI EAFE 1,861,593
Mondrian Investment Custom MSCI EAFE 828,050
FIS Group, Inc. Custom MSCI EAFE 103,028
Other portfolio net assets 1,158
$ 10,018,446Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 74 FISCAL YEAR 2016
Emerging Markets Portfolio
As of June 30, 2016, the Emerging Markets Equity portfolio had approximately $4.3 billion in net assets,
representing 7.0% of the PRIT Fund. The active emerging markets core equity managers are benchmarked against
the Custom MSCI Emerging Markets Standard Index – Net Dividends (Custom MSCI Emerging Markets Standard).
The active emerging markets small cap equity managers are benchmarked against the Custom MSCI Emerging
Markets Small Cap Net Dividends Index (Custom MSCI Emerging Markets Small Cap) while the passive account is
benchmarked against the Custom MSCI Emerging Markets Investable Market Index - Net Dividends (Custom MSCI
Emerging Markets IMI). The active frontier market equity managers are benchmarked against the Custom MSCI
Frontier Markets 15% Country Capped Net Dividends Index (Custom MSCI Frontier Markets 15% Country
Capped). The emerging markets equity portfolio is allocated to five active core equity managers (which comprise
about 65% of the emerging market portfolio), two active small cap equity managers (5% of the portfolio), two
frontier equity managers (5% of the portfolio), and one passive manager (25% of the portfolio). The PRIM Board
maintains a target weighting of 75% active and 25% passive for the Emerging Markets Equity portfolio.
The primary strategy for this portfolio is investing in companies in developing countries, including, but not limited
to, China, Brazil, Russia, South Korea, Taiwan, India and Turkey. These countries typically have less efficient
securities markets, and thus there is opportunity for substantial returns. As of fiscal year end, the weighting of
Emerging Markets Equity was 16.6% of the Global Equity portfolio.
Portfolio Risks. Investing in emerging markets carries risks above and beyond those inherent to domestic and
developed international equity markets. Emerging markets tend to be less efficient than both U.S. and non-U.S.
developed markets, and therefore, are more volatile. In addition to the added volatility, and those risks
mentioned in association with investments in developed international equity markets, emerging market
investments are subject to economic and political risks; exchange control regulation; expropriation; confiscatory
taxation; and social instability.
65%
5%
5%
25%
Emerging Markets Equity Portfolio
As of June 30, 2016
Active - Core
Active - Small Cap
Active - Frontier
Custom MSCI EM IMI
Index
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 75 FISCAL YEAR 2016
Portfolio Returns. For the fiscal year, the Emerging Markets Equity portfolio returned -9.52% compared to the
custom asset class benchmark return of -12.10%. Four of the PRIT Fund’s five active emerging markets core
equity managers outperformed the Custom MSCI Emerging Markets Standard index. The passive manager
outperformed the Custom MSCI Emerging Markets IMI index. The PRIT Fund’s two active emerging markets small
cap equity managers outperformed the MSCI Emerging Markets Small Cap index for the fiscal year. The two
active frontier equity managers outperformed the Custom MSCI Frontier Markets Country Capped index. On a
three-, five-, and 10-year basis through June 30, 2016, the PRIT Fund’s emerging markets equity managers posted
returns of -0.95%, -3.07%, and 2.97%, respectively, compared to the custom asset class benchmark, which
returned -1.25%, -3.40%, and 3.75% over the same periods.
The top ten holdings in the Emerging Markets Equity portfolio at June 30, 2016 are illustrated below. A complete
listing of holdings is available upon request.
The PRIT Fund’s Emerging Markets Equity managers at June 30, 2016 are presented in the following table:# Issue Name
Market Value
($000s)
% of Account
Fair Value
1 Tencent Holdings Ltd 120,431$ 2.82%
2 Tawain Semiconductor Mfg. Co. 100,591 2.36%
3 Samsung Electronics 96,812 2.27%
4 Alibaba Group Holding Ltd 68,720 1.61%
5 Naspers Ltd 55,812 1.31%
6 China Mobile 53,840 1.26%
7 Hon Hai Precision Industry Co. 51,601 1.21%
8 Baidu Inc. 43,961 1.03%
9 China Construction Bank 32,471 0.76%
10 Samsung Electronics, preferred shares 30,956 0.73%
TOTAL 655,195$ 15.36%Manager Investment Mandate
Portfolio Fair Value at
June 30, 2016 ($000s)
State Street Global Advisors Custom MSCI EM IMI Index $ 1,082,269
AQR Emeging EM Core 552,964
Baillie Gifford EM Core 602,929
Driehaus Capital EM Core 587,845
Harding Loevner EM Core 431,093
Pzena Investment Management, LLC EM Core 578,935
Wasatch EM Small Cap 97,206
Acadian EM Small Cap 129,036
Acadian Frontier 104,174
City of London Frontier 96,362
Other portfolio net assets 1,473
$ 4,264,286Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 76 FISCAL YEAR 2016
Core Fixed Income Portfolio
The PRIM Board had approximately $8.4 billion invested in the investment grade Core Fixed Income portfolio,
representing 13.9% of the PRIT Fund as of June 30, 2016. The Core Fixed Income Portfolio is invested using the
following strategies:
The Core Fixed Income portfolio is benchmarked to the Barclays Capital Aggregate Bond Index for core fixed
income securities, the Barclays Capital U.S. STRIPS 20+ Year Bond Index for STRIPS securities, the Barclays Capital
US TIPS Index for U.S. TIPS securities, and the Barclays Capital Inflation Linked Bond US$ Hedged Index for the
Global Inflation Linked Bonds (ILBs).
The Barclays Capital Aggregate Index replicates the investment grade bond market. The index is comprised of
corporate, government, and mortgage-backed securities. The index portfolio is designed to approximate the
performance of the Barclays Capital Aggregate Bond Index, while the active managers’ mandate is to exceed the
index return. The Core Fixed Income portfolio is designed to reduce the long-term volatility of the total PRIT Fund.
The Core Fixed Income portfolio also contains investments with three managers under the PRIM Board’s
Economically Targeted Investment (ETI) program, which are benchmarked against the Barclays Capital Aggregate
Index. Further discussion on the PRIT Fund’s ETI program is included in the Investment Policy Statement at the
end of this section. The allocations to TIPS and to the ILBs strategy are designed to provide hedges against rises
in inflation. The STRIPS portfolio is designed to approximate the performance of the Barclays U.S. STRIPS 20+
Year Bond Index and to lower overall volatility of the total PRIT Fund.
10%
25%
39%
7%
16% 3%
Core Fixed Income Portfolio
As of June 30, 2016
Barclays Capital Aggregate
Bond Index
Barclays Capital Aggregate
Active Core
Barclays Capital U.S. STRIPS
20+ Year Bond Index
Treasury Inflation Protected
Securities (TIPS) Index
Global Inflation Linked Bonds
(ILBS)
Economically Targeted
Investments
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 77 FISCAL YEAR 2016
Portfolio Risks. As in the case of equities, the prices of fixed income securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. The portfolio is subject to credit risk through defaults on bonds and other
fixed income securities. Erosion in principal value can result from credit risk and price fluctuations, and can
adversely affect portfolio returns.
Portfolio Returns. For the fiscal year 2016, the Core Fixed Income composite returned 14.69% compared to the
15.03% return of the benchmark (38.5% Barclays Capital Aggregate/38.5% Barclays Capital U.S. STRIPS 20+ Year
Bond Index /7.6% Barclays Capital US TIPS/15.4% Barclays Capital ILB US$ Hedged as of 6/30/2016). The Barclays
Capital Aggregate mandates returned 5.69%, compared to the Barclays Capital Aggregate Index return of 6.00%.
The STRIPS mandate returned 30.06%, compared to the Barclays Capital U.S. STRIPS 20+ Year Bond Index return
of 29.90%. The passively managed TIPS mandate returned 4.41%, compared to its benchmark (Barclays Capital
US TIPS) which returned 4.35%. The actively managed ILBs mandate returned 6.17%, compared to the Barclays
Capital ILB US$ Hedged Index return of 7.39%.
On a three-, five-, and 10-year basis through June 30, 2016, the PRIT Fund’s Core Fixed Income portfolio has
returned 8.29%, 6.47%, and 6.23%, respectively, compared to the benchmark, which returned 8.13%, 6.19%, and
5.93%, respectively.
The top ten Core Fixed Income holdings as of June 30 2016, excluding TIPS investments and certain pooled funds,
are illustrated below. A complete listing of holdings is available upon request.# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 U.S. Treasury Bond Principal STRIP 0.000% May 2043 303,690$ 3.61%
2 U.S. Treasury Bond Principal STRIP 0.000% November 2042 251,498 2.99%
3 U.S. Treasury Bond Principal STRIP 0.000% February 2045 191,798 2.28%
4 U.S. Treasury Bond Principal STRIP 0.000% February 2043 184,882 2.20%
5 U.S. Treasury Bond Principal STRIP 0.000% November 2039 173,760 2.07%
6 U.S. Treasury Bond Principal STRIP 0.000% February 2040 160,497 1.91%
7 U.S. Treasury Bond Principal STRIP 0.000% May 2044 158,191 1.88%
8 U.S. Treasury Bond Principal STRIP 0.000% November 2043 150,500 1.79%
9 U.S. Treasury Bond Principal STRIP 0.000% May 2040 141,128 1.68%
10 Commit to Purchase FNMA 3.500% July 2046 133,794 1.59%
TOTAL 1,849,738$ 22.01%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 78 FISCAL YEAR 2016
The
PRIT Fund’s Core Fixed Income portfolio managers at June 30, 2016 are
presented in the following table:Manager Investment Mandate
Portfolio Fair Value at
June 30, 2016 ($000s)
Blackrock Financial Management Core Index $ 830,484
Loomis, Sayles & Co., LP Active Core 1,124,416
PIMCO Active Core 826,086
Progress Investment Management Active Core 104,965
Blackrock Financial Management Inflation Link Bonds 1,326,912
Blackrock Financial Management STRIPS Index 3,303,991
Blackrock Financial Management TIPS Index 620,938
AFL - CIO Housing Investment ETI 131,047
Access Capital ETI 106,198
Community Capital Management ETI 29,046
Other portfolio net assets 42
$ 8,404,125Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 79 FISCAL YEAR 2016
Value-Added Fixed Income Portfolio
The PRIM Board had approximately $5.1 billion invested in the Value-Added Fixed Income portfolio, representing
8.4% of the PRIT Fund as of June 30, 2016. The Value-Added Fixed Income portfolio is invested using the following
strategies:
High yield bonds, which represent 1.6% of the PRIT Fund, are securities that are typically rated below Investment
Grade by Standard & Poor’s, Fitch or Moody’s. These bonds are issued by companies without long track records
of sales or earnings, or by those with questionable credit strength. This strategy also includes bonds that were
Investment Grade at time of issue but have since declined in quality to below Investment Grade, referred to as
"Fallen Angels". Despite the below Investment Grade rating, the PRIM Board’s managers have successfully
constructed portfolios and selected securities of high yield bonds to generate substantial returns and to mitigate
risk by managing the expected default rate. There are three managers in the PRIT Fund high yield bond program,
all through separate accounts.
Bank Loans, 1.6% of the PRIT Fund, represents investments in senior secured bank loans. There are two managers
in the PRIT Fund bank loan program; both invest through commingled funds.
Emerging markets debt, 3.3% of the PRIT Fund, represents investments in debt issued within the emerging
marketplace. There are five managers in the PRIT emerging debt program, representing both Hard Currency and
Local Currency strategies; one is through a commingled emerging debt investment vehicle while the others are
through separate accounts.
Distressed debt, 2.1% of the PRIT Fund, represents investments in private partnerships that invest directly in
distressed debt investment opportunities. As at June 30, 2016 the PRIT Fund had approximately $1.3 billion in
distressed debt investments with twelve investment managers.
19%
19%
15%
23%
24%
Value-Added Fixed Income Portfolio
As of June 30, 2016
High Yield Bonds
Bank Loans
Emerging Markets Debt -
Hard Currency
Emerging Markets Debt -
Local Currency
Distressed Debt
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 80 FISCAL YEAR 2016
Portfolio Risks. As in the core fixed income portfolio, the prices of these securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. Lower-quality securities typically offer higher yields, but also carry more
credit risk. The allocation of investments to emerging markets and distressed debt expose the portfolio to
additional risks. Investments in emerging markets are subject to higher settlement, trading and management
costs and greater economic, regulatory and political risk, as well as currency risk. Investments in private
distressed debt funds subject the portfolio to liquidity, valuation and other risks associated with private
investments.
Portfolio Returns: In fiscal year 2016, the Value-Added Fixed Income composite returned 1.04% compared to
-5.75% for the asset class benchmark. The PRIT Fund’s three high yield bond managers returned 1.03%, while
the Merrill Lynch High Yield Master II Constrained index returned 1.74%. The Emerging Markets Debt Hard
Currency portfolio returned 9.52% during the fiscal year, compared to the JP Morgan Emerging Markets Bond
Index (JPM EMBI Global Index), which returned 10.32%. The Emerging Markets Debt Local Currency portfolio,
managed by three managers, returned 1.83%, compared to the JP Morgan GBI Emerging Markets Global
Diversified index return of 1.99%. The two bank loan managers, returned 1.99%, outperforming the S&P LSTA
Leveraged Loan index return of 0.94%. The Distressed Debt portfolio returned -5.16% compared to the index
return of -27.69%. The benchmark for the Distressed Debt portfolio is the Altman NYU Salomon Center Combined
Defaulted Public Bond & Bank Loan Index.
On a three-, five-, and 10-year basis through June 30, 2016, the PRIT Fund’s Value-Added Fixed Income portfolio
has returned 2.67%, 3.85%, and 7.15%, respectively, compared to the benchmark, which returned -1.37%, 1.33%,
and 5.30%, respectively.
The top ten holdings in the Value-Added Fixed Income portfolio at June 30, 2016, excluding investments in
emerging debt pooled funds, bank loan funds, distressed debt partnerships and other pooled funds, are
illustrated below. A complete listing of holdings is available upon request.# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Brazil Notas Do Tesouro Nacional 10.000% January 2021 42,060$ 0.82%
2 South Africa Government Bond 10.500% December 2026 26,497 0.52%
3 Brazil Letras Do Tesouro Nacional 0.000% January 2019 24,192 0.47%
4 Indonesia Treasury Bond 9.000% March 2029 23,950 0.47%
5 Brazil Letras Do Tesouro Nacional 0.000% January 2018 21,065 0.41%
6 Indonesia Treasury Bond 8.375% March 2024 20,201 0.39%
7 Mexican Bonos 10.000% December 2024 19,963 0.39%
8 Brazil Notas Do Tesouro Nacional 10.000% January 2025 19,533 0.38%
9 South Africa Government Bond 7.250% January 2020 19,415 0.38%
10 Indonesia Treasury Bond 7.000% May 2022 17,391 0.34%
TOTAL 234,267$ 4.57%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 81 FISCAL YEAR 2016
The PRIT Fund’s Value-Added Fixed Income portfolio managers at June 30, 2016 are presented in the
following0table:Manager Investment Mandate
Portfolio Fair Value at
June 30, 2016 ($000s)
Fidelity Management Trust High Yield Bond $ 326,971
Loomis, Sayles & Co., LP High Yield Bond 327,139
Shenkman Capital Management High Yield Bond 304,191
Ashmore Investment Management Emerging Markets Debt Hard Currency 425,276
PIMCO Emerging Markets Debt Hard Currency 333,800
Investec Emerging Markets Debt Local Currency 365,135
Pictet Emerging Markets Debt Local Currency 523,847
Stone Harbor Emerging Markets Debt Local Currency 310,854
Eaton Vance Bank Loans 477,876
Voya Bank Loans 473,494
Various partnerships Distressed Debt 1,235,565
Other portfolio net assets 15,999
$ 5,120,147Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 82 FISCAL YEAR 2016
Real Estate Portfolio
As of June 30, 2016 the PRIM Board had $6.3 billion invested in real estate through the PRIT Fund’s ownership
interest in PRIT Core Realty Holdings LLC (the LLC), representing 10.4% of the PRIT Fund. Real estate holdings
consist of directly-owned properties, REITs, investments in real estate private equity like funds, and three ETI
investments. The PRIT Fund invests in real estate because it provides the PRIT Fund with diversification and
attractive returns. Real estate returns typically do not have a strong correlation with stock and bond returns,
therefore offering an element of diversification to reduce volatility. Real estate can also offer attractive current
returns as a portfolio of well-leased assets provides consistent cash flows from rental income.
Approximately 76% of the real estate allocation is dedicated to direct investments and private partnerships (the
“Private Real Estate Investments”). The Private Real Estate Investments are subsequently broken down into Core
and Non-Core real estate investments. As of June 30, 2016, $4.3 billion (net of portfolio debt) of Core real estate
investments and $512 million of Non-Core real estate investments comprise PRIT's Private Real Estate
Investments, which represents 7.9% of the PRIT Fund. Typically, Core real estate investments are relatively low
risk and substantially leased (80% or greater occupancy at the time of investment) institutional quality real estate.
Non-Core real estate investments offer higher potential returns at a higher risk profile. The PRIM Board’s Non-
Core program targets opportunities associated with development, vacancy and tenant exposure or the potential
to physically or financially reposition an investment. Public REITs comprise the remainder of the investments in
the PRIT Fund real estate portfolio. As of June 30, 2016 the PRIM Board had approximately $1.5 billion allocated
to public REITs. The public REIT portfolio represents 2.5% of the PRIT Fund.
The following charts display the property type and geographic diversification of the PRIM Board’s directly-owned
real estate assets, at June 30, 2016:
The PRIM Board's strategies utilize a disciplined portfolio approach to real estate investing that is focused on
investments in equity interests in institutional quality real estate. The PRIM Board has established separate
accounts with capable real estate investment managers under terms that are beneficial to the PRIM Board.
Because the PRIM Board is typically the sole owner of the real estate in each such account, the managers operate
under clear policies and guidelines most appropriate to the PRIM Board's investment needs.
30%
21%
33%
16%
Private Real Estate by Property Type
As of June 30, 2016
Apartments
Industrial/Flex
Office
Retail
7% 18%
6%
13%
28%
14%
13% 1%
Private Real Estate by Geography
As of June 30, 2016
East No. Central
Mideast
Mountain
Northeast
Pacific
Southeast
Southwest
West No. Central
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 83 FISCAL YEAR 2016
Leverage. The PRIM Board approved the Real Estate Portfolio Level Leverage Policy at its April 3, 2012 Board
meeting. This policy permits portfolio level debt to be incurred subject to the following policy guidelines: (i) Debt
Service Coverage: The amount of free cash flow to cover debt service should be no lower than 1.5x at the time
debt is placed. In the event the debt service coverage ratio falls to 1.25x, leverage should be reduced to bring
the ratio back into compliance with the 1.5x level. This ratio is to be calculated using a one-year trailing measure.
(ii)Spread of NOI over Borrowing Rate: The spread of NOI over borrowing interest rate should be no lower than
200 basis points at the time debt is placed. In the event the spread is reduced to 100 basis points, leverage should
be reduced until a 200 basis point spread can be achieved. This ratio is to be calculated using a one-year trailing
measure. (iii)Loan-to-Value Ratio: The loan-to-value ratio should be no more than 40% of the total portfolio.
This ratio would include any property-level financing (on separate account properties or funds, but exclusive of
public securities debt) in place as well as the portfolio level facility. The calculation of the loan-to-value ratio will
be: total debt/gross asset value of the private portfolio. (iv)Fixed and Floating Interest Rates: The facility may
utilize fixed or floating interest rates and may utilize derivatives to achieve these rates. The decision to use fixed
or floating rates will be determined at the time of borrowing and will be a function of availability, rate and risk.
Fixed rate financing will be the preferred method. (v)Allocation of Debt to Managers: Managers will be allocated
capital from the leverage facility at the discretion of staff with Board approval. The debt will be held at the
portfolio level and will not affect the performance of the managers. New allocations of capital to the managers
will essentially be considered as equity.
In February 2013, the LLC completed a $1.0 billion portfolio level real estate financing through the issuances of a
senior unsecured term loan and senior unsecured notes. At June 30, 2016, the LLC had portfolio level debt of
$1.0 billion and property level debt of $424.4 million. The LLC was in compliance with the debt covenants at June
30, 2016.
Portfolio Risks. Investments in real estate are subject to various risks, including adverse changes in economic
conditions and in the capital markets, financial conditions of tenants, interest of buyers and sellers in real estate
properties, environmental laws and regulations, zoning laws, governmental rules, uninsurable losses, and other
factors beyond the control of the property owner. In addition, while diversification is an important tool used by
the PRIM Board for mitigating risk, there is no assurance that diversification, either by geographic region or asset
type, will consistently be maintained in the Core Real Estate Portfolio because of the illiquid nature of real estate.
In addition, the portfolio is subject to valuation risk, as the valuation of the assets in this portfolio is based on
estimates made by the PRIM Board in coordination with external appraisers and the investment managers.
Furthermore, there can be no assurance that the fair value of the portfolio will ultimately correspond to the
realized value of the underlying properties. Public REITs face risks similar to the risks of public equities both
domestically and internationally since they are traded on public exchanges. They can experience corrections and
price movements that are much more rapid than those experienced by private real estate portfolios and the
share price can vary significantly from underlying net asset value.
Performance. During the fiscal year, the PRIM Board’s direct real estate and REIT investments produced strong
performance in response to improving employment data, a continued low interest rate environment and strong
demand for real estate in core markets.
For the fiscal year 2016, the real estate portfolio returned 12.21%, outperforming the 12.09% return of the asset
class benchmark (80% NCREIF Property Index (one quarter lag)/20% FTSE EPRA NAREIT Developed Net Total
Return). The Private Real Estate Investments portfolio returned 11.77% for the year ended June 30, 2016,
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 84 FISCAL YEAR 2016
comparing to the NCREIF Property Index (one quarter lag), which returned 11.84% over the same period. REIT
investments returned 12.88%, outperforming its benchmark return of 12.38%.
The Real Estate portfolio returned 12.57% over the past three-years versus the asset class benchmark return of
11.42%. On a five-year basis, returns were 12.09% compared to the benchmark return of 11.49%. On a 10-year
basis, the real estate portfolio returned 7.46% compared to the benchmark return of 7.19%.
The PRIT Fund’s real estate investment managers at June 30, 2016 are presented in the following table:Manager Investment Mandate
Portfolio Fair Value at
June 30, 2016 ($000s)
Invesco Realty Advisors Separate Accounts - Core $ 981,743
LaSalle Investment Management Separate Accounts - Core 1,616,988
AEW Separate Accounts - Core 790,222
J.P. Morgan Investment Management Separate Accounts - Core 816,342
AEW - Transition Portfolio Separate Accounts - Core 1,083,439
Various Non-Core Partnerships Non-Core 504,007
Invesco Realty Advisors Global REITs 291,263
CenterSquare Investment Management Global REITs 857,653
Presima Global REITs 110,663
Brookfield Investment Management Global REITs 232,333
Canyon Johnson ETI 998
Intercontinental ETI 197
New Boston ETI 6,561
Other portfolio net assets (portfolio debt included) (989,973)
$ 6,302,436Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 85 FISCAL YEAR 2016
Timberland Portfolio
As of June 30, 2016, the PRIM Board had $2.0 billion invested in timber, representing 3.3% of the PRIT Fund. The
PRIT Fund’s allocation to timberland is through two external timber investment managers, Forest Investment
Associates (FIA) and The Campbell Group (Campbell).
The United States timberland markets are divided into three regions, each with distinct economic characteristics:
the Pacific Northwest, the Northeast and the Southeast. The Pacific Northwest is a high value softwood market,
in which the growing cycle to produce a mature tree is forty to fifty years. The high value tree in this region is
Douglas Fir, which is used primarily to produce high quality dimensional and structural lumber. The timber
growing cycle in the Southeast is much shorter, in the range of twenty-five years. Southern pine is the dominant
species and it is used typically to make pulp for the paper industry or lower quality-framing lumber. The Northeast
market is much smaller than the other two markets and consists of a wider range of trees, including high value
specialty woods such as cherry and oak.
In Australia, there is approximately 2 million hectares (4.9 million acres) of plantation timberlands that are almost
evenly split between hardwood and softwood species. Australia is a net importer of forest products, with limited
domestic supply and high demand. With increasing fiber demand from China, export opportunities exist for
plantations with close proximity to ports.
The geographical diversification of the PRIT Fund’s timber portfolio at June 30, 2016 is presented below.
Investment returns from timberland investments are derived from the net cash flow generated from the sale of
trees (referred to as stumpage sales) combined with capital appreciation from the biological growth of the trees.
Both of these return factors depend to some degree upon the direction of forest product commodity prices
(paper goods and lumber products). There can also be gains from the timely sale of timberland and from the
conversion of timberland into higher and better uses, such as vacation property sales.
7% 8%
5%
12%
10%
3%6%4%
6%
30%
9%
Timber Assets by Geography
As of June 30, 2016 Alabama
Florida
Pennsylvania
Mississippi
South Carolina
Georgia
North Carolina
Texas
Oregon
Washington
Australia
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 86 FISCAL YEAR 2016
Portfolio Risks. Investments in timberland assets are subject to various risks, including adverse changes in
general economic conditions, fluctuations in the market price of timber, damage to timber properties due to
infestation and weather related events, changes in regulatory conditions and other governmental rules. In
addition, the portfolio is subject to valuation risk, as the valuation of the assets in this segment are based on
estimates made by the PRIM Board through coordination with external appraisers and the PRIM Board’s timber
investment managers. Accordingly, there can be no assurance that the fair value of investments will correspond
to the ultimate realized value of the properties. International timberland investments are also subject to currency
fluctuations that can result in unpredictable gains or losses when foreign currency is converted into U.S. dollars.
Performance. As of June 30, 2016, the one-year Timber return was 0.44% as compared to the NCREIF Timberland
Index (one quarter lag) of 2.90%. Since its inception, in January 2002, the Timber portfolio has produced an
annualized return of 9.18%. On a three-, five-, and 10-year basis through June 30, 2016, the PRIT Fund’s
Timberland portfolio has returned 7.19%, 5.17%, and 6.75%, respectively, compared to the benchmark return of
7.71%, 6.63%, and 7.04%, respectively.
The PRIT Fund’s Timberland investment managers at June 30, 2016 are presented in the following table:Manager Investment Mandate
Portfolio Fair Value at
June 30, 2016 ($000s)
Forest Investments Associates Separate Accounts - Timber $ 1,102,713
The Campbell Group Separate Accounts - Timber 897,875
Other portfolio net assets 11,409
$ 2,011,997Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 87 FISCAL YEAR 2016
Private Equity Portfolio
As of June 30, 2016 the fair value of the Private Equity portfolio was $6.7 billion or 11.1% of the PRIT Fund. The
PRIT Fund’s long-term target allocation to Private Equity investments is 10%. Two components comprise the PRIT
Fund’s Private Equity portfolio: venture capital (early-stage and multi-stage) and special equity partnerships
(buyout and growth equity). Additionally, the PRIT Fund had approximately $178.4 million of natural resources
investments in the Liquidating portfolios. Unlike public markets, where the investor has the ability to “cash out”
of positions at any time, these private market investments are illiquid. Therefore, an investment in this category
is a long-term commitment.
The Private Equity portfolio is well-diversified by strategy and the allocation as of June 30, 2016 is presented
below.
29%
19%
21%
5%
11%
10%
5%
Private Equity by Strategy
As of June 30, 2016
Buyout - Mid
Buyout - Mega
Buyout - Large
Buyout - Small
Growth equity
Venture Capital - Multi-stage
Venture Capital - Early-stage
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 88 FISCAL YEAR 2016
The Private Equity portfolio is diversified at the partnership level by strategy as well as at the underlying portfolio
company level by industry and geography. The portfolio’s current geographical and industry allocations are
presented below.
74%
19%
4% 3%
Private Equity by Geography
As of June 30, 2016
North America
Western Europe
Asia Pacific
Eastern Europe/Other
29%
19%
18%
13%
9%
4% 3% 3% 2%
Private Equity by Industry
As of June 30, 2016
Information Technology
Consumer Discretionary
Health Care
Industrials
Financial Services
Energy & Utilities
Consumer Staples
Materials
Telecommunications
Services
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 89 FISCAL YEAR 2016
Capital invested in private equity partnerships is subject to a relatively high degree of risk as compared to other
potential investments, with the assumption that the investor will be rewarded with higher returns for that
assumption of risk, i.e. the “risk/return trade-off”. This risk/return trade-off is the key consideration in
determining if this asset is appropriate for a particular portfolio. These risks are highlighted below.
Portfolio Risks. Risks associated with investing in private equity limited partnerships include, but are not limited
to:
Illiquidity: Limited partnership vehicles typically have 10-15 year life cycles during which limited partners
are unable to liquidate their entire positions, but instead, will receive the cash flow from successful
investments. A defined secondary market such as the New York Stock Exchange does not exist for private
equity.
Volatility: Volatility, as measured by standard deviation from a mean return, has historically been greater
for private equity investing than many other assets.
Management Fee Effect: Typically, general partners’ fees range from 150 to 250 basis points annually.
This is usually drawn down against committed capital, although it may not be invested, and may result in
negative returns until investments are realized successfully.
Valuation of investments: Investment valuation at any time may not be reflective of fair market value.
Due to recent U.S. accounting rule changes (ASC 820) private equity investments are generally valued at
fair value. However, because of the inherent uncertainty of the valuation of the portfolio companies, the
estimated value may differ significantly from the value that would have been used had a ready market
for these securities existed.
General Partner Discretion: Investors lack control over the general partner’s investment decisions. The
general partner is provided capital to manage at its discretion and investors are provided limited rights,
such as termination of the partnership in certain instances. (These rights may not prove practical except
in extreme circumstances.)
Binding Commitments: There is limited ability to reduce or terminate investments. Under the contractual
terms of the partnership, investments may be terminated in some cases by super-majority vote of the
investors and after the occurrence of certain events. (These rights may not prove practical except in
extreme circumstances.)
Risk of Loss: There is risk of losing 100% of the investment. Investments in partnerships are usually equity
and their risk nature could result in loss of the entire investment.
Performance. The PRIT Fund’s Private Equity portfolio delivered a one-year return of 12.15% through June 30,
2016. The PRIT Fund’s Private Equity managers were active in making new investments as well as in generating
liquidity in the year ending June 30, 2016. The PRIT Fund’s managers called $1.1 billion of capital for additional
investments, management fees, and partnership expenses, which is less than the $1.2 billion called during the
prior fiscal year. From a liquidity standpoint, the portfolio generated total distributions of $1.9 billion which
compares to $2.0 billion for the 2015 fiscal year.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 90 FISCAL YEAR 2016
While there is not currently a widely used or conventional benchmark in this asset class, the PRIM Board staff
targets investment opportunities with the ability to generate a long-term rate of return equal to or greater than
the Russell 3000 + 3%. The PRIT Fund’s Private Equity program has achieved this goal over the 10-year period,
outperforming the Russell 3000 by a minimum of 300 basis points. Over the long term the PRIT Fund’s Private
Equity portfolio has performed well with a 10-year annual return of 14.40% as of June 30, 2016, exceeding the
Russell 3000 index return of 7.40% by 700 basis points. On a five-year basis, the portfolio outperformed the
Russell 3000 by 426 basis points, 15.86% compared to 11.60%. For the three-year period ending June 30, 2016,
the Private Equity portfolio returned 17.99%, outperforming the Russell 3000 index return of 11.13% by 686 basis
points. For the one-year period ending June 30, 2016, the Private Equity portfolio returned 12.15%,
outperforming the Russell 3000 index return of 2.14% by 1,001 basis points. It is important to remember that
there is a one quarter lag inherent in private equity valuations. For this reason the June 30, 2016 results for the
Private Equity portfolio do not reflect the same level of appreciation in asset values that are reflected in public
market indices such as the Russell 3000.
Since inception to June 30, 2016, the PRIT Fund has committed over $17.9 billion to 363 partnerships (264 active)
of which $14.7 billion has been invested. The program has generated $16.9 billion in distributions. The net IRR
since inception for the program is 13.15%.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 91 FISCAL YEAR 2016
PRIVATE EQUITY EXTERNAL MANAGERS
As of June 30, 2016
Partnership Location Partnership Location
1 Acon Investments Washington, DC 53 Kohlberg Kravis Roberts & Co. New York, NY
2 Advent International Boston, MA 54 KPS Capital Partners New York, NY
3 Alchemy Partners London, UK 55 Landmark Equity Partners Simsbury, CT
4 Alta Communications Boston, MA 56 Lovell Minnick Partners Radnor, PA
5 American Securities Capital Partners New York, NY 57 M/C Venture Partners Boston, MA
6 APAX Partners & Co. London, UK 58 Madison Dearborn Capital Partners Chicago, IL
7 Apollo Management Co. New York, NY 59 Menlo Ventures Menlo Park, CA
8 Ascent Venture Partners Boston, MA 60 Montagu London, UK
9 Austin Ventures Austin, TX 61 Montreux Equity Partners Menlo, CA
10 Bain Capital Boston, MA 62 Nautic Partners Providence, RI
11 Battery Ventures Boston, MA 63 New Enterprise Associates Baltimore, MD
12 Berkshire Partners Boston, MA 64 Nordic Capital Stockholm, Sweden
13 Blackstone Capital Partners New York, NY 65 Odyssey Investment Partners New York, NY
14 Boston Ventures Boston, MA 66 Olympus Growth Fund Stamford, CT
15 Bridgepoint Capital Limited London, UK 67 Onex Capital Partners Toronto, Canada
16 Candover London, UK 68 PAI Europe Paris, France
17 Carlyle Partners Washington, DC 69 Permira Ventures London, UK
18 Castile Ventures Waltham, MA 70 Polaris Venture Partners Waltham, MA
19 Catalyst Investors New York, NY 71 Providence Equity Partners Providence, RI
20 Centerbridge Capital New York, NY 72 Quad-C Management New York, NY
21 Charles River Ventures Waltham, MA 73 Quantum Energy Partners Houston, TX
22 Charlesbank Capital Partners Boston, MA 74 Rembrandt Venture Partners Menlo Park, CA
23 Charterhouse Group New York, NY 75 Rhône Group LLC New York, NY
24 Chequers Paris, France 76 SAIF Partners Hong Kong, China
25 Code, Hennessey & Simmons Chicago, IL 77 SCP Vitalife Tel Aviv, Israel
26 Commonwealth Capital Ventures Wellesley, MA 78 Sherbrooke Capital Newton, MA
27 CVC Capital London, UK 79 Sofinnova Ventures, Inc. Menlo Park, CA
28 Cypress Merchant Banking Partners New York, NY 80 Spark Capital Cambridge, MA
29 Denham Capital Management Boston, MA 81 Spectrum Equity Partners Boston, MA
30 DLJ Merchant Banking Partners New York, NY 82 Summit Ventures Boston, MA
31 El Dorado Ventures Menlo Park, CA 83 SV Life Sciences Advisors Boston, MA
32 Equitable Capital Management Corp. New York, NY 84 TA Associates Boston, MA
33 Essex Woodlands Health Ventures Chicago, IL 85 Technology Crossover Ventures Palo Alto, CA
34 Ethos Private Equity Johannesburg, South Africa 86 Texas Pacific Group Fort Worth, TX
35 Exponent Private Equity Partners London, UK 87 The Gores Group Los Angeles, CA
36 First Reserve Corporation Greenwich, CT 88 Thoma Bravo San Francisco, CA
37 Flagship Ventures Cambridge, MA 89 Thoma Cressey Partners Chicago, IL
38 Freeman Spogli Equity Partners Los Angeles, CA 90 Thomas H. Lee Equity Partners Boston, MA
39 GENSTAR Capital San Francisco, CA 91 Torquest Partners Toronto, Canada
40 Gilde Buy Out Partner AG Utrecht, Netherlands 92 TowerBrook Capital Partners New York, NY
41 GTCR Golder Rauner Chicago, IL 93 Trident Capital Los Angeles, CA
42 Hellman & Friedman Capital Ptrs San Francisco, CA 94 Union Square Ventures New York, NY
43 HIG Capital Partners Miami, FL 95 VantagePoint Partners San Bruno, CA
44 Highland Capital Partners Lexington, MA 96 Vestar Capital Partners New York, NY
45 Hony Capital Beijing, China 97 Vista Equity Partners San Francisco, CA
46 Index Ventures London, UK 98 Welsh, Carson, Anderson & Stowe New York, NY
47 Insight Venture Partners New York, NY 99 Weston Presidio Capital Boston, MA
48 Institutional Venture Partners Menlo Park, CA 100 WestView Capital Partners Boston, MA
49 InterWest Partners Menlo Park, CA / Dallas, TX 101 Whitney & Company Stamford, CT
50 Kelso & Company New York, NY 102 Willis Stein Chicago, IL
51 Kepha Partners Waltham, MA 103 Xenon Private Equity, LTD. Jersey, UK
52 Keytone Ventures Beijing, China
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 92 FISCAL YEAR 2016
Hedge Funds Portfolio
As of June 30, 2016 the Hedge Funds portfolio had approximately $5.2 billion in assets, which represented 8.6%
of the PRIT Fund. The PRIM Board has investments with twenty-four direct hedge fund managers including
managed accounts and one active hedge fund of funds manager.
The PRIT Fund’s Hedge Funds managers at June 30, 2016 are presented in the following table:
Portfolio Risks. The Hedge Funds portfolio is subject to the various risks of underlying investments in hedge
funds. The portfolio is subject to market risk through a general downturn in market conditions, as well as credit
risk inherent in fixed income hedge fund strategies. The portfolio is also exposed to liquidity risk in unwinding
underlying hedge fund investment positions. In addition, the hedge fund space is exposed to operational risks in
executing investment strategies, and valuing investment positions. The PRIM Board has developed a detailed
hedge fund investment plan to manage these risks and ensure appropriate diversification within the asset class.
Performance. The PRIT Fund’s Hedge Funds portfolio managers returned -5.37% for the fiscal year versus a
return of -5.38% for the benchmark HFRI Fund of Funds Composite Index. The Hedge Funds portfolio has
returned 2.81% and 3.70% over the three and five year periods versus the asset class benchmark of 1.92% and
2.03%, respectively. On a 10-year basis, the Hedge Funds portfolio returned 3.20% compared to the benchmark
return of 3.71%. All performance figures for this asset class are reported ‘net of fees’.Manager Strategy Focus
Portfolio Fair Value at
June 30, 2016 ($000s)
PAAMCO Core - Emerging Managers $ 867,595
Direct Hedge Funds Core 4,289,562
Other portfolio net assets 35,081
Total Portfolio Fair Value $ 5,192,238Direct Hedge Funds Manager Location Direct Hedge Funds Manager Location
1 400 Capital Management New York, NY 13 Highfields Associates, LLC Boston, MA
2 Anchorage Capital, LLC New York, NY 14 King Street Capital Management New York, NY
3 Arrowgrass G.P. Limited New York, NY 15 Mudrick Capital Management, LP New York, NY
4 Brevan Howard G.P. Limited New York, NY 16 OZ Advisors, LP New York, NY
5 Brigade Capital GP, LLC New York, NY 17 PanAgora Asset Management, Inc. Boston, MA
6 Cantab Capital Partners, LP Cambridge, UK 18 Pershing Square GP, LLC New York, NY
7 Capula Management Limited Greenwich, CT 19 Samlyn Partners, LLC New York, NY
8 Claren Road Capital, LLC New York, NY 20 SECOR New York, NY
9 Davidson Kempner Advisors Inc. New York, NY 21 Steadfast Capital Management, LP New York, NY
10 East Lodge London, UK 22 Taconic Associates, LLC New York, NY
11 Elliot Capital Advisors, LP New York, NY 23 Winton Capital Management London, UK
12 Glenview Capital GP, LLC New York, NY 24 York Capital Management New York, NY
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 93 FISCAL YEAR 2016
Portfolio Completion Strategies (PCS) Portfolio
As of June 30, 2016 the PCS portfolio had approximately $736.6 million in assets with five managers, which
represented 1.2% of the PRIT Fund.
The objective of the PCS portfolio is to provide the PRIT Fund access to broader investment opportunities.
Investments selected for the PCS portfolio should enhance the risk/return profile of the PRIT Fund. Investments
may include long-term strategic investments or short-term opportunistic investments.
Each investment within the PCS portfolio is compared against an appropriate benchmark. The overall PCS
portfolio benchmark is the weighted-average of each of the underlying investment benchmarks.
The PRIT Fund’s PCS managers at June 30, 2016 are presented in the following table:
Portfolio Risks. The PCS portfolio is subject to the various risks of alternative risk premia and other underlying
investments. The portfolio is subject to market risk through a general reversal of the risk premia that the
strategies are trying to capture. The portfolio is also exposed to liquidity risk in unwinding illiquid positions. In
addition, the PCS portfolio is exposed to operational risks in executing investment strategies and valuing
investment positions. The PRIM Board has developed a detailed PCS investment plan to manage these risks and
ensure appropriate diversification within the asset class.
Performance. For the fiscal year, the PCS portfolio returned 8.7% compared to the asset class benchmark return
of 3.48%. Since its inception in January 2015, the PCS portfolio returned 2.10% comparing to the asset class
benchmark return of 3.38%.
Overlay
At the August 8, 2013 Board meeting, the PRIM Board voted to hire Parametric (formerly known as the Clifton
Group) for the Cash Overlay program. As of June 30, 2016, the Overlay portfolio had $286.6 million in assets
which represents 0.5% of the PRIT Fund. The Overlay portfolio returned 1.73% for the fiscal year and had a return
of 4.79% since its inception in October 2013.
The objective of the overlay program is to provide market exposure to cash which is not invested with a similar
risk/return profile of the PRIT Fund. Investments are made through the futures market.Manager Strategy Focus Location
1 AgIS Capital, LLC Agricultural Boston, MA
2 AQR Capital Management, LLC Risk Premia Greenwich, CT
3 Goldman Sachs Investment Management Risk Premia New York, NY
4 JEN Partners LLC Residential Land Development New York, NY
5 PanAgora Asset Management, Inc. Risk Premia Boston, MA
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 94 FISCAL YEAR 2016
SCHEDULE OF TIME-WEIGHTED RETURNS BY ASSET CLASS*
For the Periods Ended June 30, 2016
(1)
The HFRI Index benchmark commenced on January 1, 2010. Prior, the Hedge
Fund index consisted of the ML 90-Day T-Bill plus 4%.
(2) The Portfolio Completion Strategies Account’s inception date was January 31, 2015.
(3)
The Portfolio Completion Strategies Composite Index benchmark is
calculated by applying the underlying benchmark return for each manager
to the manager’s
weight within the Portfolio Completion Strategies Composite.
(4) The Overlay Account’s inception date was October 31, 2013.
*
All return information is gross of fees, except Hedge Fund fees, which
is net of fees. Returns are calculated based on a time-weighted rate of
return methodology.Asset Class 1 Year 3 Year 5 Year 10 Year
Benchmark as of June 30, 2016
Global Equity -3.93% 6.05% 5.86% 4.54%
44% Domestic Equity BM/40% Interantional Equity BM/16%
Emerging Markets BM -5.00% 5.57% 5.05% 4.16%
Domestic Equity 1.64% 10.67% 11.40% 6.06%
78.9% S&P 500/21.1% Total Small/Smid Cap Equity BM 2.23% 10.98% 11.54% 6.96%
International Equity -7.69% 3.76% 3.28% 2.86%
50% Custom MSCI World EX-US IMI NET DIVS/50% Custom MSCI
EAFE Standard Index NET DIVS -9.96% 2.30% 1.42% 1.66%
Emerging Markets -9.52% -0.95% -3.07% 2.97%
25% Custom MSCI EM IMI NET DIVS/64% MSCI EM Standard
NET DIVS/7% Custom MSCI EM Small Cap NET DIVS/4% Custom
MSCI FM 15% Country Capped Index NET DIVS -12.10% -1.25% -3.40% 3.75%
Core Fixed Income 14.69% 8.29% 6.47% 6.23%
38.5% BC Agg/38.5% BC US STRIPS 20+ Year /7.6%BC US
TIPS/15.4% BC ILB US$ HEDGED 15.03% 8.13% 6.19% 5.93%
Value-Added Fixed Income 1.04% 2.67% 3.85% 7.15%
23.95% ML Master II HY Constrained Index/9.21% S&P LSTA
Leveraged Loan Index/22.96% JPM EMBI Global/43.88% Altman
Index -5.75% -1.37% 1.33% 5.30%
Real Estate 12.21% 12.57% 12.09% 7.46%
80% NCREIF Property One Qtr. Lag/20% FTSE EPRA NAREIT
DEVELOPED Net Total Return 12.09% 11.42% 11.49% 7.19%
Private Equity 12.15% 17.99% 15.86% 14.40%
No Benchmark na na na na
Timberland 0.44% 7.19% 5.17% 6.75%
NCREIF Timberland Index (one quarter lag) 2.90% 7.71% 6.63% 7.04%
Hedge Funds -5.37% 2.81% 3.70% 3.20%
HFRI Fund of Funds Composite Index (1) -5.38% 1.92% 2.03% 3.71%
Portfolio Completion Strategies (2) 8.70% na na na
Portfolio Completion Strategies Composite Index (3) 3.48% na na na
Overlay (4) 1.73% na na na
No Benchmark na na na na
1 Year 3 Year 5 Year 10 Year
Total PRIT Core Fund 2.30% 7.71% 7.08% 5.71%
Policy Benchmark 1.46% 6.21% 5.73% 5.31%
TUCS Universe Median 0.97% 7.02% 6.96% 5.98%
TUCS Universe Ranking 10th 18th 43rd 65th
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 95 FISCAL YEAR 2016
Investment Summary at Fair Value
As of June 30, 2016Short-term:
Fair Value
($000s)
% of Fair
Value
Money market investments $ 1,204,170 1.90%
Fixed income:
U.S. government obligations 5,546,901 8.75%
Domestic fixed income 4,100,864 6.47%
International fixed income 3,162,671 4.99%
Distressed debt 1,235,565 1.95%
Equity:
Domestic equity securities 10,696,300 16.87%
International equity securities 14,211,379 22.42%
Timberland 2,003,805 3.16%
Private Equity:
Special equity 4,884,250 7.71%
Venture capital 1,599,074 2.52%
Natural resources 178,366 0.28%
Real estate:
Real estate properties 6,021,497 9.50%
Real estate equity securities 1,484,402 2.34%
Real estate funds 208,110 0.33%
Other 45,066 0.07%
Hedge Funds:
Event-driven hedge funds 1,901,580 3.00%
Relative value hedge funds 520,060 0.82%
Equity long/short hedge funds 319,669 0.50%
Fund of funds 923,679 1.46%
Equity securities 1,078,035 1.70%
Cash and cash equivalent 618,269 0.98%
Fixed income securities 563,834 0.89%
Other 130,825 0.21%
Portfolio completion strategies:
Investment funds 221,575 0.35%
Cash and cash equivalent 221,703 0.35%
Equity securities 170,824 0.27%
Fixed income securities 19,601 0.03%
Other 115,499 0.18%
Total investments $ 63,387,573 100.00%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 96 FISCAL YEAR 2016
SUMMARY SCHEDULE OF BROKER COMMISSIONS
(Top 25 Brokers and Cumulative Fees Paid to Others)
Fiscal Year Ended June 30, 2016
The PRIM Board has commission recapture agreements with several brokers. A summary of the commission
recapture program is included in the Investment Policy Statement included at the end of the Investment Section.
For
the fiscal year ended June 30, 2016 the PRIT Fund earned $3,384 from
the commission recapture program.Brokerage Firms Fees Paid ($) % Total
Average $
per share
Morgan Stanley 900,605$ 9.5% 0.0035
UBS 728,928 7.7% 0.0004
Merrill Lynch 710,922 7.5% 0.0023
JP Morgan 688,907 7.3% 0.0041
Citigroup 619,824 6.6% 0.0034
Credit Suisse 580,840 6.2% 0.0020
Goldman Sachs 491,148 5.2% 0.0024
HSBC 349,925 3.7% 0.0014
Deutsche Bank 267,601 2.8% 0.0039
Macquarie 250,610 2.7% 0.0014
Instinet 223,313 2.4% 0.0005
Jefferies & Co 205,787 2.2% 0.0096
Sanford C. Bernstein & Co 179,362 1.9% 0.0016
Fox River Execution Technology 138,474 1.5% 0.0175
RBC 131,052 1.4% 0.0120
Credit Lyonnais Securities 129,466 1.4% 0.0027
SG Securities 115,210 1.2% 0.0019
Barclays 105,388 1.1% 0.0048
BNY Convergex 99,585 1.1% 0.0077
The City Bank Limited 95,271 1.0% 0.0023
Knight Capital Group 91,977 1.0% 0.0184
CLSA 79,801 0.8% 0.0027
Banco Santander 77,687 0.8% 0.0068
Liquidnet 66,417 0.7% 0.0117
Investec 60,022 0.6% 0.0021
Others 2,056,043 21.7% 0.0046
Totals 9,444,165$ 100.0% 0.0019
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 97 FISCAL YEAR 2016
SCHEDULE OF MANAGEMENT FEES
Fiscal Year Ended June 30, 2016Investment Management Fees by Asset Class: ($000s)
Domestic Equity 11,931$
Emerging Markets Equity 16,851
International Equity 16,374
Core Fixed Income 4,782
Value-Added Fixed Income 10,274
Real Estate 27,038
Timberland (1,131)
Private Equity 1,850
Hedge Funds 4,755
Portfolio Completion Strategies 1,034
Overlay 825
Total Investment Management Fees 94,583
Investment Advisory Fees 5,935
Custodian Fees 805
Other Administrative Fees 10,806
Total Management Fees charged to the PRIT Fund 112,129$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 98 FISCAL YEAR 2016
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENTSegmentation Accounts invested as of June 30, 2016
Retirement System
Net Asset Vaules
($000s) 6/30/16
General
Allocation
Domestic Equity
International
Equity
Emerging
Markets
Core Fixed
Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Amesbury 47,225$ X
Andover 114,422$ X
Arlington 121,349$ X
Attleboro 480$ X
Barnstable 871,247$ X
Belmont 25,915$ X X X X X
Berkshire 196,762$ X
Beverly 101,591$ X
Blue Hills 9,601$ X
State Boston/Teachers 1,419,591$ X
Braintree 45,966$ X X X
Bristol County 39,772$ X X
Brookline 1,426$ X
Cambridge 95,676$ X X
Chelsea 126,974$ X
Chicopee 29,710$ X X X
Clinton 40,320$ X X X
Concord 59,449$ X X X
Danvers 35,611$ X X X X X
Dedham 109,633$ X
Dukes County 63,873$ X X X
Easthampton 43,433$ X
Essex 348,121$ X
Everett 109,589$ X
Fairhaven 50,541$ X
Fall River 221,843$ X
Falmouth 11,054$ X
Fitchburg 94,174$ X
Framingham 255,802$ X
Franklin County 75,236$ X X X
Gardner 45,944$ X
Gloucester 85,163$ X
Greenfield 58,162$ X
Hampden County 290,458$ X
Hampshire County 77,583$ X X X X
Haverhill 59,176$ X X X X X X
Hingham 97,057$ X X X X X X X X X
Holyoke 2,093$ X
Hull 38,014$ X
Lawrence 179,588$ X
Leominster 93,189$ X
Lexington 14,716$ X X
Lowell 297,732$ X
Lynn 262,201$ X
Marblehead 86,631$ X
Mass Turnpike 170,399$ X
Massport 71,847$ X X
Maynard 17,759$ X X X X X
Medford 35,942$ X X X
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 99 FISCAL YEAR 2016
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENT, continuedSegmentation Accounts invested as of June 30, 2016
Retirement System
Net Asset Vaules
($000s) 6/30/16
General
Allocation
Domestic Equity
International
Equity
Emerging Markets
Core Fixed
Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Melrose 66,385$ X
Methuen 116,239$ X
Middlesex 1,005,351$ X
Milford 75,547$ X
Milton 109,227$ X
Minuteman 12,203$ X
Montague 34,745$ X
MSCBA 4,246$ X
MWRA 41,431$ X X X X
Natick 19,466$ X X X X
Needham 134,103$ X
Newburyport 63,899$ X
Newton 285,166$ X
Norfolk 108,664$ X X X X
North Adams 1,370$ X X
Northbridge 29,076$ X
Northampton 731$ X
Norwood 30,506$ X X X
Peabody 127,134$ X
Pittsfield 111,111$ X
Plymouth 32,266$ X X X X
Quincy 25,073$ X X X X
Reading 118,013$ X
Revere 127,316$ X
Salem 135,964$ X
Saugus 83,763$ X
Shrewsbury 99,324$ X X X X X
Southbridge 41,571$ X
Springfield 264,662$ X
State Employees' 23,491,140$ X
State Retiree Benefits Trust 1,019,680$ X
State Teachers' 24,766,990$ X
Stoneham 29,204$ X X X X
Swampscott 33,633$ X
Wakefield 101,802$ X
Waltham 189,088$ X
Watertown 35,865$ X X X X
Webster 6,097$ X X X
Wellesley 153,677$ X
Westfield 8,508$ X X
Weymouth 24,961$ X X
Winchester 22,526$ X X
Winthrop 55,549$ X
Woburn 50,600$ X X X X X X X
Worcester 91,118$ X X X X
Worcester Regional 557,775$ X
60,692,805$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 100 FISCAL YEAR 2016
INVESTMENT POLICY STATEMENT
The following are significant elements and related excerpts from the PRIM Board’s investment policy statement.
The purpose of the statement is to delineate the investment policy and guidelines and to establish the overall
investment strategies and discipline of the PRIM Board. This policy is intended to allow for sufficient flexibility to
capture investment opportunities, yet provide parameters that ensure prudence and care in the execution of the
investment program. This policy is issued for the guidance of fiduciaries, including Trustees, staff professionals,
investment managers, custodians, and investment consultants, for managing the assets of the PRIT Fund. The
policy is intended to provide a foundation from which to oversee the management of the PRIT Fund in a prudent
manner.
A. Investment Objectives
PRIM’s overall objective is to achieve the highest level of investment performance that is compatible with its risk
tolerance and prudent investment practices. Because of the long-term nature of the Commonwealth’s pension
liabilities, PRIM maintains a long-term perspective in formulating and implementing its investment policies, and
in evaluating its investment performance. Investment performance is measured by three integrated long-term
objectives: 1) the actuarial target rate of return, 2) the investment policy benchmark, and 3) peer universe
comparisons.
The actuarial target rate of return is the key actuarial assumption affecting future Commonwealth funding rates
and pension liabilities. Investment performance that exceeds or underperforms the target rate may materially
impact future funding rates and liabilities. The PRIM Board seeks to have a long-term investment performance
that will meet or exceed its actuarial target rate of return.
The investment policy benchmark is calculated by applying the investment performance of the asset class
benchmarks to the PRIT Fund’s asset allocation targets. The investment policy benchmark enables PRIM to
compare the PRIT Fund’s actual performance to a passively managed proxy and to measure the contribution of
active investment management and policy implementation.
PRIM also compares its total fund performance to appropriate public plan sponsor comparison universes. A peer
universe comparison permits PRIM to compare its performance to large public and other pension plans. While
PRIM seeks to rank consistently in the top half of comparable public pension funds, PRIM recognizes that other
funds may have investment objectives and risk tolerances that differ substantially from PRIM’s.
PRIM expects to meet or exceed these objectives over its long-term investment horizon. The expected volatility
of markets and unique objectives of PRIM relative to other pension plans may not favor, over shorter periods,
PRIM’s strategic investment policies.
B. Asset Allocation Plan
PRIM recognizes that over the long-term, asset allocation is the single greatest contributor of return and risk to
the PRIT Fund. At reasonable intervals of not more than three to five years, PRIM will complete a comprehensive
review of its Asset Allocation Plan and its underlying assumptions, including: the Commonwealth’s current and
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 101 FISCAL YEAR 2016
projected pension assets and liabilities; long-term capital markets rate of return assumptions; and PRIM’s risk
tolerances. The PRIM Board shall examine the Asset allocation Plan annually, and shall consider adjustments to
the Plan as may be appropriate given the Plan’s long-term nature and objectives.
The PRIM Board conducted an asset/liability study in February 2014 to determine the optimum long-term asset
allocation for the PRIT Fund, using the Massachusetts Public Employee Retirement Administration Commission
(PERAC) valuation report as of January 1, 2013 and estimating the components of the valuation report as of
January 1, 2014, which estimated a 60.6% and 61.5% funded ratio, respectively.
C. Commission Recapture Policy
In order to minimize the net costs of trading, PRIM will encourage its investment managers, on a “best efforts”
basis, to execute 20% of total trades annually through brokers who have a commission recapture program.
Should managers exceed the 20% suggested, the PRIT Fund will participate in those trades as well.
PRIM’s investment managers may select two or three brokers to take part in this program. Any credits earned
under the program should be remitted monthly or quarterly to the PRIT Fund.
PRIM’s policies require managers to seek the best price and execution on all trades; this means that commission
recapture trades should only be executed when such trades meet this standard. This program should not
interfere with or reduce an investment manager’s incentive to reduce trading costs.
D. Rebalancing Policy
The actual asset allocation mix will deviate from the Asset Allocation Plan’s target due to market movement, cash
flows, and manager performance. Material deviations from the asset allocation targets can alter the expected
return and risk of the PRIT Fund. Accordingly, the PRIM Board has adopted asset class ranges for each asset class,
and positioning within a specified asset class range is acceptable and constitutes compliance with the Asset
Allocation Plan. It is the responsibility of PRIM staff to keep actual asset class allocations within the asset
allocation bands. It is anticipated that the PRIM Board will make periodic revisions to the Asset Allocation Plan,
and it is recognized that in some cases it may be prudent to allow an extended period of time to fully implement
revisions to the Asset Allocation Plan. The spirit of this policy is to implement the investment strategy within the
asset class ranges at a reasonable cost, recognizing that overly precise management of asset exposures can result
in transactions costs that are not economically justified. In the circumstance that a rebalancing is warranted,
staff shall have the discretion to instruct public securities managers (including an overlay manager) to use futures
as a short-term tool to rebalance the PRIT Fund. The PRIM Board acknowledges that market conditions or
circumstances beyond PRIM’s control may lead to asset class weightings being temporarily out of their target
ranges, especially as those ranges relate to illiquid asset classes.
E. Proxy Voting Policy
Under the contractual arrangements between the Pension Reserves Investment Management Board (the
“Board”) and its domestic and international separate account investment managers, the responsibility for voting
proxies on the corporate shares owned is retained by the Board. Further, the Board may retain a consultant to
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 102 FISCAL YEAR 2016
assist staff in evaluating shareholder proposals, communicating its vote to the corporation, and keeping account
records of these votes.
The purpose of this policy is to outline the general principles applied by the Board in voting proxies. The Board
recognizes that in applying these general rules exceptions will apply. The Executive Director and staff will vote in
accordance with their best judgment in each circumstance.
The PRIM Board periodically reviews the PRIM Board Proxy Voting Policy to ensure that it contains appropriate
guidance for staff in determining how votes will be cast on a variety of matters and the underlying rationale for
such determination.
The main goal in voting any proxy question is to enhance the value of the security. PRIM staff will not vote the
proxies in a manner that would reduce the value of shares owned by PRIT.
F. Economically Targeted Investment Program
PRIM recognizes its obligations under Massachusetts law to seek investment opportunities that will benefit the
economic climate of the Commonwealth as a whole, provided that such investments are consistent with PRIM’s
obligations to the members and beneficiaries of its participating retirement systems. (See M.G.L. Ch. 32, sec.
23(2A) (h)) Accordingly, in cases where investment characteristics, including returns, risk, liquidity, compliance
with allocation policy, and others, are equal, PRIM will favor those investments with a substantial, direct and
measurable benefit to the economy of the Commonwealth.
Such Economically Targeted Investments (“ETIs”) must meet the following criteria:
1. Investments must target risk-adjusted, market-rate returns and provide net returns equivalent to or
higher than other available investments, at commensurate levels of risk. Economic or social benefits will
not justify a lower return on any PRIT Fund investment. When evaluating ETI opportunities, PRIM will
discount projected returns for any subsidies, deferral of income, higher risk levels, and other concessions
to reach a real rate of return for comparison with other ETI and non-ETI investment alternatives.
Similarly, ETI benefits will not justify higher investment risk. However, where appropriate, PRIM staff, its
managers, and its advisors will actively seek out and develop guarantees, third party recourse, hedging,
and other acceptable and customary risk management vehicles to reduce or eliminate risk in ETI
investments.
2. Investments must not exceed a reasonable weighting in the portfolio, including tracking the degree of
exposure to the Massachusetts economy and ensuring appropriate geographic diversification.
Investments should maintain the overall portfolio’s compliance with its asset allocation strategy. ETI
benefits will not justify deviation from the Asset Allocation Plan adopted by the PRIM Board.
3. Investments should be placed with an experienced and capable manager through an objective and
transparent process. Investments should be managed by qualified discretionary investment managers.
PRIM will not make any direct investments.
4. Investments should target a “capital gap” where there are likely to be underserved markets.
5. Investments must be tracked (both investment performance and collateral benefits) and managed with
the same rigor and discipline imposed on other investments. Investments should be reviewed and
monitored by PRIM staff and advisors without disproportionate expenditure of time and resources.
PENSION RESERVES INVESTMENT TRUST FUND
COMPREHENSIVE ANNUAL FINANCIAL REPORT FISCAL YEAR 2016
Statistical Section
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
COMPREHENSIVE ANNUAL FINANCIAL REPORT 103 FISCAL YEAR 2016
Schedules of Changes in Pooled Net Position
For Fiscal Years Ending June 30
(Dollars in thousands)Additions 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007
State
Employees contributions $ 727,147 $ 580,527 $ 547,627 $ 529,031 $
544,166 $ 538,898 $ 475,591 $ 462,471 $ 464,330 $ 420,199
State teachers contributions 752,835 721,148 709,114 669,815 640,056 616,533 593,147 599,410 573,984 548,229
Other participants contributions 922,092 877,252 793,507 613,345 898,837 1,535,681 620,865 991,362 2,347,537 1,047,285
Net
investment income (loss) 1,091,671 2,073,376 8,991,375 5,922,932
(280,407) 9,169,664 4,676,706 (12,492,194) (1,185,523) 8,228,782
Total
additions to pooled net position 3,493,745 4,252,303 11,041,623
7,735,123 1,802,652 11,860,776 6,366,309 (10,438,951) 2,200,328
10,244,495
Deductions
State employees warrants 444,166 381,565 357,089 347,330 315,943 282,398 259,285 242,694 239,452 227,510
State teachers warrants 569,054 544,646 494,363 496,987 451,844 418,153 388,366 361,773 341,575 299,612
Participants redemptions 924,710 768,507 739,175 683,279 532,873 508,579 364,648 383,748 202,723 128,843
State appropriation funding 2,066,264 1,954,853 1,973,058 1,815,315 1,851,504 1,663,799 1,731,617 1,465,275 1,184,774 1,100,000
Operating expenses 40,491 35,761 30,789 30,394 28,447 26,391 27,332 24,954 23,294 15,447
Total
deductions to pooled net position 4,044,685 3,685,332 3,594,474
3,373,305 3,180,611 2,899,320 2,771,248 2,478,444 1,991,818 1,771,412
Changes
in pooled net position $ (550,940) $ 566,971 $ 7,447,149 $ 4,361,818 $
(1,377,959) $ 8,961,456 $ 3,595,061 $ (12,917,395) $ 208,510 $ 8,473,083
The
above table provides additional information regarding changes in pooled
net position from that presented in the Statement of Changes in Pooled
Net
Position in the Financial Section of the CAFR. Deductions represent
redemptions from the PRIT fund by state employees, state teachers and
other
participant retirement systems. Deductions also include
redemptions for state appropriation funding and reimbursement of MASTERS
operating
expenses. State appropriation funding represents funds
withdrawn to cover the shortfall in the pension appropriation of the
Commonwealth of
Massachusetts. Operating expenses represent
redemptions made by state employees and state teachers for certain
operating expenses. This
information is derived from the same
information used for the basic financial statements. Current fiscal
year-end information should be read in
conjunction with the Schedule of Changes in Pooled Net Position - Capital Fund and Cash Fund provided in the Financial Section.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights and Financial Highlights Ratios
COMPREHENSIVE ANNUAL FINANCIAL REPORT 104 FISCAL YEAR 2016
Pages 105-106 provide the financial highlights of the PRIT Fund for the year ended June 30, 2016. In addition,
pages 107-110 provide additional financial highlights ratios for the nine previous fiscal year ends. Together, these
tables provide additional information regarding important ratios to assist the reader of the CAFR in understanding
the financial position of the PRIT Fund. This information includes important return and expense ratios for the
entire PRIT Fund as well as the various accounts that comprise the PRIT Fund. This information should be read in
conjunction with the description of the investment program highlighted in the Investment Section of the CAFR.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights
For the year ended June 30, 2016
COMPREHENSIVE ANNUAL FINANCIAL REPORT 105 FISCAL YEAR 2016Public Private Private Private Private Private
Value- Equity Equity Equity Equity Equity
Core Added Vintage Vintage Vintage Vintage Vintage
General Domestic International Emerging Fixed Fixed Distressed Hedge Liquidating Private Year Year Year Year Year
Allocation Equity Equity Markets Income Income Debt Funds Portfolios Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
asset value per unit, beginning of year $ 295.25 252.54 275.03 410.15
249.32 276.00 128.20 81.99 92.92 402.39 305.77 648.08 218.36 396.30
100.39
Investment operations:
Net investment income (loss)(1) 6.84 4.04 7.65 7.90 3.75 16.21 3.28 0.00 (0.03) 1.73 0.43 43.88 7.35 26.22 2.18
Net realized and unrealized gain (loss)
on
investments and foreign currency (1.32) (0.22) (29.26) (48.53) 32.60
(8.50) (12.05) (4.45) (18.83) (5.50) (19.13) (68.01) 6.93 (42.93) (6.83)
Total from investment
operations 5.52 3.82 (21.61) (40.63) 36.35 7.71 (8.77) (4.45) (18.86) (3.77) (18.70) (24.13) 14.28 (16.71) (4.65)
Net
asset value per unit, end of year $ 300.77 256.36 253.42 369.52 285.67
283.71 119.43 77.54 74.06 398.62 287.07 623.95 232.64 379.59 95.74
Ratios and supplementary data:
Total
net return(2) 1.87% 1.51% (7.86)% (9.91)% 14.58% 2.79% (6.84)% (5.43)%
(20.30)% (0.94)% (6.12)% (3.72)% 6.54% (4.22)% (4.63)%
Net assets,
end of year ($'000s) $ 59,382,003 11,359,746 10,018,446 4,264,286
8,404,125 3,868,726 1,251,421 5,192,238 195,445 66,569 56,265 77,994
13,493 69,465 80,997
Units outstanding, end of year ('000s) 197,436 44,312 39,533 11,540 29,419 13,636 10,478 66,965 2,639 167 196 125 58 183 846
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.53% 0.13% 0.19% 0.44% 0.09% 0.47% 1.76% 1.42% 1.41% 0.08% 0.18% 0.17% 0.79% 0.28% 0.43%
Ratio of expenses, excluding indirect
management fees 0.14% 0.13% 0.19% 0.44% 0.08% 0.30% 0.04% 0.06% 1.40% 0.08% 0.04% 0.07% 0.04% 0.04% 0.06%
Ratio of net investment income (loss) 2.25% 1.91% 2.88% 2.03% 1.42% 5.95% 2.65% —% (0.04)% 0.69% 0.12% 6.67% 2.47% 5.40% 1.65%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
(1) Based on weighted average units outstanding.
(2)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights, continued
For the year ended June 30, 2016
COMPREHENSIVE
ANNUAL FINANCIAL REPORT 106 FISCAL YEAR 2016Private Private Private
Private Private Private Private Private Private Private Private Private
Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Portfolio
Year Year Year Year Year Year Year Year Year Year Year Year Real Cash Completion
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Estate Timberland Overlay Strategies
Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
asset value per unit, beginning of year $ 138.95 93.80 27.97 103.68
91.75 104.56 61.54 13.67 86.55 67.58 93.74 100.00 495.18 250.94 155.12
94.79
Investment operations:
Net investment income (loss)(1) 3.16 0.72 0.59 3.31 2.80 0.62 0.68 0.04 0.66 (0.02) 0.09 (0.11) 22.60 1.30 (17.31) (0.19)
Net realized and unrealized gain (loss)
on investments and foreign currency 8.73 1.64 2.17 10.00 15.60 15.15 13.42 1.10 3.72 3.50 (8.74) (17.39) 35.36 (9.60) 26.07 8.36
Total from investment
operations 11.89 2.36 2.76 13.31 18.40 15.77 14.10 1.14 4.38 3.48 (8.65) (17.50) 57.96 (8.30) 8.76 8.17
Net
asset value per unit, end of year $ 150.84 96.16 30.73 116.99 110.15
120.33 75.64 14.81 90.93 71.06 85.09 82.50 553.14 242.64 163.88 102.96
Ratios and supplementary data:
Total
net return(2) 8.56% 2.52% 9.87% 12.84% 20.05% 15.08% 22.91% 8.34% 5.06%
5.15% (9.23)% (17.50)% (3) 11.70% (3.31)% 5.65% 8.62%
Net assets,
end of year ($'000s) $ 430,797 612,037 912,296 904,434 443,570 806,666
796,339 542,987 308,790 399,073 184,978 165 6,302,436 2,012,000 286,627
736,581
Units outstanding, end of year ('000s) 2,856 6,365 29,691
7,731 4,027 6,704 10,528 36,668 3,396 5,616 2,174 2 11,394 8,292 1,749
7,154
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.73% 0.77% 1.00% 0.98% 1.29% 1.30% 1.74% 2.28% 4.91% 4.71% 9.50% (21.53)% (3) 0.47% 0.23% 0.07% 0.90%
Ratio of expenses, excluding indirect
management fees 0.04% 0.03% 0.04% 0.14% 0.04% 0.04% 0.16% 0.04% 0.04% 0.05% 0.04% (21.53)% (3) 0.09% (0.11)% 0.07% 0.16%
Ratio
of net investment income (loss) 2.18% 0.85% 1.98% 3.02% 2.74% 0.55%
1.01% 0.27% 0.84% (0.03)% 0.07% 0.21% (3) 4.35% 0.52% 0.16% (0.16)%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total return and ratios not annualized.
(2)
(1) Based on weighted average units outstanding.
(3)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios
For the years ended June 30, 2015-2007
COMPREHENSIVE ANNUAL FINANCIAL REPORT 107 FISCAL YEAR 2016Public Portable Vintage Vintage Vintage Vintage Vintage
General Domestic International Emerging Core Fixed Value-Added Distressed Hedge Alpha Private Year Year Year Year Year
Allocation Equity Equity Markets Income Fixed Income Debt Funds Wind Down Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
Ratios and supplementary data:
Total net return (1) 3.41% 6.60% (2.94)% (6.14)% 4.58% (5.14)% 1.96% 3.64% (4.25)% 5.03% 5.97% 7.56% 4.11% 13.06% 5.97%
Net
assets, end of year ($'000s) 59,982,623 11,745,353 10,341,307 4,011,292
8,377,734 3,702,871 1,350,323 5,575,153 32,057 52,713 103,656 102,397
20,089 145,442 119,669
Units outstanding, end of year ('000s) 203,159 46,508 37,600 9,780 33,603 13,416 10,533 67,998 345 131 339 158 92 367 1,192
Total net return (1) 17.18% 24.78% 24.23% 13.76% 5.66% 6.90% 15.18% 10.72% (5.88)% 8.25% 23.80% 27.29% 8.97% 21.56% 52.79%
Net
assets, end of year ($'000s) 59,507,530 11,478,177 10,382,202 4,263,167
8,398,309 3,787,240 1,360,006 5,845,587 49,684 94,631 137,922 133,764
35,025 197,688 257,109
Units outstanding, end of year ('000s) 208,428 48,451 36,639 9,756 35,228 13,017 10,817 73,892 512 247 478 222 167 564 2,714
Total net return (1) 12.28% 21.98% 19.34% 5.10% (0.45)% 3.07% 9.16% (3) 12.20% 2.39% 3.28% 8.68% 10.18% 11.79% 4.52% 8.87%
Net
assets, end of year ($'000s) 52,274,725 11,066,413 9,531,557 3,438,125
6,712,701 3,444,265 1,269,546 4,903,178 72,275 160,679 173,402 189,340
58,316 270,764 265,784
Units outstanding, end of year ('000s) 214,541 58,286 41,787 8,951 29,751 12,655 11,630 68,628 701 454 744 400 303 939 4,287
Total net return (1) (0.54)% 3.64% (12.15)% (16.79)% 7.96% 2.81% N/A (1.74)% (7.47)% (0.35)% 5.23% (2.66)% 26.76% 0.80% 9.06%
Net
assets, end of year ($'000s) 48,101,609 9,415,207 8,155,824 3,261,031
6,352,958 4,180,242 N/A 4,809,557 110,458 177,159 278,587 242,301 66,969
345,110 360,592
Units outstanding, end of year ('000s) 221,647 60,491 42,670 8,923 28,029 15,830 N/A 75,522 1,097 517 1,299 564 389 1,251 6,332
Total net return (1) 21.97% 32.07% 30.69% 28.88% 5.31% 16.18% N/A 7.48% 6.43% 20.27% 15.85% 23.12% 32.48% 22.22% 50.10%
Net
assets, end of year ($'000s) 49,546,154 11,073,922 10,865,457 3,304,907
6,619,356 3,024,257 N/A 3,611,056 220,570 275,801 370,120 298,784
121,827 416,819 415,720
Units outstanding, end of year ('000s) 227,076 73,736 49,937 7,525 31,528 11,775 N/A 55,719 2,027 802 1,816 677 897 1,523 7,961
Total net return (1) 12.47% 14.50% 9.50% 23.57% 11.56% 32.22% N/A 7.10% 2.25% 15.73% 14.13% 17.76% 12.96% 24.05% 14.37%
Net
assets, end of year ($'000s) 40,753,645 8,188,194 8,264,027 2,338,946
5,774,372 2,897,661 N/A 3,154,587 776,629 339,078 480,643 324,708
100,441 411,075 365,651
Units outstanding, end of year ('000s)
227,816 72,008 49,641 6,864 28,965 13,107 N/A 52,318 7,595 1,186 2,732
906 980 1,826 10,458
Total net return (1) (24.41)% (32.13)% (31.95)%
(31.98)% (5.57)% (11.60)% N/A (14.45)% N/A (23.13)% (18.99)% (22.76)%
(27.47)% (22.82)% (19.91)%
Net assets, end of year ($'000s)
37,113,501 9,164,719 7,146,289 1,887,971 4,897,346 2,883,436 N/A
2,135,634 N/A 343,288 483,606 317,591 86,586 393,043 318,973
Units
outstanding, end of year ('000s) 233,338 92,280 47,004 6,846 27,405
17,245 N/A 37,934 N/A 1,390 3,137 1,043 954 2,177 10,485
Total net return (1) (2.30)% (15.69)% (9.27)% (0.03)% 14.18% 2.04% N/A 1.73% N/A 19.23% 17.10% 18.39% 19.01% 18.81% 21.15%
Net
assets, end of year ($'000s) 49,845,944 13,180,182 10,119,936 2,761,180
8,510,469 2,511,813 N/A 2,614,238 N/A 457,054 642,580 417,740 114,619
531,381 388,181
Units outstanding, end of year ('000s) 236,891 90,077
45,297 6,810 44,973 13,280 N/A 39,723 N/A 1,422 3,377 1,060 916 2,272
10,222
Total net return (1) 19.53% 20.60% 26.15% 42.26% 4.78% 14.73% N/A 13.82% N/A 24.53% 23.15% 50.18% 26.70% 63.10% 22.32%
Net
assets, end of year ($'000s) 49,519,109 15,049,415 10,574,561 2,750,631
7,800,673 2,329,393 N/A 2,569,001 N/A 533,033 698,900 509,022 102,564
555,480 319,874
Units outstanding, end of year ('000s) 229,913 86,717
42,945 6,782 47,065 12,568 N/A 39,711 N/A 1,977 4,301 1,529 976 2,822
10,204
Ratios to average net assets:
Ratio of expenses, including
indirect management fees 0.53% 0.14% 0.18% 0.31% 0.10% 0.47% 1.55% 1.40%
0.04% 0.04% 0.25% 0.22% 0.76% 0.38% 0.90%
Ratio of expenses,
excluding indirect management fees 0.16% 0.14% 0.18% 0.31% 0.09% 0.30%
0.04% 0.04% 0.02% 0.04% 0.04% 0.05% 0.04% 0.04% 0.05%
Ratio of net
investment income (loss) 2.05% 1.69% 2.72% 2.09% 1.06% 5.17% 1.90%
(0.01)% (0.02)% 1.40% 1.16% 5.14% 8.21% 5.62% 2.15%
Ratio of
expenses, including indirect management fees 0.55% 0.14% 0.19% 0.27%
0.11% 0.49% 1.90% 1.50% 0.10% 0.03% 0.25% 0.59% 0.49% 0.59% 0.88%
Ratio
of expenses, excluding indirect management fees 0.15% 0.14% 0.19% 0.24%
0.10% 0.31% 0.04% 0.05% 0.02% 0.03% 0.05% 0.07% 0.05% 0.04% 0.08%
Ratio
of net investment income (loss) 2.45% 1.65% 3.23% 2.10% 2.57% 5.41%
1.98% (0.05)% (0.02)% 1.82% 2.47% 1.16% (0.05)% 2.20% 4.30%
Ratio of
expenses, including indirect management fees 0.55% 0.08% 0.19% 0.33%
0.14% 0.85% 0.92% (3) 1.33% 0.13% —% 0.39% 0.59% 0.77% 0.90% 0.94%
Ratio
of expenses, excluding indirect management fees 0.14% 0.08% 0.19% 0.32%
0.12% 0.34% 0.01% (3) 0.05% 0.02% (0.03)% 0.07% 0.09% 0.05% 0.05% 0.12%
Ratio
of net investment income (loss) 2.53% 2.02% 2.93% 2.59% 2.87% 6.27%
2.37% (3) (0.05)% (0.02)% 3.86% 4.02% 2.53% 1.19% 2.11% 1.60%
2007
2008
2013
2013
2012
2010
2009
2015
2015
2014
2014
2011
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2015-2007
COMPREHENSIVE ANNUAL FINANCIAL REPORT 108 FISCAL YEAR 2016Public Portable Vintage Vintage Vintage Vintage Vintage
General Domestic International Emerging Core Fixed Value-Added Hedge Alpha Private Year Year Year Year Year
Allocation Equity Equity Markets Income Fixed Income Funds Wind Down Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
Ratio
of expenses, including indirect management fees 0.50% 0.09% 0.19% 0.32%
0.14% 0.89% 0.91% 0.09% 0.24% 0.54% 0.73% 0.81% 0.83% 0.80%
Ratio of
expenses, excluding indirect management fees 0.14% 0.09% 0.19% 0.30%
0.13% 0.18% 0.04% 0.02% 0.04% 0.07% 0.08% 0.04% 0.04% 0.11%
Ratio of net investment income (loss) 2.55% 1.91% 3.37% 2.61% 3.41% 4.67% (0.04)% (0.02)% 0.38% 2.74% 0.96% 1.13% 2.23% 2.08%
Ratio
of expenses, including indirect management fees 0.50% 0.08% 0.19% 0.35%
0.15% 0.96% 0.81% 0.06% 0.32% 1.25% 1.49% 0.97% 0.89% 1.05%
Ratio of
expenses, excluding indirect management fees 0.14% 0.08% 0.19% 0.32%
0.14% 0.15% 0.03% 0.02% (0.01)% 0.06% 0.08% 0.06% 0.02% 0.09%
Ratio of net investment income (loss) 2.54% 1.76% 3.05% 2.34% 3.88% 3.67% (0.03)% (0.01)% 0.57% 2.34% 3.65% (0.04)% 2.12% 0.79%
Ratio
of expenses, including indirect management fees 0.54% 0.20% 0.23% 0.25%
0.16% 1.08% 0.82% 0.14% 0.79% 1.57% 1.07% 1.13% 0.89% 1.16%
Ratio of
expenses, excluding indirect management fees 0.15% 0.08% 0.23% 0.17%
0.14% 0.28% 0.03% 0.02% 0.16% 0.08% 0.08% 0.06% 0.06% 0.18%
Ratio of net investment income (loss) 2.34% 1.49% 2.69% 1.59% 3.85% 4.07% (0.02)% (0.01)% 0.75% 2.11% 1.47% (0.05)% 2.94% 0.99%
Ratio
of expenses, including indirect management fees 0.51% 0.29% 0.29% 0.48%
0.14% 0.89% 0.85% N/A 0.94% 1.39% 1.21% 1.19% 0.96% 1.67%
Ratio of
expenses, excluding indirect management fees 0.10% 0.11% 0.29% 0.38%
0.12% 0.16% 0.04% N/A 0.16% 0.06% 0.07% 0.06% 0.06% 0.27%
Ratio of net investment income (loss) 2.78% 1.72% 3.19% 2.19% 4.60% 5.97% (0.03)% N/A 0.04% 0.31% 1.18% (0.02)% 0.37% 0.43%
Ratio
of expenses, including indirect management fees 0.52% 0.27% 0.26% 0.21%
0.17% 0.85% 0.76% N/A 0.98% 1.43% 0.99% 1.13% 0.58% 0.97%
Ratio of
expenses, excluding indirect management fees 0.25% 0.17% 0.26% 0.10%
0.16% 0.21% 0.04% N/A 0.14% 0.02% 0.02% 0.02% 0.02% 0.27%
Ratio of net investment income (loss) 2.70% 1.49% 2.84% 2.23% 5.32% 5.41% (0.02)% N/A 1.85% 0.58% 1.63% 0.15% 0.32% 0.62%
Ratio
of expenses, including indirect management fees 0.54% 0.29% 0.27% 0.46%
0.13% 0.70% 1.26% N/A 1.06% 1.61% 1.02% 1.55% 0.94% 1.49%
Ratio of
expenses, excluding indirect management fees 0.27% 0.16% 0.27% 0.33%
0.13% 0.24% 0.03% N/A 0.19% 0.08% 0.09% 0.08% 0.08% 0.31%
Ratio of net investment income (loss) 2.93% 1.87% 2.73% 2.76% 4.96% 5.95% (0.03)% N/A 2.89% 2.56% 6.96% —% 4.57% 0.22%
(1)
(2) Prior to January 1, 2010, Portable Alpha assets were reflected in the Domestic Equity portfolio.
(3) Denotes account commenced operations subsequent to the beginning of the fiscal year. Total return and ratios not annualized.
Total
net return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
between the beginning and end of the year.
2008
2007
2011
2010
2009
2012
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2015-2007
COMPREHENSIVE
ANNUAL FINANCIAL REPORT 109 FISCAL YEAR 2016Vintage Vintage Vintage
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Core
Noncore Portfolio
Year Year Year Year Year Year Year Year Year Year Year Real Real Timber / Cash Completion
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Estate Estate NR Overlay Strategies
Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Total
net return (1) 15.15% 11.51% 9.04% 16.66% 24.02% 19.09% 24.07% 11.77%
(5.24)% (13.53)% (6.26)% (2) 11.30% N/A (2.04)% 5.19% (5.21)% (2)
Net
assets, end of year ($'000s) 594,274 848,797 1,154,470 1,017,713
494,545 762,278 704,428 425,548 170,840 177,995 40,871 6,093,142 N/A
2,347,050 567,427 94,882
Units outstanding, end of year ('000s) 4,277
9,049 41,282 9,816 5,390 7,290 11,447 31,126 1,974 2,634 436 12,305 N/A
9,353 3,658 1,001
Total net return (1) 20.33% 23.18% 22.67% 30.63%
27.66% 27.52% 17.90% 16.81% (8.66)% (21.85)% (2) N/A 12.91% N/A 12.81%
47.46% (2) N/A
Net assets, end of year ($'000s) 703,977 1,098,091
1,319,704 1,050,050 401,949 597,679 435,298 215,895 52,887 3,204 N/A
5,380,022 N/A 2,374,863 549,427 N/A
Units outstanding, end of year ('000s) 5,834 13,054 51,443 11,815 5,433 6,807 8,777 17,648 579 41 N/A 12,093 N/A 9,271 3,726 N/A
Total net return (1) 13.07% 13.29% 14.39% 17.96% 15.65% 14.41% (1.98)% (21.87)% N/A N/A N/A 12.28% N/A 6.27% N/A N/A
Net
assets, end of year ($'000s) 801,538 1,217,424 1,212,620 895,341
301,492 391,799 201,700 61,569 N/A N/A N/A 4,382,052 N/A 2,129,694 N/A
N/A
Units outstanding, end of year ('000s) 7,993 17,827 57,995 13,161 5,203 5,691 4,794 5,879 N/A N/A N/A 11,121 N/A 9,379 N/A N/A
Total net return (1) 16.13% 13.20% 11.33% 14.15% 0.62% (9.88)% (54.42)% (86.60)% (2) N/A N/A N/A 9.41% N/A (8.68)% N/A N/A
Net
assets, end of year ($'000s) 879,582 1,291,372 1,072,936 685,645
184,789 214,792 97,989 134 N/A N/A N/A 4,724,457 N/A 1,903,043 N/A N/A
Units outstanding, end of year ('000s) 9,918 21,422 58,687 11,889 3,688 3,569 2,283 10 N/A N/A N/A 13,463 N/A 8,906 N/A N/A
Total net return (1) 19.74% 23.61% 20.56% 20.34% (7.45)% (29.52)% (5.84)% (2) N/A N/A N/A N/A 20.17% N/A 19.20% N/A N/A
Net
assets, end of year ($'000s) 872,773 1,208,620 804,057 439,750 86,944
44,610 1,789 N/A N/A N/A N/A 4,103,735 N/A 2,003,721 N/A N/A
Units outstanding, end of year ('000s) 11,428 22,699 48,975 8,704 1,746 668 19 N/A N/A N/A N/A 12,794 N/A 8,563 N/A N/A
Total net return (1) 15.50% 15.53% 11.18% 6.01% (46.19)% (5.25)% (2) N/A N/A N/A N/A N/A 2.35% N/A (5.90)% N/A N/A
Net
assets, end of year ($'000s) 750,824 913,119 467,426 203,969 18,978
7,080 N/A N/A N/A N/A N/A 3,767,749 N/A 1,671,981 N/A N/A
Units outstanding, end of year ('000s) 11,670 20,982 33,927 4,786 349 74 N/A N/A N/A N/A N/A 13,815 N/A 8,517 N/A N/A
Total net return (1) (25.79)% (23.62)% (19.41)% N/A N/A N/A N/A N/A N/A N/A N/A (23.90)% (100.00)% (14.84)% N/A N/A
Net assets, end of year ($'000s) 629,918 708,085 285,173 62,947 N/A N/A N/A N/A N/A N/A N/A 4,090,525 — 1,776,921 N/A N/A
Units outstanding, end of year ('000s) 11,408 18,991 23,279 1,590 N/A N/A N/A N/A N/A N/A N/A 15,686 — 8,518 N/A N/A
Total net return (1) 22.18% 2.80% (84.80)% N/A (2) N/A N/A N/A N/A N/A N/A N/A 4.41% N/A 20.69% N/A N/A
Net assets, end of year ($'000s) 748,612 783,796 163,835 8,038 N/A N/A N/A N/A N/A N/A N/A 5,520,030 2 1,065,586 N/A N/A
Units outstanding, end of year ('000s) 10,060 16,056 10,778 91 N/A N/A N/A N/A N/A N/A N/A 16,109 — 4,350 N/A N/A
Total net return (1) 13.02% (38.73)% —% (2) N/A N/A N/A N/A N/A N/A N/A N/A 15.65% 318.62% 14.67% N/A N/A
Net assets, end of year ($'000s) 385,139 251,773 740 N/A N/A N/A N/A N/A N/A N/A N/A 4,316,265 2 1,598,166 N/A N/A
Units outstanding, end of year ('000s) 6,325 5,301 7 N/A N/A N/A N/A N/A N/A N/A N/A 13,152 — 7,874 N/A N/A
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 0.82% 0.80% 1.01% 0.97%
1.71% 1.61% 2.21% 3.27% 8.83% 9.28% 2.57% (2) 0.64% N/A 0.70% 0.07%
0.29% (2)
Ratio of expenses, excluding indirect management fees 0.05%
0.05% 0.04% 0.11% 0.04% 0.04% 0.15% 0.05% 0.04% 0.06% 0.02% (2) 0.27%
N/A 0.40% 0.07% 0.10% (2)
Ratio of net investment income (loss) 2.68%
2.63% 1.83% 2.16% 2.54% 0.30% (0.06)% 0.05% (0.90)% (0.01)% 0.10% (2)
4.29% N/A 0.44% —% (0.10)% (2)
Ratio of expenses, including indirect
management fees 0.91% 0.84% 1.32% 1.70% 2.59% 2.55% 4.26% 7.53% 14.31%
10.58% (2) N/A 0.56% N/A 0.55% 0.09% (2) N/A
Ratio of expenses,
excluding indirect management fees 0.08% 0.06% 0.04% 0.15% 0.04% 0.04%
0.41% 0.05% 0.04% 0.11% (2) N/A 0.17% N/A 0.16% 0.09% (2) N/A
Ratio
of net investment income (loss) 3.18% 2.54% 1.24% 3.35% 2.18% 0.65%
(0.14)% 0.29% 18.06% (0.11)% (2) N/A 4.69% N/A 0.51% (0.08)% (2) N/A
Ratio
of expenses, including indirect management fees 1.01% 0.97% 1.70% 1.88%
3.26% 3.69% 7.38% 14.26% N/A N/A N/A 0.49% N/A 0.67% N/A N/A
Ratio
of expenses, excluding indirect management fees 0.09% 0.10% 0.04% 0.16%
0.04% 0.04% 0.17% 0.08% N/A N/A N/A 0.13% N/A 0.15% N/A N/A
Ratio of net investment income (loss) 2.49% 1.84% 1.58% 1.03% 0.79% 0.36% (0.13)% (0.22)% N/A N/A N/A 4.56% N/A 0.13% N/A N/A
2015
2015
2014
2014
2013
Ratios and supplementary data:
2007
2011
2012
2013
2010
2009
2008
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2015-2007
COMPREHENSIVE
ANNUAL FINANCIAL REPORT 110 FISCAL YEAR 2016Vintage Year Vintage Year
Vintage Year Vintage Year Vintage Year Vintage Year Vintage Year Vintage
Year Core Real Timber /
2005 2006 2007 2008 2009 2010 2011 2012 Estate NR
Account Account Account Account Account Account Account Account Account Account
Ratio of expenses, including indirect management fees 1.02% 1.11% 2.12% 2.54% 5.61% 7.85% 16.15% 8.19% (2) 0.50% 0.78%
Ratio of expenses, excluding indirect management fees 0.08% 0.19% 0.04% 0.21% 0.04% 0.04% 0.04% 0.25% (2) 0.15% 0.19%
Ratio of net investment income (loss) 0.77% 1.14% 1.18% 0.28% 0.81% —% 0.62% (488.92)% (2) 4.59% 0.03%
Ratio of expenses, including indirect management fees 1.43% 1.45% 3.81% 3.98% 15.75% 13.44% 10.80% N/A 0.53% 0.83%
Ratio of expenses, excluding indirect management fees 0.11% 0.20% (0.01)% 0.22% 0.04% 0.05% 0.02% N/A 0.16% 0.22%
Ratio of net investment income (loss) 2.14% 2.23% 0.53% 1.16% 0.66% (0.04)% (0.02)% N/A 5.02% 0.26%
Ratio of expenses, including indirect management fees 1.93% 2.03% 5.66% 9.21% 51.16% 0.06% N/A N/A 0.53% 0.57%
Ratio of expenses, excluding indirect management fees 0.19% 0.30% 0.06% 0.06% 0.06% 0.06% N/A N/A 0.15% 0.07%
Ratio of net investment income (loss) 0.15% 0.90% 0.46% 0.72% 0.15% (32.74)% N/A N/A 4.80% 0.60%
Ratio of expenses, including indirect management fees 1.67% 2.20% 7.96% 23.91% N/A N/A N/A N/A (0.26)% 1.00%
Ratio of expenses, excluding indirect management fees 0.18% 0.28% 0.05% 0.06% N/A N/A N/A N/A (0.59)% 0.60%
Ratio of net investment income (loss) 0.12% 0.31% 0.37% 4.62% N/A N/A N/A N/A 5.53% (0.90)%
Ratio of expenses, including indirect management fees 2.07% 2.37% 16.71% —% N/A N/A N/A N/A 0.79% 2.33%
Ratio of expenses, excluding indirect management fees 0.09% 0.18% 0.02% —% N/A N/A N/A N/A 0.50% 2.10%
Ratio of net investment income (loss) 0.14% —% (0.11)% —% N/A N/A N/A N/A 4.18% (1.64)%
Ratio of expenses, including indirect management fees 5.20% 10.88% —% N/A N/A N/A N/A N/A 1.13% 0.98%
Ratio of expenses, excluding indirect management fees 0.22% 1.81% —% N/A N/A N/A N/A N/A 0.80% 0.72%
Ratio of net investment income (loss) 3.70% (1.47)% —% N/A N/A N/A N/A N/A 3.94% 0.09%
(1)
(2)
2007
2010
between the beginning and end of the year.
2009
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total return and ratios not annualized.
2008
2012
Total
return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
2011
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
PRIT Fund Asset Allocation
As of June 30:
COMPREHENSIVE ANNUAL FINANCIAL REPORT 111 FISCAL YEAR 2016
The
following table is intended to provide readers of this CAFR with
further information regarding the financial position of the PRIT Fund
over
the past ten years. This table provides the change in assets during
this time period. This table should be read in conjunction with the
discussion on asset allocation in the Investment Section of this CAFR.
(1)
Includes Portable Alpha Wind Down and Natural Resources Private Wind
Down. Prior to January 1, 2010, Portable Alpha assets were
reflected in the Domestic Equity portfolio. Prior to January 31, 2016, Natural Resources Private assets were reflected in the
Timberland portfolio.2016 2015 2014 2013 2012 2011 2010 2009 2008 2007
Domestic Equity 18.7% 19.2% 19.0% 20.8% 19.2% 22.0% 19.9% 24.4% 26.1% 29.9%
International Equity 16.5% 16.9% 17.1% 18.0% 16.7% 21.7% 20.0% 19.0% 20.0% 21.0%
Emerging Markets 7.0% 6.6% 7.0% 6.5% 6.7% 6.6% 5.7% 5.0% 5.5% 5.5%
Core Fixed Income 13.9% 13.7% 13.9% 12.6% 13.0% 13.2% 14.0% 13.0% 16.8% 15.4%
Value-Added Fixed Income 8.4% 8.3% 8.5% 8.9% 8.6% 6.0% 7.0% 7.7% 5.0% 4.6%
Private Equity 11.1% 11.3% 11.1% 11.7% 12.1% 10.7% 10.6% 9.6% 8.4% 6.7%
Real Estate 10.4% 10.0% 8.9% 8.2% 9.7% 8.2% 9.1% 10.9% 10.9% 8.6%
Timberland 3.3% 3.8% 3.9% 4.0% 3.9% 4.0% 4.1% 4.7% 2.1% 3.2%
Hedge Funds 8.6% 9.1% 9.6% 9.2% 9.9% 7.2% 7.7% 5.7% 5.2% 5.1%
Liquidating Portfolios (1) 0.3% 0.1% 0.1% 0.1% 0.2% 0.4% 1.9% - - -
Overlay 0.5% 0.9% 0.9% - - - - - - -
Portfolio Completion Strategies 1.2% 0.2% - - - - - - - -
Totals may not add due to rounding.
Massachusetts Pension Reserves Investment Trust Fund
84 State St. Boston, MA 02109
www.mapension.com
Annual Comprehensive Financial Report
Fiscal Years Ended June 30, 2023 and 2022
Pension Reserves Investment Trust Fund
(A Component Unit of the Commonwealth of Massachusetts)
Deborah B. Goldberg, Treasurer and Receiver General, Chair
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer
Annual Comprehensive Financial Report
For the Years Ended June 30, 2023 and 2022
Pension Reserves Investment Trust Fund
(A Component Unit of the Commonwealth of Massachusetts)
Prepared By
Pension Reserves Investment Management Board Staff
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2023
For More Information
All correspondence may be directed to:
Client Services
Pension Reserves Investment Management Board
53 State Street
Boston, MA 02109
Telephone: 617-946-8401
Website: www.mapension.com
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2023
Table of Contents
Page
Introductory Section:
Letter of Transmittal 3 – 9
Certificate of Achievement for Excellence in Financial Reporting 10
PRIM Board Trustees 11
Advisory Committees to the PRIM Board 12 – 13
PRIM Board Management Organizational Chart 14
PRIM Board Investment Advisors 15
Financial Section:
Independent Auditors’ Report 16 – 18
Management’s Discussion and Analysis (Unaudited) 19 – 22
Basic Financial Statements:
Statements of Pooled Net Position 23
Statements of Changes in Pooled Net Position 24
Notes to Financial Statements 25 – 58
Other Supplementary Information:
Schedule of Pooled Net Position – Capital Fund and Cash Fund 59
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund 60
Investment Section:
Total PRIT Fund Performance Summary 61
Investment Strategy Overview 62 – 63
PRIT Core Performance: Fiscal Year 2023 64 – 65
Domestic Equity Portfolio 66 – 67
International Equity Portfolio 68 – 69
Emerging Markets Portfolio 70 – 71
Global Equity Emerging-Diverse Manager Program 71
Core Fixed Income Portfolio 72 – 74
Value-Added Fixed Income Portfolio 75 – 77
Real Estate Portfolio 78 – 80
Timberland Portfolio 81 – 82
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2023
Table of Contents, continued
Page
Private Equity Portfolio 83 – 86
Portfolio Completion Strategies Portfolio 87 – 88
Overlay 88
Schedule of Time-Weighted Returns by Asset Class 89
Investment Summary at Fair Value 90
Summary Schedule of Broker Commissions 91
Schedule of Management Fees 92
Schedule of Retirement Systems by Investment 93 – 94
Investment Policy Statement 95 – 96
Statistical Section:
Schedules of Changes in Pooled Net Position 97
Financial Highlights and Financial Highlights Ratios 98 – 107
PRIT Fund Asset Allocation 108
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2023
Introductory Section
PENSION RESERVES INVESTMENT TRUST FUND
Pension Reserves Investment Management Board
ANNUAL COMPREHENSIVE FINANCIAL REPORT 3 FISCAL YEAR 2023
November 30, 2023
To Chair Goldberg, the Trustees of the Pension Reserves Investment Management Board (the PRIM Board),
Committee members, Participants and Beneficiaries:
I am pleased to transmit the Annual Comprehensive Financial Report (ACFR) of the Massachusetts Pension
Reserves Investment Trust Fund (the PRIT Fund) for the fiscal year ending June 30, 2023. The document
that follows is the 19 th consecutive ACFR produced in the PRIM Board’s 39-year history. We hope that you
will find the ACFR useful in understanding the performance and financial position of the PRIT Fund as of
and for the fiscal year ended June 30, 2023.
The ACFR contains the basic financial statements presented in accordance with U.S. generally accepted
accounting principles (GAAP) and the standards applicable to financial audits set forth by Government
Auditing Standards. The ACFR and the basic financial statements are the responsibility of the PRIM Board.
The fiscal year 2023 audit was conducted by KPMG LLP, a firm of licensed certified public accountants.
The ACFR is divided into four major sections:
Introductory Section: This section contains the letter of transmittal, the Certificate of Achievement for
Excellence in Financial Reporting and outlines the PRIM Board’s organizational structure.
Financial Section: This section contains the report of the independent auditors, Management’s Discussion
and Analysis (MD&A), the financial statements of the PRIT Fund, the notes to the financial statements and
supporting schedules.
Investment Section: This section contains a summary of the PRIT Fund’s investment strategy, investment
policies, investment holdings, investment results and supporting tables and schedules.
Statistical Section: This section contains information regarding financial ratios of the PRIT Fund.
Within the financial section, the MD&A follows the independent auditors’ report and provides an overview
of the PRIT Fund’s financial statements and financial results. The MD&A complements this letter of
transmittal and should be read in conjunction with this letter. Responsibility for both the accuracy and
completeness of the data and the contents of this report rests with the PRIM Board. The PRIM Board has
implemented a system of internal controls designed to provide reasonable assurance that the financial
statements are free from material misstatements, that all assets will be properly safeguarded and that
transactions will be properly executed. The concept of reasonable assurance recognizes that the cost of a
control should not exceed the benefits to be derived. The objective is to provide reasonable, rather than
absolute, assurance that the financial statements are free of any material misstatements.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 4 FISCAL YEAR 2023
Profile of the PRIT Fund
The PRIT Fund is a pooled investment trust fund established to invest the assets of the Massachusetts State
Teachers’ and Employees’ Retirement Systems, and the assets of county, authority, district, and municipal
retirement systems. The PRIT Fund was created by the Legislature in 1983 (Chapter 661 of the Acts of 1983)
with a mandate to accumulate assets through investment earnings to reduce the Commonwealth’s
unfunded pension liability, and to assist local participating retirement systems in meeting future pension
obligations. The PRIT Fund merged with the Massachusetts State Teachers’ and Employees’ Retirement
Systems (MASTERS) Trust in 1997, in accordance with Chapter 315 of the Acts of 1996.
The Massachusetts State Teachers’, State Employees’ and State-Boston/Teachers’ Retirement Systems, and
the State Retiree Benefits Trust Fund (SRBTF), are mandated by statute to invest all of their assets in the
PRIT Fund. Other retirement systems may voluntarily invest all or part of their assets in the PRIT Fund.
Furthermore, Chapter 84 of the Acts of 1996 explicitly granted retirement boards the ability to invest only
in individual asset classes of the PRIT Fund through a segmentation program. See Note 1 of the financial
statements for more information on the profile and background of the PRIT Fund.
The most recent Commonwealth Actuarial Valuation Report, dated November 21, 2022, calculated the
Commonwealth’s unfunded actuarial pension liability at $40.0 billion. The Commonwealth Actuarial
Valuation Report estimates that, as of January 1, 2022, the pension liability is 64.3% funded. It should be
noted that the unfunded actuarial pension liability is calculated on a calendar year basis.
The PRIM Board seeks to maximize the return on the PRIT Fund investments within acceptable levels of risk
and cost for a public pension fund, by broadly diversifying its investment portfolio, capitalizing on
economies of scale to achieve cost-effective operations, and gaining access to high quality, innovative
investment management firms. The PRIT Fund’s Investment Policy Statement establishes investment
objectives and policies designed to provide a framework for implementing investment strategy and
oversight. A summary of the Investment Policy Statement is included in the Investment Section.
As of June 30, 2023, the PRIT Fund had approximately $96.6 billion in net position compared to $92.4 billion
at the end of fiscal year 2022. The PRIM Board contracts with a custodian bank to safeguard investment
holdings and to ensure the proper settlement and recording of investment and cash transactions.
Executive Director/ Chief Investment Officer Discussion
Fiscal Year 2023 (FY2023) was a successful and productive year in an abnormally volatile and complex
investment environment. The PRIT Fund ended with a record balance of $96.6 billion for the fiscal year
ended June 30, 2023, surpassing the previous record of $95.7 billion set in fiscal year 2021. Net outflows
to pay pension benefits during the year were $986 million. The PRIT Fund returned 6.0% (5.6%, net) for
the fiscal year and posted strong positive gains in each of the last three quarters. In FY2023, U.S. stocks
were up 19.7%, developed international stocks were up 17.5%, and emerging markets stocks were up 9.1%,
while diversified bonds were down less than 1%. The highest returning PRIT Fund asset classes included
Global Equities, up 17.4%, Value-Added Fixed Income, up 7.7%, and Timberland, up 5.9%. Core Fixed
Income was weaker, down 2.7%, while Real Estate and Private Equity, which are lagged one quarter, were
down 2.8% and 3.5%, respectively. The investment team researched and deployed $5.4 billion in Board-
approved investments in FY2023.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 5 FISCAL YEAR 2023
The solid gain in FY2023 followed the tumultuous fiscal year 2022 (FY2022) in which U.S. equities were
down 10.6%, developed international equities were down 17.7%, emerging markets equities were down
25.2%, and diversified bonds were down 10.3%. The FY2022 PRIT Fund return of -3.0% (-3.4%, net) was a
strong result in a weak market. While the PRIM Board cannot control market returns or the factors that
have fueled the recent volatility in the markets, the PRIM Board staff carefully control the construction of
the PRIT Fund to perform well in both strong and weak markets. The last three fiscal years have provided
an extraordinary test, and we remain pleased and confident in the resiliency of the PRIT Fund and its
performance over all time periods and throughout several different market environments. The PRIT Fund’s
trailing 3-, 5-, and 10-year returns remain strong and consistently above benchmarks and the required
actuarial rate of return.
The PRIM Board is comprised of 68 highly trained, experienced, and dedicated employees after hiring eight
new full-time employees and nine seasonal interns in FY2023. Six of the eight new employees are diverse
in terms of race and/or gender and all interns are diverse. The PRIM Board’s workforce is now 62% diverse
with 52% of our workforce identifying as female.
The work of the PRIM Board staff continues to receive local and national recognition. In FY2023, the PRIM
Board’s Private Equity portfolio ranked third out of 176 U.S. public pension plans based on 10-year
performance. The PRIM Board ranked eighth in the U.S. for assets managed by diverse managers according
to Pensions & Investments. The PRIM Board received the Commonwealth’s “Equity in Governance Award”
for the FUTURE Initiative, Institutional Investor’s “Partnership of the Year” award for our role in the
Aggregate Confusion Project, and the Certificate of Achievement for Excellence in Financial Reporting from
the Government Finance Officers Association for the eighteenth consecutive year. The PRIM Board also
successfully completed the CFA Institute’s Global Investment Performance Standards of Integrity and
Transparency, a standard with which only a small handful of other pension funds comply.
More recently, PE-WIN, the Private Equity Women Investor Network, the preeminent organization for
senior-level women investment professionals in private equity, recognized the PRIM Board as “Limited
Partner of the Year” for “empowering women in private equity.” The award reflected the PRIM Board’s
work on investing with women and diverse managers via the FUTURE Initiative and the strong leadership
presence of women on our own Private Equity team. The PRIM Board’s Private Equity team also won Alpha
Edge recognition for Alpha Generation from “Institutional Investor.” Institutional Investor cited the PRIM
Board’s strong leadership culture, collaboration, thesis-driven approach to manager selection, our annual
commitment modeling process, and our strong long-term performance in the asset class.
The FUTURE Initiative, the program to increase the diversity of the PRIM Board’s investment managers and
vendors to at least 20% by increasing access for minorities, female, and disabled investment managers and
business partners, had a successful year in FY2023, investing approximately $2.2 billion with diverse
managers over five asset classes. The PRIT Fund currently invests more than $9.9 billion with diverse
investment managers, more than 10% of the PRIT Fund. With a ranking of eighth among the largest 200
funds in the U.S. for our allocation to diverse managers, the PRIM Board is above its ranking in total assets
under management. Additionally, the PRIM Board doubled its total deployment to emerging, diverse
managers to more than $470 million.
On Environmental, Social and Governance (ESG) issues, the PRIM Board developed and approved the ESG
Committee Charter, members were appointed, and the Committee held its inaugural meeting. The PRIM
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 6 FISCAL YEAR 2023
Board recruited and hired its first-ever Director of Stewardship to support the Committee and its work in
the space. The PRIM Board voted 12,367 proxy ballots aligned with its progressive proxy voting guidelines
on areas such as board diversity requirements, over-boarded directors, gender pay gaps, labor and human
rights, climate change, and executive compensation. The PRIM Board adopted new proxy voting guidelines
to vote for shareholder resolutions that require companies to provide access to the full range of
reproductive healthcare and comprehensive parental leave and to vote for shareholder resolutions that
request companies to provide greater disclosure of corporate campaign financing. The PRIM Board
continues to support the MIT Sloan School of Management’s Aggregate Confusion Project (ACP) as its first
founding member. The goal of ACP is to develop tools to address inconsistencies in the measurement of
ESG data, which has become widely recognized as an obstacle in ESG investing.
The focus and efforts of the PRIM team were nothing short of remarkable under the unique circumstances
of the year, delivering not only strong investment performance but also extraordinary non-investment
innovation and responsiveness. We thank the entire PRIM Board staff and our Board and committee
members for their support, dedication, and hard work over the past year.
PRIT Total Core Fund Returns
(Gross of Fees) Annualized Returns as of June 30, 2023
Source: BNY Mellon. Total Core Benchmark includes private equity benchmark.
6.0%
10.2%
7.8% 8.5%8.9% 7.7% 6.7% 7.2%
-2.9%
2.5%
1.1% 1.3%
-5.0%
0.0%
5.0%
10.0%
15.0%
1 Year 3 Year 5 Year 10 Year
Returns
Total Fund Return Total Core Benchmark Value Added
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 7 FISCAL YEAR 2023
PRIT Performance by Asset Class
(Gross of Fees) Annualized Returns as of June 30, 2023
Source: BNY Mellon. Totals may not add due to rounding. *Benchmark is actual performance.
PRIT Fund Periodic Table of Returns
(Gross of Fees) as of June 30, 2023
1 Year 3 Year 5 Year 10 Year
GLOBAL EQUITY
17.4%
PRIVATE EQUITY
28.5%
PRIVATE EQUITY
21.3%
PRIVATE EQUITY
20.3%
VALUE-ADDED FIXED
INCOME
7.7%
REAL ESTATE
12.6%
REAL ESTATE
8.9%
REAL ESTATE
9.8%
TIMBER
5.9%
GLOBAL EQUITY
11.9%
GLOBAL EQUITY
8.0%
GLOBAL EQUITY
9.0%
PCS
3.5%
TIMBER
8.4%
VALUE-ADDED FIXED
INCOME
5.0%
TIMBER
6.3%
CORE FIXED INCOME
(2.7%)
VALUE-ADDED FIXED
INCOME
7.3%
TIMBER
5.0%
VALUE-ADDED FIXED
INCOME
4.7%
REAL ESTATE
(2.8%)
PCS
5.9%
PCS
2.8%
PCS
3.8%
PRIVATE EQUITY
(3.5%)
CORE FIXED INCOME
(5.1%)
CORE FIXED INCOME
1.1%
CORE FIXED INCOME
2.6%
Source: BNY Mellon. Returns as of June 30, 2023
17.4%
7.7%
5.9%
3.5%
-2.7%
-2.8%
-3.5%
16.0%
7.5%
11.3%
6.1%
-3.0%
-4.0%
-3.5%
1.5%
0.2%
-5.4%
-2.6%
0.2%
1.2%
0.0%
-15.0%
-5.0%
5.0%
15.0%
25.0%
Global Equity Value Added
Fixed Income
Timberland Portfolio
Completion
Strategies
Core Fixed
Income
Real Estate Private
Equity*
Returns
Asset Class Benchmark Value Added
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 8 FISCAL YEAR 2023
Fiscal Year 2023 Highlights
1. Pension & Investments ranked the PRIM Board eighth among the largest 200 funds in the U.S. for assets
managed by diverse managers. The PRIM Board invests over $9.9 billion, or more than 10% of the PRIT
Fund, with diverse investment managers across all asset classes.
2. The PRIM Board received the Commonwealth’s Equity in Governance Award for the FUTURE Initiative.
The award recognizes “an employee or group of employees who have demonstrated commitment to
and attainment of the principles of equity” for activity that “promotes the participation of minority and
women business enterprises,” among other things.
3. For the 18th consecutive year, the PRIM Board was awarded the Government Finance Officers
Association’s Certificate of Achievement for Excellence in Financial Reporting.
4. For the 5th consecutive year, the PRIM Board has completed the CFA Institute’s Global Investment
Performance Standards of Integrity and Transparency. The PRIM Board is one of only a handful of large
public pension plans to comply with the GIPS standards.
5. Anthony J. Falzone, the PRIM Board’s Deputy Executive Director and Chief Operating Officer, and Jay
Leu, Director of Risk, were awarded the Treasurer’s 2022 Citation for Outstanding Performance. Those
selected for this honor have made notable contributions to the office of the Treasurer, its agencies,
and the citizens of Massachusetts.
6. The Office of the State Auditor Completed its audit of the PRIM Board, which “determined whether the
PRIM Board developed a plan to ensure that not less than 20% of its investment managers are owned
by minorities, women, or people with disabilities, in accordance with Section 23(8)(a-c) of Chapter 32
of the General Laws” noting “no significant instances of noncompliance.”
7. The PRIM Board hosted its first Environmental, Social, and Governance (ESG) Committee meeting,
presenting the PRIM Board’s Stewardship Program Goals & Objectives and Workplan as well as an
overview of the PRIM Board’s current Stewardship initiatives, including: External DEI, Internal DEI,
Proxy Voting, and the Aggregate Confusion Project.
8. The PRIM Board deployed $5.4 billion in new investments during fiscal year 2023.
9. The PRIM Board recruited and onboarded eight new full-time employees, six diverse in regard to
gender, race, or both.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 9 FISCAL YEAR 2023
Acknowledgements
The PRIM Board’s success is inextricably linked to the diligence of our Board and its Chair, Treasurer
Deborah B. Goldberg. We are truly privileged to have volunteers of such high caliber and professional
achievement on the Board and its committees, and we recognize that our success is largely due to their
dedication, hard work, and expert oversight.
Very respectfully,
Michael G. Trotsky, CFA
Executive Director and Chief Investment Officer
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 10 FISCAL YEAR 2023
Certificate of Achievement for Excellence in Financial Reporting
The Government Finance Officers Association of the United States and Canada (GFOA) awarded a
Certificate of Achievement for Excellence in Financial Reporting to the PRIM Board for its annual
comprehensive financial report for the fiscal year ended June 30, 2022. This was the 18 th consecutive year
that the PRIM Board has achieved this prestigious award. In order to be awarded a Certificate of
Achievement, an entity must publish an easily readable and efficiently organized annual comprehensive
financial report. This report must satisfy both U.S. generally accepted accounting principles and applicable
legal requirements.
A Certificate of Achievement is valid for a period of one year only. We believe that our current annual
comprehensive financial report continues to meet the Certificate of Achievement Program’s requirements
and we are submitting it to the GFOA to determine its eligibility for another certificate.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 11 FISCAL YEAR 2023
PRIM Board Trustees
June 30, 2023
Deborah B. Goldberg, Chair, Ex Officio Member
State Treasurer & Receiver General, Commonwealth of Massachusetts
Robert L. Brousseau, Elected Representative, Teachers’ Retirement System
Retired Teacher, Town of Wareham Public School System
Catherine D’Amato, Designee of the Governor
President and CEO, Greater Boston Food Bank
Ruth Ellen Fitch, Esq., Appointee of the State Treasurer
Retired President and CEO, The Dimock Center
Theresa F. McGoldrick, Esq., Elected Member, State Employees’ Retirement Board
National Executive Vice President, National Association of Government Employees
Peter Monaco, Appointee of the Governor
Managing Director, Raptor Group Holdings
Dennis J. Naughton, Elected Member, Teachers’ Retirement Board
Retired Educator, Millis Public Schools
Carly Rose, Appointee of the Governor
Public Safety Union Member
Paul E. Shanley, Esq., Elected Representative, State Employees' Retirement System
Director of Professional Liability, Amity Insurance, Quincy, MA
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 12 FISCAL YEAR 2023
Advisory Committees to the PRIM Board
June 30, 2023
Investment Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Joseph C. Bonfiglio
Massachusetts & Northern New England Laborers’ District Council
C. LaRoy Brantley
Investment Consultant
Catherine D’Amato
Board Member
Michael Even
Former President and CEO, Numeric Investors
Constance M. Everson, CFA
Managing Director, Capital Markets Outlook Group
Ruth Ellen Fitch, Esq.
Board Member
James B. G. Hearty
Retired Partner, Clough Capital
Peter Monaco
Board Member
Phillip H. Perelmuter
Former Managing Partner, Wellington Management
Philip Rotner
Chief Investment Officer, Boston Children’s Hospital
Paul E. Shanley, Esq.
Board Member
Glenn P. Strehle, CFA
Treasurer Emeritus, MIT
Timothy L. Vaill
Former Chairman & CEO, Boston Private Financial
Current CFO, Anbaric Energy
Real Estate and Timberland Committee
Jill S. Hatton, CRE, Chair
Real Estate Investment Professional
Deborah B. Goldberg
Ex Officio Board Member
Lydia Chesnick, Esq.
Partner, Bernkopf Goodman LLP
Robert Gifford
RGA Corp
Dr. Jack Lutz, PhD.
Forest Research Group
William F. McCall, Jr., CRE
McCall & Almy, Inc.
Garlan Morse, Jr., CRE
Morris and Morse Company, Inc.
Peter F. O’Connell
Marina Bay Company
Carly Rose
Board Member
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 13 FISCAL YEAR 2023
Advisory Committees to the PRIM Board, continued
June 30, 2023
Administration and Audit Committee
Robert L. Brousseau, Chair
Board Member
Deborah B. Goldberg
Ex Officio Board Member
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Catherine D’Amato
Board Member
James B. G. Hearty
Retired Partner, Clough Capital
Theresa F. McGoldrick, Esq.
Board Member
Dennis J. Naughton
Board Member
Michele A. Whitham, Esq.
Founder & Principal, Whitham Law LLC
Compensation Committee
Michele A. Whitham, Esq., Chair
Founder & Principal, Whitham Law LLC
Deborah B. Goldberg
Ex Officio Board Member
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Robert L. Brousseau
Board Member
Catherine D’Amato
Board Member
Environmental, Social and Governance (ESG) Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Mary Cerulli
Founder, Climate Finance Action
Michael Even
Former President and CEO, Numeric Investors
Ruth Ellen Fitch, Esq.
Board Member
Theresa F. McGoldrick, Esq.
Board Member
Dennis J. Naughton
Board Member
Poonam Patidar
Member, Mintz
Marcela Pinilla
Director of Sustainable Investing, Zevin
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 14 FISCAL YEAR 2023
PRIM Board Management Organizational Chart
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 15 FISCAL YEAR 2023
PRIM Board Investment Advisors*
Aberdeen Asset Management Inc.
Portfolio Completion Strategies Advisory Services
Hamilton Lane
Private Equity Advisory Services
International Woodland Company
Timberland Advisory Services
Meketa Investment Group
Public Market Advisory Services
NEPC, LLC
Asset Allocation Advisory Services
NewAlpha Asset Management
Portfolio Completion Strategies Advisory Services
* List of investment managers is provided for each investment portfolio in the Investment Section on pages 66–88.
See Schedule of Management Fees on page 92 in the Investment Section for investment management fees by asset class.
Summary Schedule of Broker Commissions listed by brokerage firms is in the Investment Section on page 91.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2023
Financial Section
PENSION RESERVES INVESTMENT TRUST FUND
16
Independent Auditors’ Report
The Administration and Audit Committee and Trustees,
Pension Reserves Investment Management Board:
Report on the Audit of the Financial Statements
Opinion
We have audited the financial statements of the Pension Reserves Investment Trust Fund (the PRIT
Fund), a component unit of the Commonwealth of Massachusetts, as of and for the years ended June 30,
2023 and 2022, and the related notes to the financial statements, which collectively comprise the PRIT
Fund’s basic financial statements for the years then ended as listed in the table of contents.
In our opinion, the accompanying financial statements referred to above present fairly, in all material
respects, the pooled net position of the PRIT Fund as of June 30, 2023 and 2022, and the changes in its
pooled net position for the years then ended in accordance with U.S. generally accepted accounting
principles.
Basis for Opinion
We conducted our audits in accordance with auditing standards generally accepted in the United States
of America (GAAS) and the standards applicable to financial audits contained in Government Auditing
Standards, issued by the Comptroller General of the United States. Our responsibilities under those
standards are further described in the Auditors’ Responsibilities for the Audit of the Financial Statements
section of our report. We are required to be independent of the PRIT Fund and to meet our other ethical
responsibilities, in accordance with the relevant ethical requirements relating to our audits. We believe
that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit
opinion.
Responsibilities of Management for the Financial Statements
Management is responsible for the preparation and fair presentation of the financial statements in
accordance with U.S. generally accepted accounting principles, and for the design, implementation, and
maintenance of internal control relevant to the preparation and fair presentation of financial statements
that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, management is required to evaluate whether there are conditions or
events, considered in the aggregate, that raise substantial doubt about the PRIT Fund’s ability to continue
as a going concern for twelve months beyond the financial statement date, including any currently known
information that may raise substantial doubt shortly thereafter.
Auditors’ Responsibilities for the Audit of the Financial Statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are
free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that
includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance
and therefore is not a guarantee that an audit conducted in accordance with GAAS and Government
Auditing Standards will always detect a material misstatement when it exists. The risk of not detecting a
material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involveKPMG LLP
Two Financial Center
60 South Street
Boston, MA 02111
KPMG LLP, a Delaware limited liability partnership and a member firm of
the KPMG global organization of independent member firms affiliated with
KPMG International Limited, a private English company limited by guarantee.
17
collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.
Misstatements are considered material if there is a substantial likelihood that, individually or in the
aggregate, they would influence the judgment made by a reasonable user based on the financial
statements.
In performing an audit in accordance with GAAS and Government Auditing Standards, we:
• Exercise professional judgment and maintain professional skepticism throughout the audit.
• Identify and assess the risks of material misstatement of the financial statements, whether due to
fraud or error, and design and perform audit procedures responsive to those risks. Such procedures
include examining, on a test basis, evidence regarding the amounts and disclosures in the financial
statements.
• Obtain an understanding of internal control relevant to the audit in order to design audit procedures
that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the PRIT Fund’s internal control. Accordingly, no such opinion is expressed.
• Evaluate the appropriateness of accounting policies used and the reasonableness of significant
accounting estimates made by management, as well as evaluate the overall presentation of the
financial statements.
• Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that
raise substantial doubt about the PRIT Fund’s ability to continue as a going concern for a reasonable
period of time.
We are required to communicate with those charged with governance regarding, among other matters,
the planned scope and timing of the audit, significant audit findings, and certain internal control related
matters that we identified during the audit.
Required Supplementary Information
U.S. generally accepted accounting principles require that the management’s discussion and analysis be
presented to supplement the basic financial statements. Such information is the responsibility of
management and, although not a part of the basic financial statements, is required by the Governmental
Accounting Standards Board who considers it to be an essential part of financial reporting for placing the
basic financial statements in an appropriate operational, economic, or historical context. We have applied
certain limited procedures to the required supplementary information in accordance with GAAS, which
consisted of inquiries of management about the methods of preparing the information and comparing the
information for consistency with management’s responses to our inquiries, the basic financial statements,
and other knowledge we obtained during our audits of the basic financial statements. We do not express
an opinion or provide any assurance on the information because the limited procedures do not provide us
with sufficient evidence to express an opinion or provide any assurance.
Supplementary Information
Our audit for the year ended June 30, 2023 was conducted for the purpose of forming an opinion on the
financial statements that collectively comprise the PRIT Fund’s basic financial statements for the year
ended June 30, 2023. The schedule of pooled net position – capital fund and cash fund and schedule of
changes in pooled net position – capital fund and cash fund for the year ended June 30, 2023 are
presented for purposes of additional analysis and are not a required part of the basic financial statements.
Such information is the responsibility of management and was derived from and relates directly to the
underlying accounting and other records used to prepare the basic financial statements. The information
has been subjected to the auditing procedures applied in the audit of the basic financial statements for
the year ended June 30, 2023 and certain additional procedures, including comparing and reconciling
18
such information directly to the underlying accounting and other records used to prepare the basic
financial statements or to the basic financial statements themselves, and other additional procedures in
accordance with GAAS. In our opinion, the information is fairly stated, in all material respects, in relation
to the basic financial statements as a whole for the year ended June 30, 2023.
Other Information
Management is responsible for the other information included in the annual comprehensive financial
report. The other information comprises the introductory, investment, and statistical sections but does not
include the basic financial statements and our auditors’ report thereon. Our opinion on the basic financial
statements does not cover the other information, and we do not express an opinion or any form of
assurance thereon.
In connection with our audits of the basic financial statements, our responsibility is to read the other
information and consider whether a material inconsistency exists between the other information and the
basic financial statements, or the other information otherwise appears to be materially misstated. If,
based on the work performed, we conclude that an uncorrected material misstatement of the other
information exists, we are required to describe it in our report.
Other Reporting Required by Government Auditing Standards
In accordance with Government Auditing Standards, we have also issued our report dated November 30,
2023 on our consideration of the PRIT Fund’s internal control over financial reporting and on our tests of
its compliance with certain provisions of laws, regulations, contracts, and grant agreements and other
matters. The purpose of that report is solely to describe the scope of our testing of internal control over
financial reporting and compliance and the results of that testing, and not to provide an opinion on the
effectiveness of the PRIT Fund’s internal control over financial reporting or on compliance. That report is
an integral part of an audit performed in accordance with Government Auditing Standards in considering
the PRIT Fund’s internal control over financial reporting and compliance.
Boston, Massachusetts
November 30, 2023
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2023 and 2022
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 19 FISCAL YEAR 2023
This section presents management’s discussion and analysis of the Pension Reserves Investment Trust Fund’s
(the PRIT Fund’s) financial performance for the fiscal years ended June 30, 2023 and 2022 and should be read in
conjunction with the financial statements, which follow this section.
The PRIT Fund is a pooled investment fund, created in 1983 through Massachusetts legislation, that invests the
assets of the State Teachers’ and State Employees’ Retirement Systems and the assets of county, authority,
school district, and municipal retirement systems that choose to invest in the PRIT Fund, as well as the assets of
the State Retiree Benefits Trust (SRBT) Fund.
The investment return percentages reported in management’s discussion and analysis are presented gross of
management fees.
Overview of the Financial Statements
The financial statements include the statements of pooled net position and the statements of changes in pooled
net position. They present the financial position of the PRIT Fund as of June 30, 2023 and 2022 and its financial
activities for the years then ended. The notes to the financial statements provide further information that is
essential to a full understanding of the financial statements. The notes describe the significant accounting policies
of the PRIT Fund and provide detailed disclosures on certain account balances. The supplementary schedules of
pooled net position and changes in pooled net position separately display the balances and activities of the
Capital Fund and Cash Fund of the PRIT Fund.
The financial statements of the PRIT Fund are reported using the economic resources measurement focus and
the accrual basis of accounting. They are prepared in conformity with U.S. generally accepted accounting
principles, as promulgated by the Governmental Accounting Standards Board (GASB).
Financial Highlights
Fiscal Year 2023
• The net position of the PRIT Fund increased $4.1 billion during the year ended June 30, 2023. Total net
position was $96.6 billion at June 30, 2023, compared to $92.4 billion at June 30, 2022.
• Net investment income for fiscal year 2023 was $5.1 billion, compared to net investment loss of $3.2 billion
for the prior fiscal year. The PRIT Fund returned 6.01%, gross of fees, in fiscal year 2023, compared to -2.95%
in fiscal year 2022.
• Contributions to the PRIT Fund totaled $3.5 billion during the year ended June 30, 2023, compared to $4.3
billion during the year ended June 30, 2022.
• Redemptions from the PRIT Fund totaled $4.5 billion during the year ended June 30, 2023, compared to $4.4
billion during the year ended June 30, 2022.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2023 and 2022
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 20 FISCAL YEAR 2023
Fiscal Year 2022
• The net position of the PRIT Fund Decreased $3.3 billion during the year ended June 30, 2022. Total net
position was $92.4 billion at June 30, 2022, compared to $95.7 billion at June 30, 2021.
• Net investment loss for fiscal year 2022 was $3.2 billion, compared to net investment income of $21.9 billion
for the prior fiscal year. The PRIT Fund returned -2.95%, gross of fees, in fiscal year 2022, compared to 29.91%
in fiscal year 2021.
• Contributions to the PRIT Fund totaled $4.3 billion during the year ended June 30, 2022, compared to $2.9
billion during the year ended June 30, 2021.
• Redemptions from the PRIT Fund totaled $4.4 billion during the year ended June 30, 2022, compared to $4.1
billion during the year ended June 30, 2021.
Condensed Financial Information
Summary balances and activities of the PRIT Fund as of and for the years ended June 30, 2023, 2022, and 2021
are presented below:
June 30
2023 2022 2021
Summary of pooled net position:
Assets:
Investments $ 100,382,001 96,805,918 99,813,545
Cash 160,920 254,404 219,795
Securities lending collateral 87,748 121,946 201,581
Receivables and other assets 1,855,800 1,494,813 2,169,161
Total assets 102,486,469 98,677,081 102,404,082
Liabilities:
Other liabilities 5,029,914 5,258,318 6,202,728
Securities lending obligations 841,326 872,820 451,560
Management fees payable to PRIM 53,812 116,888 50,949
Total liabilities 5,925,052 6,248,026 6,705,237
Net position held in trust for pool
participants $ 96,561,417 92,429,055 95,698,845
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2023 and 2022
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 21 FISCAL YEAR 2023
June 30
2023 2022 2021
Summary of changes in pooled net position:
Additions:
Contributions $ 3,469,500 4,342,091 2,910,244
Net investment income (loss) 5,118,252 (3,239,745) 21,944,914
Total additions 8,587,752 1,102,346 24,855,158
Deductions:
Redemptions 4,455,390 4,372,136 4,142,072
Change in pooled net position 4,132,362 (3,269,790) 20,713,086
Net position held in trust for pool participants:
Balance, beginning of year 92,429,055 95,698,845 74,985,759
Balance, end of year $ 96,561,417 92,429,055 95,698,845
The PRIT Fund Performance during the year ended June 30, 2023
The PRIT Fund began fiscal year 2023 with net position of $92.4 billion and ended the fiscal year with a net
position of $96.6 billion, representing a 4.47% increase. Net investment income for the year ended June 30, 2023
was $5.1 billion, which when added to net participant redemptions (contributions less redemptions) of $985.9
million, resulted in an overall increase in net position of $4.1 billion.
For the year ended June 30, 2023, the PRIT Fund returned 6.01% gross of fees, lagging its benchmark of 8.92% by
291 basis points. The benchmark provides a measure of how well the PRIT Fund has implemented its asset
allocation plan.
The asset classes of the PRIT Fund and related investment returns, gross of fees, for the year ended June 30, 2023
are as follows: Global Equity 17.43%; Core Fixed Income -2.72%; Value-Added Fixed Income 7.70%; Private Equity
-3.45%; Real Estate -2.81%; Timberland 5.93%; Portfolio Completion Strategies 3.52%; and Overlay 13.67%.
The PRIT Fund outperformed its benchmarks over the three-year, five-year, and ten-year periods and has
returned an average of 9.28%, gross of fees, annually since January 1, 1985. According to the Trust Universe
Comparison Service (TUCS) for Public Pension Funds, a widely accepted peer ranking of public pension funds
performance, the PRIT Fund ranked in the top quartile of public pension plans with net position in excess of $25
billion for the three-year period ended June 30, 2023.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2023 and 2022
(Unaudited)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 22 FISCAL YEAR 2023
The PRIT Fund Performance during the year ended June 30, 2022
The PRIT Fund began fiscal year 2022 with net position of $95.7 billion and ended the fiscal year with a net
position of $92.4 billion, representing a 3.42% decrease. Net investment loss for the year ended June 30, 2022
was $3.2 billion, which when added to net participant redemptions (contributions less redemptions) of $30.0
million, resulted in an overall decrease in net position of $3.3 billion.
For the year ended June 30, 2022, the PRIT Fund returned -2.95% gross of fees, outperforming its benchmark of
-4.90% by 195 basis points. The benchmark provides a measure of how well the PRIT Fund has implemented its
asset allocation plan.
The asset classes of the PRIT Fund and related investment returns, gross of fees, for the year ended June 30, 2022
are as follows: Global Equity -16.14%; Core Fixed Income -11.46%; Value-Added Fixed Income -3.04%; Private
Equity 27.29%; Real Estate 25.48%; Timberland 11.37%; Portfolio Completion Strategies -0.80%; and Overlay
-10.68%.
Other Information
This financial report is designed to provide a general overview of the PRIT Fund’s financial results. Additional
information can be found on the PRIM Board’s website at www.mapension.com. Questions concerning any of
the information provided in this report or requests for additional financial information should be addressed to
the Pension Reserves Investment Management Board, 53 State Street, Boston, Massachusetts 02109.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Pooled Net Position
June 30, 2023 and 2022
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 23 FISCAL YEAR 2023
2023 2022
Assets:
Investments, at fair value:
Short-term $ 1,239,749 1,635,564
Fixed income 20,656,079 20,686,408
Equity 36,843,256 33,243,865
Timberland 2,985,666 2,904,110
Private equity funds 16,619,860 16,837,964
Real estate:
Real estate properties 10,199,278 9,796,738
Equity 1,033,887 1,336,488
Real estate funds 804,345 481,793
Other 139,964 75,973
Total real estate 12,177,474 11,690,992
Portfolio completion strategies:
Investment funds 2,535,853 2,303,551
Equity 2,162,794 2,285,915
Fixed income 3,326,993 3,518,563
Cash and cash equivalents 1,278,224 1,106,108
Agricultural investments 556,053 592,878
Total portfolio completion strategies 9,859,917 9,807,015
Total investments 100,382,001 96,805,918
Cash 160,920 254,404
Securities lending collateral 87,748 121,946
Interest and dividends receivable 265,207 234,231
Receivable for investments sold and other assets 1,060,613 727,187
Securities sold on a when-issued basis 405,644 398,418
Foreign currency forward contracts 124,336 134,977
Total assets 102,486,469 98,677,081
Liabilities:
Securities sold short and other liabilities, at fair value:
Portfolio completion strategies 1,711,213 2,172,680
Fixed income 13,603 14,747
Total securities sold short and other liabilities 1,724,816 2,187,427
Payable for investments purchased and other liabilities 1,315,309 1,198,502
Real estate debt and other liabilities 804,256 875,298
Securities lending obligations 841,326 872,820
Securities purchased on a when-issued basis 1,041,180 915,314
Foreign currency forward contracts 144,353 81,777
Management fees payable to PRIM 53,812 116,888
Total liabilities 5,925,052 6,248,026
Net position held in trust for pool participants $ 96,561,417 92,429,055
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Changes in Pooled Net Position
Years ended June 30, 2023 and 2022
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 24 FISCAL YEAR 2023
2023 2022
Additions:
Contributions:
State employees $ 862,503 858,181
State teachers 1,097,164 1,058,832
Other participants 1,509,833 2,425,078
Total contributions 3,469,500 4,342,091
Net investment income (loss):
From investment activities:
Net realized gain on investments and foreign currency
transactions 791,567 4,831,600
Net change in unrealized appreciation (depreciation) on
investments and foreign currency translations 2,190,587 (9,901,811)
Interest 616,565 622,086
Dividends 951,652 910,551
Timberland 36,364 41,557
Private equity 83,568 134,138
Portfolio completion strategies 261,562 50,980
Real estate:
Income 627,416 594,530
Expenses (213,122) (231,520)
Total real estate 414,294 363,010
Income (loss) from investment activities 5,346,159 (2,947,889)
Investment management and other management fees (213,499) (295,929)
Net income (loss) from investment activities 5,132,660 (3,243,818)
From securities lending activities:
Securities lending income 6,609 6,359
Securities lending expenses (21,017) (2,286)
Net (loss) income from securities lending activities (14,408) 4,073
Total net investment income (loss) 5,118,252 (3,239,745)
Total additions 8,587,752 1,102,346
Deductions:
Redemptions:
State employees 1,513,900 1,509,113
State teachers 1,422,089 1,507,198
Other participants 1,519,401 1,355,825
Total deductions 4,455,390 4,372,136
Net increase (decrease) in pooled net position 4,132,362 (3,269,790)
Net position held in trust for pool participants:
Balance, beginning of year 92,429,055 95,698,845
Balance, end of year $ 96,561,417 92,429,055
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 25 FISCAL YEAR 2023
(1) Description of the Pension Reserves Investment Trust Fund
(a) General
The Pension Reserves Investment Trust Fund (the PRIT Fund), a component unit of the
Commonwealth of Massachusetts, was created in 1983 under Chapter 661 of the Acts of 1983, as
amended by Chapter 315 of the Acts of 1996. The PRIT Fund is a pooled investment fund that invests
the assets of the State Teachers’ and State Employees’ Retirement Systems of Massachusetts and
the assets of county, authority, school district, and municipal retirement systems that choose to
invest in the PRIT Fund, as well as the assets of the State Retiree Benefits Trust (SRBT) Fund. The PRIT
Fund is not registered with the Securities and Exchange Commission, but is subject to oversight
provided by the Pension Reserves Investment Management Board (the PRIM Board). The PRIM Board
was created by legislation to provide general supervision of the investments and management of the
PRIT Fund. The PRIM Board is a separate legal entity that issues its own financial statements, which
are not included in the accompanying financial statements of the PRIT Fund.
A nine-member Board of Trustees governs the PRIM Board. The Trustees include: (1) the Governor,
ex officio, or her designee; (2) the State Treasurer, ex officio, or her designee who shall serve as Chair
of the PRIM Board; (3) a private citizen experienced in the field of financial management appointed
by the State Treasurer; (4) an employee or retiree who is a member of the State Teachers’ Retirement
System, elected by the members of such system for a term of three years; (5) an employee or retiree
who is a member of the State Employees’ Retirement System, elected by the members of such system
for a term of three years; (6) the elected member of the State Retirement Board; (7) one of the
elected members of the Teachers’ Retirement Board chosen by the members of the Teachers’
Retirement Board; (8) a person who is not an employee or official of the Commonwealth appointed
by the Governor; and (9) a representative of a public safety union appointed by the Governor.
Appointed members serve for a term of four years. The Board of Trustees has the authority to employ
an Executive Director, outside investment managers, custodians, consultants, and others as it deems
necessary; to formulate policies and procedures; and to take such other actions as necessary and
appropriate to manage the assets of the PRIT Fund.
The PRIM Board seeks to manage the PRIT Fund to ensure that pension assets are well invested so
that current and future benefit obligations are adequately funded in a cost-effective manner. The
PRIM Board therefore seeks to maximize the total return on investment within acceptable levels of
risk and cost for a public pension fund. Under current law, by the year 2040, the PRIT Fund plans to
have grown, through annual payments in accordance with a legislatively approved funding schedule
and through total return of the PRIT Fund, to an amount sufficient to meet the then-existing pension
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 26 FISCAL YEAR 2023
obligations of the Commonwealth. The Commonwealth has adopted a schedule of state pension
appropriations that assumes a long-term actuarial rate of return for the PRIT Fund of 7.0%.
The State Teachers’ and State Employees’ Retirement Systems and the SRBT Fund are mandated by
statute to invest all of their assets in the PRIT Fund and are, therefore, considered involuntary
participants. The assets of the State-Boston Retirement System attributable to teachers who are
members of that system are also mandated to be held in the PRIT Fund. Other retirement systems
have the option to become Participating or Purchasing System participants in the PRIT Fund.
Participating Systems must transfer all of their assets to the PRIT Fund, commit to remain invested
for five years, and are entitled to share in appropriations made to the PRIT Fund by the
Commonwealth in accordance with Massachusetts General Laws, Chapter 32, Section 22B. The
Commonwealth has made no such appropriation to the PRIT Fund on behalf of Participating Systems
since fiscal year 2000.
Purchasing Systems may invest all or a portion of their assets in the PRIT Fund and retain the ability
to contribute and withdraw funds at their discretion; however, they are not entitled to state
appropriations. Participating and Purchasing Systems share in the investment earnings of the PRIT
Fund based on their proportionate share of net position. As of June 30, 2023, there were 38
Participating Systems and 62 Purchasing Systems invested in the PRIT Fund.
(b) Investment Funds
The PRIT Fund consists of two investment funds, the Capital Fund and the Cash Fund. Each of these
funds is managed, accounted for, and held separately by the PRIT Fund’s custodian.
The Cash Fund consists of short-term investments, which are used to meet the liquidity requirements
of Participating and Purchasing Systems. All Cash Fund earnings are reinvested. The State Teachers’
Retirement System and the State Employees’ Retirement System make daily deposits into the Cash
Fund, which is their source of funds for benefit payments and operating expenses. The Cash Fund
maintains a stable net position value of $1.00 per unit.
Assets contributed by retirement systems are initially deposited in the Cash Fund and then
transferred to the Capital Fund. Funds transferred into the Capital Fund are generally invested in the
General Allocation Account, which invests in all asset classes of the PRIT Fund in accordance with the
PRIM Board’s asset allocation plan and investment policy guidelines. The Capital Fund serves as the
investment portfolio of the PRIT Fund and consists of the following accounts: General Allocation
(holds units of all other accounts), Domestic Equity, International Equity, Emerging Markets Equity,
Global Equity Emerging-Diverse Manager Program, Core Fixed Income, Public Value-Added Fixed
Income, Real Estate, Timberland, Hedge Funds, Private Debt, Overlay, Real Assets, Other Credit
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 27 FISCAL YEAR 2023
Opportunities, Liquidating Portfolios, Private Equity Investments, and Private Equity Investments
Vintage Years 2000-2023. Vintage Year refers to the calendar year in which the PRIT Fund made a
commitment to invest in a private equity investment.
Upon deposit by a Participating or Purchasing System into the accounts of the Capital Fund, units of
participation equal to the total value of the contribution are issued. The value of a unit of each
account is determined monthly by dividing the value of the net position of the account by the number
of units outstanding at each month-end valuation date. The unit price fluctuates with the
performance of the Capital Fund. The number of units generally changes only when a retirement
system makes a contribution or redemption.
Chapter 84 of the Acts of 1996 permits Massachusetts retirement boards to purchase units in the
individual investment accounts of the PRIT Fund as an alternative to investing in its General Allocation
Account. This investment option, also referred to as “segmentation,” was established by an
amendment to the PRIM Board’s Operating Trust Agreement in 1994 in response to requests from
retirement boards wishing to invest in certain asset classes of the PRIT Fund. Purchasing Systems, as
“segmented investors,” may invest in one or more of the following accounts of the Capital Fund:
Domestic Equity, International Equity, Emerging Markets, Core Fixed Income, Public Value-Added
Fixed Income, Real Estate, Hedge Funds, and Private Equity Vintage Year accounts. At June 30, 2023
and 2022, there were 44 segmented investors in the PRIT Fund. The remaining Purchasing Systems
invested in the General Allocation Account.
(2) Summary of Significant Accounting Policies
(a) Basis of Accounting and Financial Statement Presentation
The financial statements of the PRIT Fund are reported using the economic resources measurement
focus and the accrual basis of accounting. They are prepared in conformity with U.S. generally
accepted accounting principles, which require management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, and disclosure of contingent assets and
liabilities, at the dates of the financial statements and the reported amounts of additions and
deductions during the reporting periods. Actual results could differ from those estimates.
The PRIT Fund follows Governmental Accounting Standards Board (GASB) guidance as applicable to
external investment pools.
The PRIT Fund consolidates assets and liabilities of its single-member limited liability corporations.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 28 FISCAL YEAR 2023
(b) Investments
The PRIM Board recognizes that over the long term, asset allocation is the single greatest contributor
of return and risk to the PRIT Fund. The PRIM Board’s asset allocation plan embodies its decisions to
invest portions of the Capital Fund in global equity securities, core fixed income securities, value-
added fixed income, real estate, timberland, private equity, portfolio completion strategies and,
where appropriate, the various sub asset classes of each asset class. Statutes prohibit the PRIT Fund
from investing in certain securities. The PRIM Board ensures that investment managers adhere to
the requirements of Massachusetts General Laws.
Security transactions are recorded on the date the securities are purchased or sold. The cost of a
security is the purchase price or, in the case of assets transferred to the PRIT Fund by a Participating
or Purchasing System, the fair value of the securities on the transfer date. The calculation of realized
gains (losses) is independent of the calculation of the net change in unrealized appreciation
(depreciation) on investments. Realized gains and losses on investments sold in the current year
include previously recorded unrealized amounts and are included in net realized gain on investments
in the accompanying statements of changes in pooled net position. Realized gains and losses on
security transactions are determined using cost calculated on an average cost basis.
The PRIM Board values investments in fixed income, money market, other short-term investments,
and U.S. government agency obligations using independent pricing services. In determining the price,
the services may reflect such factors as market prices, yields, maturities, and ratings, supplemented
by dealer quotations. Investments in equity securities, including exchange-traded funds, traded on
national securities exchanges are valued at the last daily sale price or, if no sale price is available, at
the closing bid price. Securities traded on any other exchange are valued in the same manner or, if
not so traded, on the basis of closing over-the-counter (OTC) bid prices. If no bid price exists,
valuation is determined either by establishing the mean between the most recent published bid and
asked prices or averaging quotations obtained from dealers, brokers, or investment bankers.
Securities for which such valuations are unavailable are reported at their fair value as estimated in
good faith by the PRIM Board based on information provided by the investment managers
responsible for such investments. Fair values for investments in pooled investment vehicles
(commingled funds), such as mutual and similar funds with a readily determinable fair value, are
based on the commingled fund’s published net asset value (NAV) which are valued based on the
underlying marketable securities or, in the absence of readily ascertainable fair values, the price of
similar securities or other observable or unobservable inputs.
The PRIT Fund invests a portion of its assets in emerging capital markets. These investments may
involve greater risks than investments in more developed markets, and the prices of such
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 29 FISCAL YEAR 2023
investments may be volatile. The consequences of political, social, or economic changes in these
markets may have disruptive effects on the market prices of these investments and the income they
generate, as well as the PRIT Fund’s ability to repatriate such amounts.
As described further below, certain qualifying investments may be measured using NAV as a practical
expedient to estimate fair value unless as of the measurement date it is probable that the PRIT Fund’s
interest will be sold at an amount different than NAV. As of June 30, 2023 and 2022, the PRIT Fund
had no plans or intentions to sell such investments at amounts other than NAV.
Investments in real estate represent the PRIT Fund’s ownership interest in PRIT Core Realty Holdings
LLC (the LLC). On October 19, 2001, the LLC was formed and was governed by an operating agreement
entered into by the PRIM Board, as trustee of the PRIT Fund, as the sole member. The principal
purpose of the LLC is to conduct the investment activities of the real estate program in a manner
consistent with the PRIT Fund Declaration of Trust and any business or activities incidental to or in
support of such investment activities.
The LLC holds investments in real estate properties, real estate fund investments, and Real Estate
Investment Trust (REIT) securities. Investments in real estate properties are stated at fair value based
on appraisals prepared by independent real estate appraisers or on estimated valuations determined
by the PRIM Board assuming highest and best use of the assets. These estimated valuations are based
on valuations prepared by the real estate investment managers under the general supervision of the
PRIM Board. Generally, third-party appraisals are performed on each real estate property within 18
months of the date of acquisition and at least annually thereafter. Determination of fair value
involves judgment because the actual fair value of a real estate investment can be determined only
by negotiation between parties in a sales transaction. Due to the inherent uncertainty of valuation,
fair values used may differ significantly from values that would have been determined had a ready
market for the investments existed, and the differences could be material. Real estate fund
investments are invested through limited partnerships and are recorded at fair value estimated by
the PRIM Board, generally using the NAVs provided by general partners as a practical expedient. The
NAVs provided by general partners are generally based on appraised value of underlying real estate
investments, which considers inputs such as comparable sales, projected income, discount rate, and
capitalization rates. REIT securities are publicly traded securities and are valued in the same manner
as the PRIT Fund’s traded equity securities.
Investments in timberland are valued similarly to investments made by the LLC in real estate
properties. Independent appraisals of timberland investments are performed annually.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 30 FISCAL YEAR 2023
Portfolio completion strategies investments represent the PRIT Fund’s ownership in direct hedge
funds, hedge fund-of-funds, a distressed loan fund, and real assets funds (collectively, the funds),
managed accounts, and agricultural investments. The fair values of the PRIT Fund’s interest in funds
are estimated by the PRIM Board, generally using NAVs provided by fund managers as a practical
expedient. NAVs for direct hedge funds, distressed loan, and real assets funds generally are based on
the value of the underlying marketable securities or assets, or in the absence of readily ascertainable
fair values, the price of identical or similar securities or assets. NAVs for hedge fund-of-funds are
generally based on the value of the NAVs of the underlying funds which value their investments
similar to direct hedge funds. Managed account investments in equity securities, fixed income, and
other investments are valued using independent pricing services. In the event that pricing
information is not available, then the investment is reported at fair value as estimated in good faith
by the PRIM Board based on information provided by the investment manager responsible for such
investment. Cash and cash equivalents held in managed accounts consist of cash and highly liquid
investments that are readily convertible into cash. The carrying amount of these investments
approximates fair value. Agricultural investments are valued similarly to investments made by the
LLC in real estate properties and are generally appraised annually.
Private equity investments are typically made through limited partnerships that invest in venture
capital, leveraged buyouts, private placements, and other investments whose structure, risk profile,
and return potential differ from traditional equity and fixed income investments. These investments
are recorded at fair values estimated by the PRIM Board, generally using the NAVs provided by
general partners as a practical expedient. The NAVs generally are based on the value of underlying
investment holdings, which are determined by investment managers and consider variables such as
operating results, earnings of the underlying holdings, projected cash flows, recent sales prices, and
other pertinent information. These estimated fair values are determined in good faith by investment
managers or general partners using consistently applied procedures.
(c) Investment Income
Dividend income is recorded on the ex-dividend date and interest income is accrued as earned. For
the years ended June 30, 2023 and 2022, foreign taxes withheld of $30,906 and $28,994, respectively,
have been netted against dividend income in the statements of changes in pooled net position. Real
estate income includes dividends earned on REIT securities as well as cash distributions of operating
income from investments in real estate properties. Timberland income includes cash distributions of
operating income from investments in timberland properties. Private equity income is recorded on
a cash distribution basis. Portfolio completion strategies income includes cash distributions of
operating income from agricultural investments as well as investment income from managed
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 31 FISCAL YEAR 2023
accounts. Distributions that represent returns of capital in excess of cumulative profits and losses are
credited to investment cost rather than investment income.
(d) Foreign Currency Translation and Transactions
The accounting records of the PRIT Fund are maintained in U.S. dollars. Investment securities and
other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the
prevailing rates of exchange at month-end. Purchases and sales of securities, income receipts, and
expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective
dates of the transactions.
Unrealized net currency gains and losses from valuing foreign currency-denominated assets and
liabilities at month-end exchange rates are reflected within net unrealized appreciation
(depreciation) on investments.
Net realized gains and losses on foreign currency transactions represent principally gains and losses
from sales and maturities of forward foreign currency contracts, disposition of foreign currencies,
and currency gains and losses realized between the trade and settlement dates on securities
transactions.
(e) Derivative Instruments
In accordance with GASB Statement No. 53, Accounting and Financial Reporting of Derivative
Instruments, the PRIT Fund has recorded all of its derivative activity at fair value as investment
instruments within equity, fixed income, portfolio completion strategies, and real estate investments
and the related change in such instruments within the net change in unrealized appreciation
(depreciation) on investments and foreign currency translations in the accompanying financial
statements. As described in GASB Statement No. 72, Fair Value Measurement and Application (GASB
72), a credit valuation adjustment should be applied, when applicable, for nonperformance risk using
the PRIT Fund’s credit risk (liability) in determining fair value.
The PRIT Fund regularly trades derivative financial instruments with off-balance sheet risk in the
normal course of its investing activities to manage exposure to certain risks within the fund. The PRIT
Fund also enters into derivative transactions to gain exposure to currencies and markets where
derivatives are the most effective instrument. The PRIT Fund’s derivative financial instruments
include contracts for differences, foreign currency exchange contracts, financial and commodity
futures contracts, and customized swap agreements (see note 7 for more detail). These derivative
instruments can be exchange-traded or OTC contracts. The primary difference in risk associated with
OTC contracts and exchange-traded contracts is credit and liquidity risks. For exchange-traded
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 32 FISCAL YEAR 2023
contracts, credit risk is limited to the role of the exchange or clearing corporation. OTC contracts
contain credit risk for unrealized gains from various counterparties for the duration of the contract.
(f) When-Issued Securities Transactions
The PRIT Fund may purchase or sell securities on a “when-issued” or delayed-delivery basis. Delivery
and payment for such securities may take place a month or more after the trade date. Normally,
settlement occurs within three months. The price of the underlying securities and the date when the
securities will be delivered and paid for are fixed at trade date. During the time a delayed delivery
sell transaction is outstanding, the contract is marked to market daily and substantially equivalent
deliverable securities are held by the PRIT Fund for the transaction to the extent available. For
delayed delivery purchase transactions, the PRIT Fund maintains segregated assets with a fair value
equal to or greater than the amount of its purchase commitments. The receivables and payables
associated with the sale and purchase of delayed delivery securities are reflected in the
accompanying statements of pooled net position as securities sold and purchased on a when-issued
basis. Losses may arise due to changes in the value of the underlying securities, if the counterparty
does not perform under the contract, or if the issuer does not issue the securities due to political,
economic, or other factors.
The PRIT Fund may also enter into mortgage dollar-roll and reverse mortgage dollar-roll agreements
on a when-issued basis. A mortgage dollar-roll is an agreement in which the PRIT Fund sells securities
on a when-issued basis and simultaneously contracts with the same counterparty to repurchase
similar (same type, coupon, and maturity) but not identical securities on a specified future date.
During the roll period, principal and interest on these securities are not received. The PRIT Fund is
compensated by the difference between the current sales price and the forward price for the future
purchase. A reverse mortgage dollar-roll is an agreement to buy securities and to sell substantially
similar securities on a specified future date. During the roll period, the PRIT Fund receives the
principal and interest on the securities purchased. The receivables and payables associated with
mortgage dollar-rolls and reverse mortgage dollar-rolls are also reflected in the accompanying
statements of pooled net position as securities sold and purchased on a when-issued basis.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 33 FISCAL YEAR 2023
(3) Fair Value Measurements of Investments
In accordance with GASB 72, except for investments measured using NAV as a practical expedient to
estimate fair value, the PRIT Fund categorizes the fair value measurements of its investments within the
fair value hierarchy established by generally accepted accounting principles. The fair value hierarchy
categorizes the inputs to valuation techniques used for fair value measurement into three levels as follows:
• Level 1 – Inputs that reflect quoted prices (unadjusted) in active markets for identical assets or liabilities
that the fund has the ability to access at the measurement date. Most of the PRIT Fund’s directly held
marketable securities, mutual funds and exchange traded funds would be examples of Level 1
investments.
• Level 2 – Inputs other than quoted prices that are observable for an asset or liability either directly or
indirectly, including inputs in markets that are not considered to be active. Fair values are primarily
obtained from third-party pricing services for identical or comparable assets or liabilities, such as
interest rates, foreign exchange rates, and yield curves that are observable at commonly quoted
intervals. Because they must often be priced on the basis of transactions involving similar but not
identical securities or do not trade with sufficient frequency, certain directly held fixed income
securities are categorized in Level 2.
• Level 3 – Unobservable inputs based on the best information available, using assumptions in
determining the fair value of investments and derivative financial instruments. Generally, the PRIT
Fund’s directly held investments in real estate and timberland will be categorized in Level 3 because a
preponderance of inputs used to estimate fair value are not observable. For similar reasons, certain
fixed income securities may also be categorized in Level 3.
The fair value hierarchy gives the highest priority to Level 1 inputs and the lowest priority to Level 3 inputs.
In certain instances where the determination of the fair value measurement is based on inputs from
different levels of the fair value hierarchy, the level in the fair value hierarchy is based on the lowest level
of input that is significant to the fair value measurement.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 34 FISCAL YEAR 2023
The following tables present a summary of the fair value hierarchy of investments that are measured at
fair value on a recurring basis at June 30, 2023 and 2022:
2023
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Short-term:
Money market investments $ 1,239,749 — 1,239,749 — —
Fixed income:
U.S. government obligations (1) 7,867,869 7,867,869 — — —
Domestic fixed income (2) 7,875,300 — 7,836,549 38,751 —
International fixed income (3) 2,291,046 167,593 2,079,296 44,157 —
Private debt (4) 1,110,078 — — — 1,110,078 518,098
Other credit opportunities (5) 1,511,786 91,235 579,582 436,509 404,460 1,173,539
20,656,079 8,126,697 10,495,427 519,417 1,514,538
Equity:
Domestic equity securities 21,626,338 21,626,338 — — —
International equity securities 15,216,918 15,216,918 — — —
36,843,256 36,843,256 — — —
Timberland 2,985,666 — — 2,985,666 —
Private equity funds (6) 16,619,860 — — — 16,619,860 5,574,053
Real estate:
Real estate properties 10,199,278 — — 10,199,278 —
Real estate equity securities 1,033,887 1,026,368 7,519 — —
Real estate funds (7) 804,345 — — — 804,345 256,546
Other 139,964 — — 139,964 —
12,177,474 1,026,368 7,519 10,339,242 804,345
Portfolio completion strategies:
Event-driven hedge funds (8) 915,892 — — — 915,892
Relative value hedge funds (9) 552,382 — — — 552,382
Fund of funds (10) 725,144 — — — 725,144
Distressed loan fund (11) 97,389 — — — 97,389 49,801
Real assets funds (12) 245,046 — — — 245,046 785,546
Investment funds 2,535,853 — — — 2,535,853
Equity securities 2,162,794 1,972,396 41,776 148,622 —
Fixed income securities 3,326,993 416,817 2,686,667 223,509 —
Cash and cash equivalents 1,278,224 1,229,676 48,548 — —
Agricultural investments 556,053 — — 556,053 —
9,859,917 3,618,889 2,776,991 928,184 2,535,853
Total investments $ 100,382,001 49,615,210 14,519,686 14,772,509 21,474,596
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 35 FISCAL YEAR 2023
2023
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Securities lending collateral:
Money market investments $ 87,748 — 87,748 — —
Total securities lending
collateral $ 87,748 — 87,748 — —
Securities sold short and other liabilities
at fair value:
Portfolio completion strategies:
Equity securities $ 699,712 682,486 17,226 — —
Cash and cash equivalents 595,525 257,972 337,553 — —
Fixed income securities 360,311 10,009 350,302 — —
Other 55,665 — — 55,665 —
1,711,213 950,467 705,081 55,665 —
Fixed income:
Other credit opportunities (5) 13,603 13,603 — — —
Total securities sold short
and other liabilities $ 1,724,816 964,070 705,081 55,665 —
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 36 FISCAL YEAR 2023
2022
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Short-term:
Money market investments $ 1,635,564 — 1,635,564 — —
Fixed income:
U.S. government obligations (1) 8,413,831 8,413,831 — — —
Domestic fixed income (2) 7,622,270 5,434 7,578,712 38,124 —
International fixed income (3) 2,334,432 160,437 2,122,135 51,860 —
Private debt (4) 1,287,209 — — — 1,287,209 571,459
Other credit opportunities (5) 1,028,666 128,363 344,697 424,881 130,725 583,375
20,686,408 8,708,065 10,045,544 514,865 1,417,934
Equity:
Domestic equity securities 18,632,240 18,603,880 27,554 806 —
International equity securities 14,611,625 14,610,935 — 690 —
33,243,865 33,214,815 27,554 1,496 —
Timberland 2,904,110 — — 2,904,110 —
Private equity funds (6) 16,837,964 — — — 16,837,964 6,274,745
Real estate:
Real estate properties 9,796,738 — — 9,796,738 —
Real estate equity securities 1,336,488 1,329,261 7,227 — —
Real estate funds (7) 481,793 — — — 481,793 251,847
Other 75,973 — — 75,973 —
11,690,992 1,329,261 7,227 9,872,711 481,793
Portfolio completion strategies:
Event-driven hedge funds (8) 890,751 — — — 890,751
Relative value hedge funds (9) 388,591 — — — 388,591
Fund of funds (10) 632,346 — — — 632,346
Distressed loan fund (11) 83,361 — — — 83,361 52,724
Real assets funds (12) 308,502 — — — 308,502 675,748
Investment funds 2,303,551 — — — 2,303,551
Equity securities 2,285,915 1,980,501 27,906 277,508 —
Fixed income securities 3,518,563 938,159 2,116,424 463,980 — 39,500
Cash and cash equivalents 1,106,108 459,066 647,042 — —
Agricultural investments 592,878 — — 592,878 —
9,807,015 3,377,726 2,791,372 1,334,366 2,303,551
Total investments $ 96,805,918 46,629,867 14,507,261 14,627,548 21,041,242
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 37 FISCAL YEAR 2023
2022
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Securities lending collateral:
Money market investments $ 121,946 — 121,946 — —
Total securities lending
collateral $ 121,946 — 121,946 — —
Securities sold short and other liabilities
at fair value:
Portfolio completion strategies:
Equity securities $ 600,730 581,311 18,605 814 —
Cash and cash equivalents 951,437 2,283 949,154 — —
Fixed income securities 563,101 180,038 356,398 26,665 —
Other 57,412 — — 57,412 —
2,172,680 763,632 1,324,157 84,891 —
Fixed income:
Cash and cash equivalents 14,747 — 14,747 — —
Total securities sold short
and other liabilities $ 2,187,427 763,632 1,338,904 84,891 —
(1) Fiscal year 2023 rates range from 0.00% to 7.50%, and maturities range from 2023 to 2053. Fiscal year
2022 rates range from 0.00% to 7.50%, and maturities range from 2022 to 2052.
(2) Fiscal year 2023 rates range from 0.00% to 17.50%, and maturities range from 2023 to 2122. Fiscal year
2022 rates range from 0.00% to 17.50%, and maturities range from 2022 to 2115.
(3) Fiscal year 2023 rates range from -0.21% to 13.65%, and maturities range from 2023 to 2121. Fiscal year
2022 rates range from -0.36% to 49.10%, and maturities range from 2022 to 2121.
(4) This represents investments in private partnerships that invest directly in distressed debt investment
opportunities. The life cycles of the private partnerships are typically 10 to 15 years during which limited
partners are unable to redeem their positions. Distributions are received as the partnerships liquidate
the underlying assets of the funds.
(5) This includes managed accounts and private partnerships that makes credit investments. Private
partnerships typically have 10 to 15-year life cycles during which limited partners are unable to redeem
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 38 FISCAL YEAR 2023
their positions, but instead, receive distributions as the partnerships liquidate the underlying assets of
the funds.
(6) This includes private partnerships that invest in venture capital, leverage buyouts, private placements,
and other investments. The private partnerships typically have a life cycle of 10 to 15 years during which
limited partners are unable to redeem their positions. Distributions are received as the partnerships
liquidate the underlying assets of the funds.
(7) This includes 13 and 10 closed-end real estate funds that invest in U.S. real estate at June 30, 2023 and
2022, respectively. The funds generally have initial terms of seven to ten years during which limited
partners are unable to redeem their positions. Distributions are received as the funds liquidate the
underlying assets.
(8) This includes four hedge funds that invest in event-driven strategies such as credit-event, equity-event,
multi-event driven, and stressed/distressed credit positions at June 30, 2023 and 2022. Redemption
frequency for these investments ranged from quarterly to semi-annually with 60 to 65 days’ notice.
(9) This includes one hedge fund that invest in relative value strategies such as fixed income relative value
positions at June 30, 2023 and 2022. Redemption frequency for this investment is quarterly with 45 days’
notice.
(10)This includes one active hedge fund of funds manager, valued at $712,460 and $619,099, at June 30,
2023 and 2022, respectively, which invests in emerging hedge fund managers. Redemption frequency for
this fund is monthly with 30 days’ notice. The remaining balance represents investments in five
liquidating portfolios in which distributions are received as the funds liquidate the underlying assets.
(11)This includes one fund that is invested in distressed loans at June 30, 2023 and 2022. Limited partners in
this fund are unable to redeem their positions and distributions are received as the fund liquidates the
underlying assets.
(12)This includes nine and ten funds that seek to make investments in real assets at June 30, 2023 and 2022,
respectively. Limited partners in these funds are generally unable to redeem their positions and
distributions are received as the funds liquidate the underlying assets.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 39 FISCAL YEAR 2023
(4) Deposits and Investments Risks
(a) Custodial Credit Risk
Custodial credit risk is the risk that in the event of bank failure, the PRIT Fund’s deposits and
investments may not be returned. The PRIM Board manages the PRIT Fund’s exposure to custodial
credit risk by requiring all relevant investment managers to hold investments in separate accounts
with the PRIM Board’s custodian (see note 8). The PRIM Board has not adopted a formal custodial
credit risk policy.
Cash balances represent amounts held in bank depository accounts that may be subject to custodial
credit risk. The PRIT Fund maintains cash and cash equivalents with various major financial
institutions. The combined account balances at a specific financial institution may periodically exceed
federally insured limits. No losses have been incurred during the years ended June 30, 2023 and 2022.
(b) Interest Rate Risk
Interest rate risk is the risk that changes in interest rates of fixed income investments will adversely
affect the fair value of an investment. While the PRIM Board does not have a formal policy relating
to interest rate risk, the PRIM Board manages the PRIT Fund’s exposure to fair value loss arising from
movements in interest rates by establishing duration guidelines with its fixed income investment
managers. The guidelines with each individual manager require that the effective duration of the
domestic fixed income investment portfolio be within a specified percentage or number of years of
the effective duration band of the appropriate benchmark index. For emerging markets fixed income
investments, the portfolio must have duration with a band ranging from three to eight years.
Effective duration is a measure of a fixed income investment’s exposure to fair value changes arising
from changes in interest rates. Effective duration makes assumptions regarding the most likely timing
and amounts of variable cash flows. These assumptions take into consideration factors indicative of
investments highly sensitive to interest rate changes, including callable options, prepayments, and
other factors. These factors are reflected in the effective duration numbers provided in the following
table. The PRIM Board compares the effective duration of a manager’s portfolio to their relevant
benchmark including Bloomberg Aggregate Bond index, US Treasury STRIPS 20+ Year index,
Bloomberg Treasury 1-3 Year index, Bloomberg US TIPS index, Bloomberg Inflation Linked Bonds
index, Morningstar LSTA Leveraged Loan index, JP Morgan Emerging Markets Bond index, and the
Intercontinental Exchange Bank of America High Yield index.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 40 FISCAL YEAR 2023
The following table shows the debt investments by investment type, fair value, and effective
weighted duration rate at June 30:
2023 2022
Effective Effective
weighted weighted
duration duration
Investment Fair value rate Fair value rate
(Years) (Years)
Asset-backed securities $ 689,768 2.98 651,727 3.10
Commercial mortgage – backed securities 321,608 4.72 342,068 2.33
Corporate bonds and other credits 8,336,465 3.80 8,524,904 3.93
U.S. government bonds 5,250,725 14.57 5,622,597 14.64
U.S. government agencies 100,287 9.17 73,356 1.98
U.S. government TIPS 2,945,055 6.79 3,028,434 6.94
U.S. government mortgage – backed
securities 1,798,546 6.08 1,571,083 6.25
Global inflation linked bonds 228,498 7.97 221,162 8.04
Municipal bonds 49,398 9.64 52,931 9.86
Pooled money market fund (1) 1,284,315 N/A 1,671,652 N/A
Other pooled funds (2) 4,218,156 N/A 4,080,621 N/A
Total fixed income and
short-term investments $ 25,222,821 25,840,535
Securities lending collateral investments:
Pooled money market fund (1) $ 87,748 N/A 121,946 N/A
Total securities lending
collateral investments $ 87,748 121,946
(1) Short-term investments with maturities of less than three months.
(2) Other pooled funds have a weighted average maturity of approximately two years at June 30, 2023 and 2022.
(c) Credit Risk
Credit risk is the risk that an issuer or other counterparty to an investment will fail to meet its debt
obligations.
The PRIM Board does not have a formal investment policy governing credit risk; each fixed income
securities investment manager is given a specific set of guidelines to invest within based on the
mandate for which it was hired. These guidelines vary depending on the manager’s strategy and the
role of its portfolio to the overall diversification of the PRIT Fund. The guidelines for the PRIT Fund’s
core fixed income portfolio establish the minimum credit rating for any security in the portfolio and
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 41 FISCAL YEAR 2023
the overall weighted average credit rating of the portfolio. For example, all securities held must
generally be investment grade. The guidelines for the PRIT Fund’s high yield fixed income portfolio
establish a fair value range of securities to be held with a specific minimum credit rating and the
overall weighted average credit rating of the portfolio.
Credit risk for derivative instruments held by the PRIT Fund results from counterparty risk. The PRIT
Fund is exposed to credit risk resulting from counterparties being unable to meet their obligations
under the terms of the derivative agreements. See note 7 for more information on the PRIT Fund’s
derivative instruments.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 42 FISCAL YEAR 2023
The
weighted average quality rating of the debt securities portfolio,
excluding pooled investments, investments explicitly backed by the
U.S.
government and other nonrated investments was BBB at June 30, 2023 and
2022, respectively. The following tables present the PRIT
Fund’s fixed-income securities credit ratings at June 30:
Total Investment grade Noninvestment grade
fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 689,768 48,115 73,012 8,343 43,000 218,203 299,095
Commercial mortgage-backed securities 321,608 154,726 9,381 8,026 27,530 40,011 81,934
Corporate bonds and other credits 8,336,465 309,984 983,929 1,602,024 1,805,814 416,756 3,217,958
U.S. government agencies 100,287 — 22,297 — — — 77,990
U.S. government mortgage-backed securities 1,548,748 3,468 984,054 — 7,710 — 553,516
Global inflation linked bonds 228,498 37,914 112,096 69,195 2,338 — 6,955
Municipal bonds 49,398 1,854 44,198 2,892 454 — —
Pooled money market fund 1,284,315 — — — — — 1,284,315
Other pooled funds 4,218,156 — — — — — 4,218,156
Total credit risk, fixed income, and short-term
investments 16,777,243 $ 556,061 2,228,967 1,690,480 1,886,846 674,970 9,739,919
Fixed income investments explicitly backed by the
U.S. government 8,445,578
Total fixed income and short-term investments $ 25,222,821
Securities lending collateral investments:
Pooled money market fund $ 87,748 87,748 — — — — —
Total securities lending collateral investments $ 87,748 87,748 — — — — —
2023
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 43 FISCAL YEAR 2023
Total Investment grade Noninvestment grade
fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 651,727 30,610 106,494 6,987 15,731 230,178 261,727
Commercial mortgage-backed securities 342,068 190,083 28,213 932 18,900 34,621 69,319
Corporate bonds and other credits 8,524,904 371,400 1,163,529 1,597,478 1,647,554 431,205 3,313,738
U.S. government agencies 73,356 — 25,683 — — — 47,673
U.S. government mortgage-backed securities 1,398,808 125,098 729,757 19 — — 543,934
Global inflation linked bonds 221,162 31,776 117,027 62,211 543 — 9,605
Municipal bonds 52,931 2,536 46,351 3,574 470 — —
Pooled money market fund 1,671,652 — — — — — 1,671,652
Other pooled funds 4,080,621 — — — — — 4,080,621
Total credit risk, fixed income, and short-term
investments 17,017,229 $ 751,503 2,217,054 1,671,201 1,683,198 696,004 9,998,269
Fixed income investments explicitly backed by the
U.S. government 8,823,306
Total fixed income and short-term investments $ 25,840,535
Securities lending collateral investments:
Pooled money market fund $ 121,946 121,946 — — — — —
Total securities lending collateral investments $ 121,946 121,946 — — — — —
2022
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 44 FISCAL YEAR 2023
(d) Foreign Currency Risk
Foreign currency risk is the risk that changes in exchange rates will adversely affect the fair value of
investments. Although the PRIM Board has no overall policy regarding foreign currency risk, the PRIM
Board does manage the PRIT Fund’s exposure to foreign currencies by establishing investment
guidelines with each of its managers who invest in securities not denominated in U.S. dollars. These
guidelines set maximum investment balances for any currency and/or country holdings must be
within a certain percentage of predefined benchmarks. In addition, the PRIM Board’s investment
managers may actively manage exposure to foreign currencies through the use of forward foreign
currency contracts. The following tables present the PRIT Fund’s foreign currency exposures at June
30 (stated in U.S. dollars in thousands):
2023
Cash and Portfolio
short-term Fixed completion Private equity Timberland
investments Equity income strategies investments investments Total
Australian Dollar $ 1,753 444,643 9,537 (815) — 424,302 879,420
Brazilian Real 2,985 207,217 75,733 122,483 — — 408,418
British Pound 5,035 1,790,707 201,651 72,186 93,775 — 2,163,354
Canadian Dollar 2,525 801,059 25,133 25,098 4,908 — 858,723
Euro 62,828 3,076,196 335,355 104,887 1,801,503 — 5,380,769
Hong Kong Dollar 3,272 1,025,424 — (604) — — 1,028,092
Indian Rupee 13,217 558,702 — 5,798 — — 577,717
Japanese Yen 92,972 2,274,414 22,786 24,730 — — 2,414,902
New Taiwan Dollar 409 531,611 — 505 — — 532,525
South Korean Won 4,689 530,713 12,755 2,805 — — 550,962
Swedish Krona 3,904 322,220 5,420 (1,296) — — 330,248
Swiss Franc 21,683 651,838 — (3,592) — — 669,929
Other foreign currencies 28,669 1,377,834 29,292 250,116 — — 1,685,911
Total
securities
subject to
foreign
currency risk 243,941 13,592,578 717,662 602,301 1,900,186 424,302 17,480,970
International investments
denominated in U.S.
dollars — 1,624,340 1,654,565 — — 212,020 3,490,925
Total
international
investments
and cash
deposits $ 243,941 15,216,918 2,372,227 602,301 1,900,186 636,322 20,971,895
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 45 FISCAL YEAR 2023
2022
Cash and Portfolio
short-term Fixed completion Private equity Timberland
investments Equity income strategies investments investments Total
Australian Dollar $ 4,187 550,285 8,757 (4,358) — 395,566 954,437
Brazilian Real 2,364 133,824 89,987 106,701 — — 332,876
British Pound 10,014 1,710,668 216,163 104,517 80,413 — 2,121,775
Canadian Dollar 13,685 886,788 21,741 26,466 4,374 — 953,054
Chinese Yuan 355 166,412 — 172,868 — — 339,635
Euro 50,939 2,565,328 254,010 140,502 1,802,466 — 4,813,245
Hong Kong Dollar 4,887 1,222,456 — (2,000) — — 1,225,343
Indian Rupee 970 449,475 — 759 — — 451,204
Japanese Yen 30,660 2,294,051 24,427 159,646 — — 2,508,784
New Taiwan Dollar 941 416,779 24 227 — — 417,971
South Korean Won 3,768 503,287 11,002 16,188 — — 534,245
Swedish Krona 6,078 378,498 5,516 510 — — 390,602
Swiss Franc 19,490 704,040 — (3,260) — — 720,270
Other foreign currencies 45,559 1,274,592 17,261 13,360 — — 1,350,772
Total
securities
subject to
foreign
currency risk 193,897 13,256,483 648,888 732,126 1,887,253 395,566 17,114,213
International investments
denominated in U.S.
dollars — 1,355,142 1,709,439 — — 226,040 3,290,621
Total
international
investments
and cash
deposits $ 193,897 14,611,625 2,358,327 732,126 1,887,253 621,606 20,404,834
(e) Concentration of Credit Risk
The PRIM Board manages the PRIT Fund’s exposure to concentration of credit risk by establishing
guidelines with each investment manager that limit the percentage of investment in any single issue
or issuer. The PRIT Fund has no investments, at fair value, that exceed 5% of the PRIT Fund’s total
investments as of June 30, 2023 and 2022.
(f) Financial Instruments with Off-Balance-Sheet Risk
In the normal course of business, the PRIT Fund enters into financial instrument transactions with
off-balance-sheet risk. These financial instruments involve varying degrees and type of risks,
including credit and market risks, which may be in excess of the amounts recognized in the
Statements of Pooled Net Position. Futures and foreign currency exchange contracts represent
commitments to purchase or sell foreign currencies at a future date and at a specified price. The PRIT
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 46 FISCAL YEAR 2023
Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms
of their contracts or if the value of the foreign currency changes unfavorably.
(5) Securities Lending Program
The PRIM Board uses a third-party securities lending agent to manage its securities lending program. The
program loans domestic and international equity, REIT, and fixed income securities for collateral with a
simultaneous agreement to return the collateral for the same securities in the future. Securities on loan
are secured with collateral ranging from 102% to 105% determined by the type of securities lent. Securities
on loan are valued daily to maintain the collateral requirement and, where applicable, additional collateral
is delivered. At June 30, 2023 and 2022, the PRIT Fund has no credit risk exposure to borrowers because
the borrowers provided collateralization greater than 100% of the fair value of the securities on loan. The
PRIT Fund cannot pledge or sell the collateral securities unless the lending agent defaults. The PRIT Fund is
indemnified in the event that the lending agent fails to return the securities on loan (and if the collateral is
inadequate to replace the securities on loan) or if the lending agent fails to perform its obligations as
stipulated in the agreement. There was no lending agent default during the years ended June 30, 2023 and
2022.
Securities loans are terminable on demand therefore maturities of the securities loans do not generally
match the maturities of investments made with cash collateral. Investments made with cash collateral are
primarily in short-term investments with maximum maturity of three months from the date of purchase.
Securities on loan are included in investments at fair value in the accompanying statements of pooled net
position. As of June 30, 2023 and 2022, the fair value of securities on loan was $820,012 and $841,435,
respectively, and the associated collateral received in cash was $841,326 and $872,820, respectively.
Securities lending obligations to repay the collateral are reported in the accompanying statements of
pooled net position. There was no security collateral or noncash collateral at June 30, 2023 and 2022. The
PRIT Fund pays a monthly rebate on approximately $500,000 of the cash collateral received and is included
in securities lending expenses in the accompanying statements of changes in pooled net position.
For the years ended June 30, 2023 and 2022, in accordance with the Securities Lending Agency Agreement,
the PRIT Fund loaned $750,000 of the cash collateral to the LLC to invest in real estate investments.
$250,000 of the loans mature on March 10, 2027 and can be prepaid at any time. Interest is paid monthly
in arrears at a per annum rate equal to LIBOR. $500,000 of the loans mature on November 18, 2031 and
can be prepaid at any time. Interest is paid monthly in arrears at a per annum rate as agreed to by the
parties. As these are inter-entity loans, they have been eliminated in consolidation in the accompanying
financial statements. The fair value of the remaining cash collateral reinvested was $87,748 and $121,946
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 47 FISCAL YEAR 2023
at June 30, 2023 and 2022, respectively, and is reported as securities lending collateral in the accompanying
statements of pooled net position.
(6) Real Estate Debt
(a) Notes Payable
The LLC’s notes payable obligations consisted of the following as of June 30:
2023 2022
Senior unsecured notes $ 350,000 525,000
Total $ 350,000 525,000
On February 14, 2013, the LLC issued 3.85% Series B Senior Notes in the aggregate principal amount
of $175,000 which matured on February 14, 2023 and 4.00% Series C Senior Notes in the aggregate
principal amount of $150,000 maturing February 14, 2025. Interest on the notes is payable semi-
annually.
On February 12, 2020, the LLC issued 3.07% Series D Senior Notes in the aggregate principal amount
of $200,000 maturing February 12, 2030. Interest on the notes is payable semi-annually.
The Senior Unsecured Notes contain certain financial covenants as outlined in the respective
agreements. The LLC was in compliance with such covenants at June 30, 2023 and 2022.
(b) Mortgage Loans Payable
The LLC had 11 and six property-level mortgage loans payable as of June 30, 2023 and 2022,
respectively. The mortgages have a weighted average interest rate of 3.75% and 3.57% and a
weighted average maturity of 5.4 and 6.0 years at June 30, 2023 and 2022, respectively. The following
table presents the face value of mortgage loans payable at June 30:
2023 2022
Mortgage loans payable $ 443,443 343,387
Total $ 443,443 343,387
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 48 FISCAL YEAR 2023
(c) Other Liabilities
The LLC had other liabilities of $10,813 and $6,911 as of June 30, 2023 and 2022, respectively.
(7) Derivative Investments
The PRIT Fund regularly trades financial instruments with off-balance-sheet risk in the normal course of its
investing activities to assist in managing exposure to market risks. These financial instruments include
contracts for differences, foreign currency exchange contracts, futures contracts, and swap contracts.
(a) Contracts for differences
A contract for differences is an instrument whose value is based on the price movement of the
underlying asset. It allows for gain or losses to be realized when the underlying asset moves in
relation to the position taken, although the actual underlying asset is not owned by the PRIT Fund.
The fair value of these instruments is generally recorded at the contract’s net equity value. The net
equity value is calculated by determining the change in value of the underlying asset less the cost of
any leverage. The changes in fair value are recorded by the PRIT Fund as unrealized gains or losses.
When the contract is closed, the PRIT Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the time it was closed.
Contracts for differences held at June 30 were as follows:
2023
Gross Unrealized
Number of notional Fair value appreciation
Description contracts amount of contracts (depreciation)
Long exposure 22,574,875 $ 61,176 67,174 5,998
Short exposure (731,603) (35,236) (34,772) 464
Total exposure $ 25,940 32,402 6,462
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 49 FISCAL YEAR 2023
2022
Gross Unrealized
Number of notional Fair value appreciation
Description contracts amount of contracts (depreciation)
Long exposure 21,677,450 $ 85,327 82,381 (2,946)
Short exposure (1,283,209) (44,548) (39,198) 5,350
Total exposure $ 40,779 43,183 2,404
For the years ended June 30, 2023 and 2022, the change in net unrealized appreciation (depreciation)
on contracts for differences was $4,058 and $523, respectively.
(b) Foreign Currency Exchange Contracts
A foreign currency exchange contract is an agreement between two parties to buy or sell a fixed
quantity of currency at a set price on a future date. The PRIT Fund may enter into foreign currency
exchange contracts to hedge its exposure to the effect of changes in foreign currency exchange rates
upon its non-U.S. dollar-denominated investments. The fair value of such contracts will fluctuate with
changes in currency exchange rates. The contracts are valued daily, and the changes in fair value are
recorded by the PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund
records a realized gain or loss equal to the difference between the cost of the contract at the time it
was opened and the value at the time it was closed.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 50 FISCAL YEAR 2023
Foreign currency exchange contracts open at June 30 (in U.S. dollars) were as follows:
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) appreciation depreciation
Forei gn currency excha nge
contra cts purcha s ed:
Bra zi l i a n Rea l $ 395,160 $ 387,779 7/3/23–1/3/24 $ — (7,381)
Bri ti s h Pound 607,159 598,869 7/3/23–12/20/23 — (8,290)
Chi nes e Yua n 1,405,171 1,452,059 7/3/23–12/18/24 46,888 —
Euro 1,077,736 1,070,613 7/3/23–12/20/23 — (7,123)
Hong Kong Dol l a r 1,809,682 1,812,910 7/3/23–12/18/24 3,228 —
Indi a n Rupee 524,328 518,500 7/3/23–8/1/24 — (5,828)
Ja pa nes e Yen 1,143,657 1,178,969 7/3/23–6/18/25 35,312 —
Phi l i ppi nes Pes o 246,612 243,568 7/3/23–9/20/24 — (3,044)
Si nga pore Dol l a r 1,499,152 1,503,561 7/3/23–6/26/24 4,409 —
South Korea n Won 508,037 513,625 7/3/23–6/21/24 5,588 —
Other forei gn currenci es 1,350,125 1,354,742 7/3/23–2/29/24 9,113 (4,496)
Forei gn currency excha nge
contra cts s ol d:
Bra zi l i a n Rea l 343,571 341,455 7/3/23–9/20/23 2,116 —
Bri ti s h Pound 315,204 312,784 7/3/23–12/20/23 2,420 —
Chi nes e Yua n 1,425,204 1,472,889 7/3/23–12/18/24 — (47,685)
Hong Kong Dol l a r 1,435,718 1,438,594 7/3/23–12/18/24 — (2,876)
Indi a n Rupee 661,062 654,995 7/3/23–6/6/24 6,067 —
Ja pa nes e Yen 844,303 869,524 7/3/23–6/18/25 — (25,221)
Mexi ca n Pes o 121,697 119,010 7/3/23–9/20/23 2,687 —
New Ta i wa n Dol l a r 211,576 214,308 7/3/23–2/7/24 — (2,732)
Si nga pore Dol l a r 1,408,799 1,418,989 7/3/23–3/18/24 — (10,190)
South Korea n Won 406,584 420,540 7/3/23–6/21/24 — (13,956)
Other forei gn currenci es 1,695,605 1,694,628 7/3/23–9/20/24 6,508 (5,531)
Tota l $ 124,336 (144,353)
2023
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 51 FISCAL YEAR 2023
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) appreciation depreciation
Forei gn currency excha nge
contra cts purcha s ed:
Aus tra l i a n Dol l a r $ 122,589 $ 125,995 7/1/22–3/15/23 $ 3,406 —
Bra zi l i a n Rea l 170,398 173,102 7/1/22–3/30/23 2,704 —
Chi l ea n Pes o 20,491 22,887 9/21/22 2,396 —
Bri ti s h Pound 700,800 715,032 7/1/22–3/15/23 14,232 —
Chi nes e Yua n 1,231,776 1,247,559 7/5/22–6/21/23 15,783 —
Euro 841,136 854,022 7/1/22–4/5/23 12,886 —
Is ra el i Shekel 107,118 111,211 7/1/22–5/3/23 4,093 —
Indi a n Rupee 284,605 288,796 7/5/22–6/26/23 4,191 —
Ja pa nes e Yen 379,939 410,715 7/1/22–5/23/23 30,776 —
New Ta i wa n Dol l a r 130,266 132,928 7/1/22–2/7/24 2,662 —
Phi l i ppi nes Pes o 358,675 373,030 7/1/22–4/12/23 14,355 —
Si nga pore Dol l a r 488,427 496,346 7/1/22–9/25/23 7,919 —
South Korea n Won 172,623 180,806 7/5/22–8/10/23 8,183 —
Other forei gn currenci es 1,874,911 1,884,878 7/1/22–6/21/23 10,983 (1,016)
Forei gn currency excha nge
contra cts s ol d:
Aus tra l i a n Dol l a r 104,407 106,791 7/1/22–12/21/22 — (2,384)
Bra zi l i a n Rea l 125,486 132,049 7/1/22–11/9/22 — (6,563)
Chi l ea n Pes o 34,229 37,885 9/21/22 — (3,656)
Chi nes e Yua n 1,125,990 1,142,410 7/5/22–6/21/23 — (16,420)
Euro 496,264 499,751 7/1/22–4/5/23 — (3,487)
Indi a n Rupee 328,091 332,754 7/5/22–3/20/24 — (4,663)
Ja pa nes e Yen 193,214 196,299 7/1/22–5/23/23 — (3,085)
New Ta i wa n Dol l a r 74,236 76,889 7/1/22–2/7/24 — (2,653)
Phi l i ppi nes Pes o 331,016 344,178 7/1/22–3/22/23 — (13,162)
Si nga pore Dol l a r 665,745 670,881 7/1/22–9/25/23 — (5,136)
South Afri ca n Ra nd 149,973 154,205 7/5/22–5/31/23 — (4,232)
Other forei gn currenci es 2,300,675 2,315,587 7/1/22–8/10/23 408 (15,320)
Tota l $ 134,977 (81,777)
2022
For the years ended June 30, 2023 and 2022, the change in net unrealized (depreciation) appreciation
on foreign currency exchange contracts was $(73,217) and $52,312, respectively.
(c) Futures Contracts
The PRIT Fund enters into financial and commodity futures on various exchanges. A futures contract
is an agreement between two parties to buy or sell units of a particular index, security, or commodity
at a set price on a future date. Upon entering into financial and commodity futures contracts, the
PRIT Fund is required to pledge to the broker an amount of cash or securities equal to a certain
percentage of the contract amount (initial margin deposit). Pursuant to the contract, the PRIT Fund
agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 52 FISCAL YEAR 2023
of the contract. Such receipts or payments are known as “variation margin” and are recorded by the
PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund records a realized
gain or loss equal to the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The potential risk to the PRIT Fund is that the change in value of
futures contracts primarily corresponds with the value of underlying instruments, which may not
correspond to the change in value of the hedged instruments. The PRIT Fund is also subject to credit
risk should its clearing brokers be unable to meet their obligations to the PRIT Fund.
Futures contracts held at June 30 were as follows:
2023
Expiration Gross Unrealized
Number of dates notional Fair value appreciation
Description contracts (month/year) amount of contracts (depreciation)
Short ca s h a nd ca s h equi va l ents :
3-Month SOFR (1,643) 9/24-6/26 $ (393,694) (391,541) 2,153
Other s hort ca s h a nd ca s h equi va l ents (1,990) 7/23–3/26 (619,628) (619,904) (276)
Long ca s h a nd ca s h equi va l ents :
USD/CNH 804 9/23 79,950 81,341 1,391
Other l ong ca s h a nd ca s h equi va l ents 4,007 8/23–9/26 976,223 975,552 (671)
Short fi xed i ncome:
US 5-Yr Trea s ury Notes (604) 9/23 (64,685) (63,658) 1,027
US 10-Yr Trea s ury Notes (1,102) 9/23 (124,549) (122,759) 1,790
Ul tra US 10-Yr Trea s ury Notes (1,488) 9/23 (176,239) (174,128) 2,111
Other s hort fi xed i ncome (1,910) 9/23–12/23 (258,963) (258,792) 171
Long fi xed i ncome:
US 2-Yr Trea s ury Notes 1,865 9/23 381,330 377,406 (3,924)
US 5-Yr Trea s ury Notes 3,252 9/23 354,461 348,214 (6,247)
Other l ong fi xed i ncome 4,731 7/23–9/23 591,489 590,345 (1,144)
Short equi ty a nd commodi ti es :
Agri cul ture (476) 8/23-12/23 (21,959) (21,020) 939
Meta l (1,021) 7/23–10/23 (71,325) (67,952) 3,373
Oi l a nd ga s (476) 7/23–8/23 (18,247) (19,602) (1,355)
Other s hort equi ty a nd commodi ti es (6,957) 7/23–12/23 (106,768) (107,712) (944)
Long equi ty a nd commodi ti es :
Agri cul ture 1,419 8/23–12/23 57,781 56,638 (1,143)
Meta l 885 7/23–10/23 64,297 62,490 (1,807)
EURO STOXX 50 Index 1,343 9/23 64,084 65,156 1,072
KOSPI 200 Index 245 9/23 16,633 15,828 (805)
MSCI EAFE Index 1,860 9/23 198,881 200,462 1,581
MSCI Emergi ng Ma rkets Index 2,567 9/23 129,624 128,080 (1,544)
Na s da q 100 E-mi ni Index 98 9/23 30,061 31,129 1,068
Ni kkei 225 Mi ni 1,915 9/23 43,948 44,890 942
S&P 500 E-mi ni Index 538 9/23 117,204 120,734 3,530
S&P Mi dca p 400 E-mi ni Index 187 9/23 48,373 49,711 1,338
S&P/TSX 60 Index 246 9/23 44,346 45,418 1,072
Other l ong equi ty a nd commodi ti es 3,214 7/23–12/23 267,769 268,251 482
Tota l futures expos ure $ 1,610,397 1,614,577 4,180
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 53 FISCAL YEAR 2023
2022
Expiration Gross Unrealized
Number of dates notional Fair value appreciation
Description contracts (month/year) amount of contracts (depreciation)
Short ca s h a nd ca s h equi va l ents :
Euro FX currency (315) 9/22 $ (41,493) (40,495) 998
90-Da y Eurodol l a r (871) 12/22–9/25 (210,967) (211,768) (801)
Other s hort ca s h a nd ca s h equi va l ents (2,789) 7/22–3/25 (692,477) (692,342) 135
Long ca s h a nd ca s h equi va l ents :
3-Month Euri bor 837 12/23–6/24 214,620 215,531 911
Euro FX currency 288 9/22 38,881 37,937 (944)
Other l ong ca s h a nd ca s h equi va l ents 2,853 6/22–12/24 512,517 510,986 (1,531)
Short fi xed i ncome:
Aus tra l i a n 3-Yr Trea s ury Bond (1,255) 9/22 (92,738) (93,912) (1,174)
Euro-BOBL (174) 9/22 (23,511) (22,591) 920
Euro-BUND (193) 9/22 (31,393) (30,020) 1,373
US 2-Yr Trea s ury Notes (2,818) 9/22 (591,839) (589,455) 2,384
US 5-Yr Trea s ury Notes (2,487) 9/22 (279,124) (277,331) 1,793
US 10-Yr Trea s ury Notes (2,124) 9/22 (251,731) (248,930) 2,801
Other s hort fi xed i ncome (2,283) 8/22–3/24 (368,929) (368,742) 187
Long fi xed i ncome:
Euro-BTP 169 9/22 22,945 21,753 (1,192)
US 2-Yr Trea s ury Notes 746 9/22 157,380 156,586 (794)
US 10-Yr Trea s ury Notes 1,738 9/22 207,165 206,007 (1,158)
Ul tra US 10-Yr Trea s ury Notes 527 9/22 67,879 67,127 (752)
Ul tra US Trea s ury Bond 633 9/22 98,494 97,723 (771)
Other l ong fi xed i ncome 5,335 8/22–3/23 623,958 625,141 1,183
Short equi ty a nd commodi ti es :
Meta l (323) 7/22–10/22 (31,924) (28,718) 3,206
Other s hort equi ty a nd commodi ti es (1,626) 6/22–10/22 (77,804) (76,131) 1,673
Long equi ty a nd commodi ti es :
Agri cul ture 585 7/22–12/22 29,022 28,001 (1,021)
Meta l 248 7/22–9/22 26,174 21,843 (4,331)
Oi l a nd ga s 343 7/22–11/22 34,637 30,562 (4,075)
MSCI EAFE Index 1,949 9/22 183,940 180,926 (3,014)
MSCI Emergi ng Ma rkets Index 2,807 9/22 142,025 140,729 (1,296)
Rus s el l 2000 Mi ni Index 412 9/22 36,836 35,185 (1,651)
S&P 500 E-mi ni Index 3,621 9/22 680,258 686,089 5,831
S&P Mi dca p 400 E-mi ni Index 154 9/22 36,650 34,927 (1,723)
S&P/TSX 60 Index 227 9/22 42,802 40,210 (2,592)
TOPIX Index 219 8/22–9/22 32,003 30,057 (1,946)
Other l ong equi ty a nd commodi ti es 3,872 7/22–12/22 145,509 143,563 (1,946)
Tota l futures expos ure $ 639,765 630,448 (9,317)
For the years ended June 30, 2023 and 2022, the change in net unrealized appreciation (depreciation)
on futures contracts was $13,497 and $(1,376), respectively.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 54 FISCAL YEAR 2023
(d) Swaps
The PRIT Fund enters into swap agreements to gain exposure to certain markets and actively hedge
other exposures to market and credit risks. The PRIT Fund utilizes interest rate, credit default,
currency, inflation, and total return swaps within the portfolio. The PRIT Fund’s OTC swap
agreements are recorded at fair value as estimated by the PRIM Board. These estimated fair values
are determined in good faith by using information from the PRIT Fund’s investment managers,
including methods and assumptions considering market conditions and risks existing at the date of
the statements of pooled net position. Such methods and assumptions incorporate standard
valuation conventions and techniques, such as discounted cash flow analysis and option pricing
models. All methods utilized to estimate fair values result only in general approximations of value,
and such values may or may not actually be realized.
Upon entering into centrally cleared swap contracts, the PRIT Fund is required to deposit an initial
margin with the broker an amount of cash or securities. Pursuant to the contract, the PRIT Fund
agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value
of the contract. Such receipts or payments are known as “variation margin” and are recorded by the
PRIT Fund as unrealized gains or losses. Payments received from or paid to the counterparty,
including at termination, are recorded by the PRIT fund as realized gains or losses.
Open swap contracts at June 30 were as follows:
2023
PRIT Net
PRIT pays/receives Maturity Gross unrealized
pays/receives index/ dates notional appreciation
interest rate protection (month/year) amount (depreciation)
Interes t ra te s wa ps 0.00%–13.65% Va ri ous * 7/23-6/58 $ 24,933,900 65,877
Credi t defa ul t s wa ps 0.11%–16.20% Credi t defa ul t 7/23-12/72 3,223,985 (145,782)
protecti on
Tota l return a nd other s wa ps Va ri a bl e Va ri ous * 7/23-6/53 341,747 8,102
Tota l s wa ps $ 28,499,632 (71,803)
* PRIT pa ys /recei ves counterpa rty ba s ed on 1-Week CNY, 1-Month JIBAR, 1-Month USD LIBOR, 1-Month WIBOR,
3-Month AUD Fi xi ng Ra te, 3-Month EURIBOR, 3-Month HKD, 3-Month KRW CD Ra te, 3-Month MYR, 3-Month NZD Ba nk
Bi l l , 3-Month NZD Fi xi ng Ra te, 3-Month TWD TWCPBA, 3-Month USD LIBOR, 6-Month AUD Fi xi ng Ra te, 6-Month
EURIBOR, 6-Month PRIBOR, 6-Month WIBOR, AUD O/N OIS Ra te, Bra zi l CDI ra te, CORRA, CPI i nfl a ti on ra te, Effecti ve
Federa l Funds Ra te, ESTRON Index, Eurozone HICP ra te, INR OIS ON, JPY ON, Mexi ca n TIIE ra te, OBFR, SIBCSORA,
SOFR, SONIA, SORA, TELBOR, TONA, THB ON Repo Ra te, US CPI Urba n Cons umers NSA Index.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 55 FISCAL YEAR 2023
2022
PRIT Net
PRIT pays/receives Maturity Gross unrealized
pays/receives index/ dates notional appreciation
interest rate protection (month/year) amount (depreciation)
Interes t ra te s wa ps 0.45%–13.54% Va ri ous * 7/22-6/57 $ 27,118,880 57,637
Credi t defa ul t s wa ps 0.11%–16.20% Credi t defa ul t 7/22-12/72 4,018,177 (126,939)
protecti on
Tota l return a nd other s wa ps Va ri a bl e Va ri ous * 7/22-6/52 413,860 (21,458)
Tota l s wa ps $ 31,550,917 (90,760)
* PRIT pa ys /recei ves counterpa rty ba s ed on 1-Week CNY, 1-Month AUD Fi xi ng Ra te, 1-Month HKD, 1-Month USD LIBOR,
3-Month AUD Fi xi ng Ra te, 3-Month CDOR, 3-Month HKD, 3-Month JIBAR, 3-Month JPY DTIBOR, 3-Month KRW CD Ra te,
3-Month MYR, 3-Month NZD Ba nk Bi l l , 3-Month NZD Fi xi ng Ra te, 3-Month PRIBOR, 3-Month TELBOR, 3-Month TWD
TWCPBA, 3-Month USD LIBOR, 3-Month WIBOR, 6-Month AUD Fi xi ng Ra te, 6-Month BUBOR, 6-Month Euri bor, 6-Month
JPY LIBOR, 6-Month PRIBOR, 6-Month SGD, 6-Month WIBOR, AUD O/N OIS Ra te, Bra zi l CDI ra te, CPI i nfl a ti on ra te, Euro
s hort-term ra te, Eurozone HICP ra te, INR OIS ON, JPY ON, Mexi ca n TIIE ra te, MIBOR, NZD ON OIS Ra te, NZDOND, SOFR,
SONIA, SORA, THB ON Repo Ra te, UK RPI ra te, USD FED Fund ra te.
For the years ended June 30, 2023 and 2022, the change in net unrealized appreciation (depreciation)
on swap contracts was $18,957 and $(7,008), respectively.
The PRIT Fund’s exposures in the event of nonperformance by counterparties at June 30 were as
follows:
2023
Interest rate Credit default Total return and
swaps swaps other swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Bank of America NA A+ $ — — 7,423 (1,364) 150 (73)
Barclays Bank PLC A+ — — 590,398 (5,104) 699 (96)
BNP Paribas SA A+ 43,119 — 86,085 (38,461) — —
Goldman Sachs & Co A+ 695,514 65,096 1,885,784 (29,460) — —
Goldman Sachs International A+ — — 93,572 (12,729) 1,454 153
JPMorgan Chase Bank NA A+ 273,187 (7,740) 19,005 (6,577) 221,036 8,873
JP Morgan Securities A+ 22,216,016 (2,518) 92,186 (8,950) 13,239 713
LCH Ltd AA- 815,893 (6,299) — — 59,874 (28)
Morgan Stanley & Co LLC A+ — — 158,573 (21,724) 8,022 (213)
Morgan Stanley Capital Services A+ — — 144,669 (22,286) — —
SMBC Capital Markets Inc. A+ 250,000 16,551 — — — —
All others Various 640,171 787 146,290 873 37,273 (1,227)
$ 24,933,900 65,877 3,223,985 (145,782) 341,747 8,102
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 56 FISCAL YEAR 2023
2022
Interest rate Credit default Total return and
swaps swaps other swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Barclays Bank PLC A $ 65,406 331 616,832 2,285 — —
BNP Paribas SA A+ — — 40,963 (23,534) — —
CME Group AA- 148,902 (6,094) — — — —
Goldman Sachs & Co A+ 686,689 46,530 2,634,224 (10,925) — —
Goldman Sachs International A+ — — 97,459 (17,951) 25,524 375
Intercontinental Exchange A- — — 112,104 (3,654) — —
JMP Securities LLC A+ — — 49,527 (17,979) — —
JPMorgan Chase Bank NA A+ 317,506 18,490 54,557 (13,579) 269,137 (18,298)
JP Morgan Securities LLC A+ 24,461,829 (8,060) 62,239 4,951 1,531 (39)
LCH Ltd AA- 198,982 (2,448) — — 90,425 (644)
Morgan Stanley & Co Intl PLC A+ 20,011 451 91,580 (22,181) 415 (29)
Morgan Stanley Capital Services A+ — — 203,155 (24,796) 12,500 178
SMBC Capital Markets Inc. A+ 250,000 6,640 — — — —
All others Various 969,555 1,797 55,537 424 14,328 (3,001)
$ 27,118,880 57,637 4,018,177 (126,939) 413,860 (21,458)
(8) Investment Management and Other Management Fees
In accordance with the PRIM Board’s Operating Trust Agreement, expenses incurred by the PRIM Board in
managing the PRIT Fund are charged to the PRIT Fund in the form of management fees. These expenses
consist of investment management fees, investment advisory fees, custodian fees and professional fees,
as well as staff salaries and other administrative expenses of the PRIM Board.
(a) Investment Management Fees
Investment management fees are paid to discretionary managers pursuant to executed contracts.
Total investment management fees were $172,885 and $257,331 for the years ended June 30, 2023
and 2022, respectively, of which $94,287 and $183,403 were incurred by the PRIM Board for the
years ended June 30, 2023 and 2022, respectively. The remaining investment management fees were
incurred by the single-member limited liability corporations that are consolidated into the PRIT Fund.
All domestic, international, and emerging market equity managers are paid a base fee calculated as
a percentage of either current net position under management or an agreed-upon funded amount,
typically equal to the amount of original and subsequent funding. In certain cases, this is subject to
periodic revision. Base fees are paid quarterly. In addition, some active (nonindexed) equity
managers are eligible to receive a performance fee.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 57 FISCAL YEAR 2023
Fixed income managers are generally paid a quarterly asset-based fee. Certain managers are eligible
for a performance fee.
Fees for private equity investments are typically a percentage of committed capital with the fee
percentage decreasing over time. In addition, the general partners (investment managers) of private
equity limited partnerships are allocated additional profit, known as carried interests, based on the
net gains generally above a specified hurdle rate, on realized partnership investments.
The LLC’s investment management fees generally consist of a base fee and a performance fee. Base
fees are calculated and paid monthly. Performance fees are paid to managers who out-perform their
respective hurdle rates, as defined in the investment management agreements.
Timberland investment management fees consist of a base fee and a performance fee component
and are calculated and paid similar to the LLC’s investment management fees.
Hedge fund-of-funds investment managers are paid base fees, which are calculated and paid
quarterly.
Fees for portfolio completion strategies investments generally consist of a base fee and a
performance fee based on return.
The majority of investment management fees for private equity and private debt investments are
charged by the general partners to the investment partnerships and not to the limited partner
investors directly. Investment management fees for portfolio completion strategies investments and
commingled account investments are charged to the respective investments. Most base investment
management fees for investments in real estate properties and timberland are charged against the
respective investments. Therefore, the fair values of these investments are reported net of
investment management fees and these investment management fees are not included in the
accompanying statements of changes in pooled net position.
(b) Investment Advisory Fees
NEPC, LLC, Meketa Investment Group, Aberdeen Asset Management Inc., Hamilton Lane,
International Woodland Company, and NewAlpha Asset Management served as the PRIM Board’s
principal investment advisors as of fiscal year end 2023. NEPC, LLC served as the asset allocation
advisor, Meketa Investment Group served as the public markets advisor, Aberdeen Asset
Management Inc. and NewAlpha Asset Management provided portfolio completion strategies
advisory services, Hamilton Lane served as the private equity advisor, and International Woodland
Company provided timberland advisory services. These investment advisors, among others,
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2023 and 2022
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 58 FISCAL YEAR 2023
provided the PRIM Board with comprehensive investment advisory services, including
recommendations on asset allocation, selection of investment managers, and the monitoring of
performance of the PRIT Fund and its individual investment managers.
For the years ended June 30, 2023 and 2022, investment advisory fees were $14,433 and $15,059,
respectively, which are included in investment management and other management fees in the
accompanying statements of changes in pooled net position.
(c) Custodian Fees
BNY Mellon is the investment custodian and record keeper for the PRIT Fund. BNY Mellon records all
daily transactions, including investment purchases and sales, investment income, expenses, and all
participant activity for the PRIT Fund. BNY Mellon also provides portfolio performance analysis each
month for the PRIT Fund.
For the years ended June 30, 2023 and 2022, custodian fees were $935 and $936, respectively, and
are included in investment management and other management fees in the accompanying
statements of changes in pooled net position.
(d) Other Administrative Fees
For the years ended June 30, 2023 and 2022, other administrative expenses of the PRIM Board,
including employee compensation, professional fees and occupancy costs, charged to the PRIT Fund
totaled $25,246 and $22,603, respectively, which are included in investment management and other
management fees in the accompanying statements of changes in pooled net position.
(9) Commitments
As of June 30, 2023 and 2022, the PRIT Fund had outstanding unfunded commitments to invest $8,357,583
and $8,449,398, respectively, in private debt, other credit opportunities, private equity, portfolio
completion strategies, and real estate investments.
(10) Subsequent Events
For purposes of determining the effects of subsequent events on the financial statements, management
has evaluated subsequent events after June 30, 2023 through November 30, 2023, the date on which the
financial statements were available to be issued.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Pooled Net Position – Capital Fund and Cash Fund
June 30, 2023
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 59 FISCAL YEAR 2023
Capital Fund Cash Fund Total
Assets:
Investments, at fair value:
Short-term $ 1,179,589 60,160 1,239,749
Fixed income 20,656,079 — 20,656,079
Equity 36,843,256 — 36,843,256
Timberland 2,985,666 — 2,985,666
Private equity funds 16,619,860 — 16,619,860
Real estate:
Real estate properties 10,199,278 — 10,199,278
Equity 1,033,887 — 1,033,887
Real estate funds 804,345 — 804,345
Other 139,964 — 139,964
Total real estate 12,177,474 — 12,177,474
Portfolio completion strategies:
Investment funds 2,535,853 — 2,535,853
Equity 2,162,794 — 2,162,794
Fixed income 3,326,993 — 3,326,993
Cash and cash equivalents 1,278,224 — 1,278,224
Agricultural investments 556,053 — 556,053
Total portfolio completion strategies 9,859,917 — 9,859,917
Total investments 100,321,841 60,160 100,382,001
Cash 160,429 491 160,920
Securities lending collateral 87,748 — 87,748
Interest and dividends receivable 264,218 989 265,207
Receivable for investments sold and other assets 1,060,613 — 1,060,613
Securities sold on a when-issued basis 405,644 — 405,644
Foreign currency forward contracts 124,336 — 124,336
Total assets 102,424,829 61,640 102,486,469
Liabilities:
Securities sold short and other liabilities, at fair value:
Portfolio completion strategies liabilities 1,711,213 — 1,711,213
Fixed income 13,603 — 13,603
Total securities sold short and other liabilities 1,724,816 — 1,724,816
Payable for investments purchased and other liabilities 1,315,309 — 1,315,309
Real estate debt and other liabilities 804,256 — 804,256
Securities lending obligations 841,326 — 841,326
Securities purchased on a when-issued basis 1,041,180 — 1,041,180
Foreign currency forward contracts 144,353 — 144,353
Management fees payable to PRIM 53,812 — 53,812
Total liabilities 5,925,052 — 5,925,052
Net position held in trust for pool
participants $ 96,499,777 61,640 96,561,417
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund
Year ended June 30, 2023
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 60 FISCAL YEAR 2023
Capital Fund Cash Fund Total
Additions:
Contributions:
State employees $ — 862,503 862,503
State teachers — 1,097,164 1,097,164
Other participants — 1,509,833 1,509,833
Total contributions — 3,469,500 3,469,500
Net investment income (loss):
From investment activities:
Net realized gain on investments and
foreign currency transactions 791,567 — 791,567
Net change in unrealized appreciation on investments
and foreign currency translations 2,190,587 — 2,190,587
Interest 607,129 9,436 616,565
Dividends 951,652 — 951,652
Timberland 36,364 — 36,364
Private equity 83,568 — 83,568
Portfolio completion strategies 261,562 — 261,562
Real estate:
Income 627,416 — 627,416
Expenses (213,122) — (213,122)
Total real estate 414,294 — 414,294
Income from investment activities 5,336,723 9,436 5,346,159
Investment management and other management fees (213,499) — (213,499)
Net income from investment activities 5,123,224 9,436 5,132,660
From securities lending activities:
Securities lending income 6,609 — 6,609
Securities lending expenses (21,017) — (21,017)
Net loss from securities lending activities (14,408) — (14,408)
Total net investment income 5,108,816 9,436 5,118,252
Total additions 5,108,816 3,478,936 8,587,752
Deductions:
Redemptions:
State employees — 1,513,900 1,513,900
State teachers — 1,422,089 1,422,089
Other participants — 1,519,401 1,519,401
Total deductions — 4,455,390 4,455,390
Interfund transfers (out) in, net (869,398) 869,398 —
Net increase (decrease) in pooled net position 4,239,418 (107,056) 4,132,362
Net position held in trust for pool participants:
Balance, beginning of year 92,260,359 168,696 92,429,055
Balance, end of year $ 96,499,777 61,640 96,561,417
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2023
Investment Section
PENSION RESERVES INVESTMENT TRUST FUND
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 61 FISCAL YEAR 2023
Total PRIT Fund Performance Summary*
For the periods ended June 30, 2023
6.0%
10.2%
7.8%
8.5%
9.3%
8.9%
7.7%
6.7%
7.2%
9.3%
-2.9%
2.5%
1.1% 1.3%
0.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
1 Year 3 Years 5 Years 10 Years Since Inception**
Returns
PRIT Fund Total Core Benchmark Value Added
Total Core Benchmark includes private equity benchmark.
Source: BNY Mellon.
* Gross of Fees. Total PRIT Fund includes the Core Fund and Cash Fund. Returns are annualized and
calculated based on a time-weighted rate of return methodology.
** Performance inception date of January 1, 1985
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 62 FISCAL YEAR 2023
Investment Strategy Overview
The PRIT Fund was formed in December 1983 with a mandate to accumulate assets through investment earnings
to reduce the Commonwealth of Massachusetts’ unfunded pension liability and, further on, to assist local
participating retirement systems in meeting their future pension obligations. The PRIM Board is charged with the
general oversight of the PRIT Fund. The PRIM Board seeks to maximize the return on investments within
acceptable levels of risk and cost for a public pension fund, by broadly diversifying its investment portfolio,
capitalizing on economies of scale to achieve cost-effective operations, and gaining access to high quality,
innovative investment management firms, all under the management of a professional staff and members of the
PRIM Board. The PRIM Board’s overall investment performance goal is to achieve an annual rate of return that
exceeds the targeted actuarial rate of return used in determining the Commonwealth of Massachusetts’ pension
obligations (currently 7.0%). A summary of other investment objectives is provided in the Investment Policy
Statement at the end of this section.
The PRIM Board employs professional investment managers to manage the PRIT Fund’s assets. The PRIT Fund
had approximately $96.6 billion in assets under management at June 30, 2023. Each investment manager
operates within guidelines that are established by the PRIM Board and are delineated in a detailed investment
management agreement or partnership agreement.
The PRIT Fund’s net investment portfolio fair values reported in this section and used as a basis for calculating
investment returns differ from those shown in the Financial Section and the Financial Highlights in the Statistical
Section of this report. The values used in this section are the appropriate industry standard basis for investment
return calculations and are net of all investment receivables and payables. Unless otherwise noted, all return
information provided is gross of fees. In addition, “PRIT Core” return information refers to returns for the PRIT
Capital Fund. PRIT Core return information excludes the impact of the Cash Fund on the total PRIT Fund return.
Asset Allocation and Diversification Discussion
The Investment Policy Statement adopted by the PRIM Board in September 1998 with subsequent updates, most
recently in February 2023, states that over the long-term, asset allocation is the single greatest contributor of
return and risk to the PRIT Fund. At reasonable intervals of not more than three to five years, the PRIM Board
will complete a comprehensive review of its Asset Allocation Plan and its underlying assumptions, including: the
Commonwealth’s current and projected pension assets and liabilities; long-term capital markets rate of return
assumptions; and the PRIM Board’s risk tolerances. The PRIM Board shall examine the Asset Allocation Plan
annually and shall consider adjustments to the Plan as may be appropriate given the Plan’s long-term nature and
objectives.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 63 FISCAL YEAR 2023
The PRIM Board approved the current Asset Allocation Plan on February 16, 2023, as follows:
(1) Asset Allocation Plan approved February 16, 2023.
(2) This asset class does not have target range % because it’s not a component of the long-term policy target asset allocation.
(3) Totals may not add due to rounding.
In addition to asset allocation, the PRIM Board seeks to diversify the PRIT Fund through a complementary
diversification of investment styles within various asset classes. The PRIM Board requires detailed investment
guidelines with each investment manager to ensure portfolios are managed with appropriate diversification and
risk control.
Income and Expense Allocation
Income earned and expenses incurred in each investment account are allocated to retirement systems based on
each individual retirement system’s share of ownership in each investment account. Expenses are classified in
three categories for purposes of allocation to retirement systems: 1) investment management fees, 2) investment
advisory fees, and 3) operational fees. Investment management fees are those directly associated with the
investment management of a certain account. Investment advisory fees are fees that are either directly
associated with an individual asset class, or, for general advisors, are allocated pro-rata based on net asset values
of each asset class. Operational fees are custodian and other administrative expenses incurred by the PRIM Board
in managing the PRIT Fund and are allocated pro-rata based on net asset values of each asset class.
Asset Class
6/30/2023
Allocation % (3) Target Range % (1)
Global Equity 39.3 32 - 42
Core Fixed Income 13.3 12 - 18
Value-Added Fixed Income 7.1 5 - 11
Real Estate 10.9 7 - 13
Private Equity 17.4 13 - 19
Timberland 3.1 1 - 7
Portfolio Completion Strategies 8.4 7 - 13
Overlay (2) 0.5 -
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 64 FISCAL YEAR 2023
PRIT Core Performance: Fiscal Year 2023
Returns are calculated based on a time-weighted rate of return methodology. PRIT Core Returns (gross of fees)
and benchmarks for the periods ended June 30, 2023:
In the fiscal year 2023, the PRIT Core Fund returned 6.02% compared to the Total Core benchmark return of
8.92%. The PRIT Fund began fiscal year 2023 with net position of $92.4 billion and ended with $96.6 billion. On
a gross basis the fund increased $4.1 billion, which is the result of $5.1 billion in net investment income along
with $985.9 million in net redemptions from the State Employees, State Teachers’ and Participant accounts.
The quarterly returns of the PRIT Core Fund in fiscal year 2023 were as follows:
-4.58% for September 30, 2022 – versus a benchmark return of -2.70%.
4.15% for December 31, 2022 – versus a benchmark return of 4.98%.
3.74% for March 31, 2023 – versus a benchmark return of 3.87%.
2.84% for June 30, 2023 – versus a benchmark return of 2.66%.
The PRIT Fund seeks to outperform its three benchmarks in both up and down markets. In order of priority, these
benchmarks are as follows: 1) beating the actuarial rate of return assumption (currently 7.00%); 2) exceeding the
long-term Total Core Benchmark, which measures how well the PRIT Fund has implemented its asset allocation;
and 3) achieving top quartile rankings in the Wilshire Trust Universe Comparison Service (TUCS) report, which
measures the PRIT Fund’s investment performance against its peers nationwide. Through June 30, 2023, the PRIT
Core Fund returned 9.24% since inception, outperforming the actuarial rate of return of 7.00% by 224 basis
points. The PRIT Core Fund outperforms its benchmark over the three-year, five-year, and ten-year periods.
According to the TUCS ranking, the PRIT Fund’s performance ranked in the top quartile of all U.S. Public Pension
Funds over $25 billion in size for the three-year period ending June 30, 2023.
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1 Year 3 Years 5 Years 10 Years
6.0%
10.2%
7.8% 8.5%
8.9%
7.7%
6.7% 7.2%
6.8%
9.0%
7.2%
8.0%
PRIT Core Total Core Benchmark TUCS Universe Median
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 65 FISCAL YEAR 2023
Management Costs
Expenses incurred by the PRIM Board in managing the PRIT Fund are charged to the PRIT Fund. These expenses
consist of investment management fees, advisory fees, custodian fees, professional fees, salaries, and
administrative expenses of the PRIM Board.
The PRIM Board tracks two types of fees: 1) direct fees and 2) indirect fees. Direct fees are fees the PRIM Board
pays directly to vendors for services rendered. These fees include most investment management fees, advisory
fees, custodian fees, and salaries and administrative expenses of the PRIM Board. Indirect fees are expenses
typically incurred when investing in partnerships or other commingled investment vehicle structures, such as
private equity funds, portfolio completion strategies, real estate, timberland, and other commingled
funds. Indirect management fees incurred in these funds are charged to the respective investments. The fair
value of these investments is reported net of indirect management fees.
The PRIM Board’s investment managers operate with formal contracts. Investment management fees accounted
for approximately 68.7% of the PRIM Board’s total direct expenses for fiscal 2023. The PRIM Board also contracts
with a custodian and investment advisors. Fees to these providers were approximately 11.2% of the PRIM Board’s
total expense for fiscal year 2023.
The total cost of managing the PRIT Fund for fiscal year 2023, inclusive of investment management (direct and
indirect), advisory, custodial, and overhead charges was 46 basis points of the average net position of the PRIT
Fund compared to 52 basis points in fiscal year 2022. For information on expense ratios for each investment
account, refer to the Financial Highlights and Financial Highlights Ratios on pages 98-107 included in the
Statistical Section of this report.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 66 FISCAL YEAR 2023
Domestic Equity Portfolio
As of June 30, 2023, the Domestic Equity portfolio had approximately $22.2 billion in net position, representing
23.0% of the PRIT Fund. As highlighted below, the Domestic Equity portfolio allocation is approximately 85%
invested in passively managed large capitalization equity strategies (S&P500), 11% invested in small and mid-
capitalization equity strategies (Russell 2500, small/SMID cap), and 4% invested in micro-capitalization equity
strategies (Micro Cap). As of the fiscal year-end, the weighting of Domestic Equity was 58.6% of the Global Equity
portfolio.
Portfolio Risks. Although historically and recently long-term returns in equity investments have exceeded all
other public market asset classes (i.e., fixed income and cash), there is no guarantee that this trend will continue
or that investment in the short-term or long-term will produce positive results. Prices may fluctuate based on
changes in a company’s financial condition and on overall market and economic conditions. Smaller companies
are especially sensitive to these factors. There is a significant risk of loss of principal due to market and economic
conditions.
Portfolio Returns. For the fiscal year, the Domestic Equity portfolio returned 18.90% compared to 18.48% for the
portfolio benchmark. The PRIT Fund’s large cap managers returned 19.67% compared to the 19.67% return of
its benchmark, the customized S&P 500 Index (which excludes legislatively restricted securities in tobacco, Iran,
Russia, and Sudan). The PRIT Fund’s Small/SMID/Micro-cap managers returned 15.52% compared to the 12.03%
return of the benchmark, which is calculated by applying the investment performance of the sub asset class
benchmarks to the sub asset class weights within the Small/SMID/Micro-cap equity portfolio.
On a three-, five-, and 10-year basis through June 30, 2023, the PRIT Fund’s Domestic Equity portfolio has
returned 14.53%, 11.14%, and 12.17%, respectively, compared to the benchmark, which returned 13.88%,
10.98%, and 12.17%, respectively.
85%
5%
6%
4%
Domestic Equity Portfolio
As of June 30, 2023
S&P 500 Index
Russell 2500 Index
Active Small/SMID Cap
Active Micro Cap
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 67 FISCAL YEAR 2023
The top ten holdings in the Domestic Equity portfolio at June 30, 2023 are illustrated below. A complete listing
of holdings is available upon request.
The PRIT Fund’s Domestic Equity managers at June 30, 2023 are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2023 ($000s)
State Street Global Advisors Custom S&P 500 Index $ 16,831,883
RhumbLine Advisers, LP Custom S&P 500 Index 2,085,612
State Street Global Advisors Custom Russell 2500 Index 1,062,434
Frontier Capital Management Small Cap Value 524,244
Riverbridge Partners SMID Cap Growth 403,257
Summit Creek Advisors Small Cap Growth 465,503
Acadian Asset Management Micro Cap Core 234,075
Brandywine Investment Management Micro Cap Value 175,987
Lord, Abbett & Company Micro Cap Growth 200,524
Driehaus Capital Management Micro Cap Growth 229,982
Other portfolio net assets (5,578)
$ 22,207,923Total Portfolio Fair Value
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Apple Inc. 1,481,339$ 6.67%
2 Microsoft Corp. 1,308,511 5.89%
3 Amazon.com Inc. 601,485 2.71%
4 Nvidia Corp 540,189 2.43%
5 Alphabet Inc - CL A 366,315 1.65%
6 Tesla Inc 364,283 1.64%
7 Meta Platforms Inc. 327,927 1.48%
8 Alphabet Inc - CL C 319,077 1.44%
9 Berkshire Hathaway Inc 314,111 1.41%
10 UnitedHealth Group Inc 230,358 1.04%
TOTAL 5,853,595$ 26.36%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 68 FISCAL YEAR 2023
International Equity Portfolio
As of June 30, 2023, the International Equity portfolio had approximately $11.3 billion in net position,
representing 11.7% of the PRIT Fund. The international core equity accounts are benchmarked against the
Custom MSCI World ex-U.S. Standard Index – Net Dividends (Custom MSCI World ex-U.S. Standard – customized
to exclude legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The international small cap
equity accounts are benchmarked against the Custom World ex-U.S. Small Cap Index – Net Dividends (Custom
World ex-U.S. Small Cap – customized to exclude legislatively restricted securities in tobacco, Iran, Russia, and
Sudan). The International Equity portfolio is allocated to one passive core equity account (20% of the portfolio),
eight active core equity accounts (65% of the portfolio), one passive small cap equity account (6% of the
portfolio), and four active small cap equity accounts (9% of the portfolio).
The primary strategy for this portfolio is investing in companies in developed markets, industrialized nations
outside of the United States, including, but not limited to, Japan, Germany, the United Kingdom, France, Italy,
Switzerland, Hong Kong, Canada, and Australia. As of the fiscal year-end, the weighting of International Equity
was 29.8% of the Global Equity portfolio.
Portfolio Risks. Investing in developed markets outside of the United States carries additional risks as compared
to U.S. domestic investments. The added risks are primarily associated with currency, higher trading and
settlement costs, and less stringent investor protections and disclosure standards.
Portfolio Returns. For the fiscal year ending June 30, 2023, the International Equity portfolio returned 17.53%
compared to the benchmark return of 16.15%. Five of the PRIT Fund’s eight active international equity managers
(two managers with inception date of October 31, 2022) outperformed the Custom MSCI World ex-U.S. Index.
The PRIT Fund’s four active international small cap equity managers outperformed the Custom World ex-U.S.
Small Cap Index. The passive manager outperformed the Custom MSCI World ex-U.S. Index and the Custom
World ex-U.S. Small Cap Index for the fiscal year. On a three-, five-, and 10-year basis through June 30, 2023, the
65%
9%
20% 6%
International Equity Portfolio
As of June 30, 2023
Active - Core
Active - Small Cap
Custom World EX-US
Index
Custom World EX-US
Small Cap Index
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 69 FISCAL YEAR 2023
PRIT Fund’s international equity managers posted returns of 8.88%, 4.56%, and 6.20%, respectively, ahead of the
benchmark, which returned 8.49%, 3.98%, and 5.40%, respectively, over the same periods.
The top ten holdings in the International Equity portfolio at June 30, 2023 are illustrated below. A complete listing
of holdings is available upon request.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 ASML Holding N.V. 116,248$ 1.03%
2 BP PLC 93,200 0.82%
3 CIE Financiere Richemont SA 89,806 0.79%
4 Novartis AG 87,954 0.78%
5 LVMH 87,216 0.77%
6 United Overseas Bank Ltd 87,155 0.77%
7 Novo Nordisk 87,055 0.77%
8 Roche Holding AG 86,314 0.76%
9 AIA Group Ltd 73,887 0.65%
10 Sanofi 72,710 0.64%
TOTAL 881,545$ 7.79%
The PRIT Fund’s International Equity managers at June 30, 2023 are presented in the following table:
Manager Investment Mandate June 30, 2023 ($000s)
State Street Global Advisors Custom World ex-US Index $ 2,279,191
Marathon-London World ex-US 2,389,236
Baillie Gifford World ex-US 1,734,242
Mondrian Investment World ex-US 765,973
ARGA Investment Management World ex-US 656,070
Columbia Threadneedle World ex-US 553,931
Causeway Capital Management World ex-US 488,274
Pzena Investment Management World ex-US 408,203
Xponance World ex-US 347,003
State Street Global Advisors Custom World ex-US Small Cap Index 714,473
Acadian Asset Management World ex-US Small Cap 360,854
AQR Capital Management World ex-US Small Cap 234,850
Artisan Partners World ex-US Small Cap 189,717
Driehaus Capital Management World ex-US Small Cap 185,884
Other portfolio net assets 2,480
$ 11,310,381Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 70 FISCAL YEAR 2023
Emerging Markets Portfolio
As of June 30, 2023, the Emerging Markets Equity portfolio had approximately $4.3 billion in net position,
representing 4.4% of the PRIT Fund. The active emerging markets core equity managers are benchmarked against
the Custom MSCI Emerging Markets Standard Index – Net Dividends (Custom MSCI Emerging Markets Standard
– customized to exclude legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The active
emerging markets small cap equity managers are benchmarked against the Custom MSCI Emerging Markets Small
Cap Net Dividends Index (Custom MSCI Emerging Markets Small Cap – customized to exclude legislatively
restricted securities in tobacco, Iran, Russia, and Sudan). The emerging markets equity portfolio is allocated to
five active core equity managers (which comprise about 84% of the emerging market portfolio) and two active
small cap equity managers (16% of the portfolio). The PRIM Board maintains a target weighting of 100% active
for the Emerging Markets Equity portfolio.
The primary strategy for this portfolio is investing in companies in developing countries, including, but not limited
to, China, Brazil, South Korea, Taiwan, and India. These countries typically have less efficient securities markets,
and thus there is opportunity for returns above benchmarks. As of the fiscal year end, the weighting of Emerging
Markets Equity was 11.3% of the Global Equity portfolio.
Portfolio Risks. Investing in emerging markets carries risks above and beyond those inherent to domestic and
developed international equity markets. Emerging markets tend to be less efficient than both U.S. and non-U.S.
developed markets, and therefore, are more volatile. In addition to the added volatility, and those risks
mentioned in association with investments in developed international equity markets, emerging market
investments are subject to economic and political risks, exchange control regulation, expropriation, confiscatory
taxation, and social instability.
Portfolio Returns. For the fiscal year, the Emerging Markets Equity portfolio returned 9.08% compared to the
benchmark return of 3.04%. Three of the PRIT Fund’s five active emerging markets core equity managers
84%
16%
Emerging Markets Equity Portfolio
As of June 30, 2023
Active - Core
Active - Small Cap
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 71 FISCAL YEAR 2023
outperformed the benchmark. One of the PRIT Fund’s two active emerging markets small cap equity managers
outperformed the MSCI Emerging Markets Small Cap Index for the fiscal year. On a three-, five-, and 10-year
basis through June 30, 2023, the PRIT Fund’s emerging markets equity managers posted returns of 7.02%, 4.01%,
and 5.16%, respectively, compared to the asset class benchmark, which returned 3.60%, 1.45%, and 3.25% over
the same periods.
The top ten holdings in the Emerging Markets Equity portfolio at June 30, 2023 are illustrated below. A complete
listing of holdings is available upon request.
The PRIT Fund’s Emerging Markets Equity managers at June 30, 2023 are presented in the following table:
Global Equity Emerging-Diverse Manager Program
As of June 30, 2023, the Global Equity Emerging-Diverse Manager Program (inception in May 2022), managed by
Xponance (manager-of-managers), had $108.0 million in net position, representing 0.3% of the Global Equity
portfolio and 0.1% of the PRIT Fund. The Global Equity Emerging-Diverse Manager Program returned 15.31% for
the fiscal year and 7.03% since its inception, compared to the asset class benchmark, which returned 13.13% and
2.51% over the same periods.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Samsung Electronics 159,427$ 3.73%
2 Tawain Semiconductor Mfg. Co. 139,454 3.26%
3 Tencent Holdings Ltd 123,347 2.89%
4 Tawain Semiconductor Mfg. Co. Ltd. ADR 97,178 2.27%
5 Alibaba Group Holding Ltd HK 70,288 1.65%
6 Reliance Industries Ltd 53,536 1.25%
7 Hon Hai Precision Industry Co. 46,885 1.10%
8 Housing Development Finance Co. 45,452 1.06%
9 Petroleo Brasileiro SA ADR 36,824 0.86%
10 Galazxy Entertainment Group Ltd 36,213 0.85%
TOTAL 808,604$ 18.92%
Portfolio Fair Value at
Manager Investment Mandate June 30, 2023 ($000s)
AQR Emerging EM Core $ 687,812
Baillie Gifford EM Core 753,431
Driehaus Capital EM Core 867,303
Pzena Investment Management, LLC EM Core 1,028,880
T. Rowe Price EM Core 245,725
Acadian EM Small Cap 516,995
Wasatch EM Small Cap 167,218
Other portfolio net assets 5,353
$ 4,272,717Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 72 FISCAL YEAR 2023
Core Fixed Income Portfolio
As of June 30, 2023, the Core Fixed Income Portfolio had approximately $12.8 billion invested in investment grade
Core Fixed Income positions, representing 13.3% of the PRIT Fund. The Core Fixed Income Portfolio is invested
using the following strategies:
The Core Fixed Income portfolio is benchmarked to the Bloomberg Aggregate Bond Index for core fixed income
securities, the Bloomberg U.S. STRIPS 20+ Year Bond Index for STRIPS securities, the Bloomberg Treasury 1-3 Year
Index for short term fixed income securities, the Bloomberg US TIPS Index for U.S. TIPS securities, and the
Bloomberg Inflation Linked Bond US$ Hedged Index for the Global Inflation Linked Bonds (ILBs).
The Bloomberg Aggregate Bond Index replicates the investment grade bond market. The index is comprised of
corporate, government, and mortgage-backed securities. The index portfolio is designed to approximate the
performance of the Bloomberg Aggregate Bond Index, while the active managers’ mandate is to exceed the index
return. The Core Fixed Income portfolio is designed to reduce the long-term volatility of the total PRIT Fund.
The Core Fixed Income portfolio also contains an investment with a manager under the PRIM Board’s
Economically Targeted Investment (ETI) program, which is benchmarked against the Bloomberg Aggregate Bond
Index. The allocations to TIPS and to the ILBs strategy are designed to provide hedges against rises in inflation.
The STRIPS portfolio is designed to approximate the performance of the Bloomberg U.S. STRIPS 20+ Year Bond
11%
35%
19%
7%
20%
6% 1%
1%
Core Fixed Income Portfolio
As of June 30, 2023
Bloomberg Aggregate Bond
Index
Bloomberg Aggregate Active
Core
Bloomberg U.S. STRIPS 20+
Year Bond Index
Bloomberg Treasury 1-3 Year
Index
Treasury Inflation Protected
Securities (TIPS) Index
Global Inflation Linked Bonds
(ILBS)
Economically Targeted
Investments
Emerging-Diverse Manager
Program
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 73 FISCAL YEAR 2023
Index and to lower overall volatility of the total PRIT Fund. The allocation to short term fixed income securities
is designed to approximate the performance of the Bloomberg Treasury 1-3 Year Index and to reduce volatility
while increasing liquidity within the Core Fixed Income portfolio. The Core Fixed Income investments with diverse
managers represent 0.1% of the PRIT Fund. There is one manager-of-managers in the PRIT Fund Core Fixed
Income Emerging-Diverse Manager Program.
Portfolio Risks. As in the case of equities, the prices of fixed income securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. The portfolio is subject to credit risk through defaults on bonds and other
fixed income securities. Erosion in principal value can result from credit risk and price fluctuations and can
adversely affect portfolio returns.
Portfolio Returns. For the fiscal year 2023, the Core Fixed Income composite returned -2.72% compared to the
-2.97% return of the benchmark (46.6% Bloomberg Aggregate/20% Bloomberg U.S. STRIPS 20+ Year Bond Index
/20% Bloomberg US TIPS/6.7% Bloomberg ILB US$ Hedged/6.7% Bloomberg US Treasury 1-3 Year Index as of
June 30, 2023). The Bloomberg Aggregate mandates returned -0.54%, compared to the Bloomberg Aggregate
Bond Index return of -0.94%. The passively managed STRIPS mandate returned -10.64%, compared to the
Bloomberg U.S. STRIPS 20+ Year Bond Index return of -10.81%. The passively managed TIPS mandate returned
-1.35%, compared to the Bloomberg US TIPS Index which returned -1.40%. The actively managed ILBs mandate
returned -3.56%, compared to the Bloomberg ILB US$ Hedged Index return of -3.72%. The passively managed
short-term fixed income securities mandate returned 0.18%, compared to the Bloomberg Treasury 1-3 Year Index
return of 0.15%. The Core Fixed Income Emerging-Diverse Manager Program had a return of -0.57% compared
to the custom benchmark return of -0.94%.
On a three-, five-, and 10-year basis through June 30, 2023, the PRIT Fund’s Core Fixed Income portfolio has
returned -5.09%, 1.07%, and 2.65%, respectively, compared to the benchmark, which returned -5.41%, 0.85%,
and 2.43%, respectively.
The top ten Core Fixed Income holdings as of June 30, 2023, excluding certain pooled funds and repurchase
agreements, are illustrated below. A complete listing of holdings is available upon request.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 U.S. Treasury Bond Principal STRIP 0.000% November 2050 373,981$ 2.91%
2 U.S. Treasury Bond Principal STRIP 0.000% February 2051 168,117 1.31%
3 U.S. Treasury Bond Principal STRIP 0.000% August 2050 161,362 1.26%
4 U.S. Treasury Bond Principal STRIP 0.000% February 2048 133,603 1.04%
5 U.S. Treasury-CPI Inflation 0.625% July 2032 121,025 0.94%
6 U.S. Treasury Bond Principal STRIP 0.000% August 2051 114,720 0.89%
7 U.S. Treasury-CPI Inflation 1.625% October 2027 112,238 0.87%
8 Commit to Purchase FNMA 4.000% August 2053 110,296 0.86%
9 U.S. Treasury-CPI Inflation 1.250% April 2028 109,656 0.85%
10 U.S. Treasury-CPI Inflation 0.125% July 2030 108,218 0.84%
TOTAL 1,513,216$ 11.77%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 74 FISCAL YEAR 2023
The PRIT Fund’s Core Fixed Income portfolio managers at June 30, 2023 are presented in the following table:
Manager Investment Mandate
Portfolio Fair Value at
June 30, 2023 ($000s)
Blackrock Financial Management Core Index $ 1,399,819
Loomis, Sayles & Co., LP Active Core 1,758,293
PIMCO Active Core 1,412,343
Pugh Capital Management Active Core 463,912
New Century Advisors Active Core 397,454
Longfellow Investment Management Active Core 472,659
Blackrock Financial Management Inflation Link Bonds 845,813
Blackrock Financial Management STRIPS Index 2,472,331
Blackrock Financial Management TIPS Index 2,547,807
Blackrock Financial Management Short-Term Fixed Income 860,431
AFL - CIO Housing Investment ETI - Active Core 131,834
Bivium Capital Partners Emerging-Diverse 70,820
Other portfolio net assets (2,254)
$ 12,831,262Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 75 FISCAL YEAR 2023
Value-Added Fixed Income Portfolio
As of June 30, 2023, the Value-Added Fixed Income portfolio had approximately $6.9 billion in net position,
representing 7.1% of the PRIT Fund. The Value-Added Fixed Income portfolio is invested using the following
strategies:
High Yield Bonds, which represent 1.4% of the PRIT Fund, are securities that are typically rated below Investment
Grade by Standard & Poor’s, Fitch, or Moody’s. There are three managers in the PRIT Fund high yield bond
program, all through separate accounts. Each manager’s mandate is to exceed the index return.
Bank Loans, 2.2% of the PRIT Fund, represents investments in senior secured bank loans. There are two managers
in the PRIT Fund bank loan program; both invest through commingled funds. Each manager’s mandate is to
exceed the index return.
Emerging Markets Debt, 0.8% of the PRIT Fund, represents investments in debt issued within the emerging
marketplace. There are two managers in the PRIT Fund emerging debt program, representing Hard Currency
strategies; one is through a commingled emerging debt investment vehicle while the other is through a separate
account. Each manager’s mandate is to exceed the index return.
Emerging-Diverse Manager Program, 0.1% of the PRIT Fund, represents investments with diverse managers.
There is one manager-of-managers in the PRIT Fund Value-Added Fixed Income Emerging-Diverse Manager
Program.
20%
30%
11%
1%
21%
17%
Value-Added Fixed Income Portfolio
As of June 30, 2023
High Yield Bonds
Bank Loans
Emerging Markets Debt -
Hard Currency
Emerging-Diverse Manager
Program
Other Credit Opportunities
Private Debt
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 76 FISCAL YEAR 2023
Other Credit Opportunities, 1.5% of the PRIT Fund, represents investments in other credit strategies whose risk,
return and liquidity characteristics lie between the public market strategies of high yield bonds, bank loans and
emerging markets debt and the private partnerships in the private debt strategies. There are nine managers in
the PRIT Fund Other Credit Opportunities program; five are through private partnerships while the rest are
through separate accounts.
Private Debt, 1.2% of the PRIT Fund, represents investments in private partnerships that invest directly in
distressed debt investment opportunities. As of June 30, 2023, the PRIT Fund had approximately $1.1 billion in
distressed debt investments with twelve investment managers.
Portfolio Risks. As in the core fixed income portfolio, the prices of these securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. Lower-quality securities typically offer higher yields, but also carry more
credit risk. The allocation of investments to emerging markets, other credit strategies, and distressed debt
expose the portfolio to additional risks. Investments in emerging markets are subject to higher settlement,
trading and management costs and greater economic, regulatory, and political risk, as well as currency risk.
Investments in Other Credit Opportunities and private distressed debt funds subject the portfolio to liquidity,
valuation and other risks associated with private investments.
Portfolio Returns: In fiscal year 2023, the Value-Added Fixed Income composite returned 7.70% compared to
7.52% for the asset class benchmark. The PRIT Fund’s three high yield bond managers returned 8.63%, while the
Intercontinental Exchange Bank of America High Yield index returned 8.97%. The Emerging Markets Debt
portfolio returned 6.91% during the fiscal year, compared to the JP Morgan Emerging Markets Bond Index, which
returned 6.85%. The two bank loan managers, returned 10.02%, compared to the Morningstar LSTA Leveraged
Loan index return of 10.71%. The Value-Added Fixed Income Emerging-Diverse Manager Program returned
5.55% compared to the custom benchmark of 8.08%. The Other Credit Opportunities portfolio returned 4.98%
compared to the custom benchmark of 7.36%. The Private Debt portfolio returned 5.89% compared to the index
return of 1.91%. The benchmark for the Private Debt portfolio at June 30, 2023 is the Burgiss Distressed Debt
Universe Lagged Index.
On a three-, five-, and 10-year basis through June 30, 2023, the PRIT Fund’s Value-Added Fixed Income portfolio
has returned 7.35%, 5.00%, and 4.69%, respectively, compared to the benchmark, which returned 6.60%, 4.74%,
and 3.51%, respectively.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 77 FISCAL YEAR 2023
The top ten holdings in the Value-Added Fixed Income portfolio at June 30, 2023, excluding investments in
emerging debt pooled funds, bank loan funds, private debt and other credit opportunities partnerships, and other
pooled funds, are illustrated below. A complete listing of holdings is available upon request.
The PRIT Fund’s Value-Added Fixed Income portfolio managers at June 30, 2023 are presented in the
following0table:
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 U.S. Treasury Bill 0.000% October 2023 18,844$ 0.27%
2 Petroleos Mexicanos 7.690% January 2050 7,592 0.11%
3 Charter Communications 3.700% April 2051 7,369 0.11%
4 First Quantum Minerals 6.875% March 2026 7,043 0.10%
5 Transdigm Inc 6.250% March 2026 6,857 0.10%
6 Uber Technologies Inc 8.000% November 2026 6,627 0.10%
7 Republic of South Africa 10.500% December 2026 6,077 0.09%
8 Tenet Healthcare Corp 4.250% June 2029 5,872 0.09%
9 Dish Network Corp 3.375% August 2026 5,803 0.08%
10 U.S. Treasury Note 3.125% August 2029 5,795 0.08%
TOTAL 77,879$ 1.12%
Portfolio Fair Value at
Manager Investment Mandate June 30, 2023 ($000s)
Fidelity Management Trust High Yield Bond $ 477,973
Loomis, Sayles & Co., LP High Yield Bond 445,239
Shenkman Capital Management High Yield Bond 422,333
Ashmore Investment Management Emerging Markets Debt Hard Currency 398,492
PIMCO Emerging Markets Debt Hard Currency 394,216
Eaton Vance Bank Loans 1,063,045
Voya Bank Loans 1,038,843
Bivium Capital Partners Emerging-Diverse 61,547
Various accounts and partnerships Other Credit Opportunities 1,420,265
Various partnerships Private Debt 1,167,341
Other portfolio net assets 1,136
$ 6,890,430Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 78 FISCAL YEAR 2023
Real Estate Portfolio
As of June 30, 2023, the PRIM Board had $10.5 billion invested in real estate through the PRIT Fund’s ownership
interest in PRIT Core Realty Holdings LLC (the LLC), representing 10.9% of the PRIT Fund. Real estate holdings
consist of directly-owned properties, REITs, and investments in real estate funds. The PRIT Fund invests in real
estate because it provides diversification and attractive returns. Real estate returns typically do not have a strong
correlation with stock and bond returns, therefore offering an element of diversification to reduce volatility. Real
estate can also offer attractive current returns as a portfolio of well-leased assets provides consistent cash flows
from rental income.
Approximately 91% of the real estate allocation is dedicated to direct investments and private partnerships (the
“Private Real Estate Investments”). The Private Real Estate Investments are subsequently broken down into Core
and Non-Core real estate investments. As of June 30, 2023, $9.0 billion (net of portfolio debt) of Core real estate
investments and $574.1 million of Non-Core real estate investments comprise PRIT's Private Real Estate
Investments, which represents 9.9% of the PRIT Fund. Typically, Core real estate investments are relatively low
risk and substantially leased (80% or greater occupancy at the time of investment) institutional quality real estate.
Non-Core real estate investments offer higher potential returns at a higher risk profile. The PRIM Board’s Non-
Core program targets opportunities associated with development, vacancy and tenant exposure or the potential
to physically or financially reposition an investment. Real estate investments with diverse managers represent
less than 0.1% of the PRIT Fund. As of June 30, 2023, the Real Estate Emerging-Diverse Manager Program had
32.9 million in net position. Public REITs comprise the remainder of the investments in the PRIT Fund real estate
portfolio. As of June 30, 2023, the PRIM Board had $1.0 billion allocated to public REITs. The public REIT portfolio
represents 1.1% of the PRIT Fund.
The following charts display the property type and geographic diversification of the PRIM Board’s directly-owned
real estate assets, at June 30, 2023:
The PRIM Board's strategies utilize a disciplined portfolio approach to real estate investing that is focused on
investments in equity interests in institutional quality real estate. The PRIM Board has established separate
accounts with capable real estate investment managers under terms that are beneficial to the PRIM Board.
28%
43%
19%
9% 1%
Private Real Estate by Property Type
As of June 30, 2023
Apartments
Industrial/Flex
Office
Retail
Other
5%
1%
11%
8%
14%
35%
19%
7%
Private Real Estate by Georgraphy
As of June 30, 2023
East No. Central
West No. Central
Mideast
Mountain
Northeast
Pacific
Southeast
Southwest
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 79 FISCAL YEAR 2023
Because the PRIM Board is typically the sole owner of the real estate in each such account, the managers operate
under clear policies and guidelines most appropriate to the PRIM Board's investment needs.
Leverage. The PRIM Board approved the Real Estate Portfolio Level Leverage Policy at its February 26, 2020 Board
meeting. This policy permits portfolio level debt to be incurred subject to the following policy guidelines: (i) Debt
Service Coverage: The ratio of i) portfolio EBITDA to ii) debt service on total indebtedness should be no lower
than 1.5x at the time debt is placed, assuming actual debt service. (ii)Spread of Operating Yield over Borrowing
Rate: PRIM will target a spread of 100 basis points between the property portfolio operating yield
(EBITDA/portfolio value at cost) and the weighted average borrowing interest rate on total unsecured
indebtedness at the time debt is placed. When acquiring Core Real Estate that requires an assumption of debt
or placement of new debt, the property NOI Yield shall be at least 100 basis points, greater than the borrowing
interest rate of the assumed or new debt. (iii)Total Leverage Ratio: The ratio should be no more than 40% of
the total real estate property portfolio. This ratio includes any property-level financing in place as well as the
portfolio level facility. The calculation of the loan-to-value ratio will be total debt/gross asset value of the real
estate property portfolio. (iv)Financing Characteristics: PRIM may consider all sources of financing options that
are available. Leverage may utilize fixed or floating interest rates and may utilize derivatives to achieve these
rates. The decision to use fixed or floating rates will be determined at the time of borrowing and will be a function
of availability, rate, and risk. Fixed rate financing will be the preferred method.
The LLC had portfolio level notes payable of $350 million at June 30, 2023. In addition, the LLC utilized internal
securities lending capabilities to increase portfolio leverage by $750 million. By utilizing the securities lending
financing capabilities, the LLC is able to achieve lower borrowing costs for the Real Estate portfolio and allow
more flexibility within the real estate debt program. As the $750 million loan is an inter-entity loan, it has been
eliminated in consolidation from the financial statements presented in the Financial Section.
Portfolio Risks. Investments in real estate are subject to various risks, including adverse changes in economic
conditions and in the capital markets, financial conditions of tenants, interest of buyers and sellers in real estate
properties, environmental laws and regulations, zoning laws, governmental rules, uninsurable losses, and other
factors beyond the control of the property owner. In addition, while diversification is an important tool used by
the PRIM Board for mitigating risk, there is no assurance that diversification, either by geographic region or asset
type, will consistently be maintained in the Core Real Estate Portfolio because of the illiquid nature of real estate.
In addition, the portfolio is subject to valuation risk, as the valuation of the assets in this portfolio is based on
estimates made by the PRIM Board in coordination with external appraisers and the investment managers.
Furthermore, there can be no assurance that the fair value of the portfolio will ultimately correspond to the
realized value of the underlying properties. Public REITs face risks similar to the risks of public equities both
domestically and internationally since they are traded on public exchanges. They can experience corrections and
price movements that are much more rapid than those experienced by private real estate portfolios and the
share price can vary significantly from underlying net asset value.
Performance. During the fiscal year, the PRIM Board’s private real estate portfolio outperformed relative to
benchmark. The private real estate sector benefitted from a strong demand for quality industrial and multifamily
real estate in core markets, two property types where PRIM has a relative overweight.
For fiscal year 2023, the real estate portfolio returned -2.81% compared to the -3.98% return of the asset class
benchmark. The Private Real Estate Investments portfolio returned -2.79% for the year ended June 30, 2023,
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 80 FISCAL YEAR 2023
outperforming the NCREIF NFI-ODCE Index (one quarter lag), which returned -3.91% over the same period. REIT
investments returned -3.17%, outperforming the FTSE EPRA NAREIT Developed Net Total Return benchmark of
-3.74%. Since its inception in July 2022, the Real Estate Emerging-Diverse Manager Program returned 6.52%
compared to the custom benchmark of 6.93%.
On a three-, five-, and 10-year basis through June 30, 2023, the PRIT Fund’s Real Estate portfolio has returned
12.59%, 8.88%, and 9.81%, respectively, compared to the benchmark, which returned 7.43%, 6.18%, and 7.80%,
respectively.
The PRIT Fund’s real estate investment managers at June 30, 2023 are presented in the following table:
Manager Investment Mandate
Portfolio Fair Value at
June 30, 2023 ($000s)
Invesco Realty Advisors Separate Accounts - Core $ 2,703,497
LaSalle Investment Management Separate Accounts - Core 2,545,916
AEW Separate Accounts - Core 2,499,230
CBRE Separate Accounts - Core 671,625
Stockbridge Separate Accounts - Core 613,952
PRIM Board Separate Accounts - Core 738,609
Invesco Realty Advisors - Transition Portfolio Separate Accounts - Core 60,933
AEW - Transition Portfolio Separate Accounts - Core 65,953
Various Partnerships Non-Core 574,075
CenterSquare Investment Management Global REITs 674,505
Brookfield Investment Management Global REITs 343,415
Cambridge Associates Emerging-Diverse 32,857
Other portfolio net assets (portfolio debt included) (1,001,346)
$ 10,523,221Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 81 FISCAL YEAR 2023
Timberland Portfolio
As of June 30, 2023, the PRIM Board had $3.0 billion invested in timberland, representing 3.1% of the PRIT Fund.
The PRIT Fund’s allocation to timberland is through two external timberland investment managers, Forest
Investment Associates (FIA) and The Campbell Group (Campbell).
The United States timberland markets are divided into three regions, each with distinct economic characteristics:
the Pacific Northwest, the Northeast, and the Southeast. The Pacific Northwest is a high value softwood market,
in which the growing cycle to produce a mature tree is forty to fifty years. The high value tree in this region is
Douglas Fir, which is used primarily to produce high quality dimensional and structural lumber. The timber
growing cycle in the Southeast is much shorter, in the range of twenty-five years. Southern pine is the dominant
species and is used typically to make pulp for the paper industry or lower quality framing lumber. The Northeast
market is much smaller than the other two markets and consists of a wider range of trees, including high value
specialty woods such as cherry and oak.
In Australia, there is approximately 2 million hectares (4.9 million acres) of plantation timberlands that are almost
evenly split between hardwood and softwood species. Australia is a net importer of forest products, with limited
domestic supply and high demand. Potential export opportunities exist for plantations within close proximity to
ports due to fiber demand from China. There are approximately 2 million hectares of timberland plantations in
New Zealand, comprised primarily of softwood (radiata pine). The country produces significantly more logs than
it consumes, relying heavily on export markets, particularly China.
The geographical diversification of the PRIT Fund’s timberland portfolio at June 30, 2023 is presented below.
4% 4% 5%
3% 8%
7%
2%
4%
9%
11%
22%
14%
7%
Timberland Assets by Geography
As of June 30, 2023
Arkansas
Florida
Louisiana
Pennsylvania
Mississippi
South Carolina
Georgia
North Carolina
Texas
Oregon
Washington
Australia
New Zealand
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 82 FISCAL YEAR 2023
Investment returns from timberland investments are derived from the net cash flow generated from the sale of
trees (referred to as stumpage sales) combined with capital appreciation from the biological growth of the trees.
Both of these return factors depend to some degree upon the direction of forest product commodity prices
(paper goods and lumber products). There can also be gains from timely land sales to buyers aiming to convert
timberland into higher and better uses.
Portfolio Risks. Investments in timberland assets are subject to various risks, including adverse changes in
general economic conditions, fluctuations in the market price of timber, damage to timber properties due to
infestation and weather-related events, changes in regulatory conditions and other governmental rules. In
addition, the portfolio is subject to valuation risk, as the valuation of the assets in this segment are based on
estimates made by the PRIM Board through coordination with external appraisers and the PRIM Board’s
timberland investment managers. Accordingly, there can be no assurance that the fair value of investments will
correspond to the ultimate realized value of the properties. International timberland investments are also subject
to currency fluctuations that can result in unpredictable gains or losses when foreign currency is converted into
U.S. dollars.
Performance. As of June 30, 2023, the one-year Timberland return was 5.93% as compared to the NCREIF
Timberland Index (one quarter lag) of 11.31%. On a three-, five-, and 10-year basis through June 30, 2023, the
PRIT Fund’s Timberland portfolio has returned 8.40%, 4.99%, and 6.27%, respectively, compared to the
benchmark return of 8.09%, 5.54%, and 5.82%, respectively.
The PRIT Fund’s Timberland investment managers at June 30, 2023 are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2023 ($000s)
Forest Investments Associates Separate Accounts - Timberland $ 1,358,346
The Campbell Group Separate Accounts - Timberland 1,624,479
Other portfolio net assets 13,149
$ 2,995,974Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 83 FISCAL YEAR 2023
Private Equity Portfolio
As of June 30, 2023, the fair value of the Private Equity portfolio was $16.8 billion, representing 17.4% of the PRIT
Fund. Unlike public equities, where investors have the ability to liquidate investments generally at any time,
private equity investments are illiquid. Therefore, an investment in this category is a long-term commitment.
The Private Equity portfolio is well-diversified by strategy and the allocation as of June 30, 2023, is presented
below.
The Private Equity portfolio is diversified at the partnership level by strategy as well as at the underlying portfolio
company level by industry and geography. The portfolio’s current geographical and industry allocations are
presented below.
22%
21%
17%
15%
14%
11%
Private Equity by Strategy
As of June 30, 2023
Buyout - Mid
Buyout - Mega
Buyout - Large
Growth Equity
Buyout - Small
Venture Capital
75%
23%
5%
Private Equity by Geography
As of June 30, 2023
North America
Western Europe
Other
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 84 FISCAL YEAR 2023
Capital invested in private equity partnerships is subject to a relatively high degree of risk as compared to other
potential investments, with the assumption that the investor will be rewarded with higher returns for that
assumption of risk, i.e., the “risk/return trade-off”. This risk/return trade-off is the key consideration in
determining if this asset is appropriate for a particular portfolio. These risks are highlighted below.
Portfolio Risks. Risks associated with investing in private equity limited partnerships include, but are not limited
to:
• Illiquidity: Limited partnership vehicles typically have 10-15-year life cycles during which limited partners
are unable to liquidate their entire positions, but instead, will receive the cash flow from successful
investments. A defined secondary market such as the New York Stock Exchange does not exist for private
equity.
• Volatility: Volatility, as measured by standard deviation from a mean return, has historically been greater
for private equity investing than many other assets.
• Management Fee Effect: Typically, general partners’ fees range from 150 to 250 basis points annually.
This is usually drawn down against committed capital, although it may not be invested, and may result in
negative returns until investments are realized successfully.
• Valuation of investments: Investment valuation at any time may not be reflective of fair market value.
Private equity investments are generally valued at fair value. However, because of the inherent
40%
15%
14%
8%
7%
6% 3% 3% 2% 2%
Private Equity by Industry
As of June 30, 2023
Information Technology
Health Care
Industrials
Financials
Consumer Discretionary
Communication Services
Energy & Utilities
Consumer Staples
Materials
Other
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 85 FISCAL YEAR 2023
uncertainty of the valuation of the portfolio companies, the estimated value may differ significantly from
the value that would have been used had a ready market for these investments existed.
• General Partner Discretion: Investors lack control over the general partner’s investment decisions. The
general partner is provided capital to manage at its discretion and investors are provided limited rights,
such as termination of the partnership in certain instances. (These rights may not prove practical except
in extreme circumstances.)
• Binding Commitments: There is limited ability to reduce or terminate investments. Under the contractual
terms of the partnership, investments may be terminated in some cases by super-majority vote of the
investors and after the occurrence of certain events. (These rights may not prove practical except in
extreme circumstances.)
• Risk of Loss: There is risk of losing 100% of the investment. Investments in partnerships are usually equity
and their risk nature could result in loss of the entire investment.
Performance. The PRIT Fund’s Private Equity portfolio delivered a one-year return of -3.45% through June 30,
2023. The PRIT Fund’s Private Equity managers were active in making new investments as well as in generating
liquidity in the year ending June 30, 2023. The PRIT Fund’s managers called $2.0 billion of capital for additional
investments, management fees, and partnership expenses, which compares to the $2.9 billion called during the
prior fiscal year. From a liquidity standpoint, the portfolio generated total distributions of $1.5 billion which
compares to $3.3 billion of distributions for the 2022 fiscal year.
While there is not currently a widely used or conventional benchmark in this asset class, the PRIM Board staff
targets investment opportunities with the ability to generate a long-term rate of return equal to or greater than
a custom benchmark (7-year annualized return of a blend of the 88% Russell 3000 + 3%/12% MSCI Europe IMI +
3% as of June 30, 2023). As of June 30, 2023, the PRIT Fund’s Private Equity portfolio returned -3.45% compared
to the custom benchmark return of 13.99%. On a three-, five-, and 10-year basis through June 30, 2023, the PRIT
Fund’s Private Equity portfolio has returned 28.50%, 21.30%, and 20.35%, respectively, compared to the custom
benchmark return of 14.59%, 14.72%, and 14.26%, respectively. It is important to remember that there is a one
quarter lag inherent in private equity valuations.
Since inception to June 30, 2023, the PRIT Fund has committed $32.8 billion to 560 partnerships (383 active) of
which $27.7 billion has been invested. The program has generated $32.5 billion in distributions. The net IRR
since inception for the program is 14.01%.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 86 FISCAL YEAR 2023
PRIVATE EQUITY EXTERNAL MANAGERS
As of June 30, 2023
Partnership Location Partnership Location
1 1315 Capital Philadelphia, PA 53 Madison Dearborn Partners LLC Chicago, IL
2 ACON Investments Washington, DC 54 Medicxi Ventures London, UK
3 Advent International Boston, MA 55 Menlo Ventures Menlo Park, CA
4 Alta Communications Boston, MA 56 Montagu Private Equity London, UK
5 Altor Stockholm, Sweden 57 Montreux Equity Partners Menlo, CA
6 American Industrial Partners New York, NY 58 Nash, Sell & Partners London, UK
7 American Securities, LLC New York, NY 59 Nautic Partners LLC Providence, RI
8 Apollo Management New York, NY 60 New Enterprise Associates Baltimore, MD
9 Ascent Venture Partners Boston, MA 61 NewView Capital Management Burlingame, CA
10 Austin Ventures Austin, TX 62 Nordic Capital Stockholm, Sweden
11 Bain Capital Boston, MA 63 Odyssey Investment Partners New York, NY
12 Battery Ventures Boston, MA 64 Olympus Stamford, CT
13 Berkshire Partners Boston, MA 65 Onex Corporation Toronto, Canada
14 Blackstone New York, NY 66 Permira Advisers Limited London, UK
15 Bridgepoint Capital Ltd. London, UK 67 Polaris Boston, MA
16 Carlyle Group Washington, DC 68 Polaris Growth Fund Boston, MA
17 Catalyst Investors New York, NY 69 Providence Equity Partners, Inc. Providence, RI
18 Centerbridge Associates New York, NY 70 PSG Equity L.L.C. Boston, MA
19 Charlesbank Capital Partners Boston, MA 71 Quad-C Management, Inc. Charlottesville, VA
20 Charterhouse Capital Partners London, UK 72 Quantum Energy Partners Houston, TX
21 Chequers Partenaires Paris, France 73 Red Arts Capital Management, LLC Chicago, IL
22 CVC Capital Partners London, UK 74 Rembrandt Venture Partners Menlo Park, CA
23 Denham Capital Management LP Boston, MA 75 Rhone Capital LLC New York, NY
24 El Dorado Ventures Menlo Park, CA 76 SAIF Partners Hong Kong, China
25 Elysian Capital LLP London, UK 77 Schroder Ventures Life Sciences Boston, MA
26 Essex Woodlands Health Ventures New York, NY 78 SCP Private Equity Management L.P. Wayne, PA
27 Ethos Private Equity Ltd. Johannesburg, South Africa 79 Sequoia China Beijing, China
28 Exponent London, UK 80 Sherbrooke Capital Newton, MA
29 First Reserve Corporation Greenwich, CT 81 Sofinnova Ventures Inc. Menlo Park, CA
30 Flagship Ventures Cambridge, MA 82 Spark Capital Partners, LLC Boston, MA
31 Genstar Capital Partners San Francisco, CA 83 Stone Point Capital Greenwich, CT
32 Georgian Partners Toronto, Canada 84 Summit Partners Boston, MA
33 Gilde Buyout Partners Utrecht, Netherlands 85 TA Associates Boston, MA
34 Gores Technology Group Los Angeles, CA 86 Technology Crossover Ventures Menlo Park, CA
35 GTCR Golder Rauner, LLC Chicago, IL 87 The Cypress Group LLC Baltimore, MD
36 H.I.G. Capital Miami, FL 88 THL Partners Boston, MA
37 Hellman & Friedman LLC San Francisco, CA 89 Thoma Bravo, LLC San Francisco, CA
38 Highland Capital Lexington, MA 90 Thoma Cressey Equity Partners Chicago, IL
39 Hony Capital Beijing, China 91 Thompson Street Capital Partners St. Louis, MO
40 Index Ventures Management SA London, UK 92 Tidemark Management Company LP Menlo Park, CA
41 Insight Partners New York, NY 93 TorQuest Partners Toronto, Canada
42 Institutional Venture Partners Menlo Park, CA 94 Towerbrook Capital Partners New York, NY
43 InterWest Partners Menlo Park, CA 95 TPG Capital San Francisco, CA
44 JMI Management Baltimore, MD 96 Trident Capital Management Los Angeles, CA
45 Kelso & Company New York, NY 97 Union Square Ventures New York, NY
46 Kepha Partners Waltham, MA 98 VantagePoint Venture Partners San Bruno, CA
47 Keytone Capital Partners Beijing, China 99 Vestar Equity Partners New York, NY
48 Kinzie Capital Partners LLC Chicago, IL 100 Vista Equity Partners San Francisco, CA
49 Kohlberg Kravis Roberts & Co. New York, NY 101 Waterland Private Equity Investments B.V. Amsterdam, Netherlands
50 KPS New York, NY 102 Westview Capital Management Boston, MA
51 Lovell Minnick Partners Radnor, PA 103 Wing Ventures Palo Alto, CA
52 M/C Partners Boston, MA 104 Xenon Private Equity Ltd. Jersey, UK
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 87 FISCAL YEAR 2023
Portfolio Completion Strategies (PCS) Portfolio
As of June 30, 2023, the PCS portfolio had approximately $8.1 billion in net position, representing 8.4% of the
PRIT Fund. The PCS portfolio is invested in the following strategies:
The objective of the PCS portfolio is to provide the PRIT Fund access to broader investment opportunities.
Investments selected for the PCS portfolio should enhance the risk/return profile of the PRIT Fund. Investments
may include long-term strategic investments or short-term opportunistic investments.
The overall PCS portfolio is compared against a strategic benchmark, which is the weighted average of the
subcategories’ public index-based benchmarks. Meanwhile, each investment within the PCS portfolio has a
secondary (implementation) benchmark, which is largely peer index-based, to measure the performance of
individual managers.
Portfolio Risks. The PCS portfolio is subject to the various risks of underlying investments. The portfolio is subject
to market risk through a general downturn in market conditions and a general reversal of the risk premia that
the strategies are trying to capture, as well as credit risk inherent in fixed income strategies. The portfolio is also
exposed to liquidity risk in unwinding underlying illiquid positions. In addition, the PCS portfolio is exposed to
operational risks in executing investment strategies and valuing investment positions. The PRIM Board has
developed a detailed PCS investment plan to manage these risks and ensure appropriate diversification within
the asset class.
Performance. For the fiscal year, the PCS portfolio returned 3.52% compared to the asset class benchmark return
of 6.11%. On a three-, five-, and 10-year basis through June 30, 2023, the PRIT Fund’s PCS portfolio has returned
5.87%, 2.78%, and 3.77%, respectively, compared to the benchmark return of 6.98%, 4.17%, and 3.94%,
respectively.
91%
9%
Portfolio Completion Strategies Portfolio
As of June 30, 2023
Hedge Funds
Real Assets
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 88 FISCAL YEAR 2023
The PRIT Fund’s PCS managers at June 30, 2023 are presented in the following table:
Overlay
As of June 30, 2023, the Overlay portfolio, managed in part by Parametric Portfolio Associates, had $452.5 million
in net position, representing 0.5% of the PRIT Fund. The Overlay portfolio returned 13.67% for the fiscal year,
6.72% over the three-year period, 7.33% over the five-year period, and 10.96% since its inception in October
2013.
The objective of the overlay program is to reduce performance drag by earning market returns on cash which is
not invested. Investments are made through the futures market.
Manager Strategy Focus Location
1 400 Capital Management Hedge Fund New York, NY
2 Basswood Capital Management, LLC Hedge Fund New York, NY
3 BlackRock Financial Management Real Assets New York, NY
4 Breakout Funds, LLC Hedge Fund Chicago, IL
5 Bridgade Capital Management Hedge Fund New York, NY
6 Cantab Capital Partners Hedge Fund Cambridge, UK
7 Canvas Capital Hedge Fund Rio de Janeiro, Brazil
8 Capula Investment Management Hedge Fund Greenwich, CT
9 CKC Capital Hedge Fund New York, NY
10 Complus Asset Management Limited Hedge Fund Hong Kong, China
11 Contrarian Capital Management Hedge Fund Greenwich, CT
12 Davidson Kempner Capital Management Hedge Fund New York, NY
13 DLD Asset Management Hedge Fund New York, NY
14 East Lodge Capital Hedge Fund London, UK
15 Elliot Management Corporation Hedge Fund New York, NY
16 Fir Tree Partners Hedge Fund New York, NY
17 GaoTeng Global Asset Management Limited Hedge Fund Hong Kong, China
18 Investcorp Investment Advisers Hedge Fund New York, NY
19 JEN Partners Real Assets New York, NY
20 Land and Buildings Investment Management Hedge Fund Stamford, CT
21 LMCG Serenitas Hedge Fund New York, NY
22 Markel CATCo Investment Management Real Assets Hamilton, Bermuda
23 Mudrick Capital Management Hedge Fund New York, NY
24 Mygale Hedge Fund London, UK
25 North Peak Capital Management Hedge Fund New York, NY
26 PAAMCO Hedge Fund Newport Beach, CA
27 PGIM Real Assets Newark, NJ
28 Power Pacific Investment Management Hedge Fund Montreal, Canada
29 RV Capital Management Hedge Fund Singapore
30 Sightway Capital Real Assets New York, NY
31 Silver Creek Advisory Partners Real Assets Seattle, WA
32 Summit Partners Public Asset Management, LLC Hedge Fund Boston, MA
33 Tabor Asset Management Hedge Fund New York, NY
34 Valent Asset Management Hedge Fund New York, NY
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 89 FISCAL YEAR 2023
SCHEDULE OF TIME-WEIGHTED RETURNS BY ASSET CLASS*
For the Periods Ended June 30, 2023
(1)
Domestic Equity benchmark is calculated by applying the investment
performance of the sub asset class benchmarks to the sub asset class
weights within the domestic equity portfolio.
(2) The Global Equity
Emerging-Diverse Manager Program Index was established on May 1, 2022.
The Composite Index is calculated by applying the underlying benchmark
return for each manager
to the manager’s weight within the Global Equity Emerging-Diverse Manager Program Composite.
(3)
Value-Added Fixed Income benchmark is calculated by applying the
investment performance of the sub asset class benchmarks to the sub
asset class weights within the value-added fixed
income portfolio,
Private Debt component is using Burgiss Distressed Debt Universe Lagged,
if the Burgiss return is not available, the actual portfolio net return
will be used as a placeholder until
the Burgiss Private Debt BM is published.
(4)
Real Estate benchmark is calculated by applying the investment
performance of the sub asset class benchmarks to the sub asset class
weights within the real estate portfolio.
(5) 7-year annualized return of a blend of the 88% Russell 3000 + 3%/12% MSCI Europe IMI + 3% at 6/30/2023.
(6)
Total Portfolio Completion Strategies Composite Index was formed on
April 1, 2017 by combining the prior Portfolio Completion Strategies
with Total Hedge Funds. Total Portfolio Completion
Strategies
Composite Index is calculated by applying the underlying benchmark
return for each sub asset class to the asset class’s weight within the
Total Portfolio Completion Strategies
Composite.
(7) The Overlay Account’s inception date was October 31, 2013.
* All return information is gross of fees. Returns are calculated based on a time-weighted rate of return methodology.
Asset Class 1 Year 3 Year 5 Year 10 Year
Benchmark as of June 30, 2023
Global Equity 17.43% 11.94% 8.01% 9.02%
56.9% Domestic Equity BM/43.1% Custom ACWI EX-US IMI NET DIVS 15.96% 10.98% 7.36% 8.43%
Domestic Equity 18.90% 14.53% 11.14% 12.17%
Asset Class BM (1) 18.48% 13.88% 10.98% 12.17%
International Equity 17.53% 8.88% 4.56% 6.20%
Custom MSCI World EX-US IMI NET DIVS 16.15% 8.49% 3.98% 5.40%
Emerging Markets Equity 9.08% 7.02% 4.01% 5.16%
Custom MSCI Emerging Markets IMI NET DIVS 3.04% 3.60% 1.45% 3.25%
Global Equity Emerging-Diverse Manager Program 15.31% na na na
Global Equity Emerging-Diverse Manager Program Index (2) 13.13% na na na
Core Fixed Income -2.72% -5.09% 1.07% 2.65%
46.6% Bloomberg Agg/20% Bloomberg US TIPS/6.7% Bloomberg ILB US$
Hedged/20% Bloomberg US STRIPS 20+ Year/6.7% Bloomberg US Treasury
1-3 Year Index -2.97% -5.41% 0.85% 2.43%
Value-Added Fixed Income 7.70% 7.35% 5.00% 4.69%
Asset Class BM (3) 7.52% 6.60% 4.74% 3.51%
Real Estate -2.81% 12.59% 8.88% 9.81%
Asset Class BM (4) -3.98% 7.43% 6.18% 7.80%
Private Equity -3.45% 28.50% 21.30% 20.35%
7 year annualized custom benchmark (5) 13.99% 14.59% 14.72% 14.26%
Timberland 5.93% 8.40% 4.99% 6.27%
NCREIF Timberland Index (one quarter lag) 11.31% 8.09% 5.54% 5.82%
Portfolio Completion Strategies 3.52% 5.87% 2.78% 3.77%
Total Portfolio Completion Strategies Composite Index (6) 6.11% 6.98% 4.17% 3.94%
Overlay (7) 13.67% 6.72% 7.33% na
No Benchmark na na na na
1 Year 3 Year 5 Year 10 Year
Total PRIT Core Fund 6.02% 10.18% 7.77% 8.51%
Policy Benchmark 8.92% 7.70% 6.70% 7.21%
TUCS Universe Median 6.79% 9.04% 7.24% 8.04%
TUCS Universe Ranking 68th 25th 43rd 31st
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 90 FISCAL YEAR 2023
Investment Summary at Fair Value
As of June 30, 2023
Short-term:
Fair Value
($000s)
% of Fair
Value
Money market investments $ 1,239,749 1.24%
Fixed income:
U.S. government obligations 7,867,869 7.84%
Domestic fixed income 7,875,300 7.85%
International fixed income 2,291,046 2.28%
Private debt 1,110,078 1.11%
Other credit opportunities 1,511,786 1.51%
20,656,079 20.59%
Equity:
Domestic equity securities 21,626,338 21.54%
International equity securities 15,216,918 15.16%
36,843,256 36.70%
Timberland 2,985,666 2.97%
Private equity 16,619,860 16.56%
Real estate:
Real estate properties 10,199,278 10.16%
Real estate equity securities 1,033,887 1.03%
Real estate funds 804,345 0.80%
Other 139,964 0.14%
12,177,474 12.13%
Portfolio completion strategies:
Event-driven hedge funds 915,892 0.91%
Relative value hedge funds 552,382 0.55%
Fund of funds 725,144 0.72%
Distressed loan fund 97,389 0.10%
Real assets fund 245,046 0.24%
Equity securities 2,162,794 2.16%
Fixed income securities 3,326,993 3.31%
Cash and cash equivalent 1,278,224 1.27%
Agricultural investments 556,053 0.55%
9,859,917 9.81%
Total investments $ 100,382,001 100.00%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 91 FISCAL YEAR 2023
SUMMARY SCHEDULE OF BROKER COMMISSIONS
(Top 25 Brokers and Cumulative Fees Paid to Others)
Fiscal Year Ended June 30, 2023
Brokerage Firms Fees Paid ($) % Total
Average $
per share
JP Morgan 1,140,627$ 10.9% 0.0036
Morgan Stanley 847,157 8.1% 0.0024
Goldman Sachs 819,743 7.8% 0.0021
Merrill Lynch 751,826 7.2% 0.0024
UBS 715,544 6.8% 0.0018
Jefferies 559,813 5.3% 0.0049
Citigroup 492,096 4.7% 0.0029
Sanford C. Bernstein & Co 319,634 3.0% 0.0025
Instinet 286,189 2.7% 0.0016
Pershing 280,910 2.7% 0.0047
HSBC 246,703 2.4% 0.0017
Macquarie 232,879 2.2% 0.0035
Credit Suisse 230,902 2.2% 0.0014
Liquidnet 215,334 2.1% 0.0190
RBC Capital Markets 170,343 1.6% 0.0144
Credit Lyonnais 170,076 1.6% 0.0015
Virtu Americas LLC 169,806 1.6% 0.0124
William Blair & Co 168,985 1.6% 0.0337
National Financial Services 149,280 1.4% 0.0243
Barclays 146,174 1.4% 0.0028
Daiwa Securities 130,467 1.3% 0.0095
Banco BTG Pactual 109,920 1.0% 0.0037
Berenberg Gossler & CIE 103,888 1.0% 0.0090
Needham & Co 74,513 0.7% 0.0318
CLSA 73,519 0.7% 0.0023
Others 1,894,185 18.0% 0.0055
Totals 10,500,513$ 100.0% 0.0030
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 92 FISCAL YEAR 2023
SCHEDULE OF MANAGEMENT FEES
Fiscal Year Ended June 30, 2023
Investment Management Fees by Asset Class: ($000s)
Global Equity 74,659$
Core Fixed Income 9,283
Value-Added Fixed Income 12,430
Real Estate 28,605
Timberland (5,661)
Private Equity 13,549
Portfolio Completion Strategies 39,133
Overlay 887
Total Investment Management Fees 172,885
Investment Advisory Fees 14,433
Custodian Fees 935
Other Administrative Fees 25,246
Total Management Fees charged to the PRIT Fund 213,499$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 93 FISCAL YEAR 2023
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENT
Segmentation Accounts invested as of June 30, 2023
Retirement System
Net Asset Vaules
($000s) 6/30/23
General
Allocation
Domestic Equity
International
Equity
Emerging Markets
Core Fixed Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Adams 39,279$ X
Amesbury 67,901$ X
Andover 293,685$ X X X X X
Arlington 201,566$ X
Attleboro 16,628$ X
Barnstable 1,504,541$ X
Belmont 65,277$ X X X X X X
Berkshire 327,846$ X
Beverly 177,808$ X
Blue Hills 14,027$ X
Boston Teachers 2,137,308$ X
Braintree 18,443$ X X
Bristol County 129,807$ X X
Brookline 429,278$ X X
Cambridge 284,971$ X X X
Chelsea 258,008$ X
Chicopee 77,955$ X X X
Clinton 70,082$ X X
Concord 98,899$ X X X X X
Danvers 55,758$ X X X X X
Dedham 182,255$ X
Dukes County 119,117$ X X X X
Easthampton 70,981$ X
Essex 639,142$ X
Everett 251,465$ X
Fairhaven 85,402$ X
Fall River 356,999$ X
Falmouth 36,755$ X X X
Fitchburg 158,156$ X
Framingham 424,693$ X
Franklin County 110,919$ X X X X X
Gardner 70,231$ X
Gloucester 144,996$ X
Greenfield 92,596$ X
Hampden County 482,251$ X
Hampshire County 431,729$ X X X X X X X
Haverhill 213,509$ X X X X X X X X
Hingham 157,208$ X
Holliston 646$ X
Holyoke 23,074$ X X X
Hull 59,767$ X
Lawrence 311,024$ X
Leominster 269,471$ X
Lexington 26,493$ X X
Lowell 477,937$ X
Lynn 480,974$ X
Marblehead 118,322$ X
Mass Turnpike 158,472$ X
Massport 163,433$ X X
Maynard 29,374$ X X X X X
MBTA 155,142$ X X X X
Medford 71,737$ X X X
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 94 FISCAL YEAR 2023
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENT, continued
Segmentation Accounts invested as of June 30, 2023
Retirement System
Net Asset Vaules
($000s) 6/30/23
General Allocation
Domestic Equity
International
Equity
Emerging Markets
Core Fixed Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Melrose 104,640$ X
Methuen 220,765$ X
Middlesex 1,868,040$ X
Milford 124,646$ X X
Milton 186,623$ X
Minuteman 15,388$ X
Montague 55,503$ X
MSCBA 5,596$ X
MWRA 35,396$ X X X
Natick 65,269$ X X X
Needham 213,874$ X
Newburyport 112,631$ X
Newton 473,907$ X
Norfolk 282,314$ X X X X
North Adams 187$ X
Northbridge 49,285$ X
Northampton 334$ X
Norwood 14,949$ X
Peabody 190,255$ X
Pittsfield 175,123$ X
Plymouth 71,259$ X X X X
Quincy 394,686$ X X X
Reading 178,041$ X X
Revere 224,582$ X
Salem 247,230$ X
Saugus 83,129$ X X X X
Shrewsbury 126,224$ X X X X X X X
Somerville 12,990$ X
Southbridge 76,288$ X
Springfield 503,951$ X
State Employees' 34,968,862$ X
State Retiree Benefits Trust 3,085,250$ X
State Teachers' 36,792,015$ X
Stoneham 58,003$ X X X X
Swampscott 54,815$ X X X X X X
Tauton 8,339$ X
Wakefield 157,680$ X
Waltham 84,386$ X X X X
Watertown 86,956$ X X X X
Webster 55,012$ X X
Wellesley 266,227$ X
Westfield 25,581$ X X X
Weymouth 31,013$ X X
Winchester 162,546$ X
Winthrop 97,028$ X
Woburn 180,979$ X
Worcester 704,660$ X X X X
Worcester Regional 985,623$ X
96,561,417$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 95 FISCAL YEAR 2023
INVESTMENT POLICY STATEMENT
The following are significant elements and related excerpts from the PRIM Board’s investment policy statement.
The purpose of the statement is to delineate the investment policy and guidelines and to establish the overall
investment strategies and discipline of the PRIM Board. This policy is intended to allow for sufficient flexibility to
capture investment opportunities yet provide parameters that ensure prudence and care in the execution of the
investment program. This policy is issued for the guidance of fiduciaries, including Trustees, staff professionals,
investment managers, custodians, and investment consultants, for managing the assets of the PRIT Fund. The
policy is intended to provide a foundation from which to oversee the management of the PRIT Fund in a prudent
manner.
A. Investment Objectives
PRIM’s overall objective is to achieve the highest level of investment performance that is compatible with its risk
tolerance and prudent investment practices. Because of the long-term nature of the Commonwealth’s pension
liabilities, PRIM maintains a long-term perspective in formulating and implementing its investment policies, and
in evaluating its investment performance. Investment performance is measured by three integrated long-term
objectives as described below:
(a) The actuarial target rate of return is the key actuarial assumption affecting future Commonwealth funding
rates and pension liabilities. Investment performance that exceeds or underperforms the target rate may
materially impact future funding rates and liabilities. The PRIM Board seeks to have a long-term investment
performance that will meet or exceed its actuarial target rate of return.
(b) The investment policy benchmark is calculated by applying the investment performance of the asset class
benchmarks to the PRIT Fund’s asset allocation targets. The investment policy benchmark enables PRIM
to compare the PRIT Fund’s actual performance to a passively managed proxy and to measure the
contribution of active investment management and policy implementation.
(c) PRIM also compares its total fund performance to an appropriate public plan sponsor comparison universe.
A peer universe comparison permits PRIM to compare its performance to large public and other pension
plans. While PRIM seeks to rank consistently in the top half of comparable public pension funds, PRIM
recognizes that other funds may have investment objectives and risk tolerances that differ substantially
from PRIM’s.
PRIM expects to meet or exceed these objectives over its long-term investment horizon. The expected volatility
of markets and unique objectives of PRIM relative to other pension plans may not favor, over shorter periods,
PRIM’s strategic investment policies.
B. Asset Allocation Plan
PRIM recognizes that over the long-term, asset allocation is the single greatest contributor of return and risk to
the PRIT Fund. At reasonable intervals of not more than three to five years, PRIM will complete a comprehensive
review of its Asset Allocation Plan and its underlying assumptions, including: the Commonwealth’s current and
projected pension assets and liabilities; long-term capital markets rate of return assumptions; and PRIM’s risk
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 96 FISCAL YEAR 2023
tolerances. The PRIM Board shall examine the Asset Allocation Plan annually and shall consider adjustments to
the Plan as may be appropriate given the Plan’s long-term nature and objectives.
C. Rebalancing Policy
The actual asset allocation mix will deviate from the Asset Allocation Plan’s target due to market movement, cash
flows, and manager performance. Material deviations from the asset allocation targets can alter the expected
return and risk of the PRIT Fund. Accordingly, the PRIM Board has adopted asset class ranges for each asset class,
and positioning within a specified asset class range is acceptable and constitutes compliance with the Asset
Allocation Plan. It is the responsibility of PRIM staff to keep actual asset class allocations within the asset
allocation ranges. It is anticipated that the PRIM Board will make periodic revisions to the Asset Allocation Plan,
and it is recognized that in some cases it may be prudent to allow an extended period of time to fully implement
revisions to the Asset Allocation Plan. The spirit of this policy is to implement the investment strategy within the
asset class ranges at a reasonable cost, recognizing that overly precise management of asset exposures can result
in transactions costs that are not economically justified. In the circumstance that a rebalancing is warranted,
staff shall have the discretion to instruct public securities managers (including an overlay manager) to use futures
as a short-term tool to rebalance the PRIT Fund. The PRIM Board acknowledges that market conditions or
circumstances beyond PRIM’s control may lead to asset class weightings being temporarily out of their target
ranges, especially as those ranges relate to illiquid asset classes.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2023
Statistical Section
PENSION RESERVES INVESTMENT TRUST FUND
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 97 FISCAL YEAR 2023
Schedules of Changes in Pooled Net Position
For Fiscal Years Ending June 30
(Dollars in thousands)
Additions 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014
State
Employees contributions $ 862,503 $ 858,181 $ 698,282 $ 705,315 $
733,289 $ 727,625 $ 855,586 $ 727,147 $ 580,527 $ 547,627
State teachers contributions 1,097,164 1,058,832 898,722 851,798 860,223 804,171 761,753 752,835 721,148 709,114
Other participants contributions 1,509,833 2,425,078 1,313,240 1,466,201 1,579,329 1,218,193 1,071,727 922,092 877,252 793,507
Net
investment income (loss) 5,118,252 (3,239,745) 21,944,914 1,448,873
4,046,225 6,354,624 7,655,016 1,091,671 2,073,376 8,991,375
Total
additions to pooled net position 8,587,752 1,102,346 24,855,158
4,472,187 7,219,066 9,104,613 10,344,082 3,493,745 4,252,303 11,041,623
Deductions
State employees warrants 660,900 617,937 561,407 542,457 516,014 486,526 458,340 444,166 381,565 357,089
State teachers warrants 765,139 729,006 708,768 680,135 656,099 621,701 596,815 569,054 544,646 494,363
Participants redemptions 1,519,401 1,355,825 1,112,613 1,218,278 1,073,298 996,520 1,055,203 924,710 768,507 739,175
State appropriation funding 1,478,950 1,639,792 1,723,567 1,844,875 1,910,459 2,014,583 2,034,579 2,066,264 1,954,853 1,973,058
Operating expenses 31,000 29,576 35,717 36,321 29,200 34,082 41,509 40,491 35,761 30,789
Total
deductions to pooled net position 4,455,390 4,372,136 4,142,072
4,322,066 4,185,070 4,153,412 4,186,446 4,044,685 3,685,332 3,594,474
Changes
in pooled net position $ 4,132,362 $ (3,269,790) $ 20,713,086 $ 150,121
$ 3,033,996 $ 4,951,201 $ 6,157,636 $ (550,940) $ 566,971 $ 7,447,149
The
above table provides additional information regarding changes in pooled
net position from that presented in the Statement of Changes in Pooled
Net
Position in the Financial Section of the ACFR. Deductions represent
redemptions from the PRIT fund by state employees, state teachers and
other
participant retirement systems. Deductions also include
redemptions for state appropriation funding and reimbursement of MASTERS
operating
expenses. State appropriation funding represents funds
withdrawn to cover the shortfall in the pension appropriation of the
Commonwealth of
Massachusetts. Operating expenses represent
redemptions made by state employees and state teachers for certain
operating expenses. This
information is derived from the same
information used for the basic financial statements. Current fiscal
year-end information should be read in
conjunction with the Schedule of Changes in Pooled Net Position - Capital Fund and Cash Fund provided in the Financial Section.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights and Financial Highlights Ratios
ANNUAL COMPREHENSIVE FINANCIAL REPORT 98 FISCAL YEAR 2023
Pages 99-101 provide the financial highlights of the PRIT Fund for the year ended June 30, 2023. In addition,
pages 102-107 provide additional financial highlights ratios for the nine previous fiscal year ends. Together, these
tables provide additional information regarding important ratios to assist the reader of the ACFR in understanding
the financial position of the PRIT Fund. This information includes important return and expense ratios for the
entire PRIT Fund as well as the various accounts that comprise the PRIT Fund. This information should be read in
conjunction with the description of the investment program highlighted in the Investment Section of the ACFR.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights
For the year ended June 30, 2023
ANNUAL COMPREHENSIVE FINANCIAL REPORT 99 FISCAL YEAR 2023
Public Private Private Private Private
Value- Equity Equity Equity Equity
Core Added Vintage Vintage Vintage Vintage
General Domestic International Emerging Fixed Fixed Private Hedge Liquidating Private Year Year Year Year
Allocation Equity Equity Markets Income Income Debt Funds Portfolios Equity 2000 2001 2002 2003
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 499.07 509.94 347.50 557.01
298.67 322.92 221.75 101.10 76.61 451.39 223.15 1,037.13 696.33 502.36
Investment operations:
Net investment income (loss)(1) 11.08 8.25 10.80 19.71 9.48 25.19 4.64 0.15 0.89 16.15 1.64 (0.39) 24.88 (0.18)
Net realized and unrealized gain (loss)
on investments and foreign currency 17.53 88.14 49.06 27.45 (17.90) 2.28 5.64 4.29 (10.99) (0.28) (19.11) 9.06 34.29 (62.39)
Total from investment
operations 28.61 96.39 59.86 47.16 (8.42) 27.47 10.28 4.44 (10.10) 15.87 (17.47) 8.67 59.17 (62.57)
Net
position per unit, end of year $ 527.68 606.33 407.36 604.17 290.25
350.39 232.03 105.54 66.51 467.26 205.68 1,045.80 755.50 439.79
Ratios and supplementary data:
Total net return(2) 5.73% 18.90% 17.23% 8.47% (2.82)% 8.51% 4.64% 4.39% (13.18)% 3.52% (7.83)% 0.84% 8.50% (12.46)%
Net
position, end of year ($'000s) $ 93,545,001 22,207,923 11,310,381
4,272,717 12,831,262 4,302,824 1,167,341 7,356,681 37,246 159,802 10,901
15,687 1,511 12,314
Units outstanding, end of year ('000s) 177,276 36,627 27,765 7,072 44,208 12,280 5,031 69,708 560 342 53 15 2 28
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.46% 0.14% 0.28% 0.61% 0.10% 0.42% 1.20% 1.08% 0.06% 0.03% 0.04% 0.04% 0.04% 0.04%
Ratio of expenses, excluding indirect
management fees 0.15% 0.14% 0.28% 0.61% 0.10% 0.19% 0.12% 0.03% 0.06% 0.03% 0.04% 0.04% 0.04% 0.04%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
(1) Based on weighted average units outstanding
with the exception of the Enhanced Equity Account which was liquidated
in fiscal year 2023.
(2)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights, continued
For the year ended June 30, 2023
ANNUAL COMPREHENSIVE FINANCIAL REPORT 100 FISCAL YEAR 2023
Private Private Private Private Private Private Private Private Private Private Private Private Private Private
Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage
Year Year Year Year Year Year Year Year Year Year Year Year Year Year
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 266.60 261.38 194.85 79.87
352.54 671.24 425.14 331.18 43.79 424.05 283.38 365.14 152.78 241.01
Investment operations:
Net investment income (loss)(1) (0.09) 1.74 0.40 0.15 2.66 (0.43) (0.16) 0.35 0.00 1.88 0.06 1.50 0.26 0.09
Net realized and unrealized gain (loss)
on
investments and foreign currency (51.51) (14.67) 3.38 (11.72) 29.43
(166.24) (104.13) (21.55) (5.58) (49.83) (9.22) (22.64) (19.86) 3.73
Total from investment
operations (51.60) (12.93) 3.78 (11.57) 32.09 (166.67) (104.29) (21.20) (5.58) (47.95) (9.16) (21.14) (19.60) 3.82
Net
position per unit, end of year $ 215.00 248.45 198.63 68.30 384.63
504.57 320.85 309.98 38.21 376.10 274.22 344.00 133.18 244.83
Ratios and supplementary data:
Total
net return(2) (19.35)% (4.95)% 1.94% (14.49)% 9.10% (24.83)% (24.53)%
(6.40)% (12.74)% (11.31)% (3.23)% (5.79)% (12.83)% 1.58%
Net
position, end of year ($'000s) $ 4,730 12,671 114,608 114,876 437,324
94,860 410,052 519,834 470,703 696,916 1,469,533 1,784,350 705,837
1,808,809
Units outstanding, end of year ('000s) 22 51 577 1,682 1,137 188 1,278 1,677 12,319 1,853 5,359 5,187 5,300 7,388
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.04% 0.16% 0.05% 0.35% 0.11% 0.22% 0.25% 0.70% 1.04% 0.72% 0.68% 0.87% 1.25% 1.06%
Ratio of expenses, excluding indirect
management fees 0.04% 0.04% 0.04% 0.04% 0.04% 0.04% 0.08% 0.07% 0.04% 0.04% 0.11% 0.20% 0.04% 0.19%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.(2)
(1) Based on weighted average units
outstanding with the exception of the Enhanced Equity Account which was
liquidated in fiscal year 2023.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights, continued
For the year ended June 30, 2023
ANNUAL COMPREHENSIVE FINANCIAL REPORT 101 FISCAL YEAR 2023
Private Private Private Private Private Private
Equity Equity Equity Equity Equity Equity Global
Vintage Vintage Vintage Vintage Vintage Vintage Other Equity
Year Year Year Year Year Year Real Cash Real Enhanced Credit Emerging
2018 2019 2020 2021 2022 2023 Estate Timberland Overlay Assets Equity Opportunities Diverse
Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 174.80 226.46 162.81 107.39
94.61 100.00 982.71 333.75 240.35 90.96 143.10 142.62 93.68
Investment operations:
Net investment income (loss)(1) 1.41 0.81 (0.01) 0.00 (0.01) (0.57) 33.12 5.89 67.23 0.54 (143.10) 0.96 1.75
Net realized and unrealized gain (loss)
on investments and foreign currency (2.59) (3.88) (6.38) (5.62) 0.08 0.07 (63.85) 13.83 (34.14) (6.05) 0.00 5.91 11.93
Total from investment
operations (1.18) (3.07) (6.39) (5.62) 0.07 (0.50) (30.73) 19.72 33.09 (5.51) (143.10) 6.87 13.68
Net position per unit, end of year $ 173.62 223.39 156.42 101.77 94.68 99.50 951.98 353.47 273.44 85.45 0.00 149.49 107.36
Ratios and supplementary data:
Total net return(2) (0.68)% (1.36)% (3.92)% (5.23)% 0.07% (0.50)% (3) (3.13)% 5.91% 13.77% (6.06)% (100.00)% 4.82% 14.60%
Net
position, end of year ($'000s) $ 2,094,784 1,733,955 1,641,438
1,705,904 691,556 63,678 10,523,221 2,995,979 452,538 736,761 —
1,420,265 108,004
Units outstanding, end of year ('000s) 12,065 7,762 10,494 16,763 7,304 640 11,054 8,476 1,655 8,622 — 9,501 1,006
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 1.21% 1.03% 1.92% 3.00% 3.57% 1.82% (3) 0.33% 0.04% 0.07% 1.03% 0.36% 1.16% 0.61%
Ratio of expenses, excluding indirect
management fees 0.14% 0.26% 0.04% 0.12% 0.18% 1.82% (3) (0.01)% (0.22)% 0.07% 0.04% 0.36% 0.16% 0.61%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Based on weighted average units outstanding with the exception
of the Enhanced Equity Account which was liquidated in fiscal year 2023.
Total
net return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total net return and ratios not annualized.
(2)
(1)
(3)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios
For the years ended June 30, 2022-2014
ANNUAL COMPREHENSIVE FINANCIAL REPORT 102 FISCAL YEAR 2023
Public Vintage Vintage Vintage Vintage Vintage
General Domestic International Emerging Core Fixed Value-Added Private Hedge Liquidating Private Year Year Year Year Year
Allocation Equity Equity Markets Income Fixed Income Debt Funds Portfolios Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
Ratios and supplementary data:
Total
net return (1) (3.75)% (12.59)% (20.00)% (24.92)% (11.54)% (11.39)%
18.13% (1.28)% 39.70% 0.15% (5.22)% 23.10% 150.08% 1.39% 18.43%
Net
position, end of year ($'000s) 89,306,605 18,697,417 10,576,654
4,105,161 13,347,999 3,958,023 1,328,505 7,088,137 55,009 168,818 12,273
16,594 2,089 14,066 6,665
Units outstanding, end of year ('000s) 178,945 36,666 30,436 7,370 44,691 12,257 5,991 70,133 718 374 55 16 3 28 25
Total net return (1) 29.43% 45.07% 36.68% 47.71% (0.83)% 13.30% 29.76% 17.27% 36.89% (0.34)% 32.19% 9.32% 72.59% (5.50)% 25.28%
Net
position, end of year ($'000s) 93,212,189 22,011,373 12,437,174
5,273,588 14,605,575 4,395,888 1,317,931 7,081,240 72,548 213,642 18,835
20,221 2,506 13,873 8,104
Units outstanding, end of year ('000s) 179,774 37,728 28,631 7,108 43,258 12,062 7,021 69,146 1,323 474 80 24 9 28 36
Total
net return (1) 1.99% 5.49% (3.51)% (3.23)% 13.82% (2.50)% (7.70)%
(5.51)% (45.46)% 1.34% (29.66)% 0.89% (29.91)% (12.07)% 20.89%
Net
position, end of year ($'000s) 73,216,082 12,066,835 10,383,531
4,461,293 11,759,338 3,873,573 1,201,948 6,419,650 70,224 88,643 17,099
21,579 2,420 16,254 7,187
Units outstanding, end of year ('000s) 182,766 30,004 32,671 8,882 34,539 12,042 8,309 73,511 1,753 196 96 28 15 31 40
Total net return (1) 5.68% 8.66% (0.13)% 1.42% 8.22% 6.44% 4.08% 2.79% (18.07)% 3.53% (13.15)% 0.06% 19.20% 20.65% 26.18%
Net
position, end of year ($'000s) 73,116,815 11,763,882 11,264,739
4,652,110 10,162,275 4,376,086 1,249,573 6,029,787 162,686 160,219
26,334 26,737 4,373 20,869 22,889
Units outstanding, end of year ('000s) 186,154 30,858 34,200 8,963 33,974 13,264 7,973 65,240 2,215 359 104 35 19 35 154
Total net return (1) 9.55% 15.50% 8.47% 8.62% 1.29% 1.47% 9.27% 6.06% 4.04% 6.02% (0.51)% 3.54% (10.09)% 27.26% (2.24)%
Net
position, end of year ($'000s) 70,145,449 13,695,898 11,831,052
4,537,474 9,153,731 4,441,960 1,153,692 5,999,629 203,319 137,947 35,279
46,571 4,827 42,008 22,851
Units outstanding, end of year ('000s) 188,731 39,037 35,873 8,867 33,118 14,331 7,661 66,727 2,268 320 121 61 25 85 194
Total net return (1) 12.80% 18.49% 19.98% 27.49% (4.48)% 7.67% 15.40% 9.32% 16.35% 2.00% 2.08% 18.17% (7.69)% 2.31% 25.85%
Net
position, end of year ($'000s) 65,460,073 13,216,006 12,038,165
5,243,481 7,984,311 4,176,825 1,225,906 5,579,937 250,843 67,900 43,665
60,463 9,019 55,921 41,088
Units outstanding, end of year ('000s) 192,948 43,507 39,591 11,130 29,261 13,674 8,895 65,823 2,911 167 149 82 42 144 341
Total
net return (1) 1.87% 1.51% (7.86)% (9.91)% 14.58% 2.79% (6.84)% (5.43)%
(20.30)% (0.94)% (6.12)% (3.72)% 6.54% (4.22)% (4.63)%
Net position,
end of year ($'000s) 59,382,003 11,359,746 10,018,446 4,264,286
8,404,125 3,868,726 1,251,421 5,192,238 195,445 66,569 56,265 77,994
13,493 69,465 80,997
Units outstanding, end of year ('000s) 197,436 44,312 39,533 11,540 29,419 13,636 10,478 66,965 2,639 167 196 125 58 183 846
Total net return (1) 3.41% 6.60% (2.94)% (6.14)% 4.58% (5.14)% 1.96% 3.64% (4.25)% 5.03% 5.97% 7.56% 4.11% 13.06% 5.97%
Net
position, end of year ($'000s) 59,982,623 11,745,353 10,341,307
4,011,292 8,377,734 3,702,871 1,350,323 5,575,153 32,057 52,713 103,656
102,397 20,089 145,442 119,669
Units outstanding, end of year ('000s) 203,159 46,508 37,600 9,780 33,603 13,416 10,533 67,998 345 131 339 158 92 367 1,192
Total net return (1) 17.18% 24.78% 24.23% 13.76% 5.66% 6.90% 15.18% 10.72% (5.88)% 8.25% 23.80% 27.29% 8.97% 21.56% 52.79%
Net
position, end of year ($'000s) 59,507,530 11,478,177 10,382,202
4,263,167 8,398,309 3,787,240 1,360,006 5,845,587 49,684 94,631 137,922
133,764 35,025 197,688 257,109
Units outstanding, end of year ('000s) 208,428 48,451 36,639 9,756 35,228 13,017 10,817 73,892 512 247 478 222 167 564 2,714
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 0.52% 0.16% 0.24% 0.63%
0.09% 0.33% 1.20% 1.05% 0.11% 0.08% 0.04% 0.03% 0.03% 0.03% (0.02)%
Ratio
of expenses, excluding indirect management fees 0.24% 0.16% 0.24% 0.63%
0.09% 0.14% 0.10% 0.19% 0.11% 0.08% 0.04% 0.04% 0.03% 0.03% 0.04%
Ratio
of expenses, including indirect management fees 0.49% 0.14% 0.23% 0.69%
0.08% 0.37% 2.94% 1.06% 0.37% 0.03% 0.04% 0.07% 0.04% 0.04% 0.38%
Ratio
of expenses, excluding indirect management fees 0.20% 0.14% 0.23% 0.69%
0.08% 0.15% 0.07% 0.18% 0.03% 0.03% 0.04% 0.04% 0.04% 0.04% 0.03%
Ratio
of expenses, including indirect management fees 0.51% 0.11% 0.24% 0.58%
0.08% 0.43% 1.57% 1.11% 0.75% 0.04% 0.04% —% 0.05% 0.04% 0.24%
Ratio
of expenses, excluding indirect management fees 0.20% 0.11% 0.24% 0.58%
0.08% 0.19% 0.04% 0.13% 0.04% 0.04% 0.04% 0.04% 0.05% 0.04% 0.05%
Ratio
of expenses, including indirect management fees 0.52% 0.11% 0.23% 0.57%
0.11% 0.44% 1.59% 1.11% 0.89% 0.06% 0.04% 0.03% 0.09% 0.04% 0.31%
Ratio
of expenses, excluding indirect management fees 0.20% 0.11% 0.23% 0.57%
0.11% 0.22% 0.04% 0.12% 0.03% 0.06% 0.04% 0.04% 0.04% 0.04% 0.04%
Ratio
of expenses, including indirect management fees 0.52% 0.11% 0.23% 0.47%
0.10% 0.44% 1.76% 1.17% 0.92% 0.05% 0.04% 0.01% 0.68% 0.04% 0.21%
Ratio
of expenses, excluding indirect management fees 0.18% 0.11% 0.23% 0.47%
0.10% 0.23% 0.04% 0.09% 0.03% 0.05% 0.04% 0.04% 0.05% 0.04% 0.04%
2017
2020
2020
2018
2018
2022
2022
2021
2021
2019
2019
2016
2015
2014
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2022-2014
ANNUAL COMPREHENSIVE FINANCIAL REPORT 103 FISCAL YEAR 2023
Public Vintage Vintage Vintage Vintage Vintage
General Domestic International Emerging Core Fixed Value-Added Private Hedge Liquidating Private Year Year Year Year Year
Allocation Equity Equity Markets Income Fixed Income Debt Funds Portfolios Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
2017
Ratio
of expenses, including indirect management fees 0.54% 0.10% 0.20% 0.58%
0.10% 0.47% 1.91% 1.25% 1.02% 0.06% 0.04% 0.15% 0.77% 0.15% 0.20%
Ratio
of expenses, excluding indirect management fees 0.18% 0.10% 0.20% 0.58%
0.09% 0.29% 0.04% 0.09% 1.02% 0.06% 0.04% 0.09% 0.04% 0.04% 0.04%
2016
Ratio
of expenses, including indirect management fees 0.53% 0.13% 0.19% 0.44%
0.09% 0.47% 1.76% 1.42% 1.41% 0.08% 0.18% 0.17% 0.79% 0.28% 0.43%
Ratio
of expenses, excluding indirect management fees 0.14% 0.13% 0.19% 0.44%
0.08% 0.30% 0.04% 0.06% 1.40% 0.08% 0.04% 0.07% 0.04% 0.04% 0.06%
Ratio
of expenses, including indirect management fees 0.53% 0.14% 0.18% 0.31%
0.10% 0.47% 1.55% 1.40% 0.04% 0.04% 0.25% 0.22% 0.76% 0.38% 0.90%
Ratio
of expenses, excluding indirect management fees 0.16% 0.14% 0.18% 0.31%
0.09% 0.30% 0.04% 0.04% 0.02% 0.04% 0.04% 0.05% 0.04% 0.04% 0.05%
Ratio
of expenses, including indirect management fees 0.55% 0.14% 0.19% 0.27%
0.11% 0.49% 1.90% 1.50% 0.10% 0.03% 0.25% 0.59% 0.49% 0.59% 0.88%
Ratio
of expenses, excluding indirect management fees 0.15% 0.14% 0.19% 0.24%
0.10% 0.31% 0.04% 0.05% 0.02% 0.03% 0.05% 0.07% 0.05% 0.04% 0.08%
(1)
(2)
Includes Portable Alpha Wind Down, Hedge Funds closed portfolios, and
Natural Resources Private Wind Down. Prior to January 31, 2016, Natural
Resources Private assets were reflected in the Timberland portfolio.
2014
2015
Total
net return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and
end of the year.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2022-2014
ANNUAL COMPREHENSIVE FINANCIAL REPORT 104 FISCAL YEAR 2023
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage
Year Year Year Year Year Year Year Year Year Year Year Year Year Year Year
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Total net return (1) 2.76% 13.73% 4.71% 27.45% 41.02% 6.30% 40.25% (5.01)% 20.50% 31.36% 17.39% 29.31% 32.31% 35.45% 47.13%
Net
position, end of year ($'000s) 18,819 130,548 198,489 431,504 188,619
595,619 666,661 588,923 1,008,811 1,674,473 2,132,407 940,692 1,867,792
2,007,542 1,659,513
Units outstanding, end of year ('000s) 72 670 2,485 1,224 281 1,401 2,013 13,449 2,379 5,909 5,840 6,157 7,750 11,485 7,328
Total net return (1) 37.60% 52.84% 51.17% 49.24% 139.68% 108.80% 79.58% 79.10% 109.95% 57.44% 75.06% 64.51% 64.17% 65.15% 68.00%
Net
position, end of year ($'000s) 39,678 138,429 305,643 524,998 276,548
705,125 638,740 869,212 1,025,485 1,557,125 2,359,373 872,298 1,332,666
1,398,299 994,786
Units outstanding, end of year ('000s) 156 808 4,007 1,898 581 1,763 2,705 18,855 2,914 7,218 7,585 7,383 7,316 10,835 6,463
Total
net return (1) (14.41)% (7.06)% 0.20% (12.99)% 1.22% (7.30)% (1.55)%
6.80% 15.47% 5.34% 13.21% 7.87% (1.83)% (6.56)% (7.67)%
Net position,
end of year ($'000s) 48,247 146,274 249,451 431,299 192,827 482,128
628,788 607,363 675,522 1,175,774 1,539,669 562,258 680,492 572,418
354,096
Units outstanding, end of year ('000s) 261 1,305 4,944 2,327 971 2,517 4,782 23,595 4,030 8,581 8,665 7,829 6,133 7,326 3,865
Total net return (1) 8.66% 9.35% 14.14% 13.88% 26.97% 18.09% 20.06% 12.46% 16.72% 23.83% 23.40% 4.10% 7.47% (15.53)% (0.77)% (2)
Net
position, end of year ($'000s) 84,655 236,036 443,048 574,946 262,119
611,034 759,937 645,784 711,849 1,214,210 1,467,994 503,055 389,158
245,699 57,257
Units outstanding, end of year ('000s) 392 1,957 8,798 2,699 1,336 2,957 5,690 26,792 4,904 9,335 9,353 7,556 3,443 2,938 577
Total net return (1) 10.58% 4.94% 16.60% 24.15% 20.66% 24.74% 18.83% 19.25% 14.10% 25.68% 29.69% 7.73% 5.21% (0.99)% (2) N/A
Net
position, end of year ($'000s) 135,744 306,512 538,342 726,311 343,201
701,188 866,997 739,683 623,594 1,087,916 941,586 290,614 127,993 15,842
N/A
Units outstanding, end of year ('000s) 683 2,779 12,203 3,883 2,221 4,007 7,794 34,520 5,014 10,357 7,403 4,544 1,217 160 N/A
Total net return (1) 19.15% 9.31% 23.14% 28.78% 16.27% 16.58% 23.76% 21.34% 19.87% 17.62% 15.25% (28.04)% (0.04)% (2) N/A N/A
Net
position, end of year ($'000s) 196,987 440,532 769,225 882,880 379,849
791,761 919,627 623,043 493,966 659,809 520,540 108,285 27,388 N/A N/A
Units outstanding, end of year ('000s) 1,096 4,191 20,328 5,860 2,966 5,644 9,824 34,669 4,532 7,894 5,308 1,824 274 N/A N/A
Total net return (1) 8.56% 2.52% 9.87% 12.84% 20.05% 15.08% 22.91% 8.34% 5.06% 5.15% (9.23)% (17.50)% (2) N/A N/A N/A
Net
position, end of year ($'000s) 430,797 612,037 912,296 904,434 443,570
806,666 796,339 542,987 308,790 399,073 184,978 165 N/A N/A N/A
Units outstanding, end of year ('000s) 2,856 6,365 29,691 7,731 4,027 6,704 10,528 36,668 3,396 5,616 2,174 2 N/A N/A N/A
Total net return (1) 15.15% 11.51% 9.04% 16.66% 24.02% 19.09% 24.07% 11.77% (5.24)% (13.53)% (6.26)% (2) N/A N/A N/A N/A
Net
position, end of year ($'000s) 594,274 848,797 1,154,470 1,017,713
494,545 762,278 704,428 425,548 170,840 177,995 40,871 N/A N/A N/A N/A
Units outstanding, end of year ('000s) 4,277 9,049 41,282 9,816 5,390 7,290 11,447 31,126 1,974 2,634 436 N/A N/A N/A N/A
Total net return (1) 20.33% 23.18% 22.67% 30.63% 27.66% 27.52% 17.90% 16.81% (8.66)% (21.85)% (2) N/A N/A N/A N/A N/A
Net
position, end of year ($'000s) 703,977 1,098,091 1,319,704 1,050,050
401,949 597,679 435,298 215,895 52,887 3,204 N/A N/A N/A N/A N/A
Units outstanding, end of year ('000s) 5,834 13,054 51,443 11,815 5,433 6,807 8,777 17,648 579 41 N/A N/A N/A N/A N/A
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 0.29% (0.11)% 0.44%
0.16% 0.20% 0.37% 0.76% 0.84% 0.64% 0.59% 0.73% 1.10% 1.03% 1.24% 1.23%
Ratio
of expenses, excluding indirect management fees 0.04% (0.14)% 0.14%
0.06% 0.03% 0.06% 0.08% 0.04% 0.04% 0.07% 0.13% 0.03% 0.12% 0.03% 0.29%
Ratio
of expenses, including indirect management fees 0.54% (0.01)% 0.45%
0.35% 0.66% 0.61% 1.07% 0.99% 0.94% 0.97% 1.05% 1.69% 2.23% 2.66% 3.00%
Ratio
of expenses, excluding indirect management fees 0.04% (0.04)% 0.04%
0.08% 0.03% 0.03% 0.09% 0.04% 0.03% 0.03% 0.16% 0.03% 0.03% 0.03% 0.50%
Ratio
of expenses, including indirect management fees 0.67% 0.42% 0.50% 0.46%
1.57% 0.93% 1.04% 1.28% 1.15% 1.02% 1.35% 2.37% 3.95% 6.23% 3.86%
Ratio
of expenses, excluding indirect management fees 0.04% 0.07% 0.05% 0.09%
0.04% 0.04% 0.06% 0.04% 0.04% 0.04% 0.24% 0.08% 0.05% 0.08% 0.12%
Ratio
of expenses, including indirect management fees 0.56% 0.55% 0.45% 0.56%
1.63% 0.79% 1.08% 1.39% 1.45% 1.58% 1.89% 3.33% 8.34% 4.39% 0.14% (2)
Ratio
of expenses, excluding indirect management fees 0.04% 0.07% 0.04% 0.09%
0.04% 0.04% 0.09% 0.04% 0.04% 0.04% 0.32% 0.04% 0.04% 0.17% 0.14% (2)
Ratio
of expenses, including indirect management fees 0.53% 0.62% 0.92% 0.70%
1.59% 1.25% 1.35% 1.59% 1.77% 2.19% 3.16% 6.59% 10.13% 0.14% (2) N/A
Ratio
of expenses, excluding indirect management fees 0.06% 0.08% 0.04% 0.09%
0.04% 0.04% 0.07% 0.04% 0.04% 0.04% 0.51% 0.04% 0.04% 0.14% (2) N/A
2017
2022
2022
Ratios and supplementary data:
2021
2016
2020
2020
2019
2021
2018
2018
2015
2014
2019
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2022-2014
ANNUAL COMPREHENSIVE FINANCIAL REPORT 105 FISCAL YEAR 2023
Vintage
Year Vintage Year Vintage Year Vintage Year Vintage Year Vintage Year
Vintage Year Vintage Year Vintage Year Vintage Year Vintage Year Vintage
Year Vintage Year
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Account Account Account Account Account Account Account Account Account Account Account Account Account
Ratio
of expenses, including indirect management fees 0.65% 0.74% 0.98% 0.75%
1.47% 1.15% 1.53% 1.82% 2.82% 3.69% 5.87% 10.75% 0.01% (2)
Ratio of
expenses, excluding indirect management fees 0.06% 0.03% 0.04% 0.08%
0.04% 0.04% 0.15% 0.04% 0.04% 0.04% 0.74% 0.30% 0.01% (2)
Ratio of
expenses, including indirect management fees 0.73% 0.77% 1.00% 0.98%
1.29% 1.30% 1.74% 2.28% 4.91% 4.71% 9.50% (21.53)% (2) N/A
Ratio of
expenses, excluding indirect management fees 0.04% 0.03% 0.04% 0.14%
0.04% 0.04% 0.16% 0.04% 0.04% 0.05% 0.04% (21.53)% (2) N/A
Ratio of
expenses, including indirect management fees 0.82% 0.80% 1.01% 0.97%
1.71% 1.61% 2.21% 3.27% 8.83% 9.28% 2.57% (2) N/A N/A
Ratio of
expenses, excluding indirect management fees 0.05% 0.05% 0.04% 0.11%
0.04% 0.04% 0.15% 0.05% 0.04% 0.06% 0.02% (2) N/A N/A
Ratio of
expenses, including indirect management fees 0.91% 0.84% 1.32% 1.70%
2.59% 2.55% 4.26% 7.53% 14.31% 10.58% (2) N/A N/A N/A
Ratio of
expenses, excluding indirect management fees 0.08% 0.06% 0.04% 0.15%
0.04% 0.04% 0.41% 0.05% 0.04% 0.11% (2) N/A N/A N/A
(1)
(2)
between the beginning and end of the year.
2016
2015
2017
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total net return and ratios not annualized.
2014
Total
return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2022-2014
ANNUAL COMPREHENSIVE FINANCIAL REPORT 106 FISCAL YEAR 2023
Global
Portfolio Other Equity
Vintage Year Vintage Year Vintage Year Real Cash Completion Risk Real Enhanced Credit Emerging
2020 2021 2022 Estate Timberland Overlay Strategies Premia Assets Equity Opportunities Diverse
Account Account Account Account Account Account Account (3) Account (3) Account (3) Account Account Account
Total net return (1) 24.09% 9.87% (5.39)% (2) 24.24% 10.92% (18.11)% N/A N/A 1.63% (9.56)% 6.19% (6.32)% (2)
Net
position, end of year ($'000s) 1,303,273 1,138,431 163,587 9,819,201
2,919,996 539,337 N/A N/A 857,795 985,503 951,732 93,678
Units outstanding, end of year ('000s) 8,005 10,601 1,729 9,992 8,749 2,244 N/A N/A 9,430 6,887 6,673 1,000
Total net return (1) 40.10% (2.26)% (2) N/A 16.44% 7.49% 30.45% N/A (100.00)% 1.07% 35.36% 24.40% N/A
Net position, end of year ($'000s) 333,380 174,180 N/A 7,945,278 2,833,009 941,595 N/A — 837,883 1,083,781 897,070 N/A
Units outstanding, end of year ('000s) 2,541 1,782 N/A 10,045 9,415 3,208 N/A — 9,362 6,850 6,679 N/A
Total net return (1) (6.35)% (2) N/A N/A 0.56% (1.74)% 15.21% N/A 2.94% (2.90)% (0.34)% (1.01)% N/A
Net position, end of year ($'000s) 51,697 N/A N/A 6,921,152 2,766,226 444,807 N/A 2 832,035 4,589,770 574,855 N/A
Units outstanding, end of year ('000s) 552 N/A N/A 10,189 9,882 1,977 N/A — 9,396 39,267 5,324 N/A
Total net return (1) N/A N/A N/A 5.56% 1.57% 1.34% N/A (0.60)% (14.97)% 6.17% 5.95% N/A
Net position, end of year ($'000s) N/A N/A N/A 6,992,131 2,888,192 465,349 N/A 615,528 804,725 4,586,863 257,835 N/A
Units outstanding, end of year ('000s) N/A N/A N/A 10,351 10,138 2,383 N/A 6,005 8,825 39,107 2,364 N/A
Total net return (1) N/A N/A N/A 8.86% 7.38% 2.64% N/A 5.49% 5.95% 10.47% 2.94% (2) N/A
Net position, end of year ($'000s) N/A N/A N/A 6,454,777 2,433,762 304,443 N/A 618,533 631,406 2,372,889 164,184 N/A
Units outstanding, end of year ('000s) N/A N/A N/A 10,087 8,677 1,580 N/A 5,998 5,888 21,480 1,595 N/A
Total net return (1) N/A N/A N/A 6.27% 7.65% 14.55% N/A (5.06)% 1.22% N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A 6,047,656 2,483,085 682,197 N/A 585,639 153,348 N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A 10,288 9,506 3,634 N/A 5,991 1,515 N/A N/A N/A
Total net return (1) N/A N/A N/A 11.70% (3.31)% 5.65% 8.62% N/A N/A N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A 6,302,436 2,012,000 286,627 736,581 N/A N/A N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A 11,394 8,292 1,749 7,154 N/A N/A N/A N/A N/A
Total net return (1) N/A N/A N/A 11.30% (2.04)% 5.19% (5.21)% (2) N/A N/A N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A 6,093,142 2,347,050 567,427 94,882 N/A N/A N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A 12,305 9,353 3,658 1,001 N/A N/A N/A N/A N/A
Total net return (1) N/A N/A N/A 12.91% 12.81% 47.46% (2) N/A N/A N/A N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A 5,380,022 2,374,863 549,427 N/A N/A N/A N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A 12,093 9,271 3,726 N/A N/A N/A N/A N/A N/A
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 2.98% 3.16% 0.31% (2)
1.06% 0.45% 0.06% N/A N/A 1.04% 0.43% 1.33% 0.21% (2)
Ratio of
expenses, excluding indirect management fees 0.04% 0.06% 0.31% (2) 0.72%
0.19% 0.06% N/A N/A 0.03% 0.43% 1.33% 0.21% (2)
Ratio of expenses, including indirect management fees 5.65% 0.09% (2) N/A 0.52% 0.46% 0.07% N/A —% 1.04% 0.42% 1.14% N/A
Ratio of expenses, excluding indirect management fees 0.04% 0.09% (2) N/A 0.17% 0.19% 0.07% N/A —% 0.04% 0.42% 1.14% N/A
Ratio of expenses, including indirect management fees 4.22% (2) N/A N/A 0.49% 0.09% 0.07% N/A 0.52% 1.23% 0.37% 1.14% N/A
Ratio of expenses, excluding indirect management fees 1.91% (2) N/A N/A 0.15% 0.30% 0.07% N/A 0.14% 0.05% 0.37% 1.14% N/A
Ratio of expenses, including indirect management fees N/A N/A N/A 0.49% 0.26% 0.08% N/A 0.89% 1.48% 0.43% 0.92% N/A
Ratio of expenses, excluding indirect management fees N/A N/A N/A 0.15% 0.26% 0.08% N/A 0.12% 0.07% 0.43% 0.92% N/A
Ratio of expenses, including indirect management fees N/A N/A N/A 0.50% 0.55% 0.06% N/A 0.90% 1.37% 0.42% 0.62% (2) N/A
Ratio of expenses, excluding indirect management fees N/A N/A N/A 0.14% 0.21% 0.06% N/A 0.11% 0.03% 0.03% 0.62% (2) N/A
Ratios and supplementary data:
2021
2016
2017
2019
2015
2020
2019
2018
2021
2022
2022
2020
2018
2014
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2022-2014
ANNUAL COMPREHENSIVE FINANCIAL REPORT 107 FISCAL YEAR 2023
Portfolio
Real Cash Completion Risk Real
Estate Timberland Overlay Strategies Premia Assets
Account Account Account Account (3) Account (3) Account (3)
Ratio of expenses, including indirect management fees 0.46% 0.67% 0.07% N/A 1.27% 0.04%
Ratio of expenses, excluding indirect management fees 0.09% 0.34% 0.07% N/A 0.15% 0.04%
Ratio of expenses, including indirect management fees 0.47% 0.23% 0.07% 0.90% N/A N/A
Ratio of expenses, excluding indirect management fees 0.09% (0.11)% 0.07% 0.16% N/A N/A
Ratio of expenses, including indirect management fees 0.64% 0.70% 0.07% 0.29% (2) N/A N/A
Ratio of expenses, excluding indirect management fees 0.27% 0.40% 0.07% 0.10% (2) N/A N/A
Ratio of expenses, including indirect management fees 0.56% 0.55% 0.09% (2) N/A N/A N/A
Ratio of expenses, excluding indirect management fees 0.17% 0.16% 0.09% (2) N/A N/A N/A
(1)
Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
between the beginning and end of the year.
(2)
Denotes account commenced operations subsequent to the beginning of the
fiscal year. Total net return and ratios not annualized.
(3) Prior to July 2016, Risk Premia and Real Assets were reflected in the Portfolio Completion Strategies account.
2015
2014
2017
2016
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
PRIT Fund Asset Allocation
As of June 30:
ANNUAL COMPREHENSIVE FINANCIAL REPORT 108 FISCAL YEAR 2023
The
following table is intended to provide readers of this ACFR with
further information regarding the financial position of the PRIT Fund
over the
past ten years. This table provides the change in assets
during this time period. This table should be read in conjunction with
the discussion on asset
allocation in the Investment Section of this ACFR.
(1)
At the February 14, 2017 Board meeting, the PRIM Board voted to combine
the Hedge Funds and Portfolio Completion Strategies portfolios into a
single portfolio
(Portfolio Completion Strategies).
(2) Includes
Portable Alpha Wind Down, Hedge Funds closed portfolios, and Natural
Resources Private Wind Down. Prior to January 31, 2016, Natural
Resources Private
assets were reflected in the Timberland portfolio.
2023 2022 2021 2020 2019 2018 2017 2016 2015 2014
Domestic Equity 23.0% 21.3% 24.2% 22.2% 21.9% 19.1% 19.8% 18.7% 19.2% 19.0%
International Equity 11.7% 11.5% 13.0% 13.9% 15.1% 16.5% 18.0% 16.5% 16.9% 17.1%
Emerging Markets 4.4% 4.4% 5.5% 6.0% 6.2% 6.3% 7.9% 7.0% 6.6% 7.0%
Global Equity Emerging-Diverse
Manager Program 0.1% 0.1% - - - - - - - -
Core Fixed Income 13.3% 14.5% 15.3% 15.7% 13.6% 12.8% 12.0% 13.9% 13.7% 13.9%
Value-Added Fixed Income 7.1% 6.8% 6.9% 7.5% 7.9% 8.0% 8.1% 8.4% 8.3% 8.5%
Private Equity 17.4% 18.4% 14.5% 11.4% 11.3% 10.8% 10.6% 11.1% 11.3% 11.1%
Real Estate 10.9% 10.6% 8.3% 9.2% 9.4% 9.0% 9.1% 10.4% 10.0% 8.9%
Timberland 3.1% 3.2% 3.0% 3.7% 3.9% 3.4% 3.7% 3.3% 3.8% 3.9%
Hedge Funds (1) - - - - - - - 8.6% 9.1% 9.6%
Liquidating Portfolios (2) 0.0% 0.1% 0.1% 0.1% 0.2% 0.3% 0.4% 0.3% 0.1% 0.1%
Overlay 0.5% 0.6% 1.0% 0.6% 0.6% 0.4% 1.0% 0.5% 0.9% 0.9%
Portfolio Completion Strategies (1) 8.4% 8.6% 8.3% 9.7% 10.0% 13.4% 9.5% 1.2% 0.2% -
Totals may not add due to rounding.
53 State Street, Boston, MA 02109
www.mapension.com
Annual Comprehensive Financial Report
Fiscal Years Ended June 30, 2024 and 2023
Pension Reserves Investment Trust Fund
(A Component Unit of the Commonwealth of Massachusetts)
Deborah B. Goldberg, Treasurer and Receiver General, Chair
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer
Annual Comprehensive Financial Report
For the Years Ended June 30, 2024 and 2023
Pension Reserves Investment Trust Fund
(A Component Unit of the Commonwealth of Massachusetts)
Prepared By
Pension Reserves Investment Management Board Staff
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2024
For More Information
All correspondence may be directed to:
Client Services
Pension Reserves Investment Management Board
53 State Street
Boston, MA 02109
Telephone: 617-946-8401
Website: www.mapension.com
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2024
Table of Contents
Page
Introductory Section:
Letter of Transmittal 3 – 9
Certificate of Achievement for Excellence in Financial Reporting 10
PRIM Board Trustees 11
Advisory Committees to the PRIM Board 12 – 13
PRIM Board Management Organizational Chart 14
PRIM Board Investment Advisors 15
Financial Section:
Independent Auditors’ Report 16 – 18
Management’s Discussion and Analysis (Unaudited) 19 – 22
Basic Financial Statements:
Statements of Pooled Net Position 23
Statements of Changes in Pooled Net Position 24
Notes to Financial Statements 25 – 57
Other Supplementary Information:
Schedule of Pooled Net Position – Capital Fund and Cash Fund 58
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund 59
Investment Section:
Total PRIT Fund Performance Summary 60
Investment Strategy Overview 61 – 62
PRIT Core Performance: Fiscal Year 2024 63 – 64
Domestic Equity Portfolio 65 – 66
International Equity Portfolio 67 – 68
Emerging Markets Portfolio 69 – 70
Global Equity Emerging-Diverse Manager Program 70
Core Fixed Income Portfolio 71 – 73
Value-Added Fixed Income Portfolio 74 – 76
Real Estate Portfolio 77 – 79
Timberland Portfolio 80 – 81
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2024
Table of Contents, continued
Page
Private Equity Portfolio 82 – 85
Portfolio Completion Strategies Portfolio 86 – 87
Overlay 87
Schedule of Time-Weighted Returns by Asset Class 88
Investment Summary at Fair Value 89
Summary Schedule of Broker Commissions 90
Schedule of Management Fees 91
Schedule of Retirement Systems by Investment 92 – 93
Investment Policy Statement 94 – 95
Statistical Section:
Schedules of Changes in Pooled Net Position 96
Financial Highlights and Financial Highlights Ratios 97 – 106
PRIT Fund Asset Allocation 107
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2024
Introductory Section
PENSION RESERVES INVESTMENT TRUST FUND
Pension Reserves Investment Management Board
ANNUAL COMPREHENSIVE FINANCIAL REPORT 3 FISCAL YEAR 2024
December 5, 2024
To Chair Goldberg, the Trustees of the Pension Reserves Investment Management Board (the PRIM Board),
Committee members, Participants and Beneficiaries:
I am pleased to transmit the Annual Comprehensive Financial Report (ACFR) of the Massachusetts Pension
Reserves Investment Trust Fund (the PRIT Fund) for the fiscal year ending June 30, 2024. The document
that follows is the 20 th consecutive ACFR produced in the PRIM Board’s 40-year history. We hope that you
will find the ACFR useful in understanding the performance and financial position of the PRIT Fund as of
and for the fiscal year ended June 30, 2024.
The ACFR contains the basic financial statements presented in accordance with U.S. generally accepted
accounting principles (GAAP) and the standards applicable to financial audits set forth by Government
Auditing Standards. The ACFR and the basic financial statements are the responsibility of the PRIM Board.
The fiscal year 2024 audit was conducted by KPMG LLP, a firm of licensed certified public accountants.
The ACFR is divided into four major sections:
Introductory Section: This section contains the letter of transmittal, the Certificate of Achievement for
Excellence in Financial Reporting and outlines the PRIM Board’s organizational structure.
Financial Section: This section contains the report of the independent auditors, Management’s Discussion
and Analysis (MD&A), the financial statements of the PRIT Fund, the notes to the financial statements and
supporting schedules.
Investment Section: This section contains a summary of the PRIT Fund’s investment strategy, investment
policies, investment holdings, investment results and supporting tables and schedules.
Statistical Section: This section contains information regarding financial ratios of the PRIT Fund.
Within the financial section, the MD&A follows the independent auditors’ report and provides an overview
of the PRIT Fund’s financial statements and financial results. The MD&A complements this letter of
transmittal and should be read in conjunction with this letter. Responsibility for both the accuracy and
completeness of the data and the contents of this report rests with the PRIM Board. The PRIM Board has
implemented a system of internal controls designed to provide reasonable assurance that the financial
statements are free from material misstatements, that all assets will be properly safeguarded and that
transactions will be properly executed. The concept of reasonable assurance recognizes that the cost of a
control should not exceed the benefits to be derived. The objective is to provide reasonable, rather than
absolute, assurance that the financial statements are free of any material misstatements.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 4 FISCAL YEAR 2024
Profile of the PRIT Fund
The PRIT Fund is a pooled investment trust fund established to invest the assets of the Massachusetts State
Teachers’ and Employees’ Retirement Systems, and the assets of county, authority, district, and municipal
retirement systems. The PRIT Fund was created by the Legislature in 1983 (Chapter 661 of the Acts of 1983)
with a mandate to accumulate assets through investment earnings to reduce the Commonwealth’s
unfunded pension liability, and to assist local participating retirement systems in meeting future pension
obligations. The PRIT Fund merged with the Massachusetts State Teachers’ and Employees’ Retirement
Systems (MASTERS) Trust in 1997, in accordance with Chapter 315 of the Acts of 1996.
The Massachusetts State Teachers’, State Employees’ and State-Boston/Teachers’ Retirement Systems, and
the State Retiree Benefits Trust Fund (SRBTF), are mandated by statute to invest all of their assets in the
PRIT Fund. Other retirement systems may voluntarily invest all or part of their assets in the PRIT Fund.
Furthermore, Chapter 84 of the Acts of 1996 explicitly granted retirement boards the ability to invest only
in individual asset classes of the PRIT Fund through a segmentation program. See Note 1 of the financial
statements for more information on the profile and background of the PRIT Fund.
The most recent Commonwealth Actuarial Valuation Report, dated December 20, 2023, calculated the
Commonwealth’s unfunded actuarial pension liability at $42.4 billion. The Commonwealth Actuarial
Valuation Report estimates that, as of January 1, 2023, the pension liability is 63.5% funded. It should be
noted that the unfunded actuarial pension liability is calculated on a calendar year basis.
The PRIM Board seeks to maximize the return on the PRIT Fund investments within acceptable levels of risk
and cost for a public pension fund, by broadly diversifying its investment portfolio, capitalizing on
economies of scale to achieve cost-effective operations, and gaining access to high quality, innovative
investment management firms. The PRIT Fund’s Investment Policy Statement establishes investment
objectives and policies designed to provide a framework for implementing investment strategy and
oversight. A summary of the Investment Policy Statement is included in the Investment Section.
As of June 30, 2024, the PRIT Fund had approximately $105.3 billion in net position compared to $96.6
billion at the end of fiscal year 2023. The PRIM Board contracts with a custodian bank to safeguard
investment holdings and to ensure the proper settlement and recording of investment and cash
transactions.
Executive Director/ Chief Investment Officer Discussion
Fiscal Year 2024 (FY2024) was another successful and productive year. The PRIT Fund ended with a record
balance of $105.3 billion for the fiscal year ended June 30, 2024, surpassing the previous record of $96.6
billion last year. The PRIT Fund returned 9.9% (9.5%, net) for a net investment income of $9.1 billion in the
fiscal year, with five of the seven asset classes outperforming their benchmarks. Staff researched and
deployed $6.6 billion in new investments during the year.
Organizationally, the PRIM Board is on very solid footing. No employees left during the year, and the PRIM
Board successfully onboarded three full-time staff members and welcomed eight interns. All new
employees and interns in the “class of 2024” are diverse in terms of race and/or gender. The PRIM Board’s
workforce is 63% diverse, and 52% of the PRIM Board’s workforce is female.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
*The
PRIM Board claims compliance with the Global Investment Performance
Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA
Institute
does not endorse or promote this organization, nor does it warrant the
accuracy or quality of the content contained herein. A GIPS® Asset Owner
Report is available upon request.
ANNUAL COMPREHENSIVE FINANCIAL REPORT 5 FISCAL YEAR 2024
The work of the PRIM Board staff continues to receive local and national recognition. In FY2024, the PRIM
Board’s Private Equity program was awarded Alpha Edge recognition for alpha generation and was
recognized as “Limited Partner of the Year” for “empowering women in private equity”. The Private Equity
program once again finished in the top five (#4) in the American Investment Council’s annual ranking of
public pension plans, based on 10-year performance. In addition, Bill Li, CFA, CAIA, Director of Portfolio
Completion Strategies, received Alpha Edge Next Generation Recognition. The PRIM Board ranked fourth
in the U.S. for assets managed by diverse managers according to Pensions and Investments, and the PRIM
Board was awarded two Commonwealth Citations for Outstanding Performance. Additionally, I (Michael G.
Trotsky, CFA, Executive Director and Chief Investment Officer) received a Lifetime Achievement award and
was named on the CIO Power 100 list. The PRIM Board earned the Certificate of Achievement for Excellence
in Financial Reporting from the Government Finance Officers Association for the 19th consecutive year and
successfully completed the CFA Institute’s Global Investment Performance Standards (GIPS®) verification.*
All of these accomplishments happened against the backdrop of an unusually turbulent worldwide
investing and geopolitical environment, yet markets remained very strong: U.S. equities were up 24.6%,
developed international equities were up 11.2%, and emerging markets equities were up 12.5%. Diversified
bonds were up 2.6% for the fiscal year as interest rates (and inflation) began to decline. The highest
returning PRIT Fund asset classes included Global Equities, Value-Added Fixed Income, Portfolio
Completion Strategies, and Timberland, all returning more than 10% net of fees. Private Equity returned
7.7%, net of fees, continuing its strong rebound. Real Estate was the weakest, down -6.8% for the year but
still outpacing the benchmark.
While the last three fiscal years have provided an extraordinary test for staff and the PRIT Fund, the PRIT
Fund and its performance remain resilient over time and throughout several different market
environments. The PRIT Fund’s trailing 5- and 10-year returns remain strong and consistently above
benchmarks and the required actuarial rate of return.
The FUTURE Initiative, the program to increase the diversity of the PRIM Board’s investment managers and
vendors to at least 20% by increasing access for minorities, female, and disabled investment managers and
business partners, had another successful year, investing more than $2.3 billion with diverse managers over
six asset classes, including approximately $270 million to emerging diverse managers. The PRIT Fund
currently invests more than $12.6 billion with diverse investment managers, nearly 12% of the PRIT Fund.
The PRIM Board adopted its first-ever Stewardship Framework and Stewardship Policy while also approving
the Stewardship Priorities. The PRIM Board voted 12,181 proxy ballots aligned with the PRIM Board’s proxy
voting guidelines on areas such as board diversity requirements, over-boarded directors, gender pay gaps,
labor and human rights, climate change, and executive compensation. The PRIM Board also enhanced the
Custom Proxy Voting guidelines to explicitly connect expected corporate behavior and long-term value
while updating language on biodiversity risks and other key issues. The PRIM Board continues to support
the MIT Sloan School of Management’s Aggregate Confusion Project (ACP) as its first founding member.
ACP aims to develop tools to address inconsistencies in the measurement of Environmental, Social, and
Governance (ESG) data, which has become widely recognized as an obstacle in ESG investing.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 6 FISCAL YEAR 2024
We remain pleased and confident in the PRIT Fund's resiliency and performance over all me periods and
throughout several different market environments. We have assembled a talented staff that consistently
produces strong investment performance and extraordinary non-investment innova on and
responsiveness. We are a steady ship for an uncertain me.
We thank the entire PRIM Board staff and our Board and committee members for their support, dedication,
and hard work over the past year.
PRIT Total Core Fund Returns
(Gross of Fees) Annualized Returns as of June 30, 2024
Source: BNY Mellon. Totals may not add due to rounding. Total Core Benchmark includes private equity benchmark.
PRIT Performance by Asset Class
(Gross of Fees) Annualized Returns as of June 30, 2024
Source: BNY Mellon. Totals may not add due to rounding. *Benchmark is actual performance.
9.9%
4.2%
8.5% 7.8%
10.3%
4.5%
7.4% 6.8%
-0.3% -0.3%
1.1% 1.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
1 Year 3 Year 5 Year 10 Year
Returns
Total Fund Return Total Core Benchmark Value Added
18.4%
11.2%
10.8%
10.6%
9.0%
0.0%
-6.2%
18.7%
10.5%
8.8%
9.8%
9.0%
-0.2%
-10.8%
-0.4%
0.7%
2.0%
0.7%
0.0%
0.2%
4.5%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
Global Equity Value Added
Fixed Income
Portfolio
Completion
Strategies
Timberland Private
Equity*
Core Fixed
Income
Real Estate
Returns
Asset Class Benchmark Value Added
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 7 FISCAL YEAR 2024
PRIT Fund Periodic Table of Returns
(Gross of Fees) as of June 30, 2024
1 Year 3 Year 5 Year 10 Year
GLOBAL EQUITY
18.4%
PRIVATE EQUITY
10.2%
PRIVATE EQUITY
19.3%
PRIVATE EQUITY
18.5%
VALUE-ADDED FIXED
INCOME
11.2%
TIMBERLAND
9.3%
GLOBAL EQUITY
10.8%
GLOBAL EQUITY
8.6%
PORTFOLIO COMPLETION
STRATEGIES
10.8%
GLOBAL EQUITY
5.2%
TIMBERLAND
6.7%
REAL ESTATE
7.7%
TIMBERLAND
10.6%
VALUE-ADDED FIXED
INCOME
5.1%
REAL ESTATE
6.2%
TIMBERLAND
6.2%
PRIVATE EQUITY
9.0%
REAL ESTATE
4.6%
VALUE-ADDED FIXED
INCOME
5.9%
VALUE-ADDED FIXED
INCOME
4.8%
CORE FIXED INCOME
0.0%
PORTFOLIO COMPLETION
STRATEGIES
4.4%
PORTFOLIO COMPLETION
STRATEGIES
4.6%
PORTFOLIO COMPLETION
STRATEGIES
3.8%
REAL ESTATE
(6.2%)
CORE FIXED INCOME
(4.9%)
CORE FIXED INCOME
(0.5%)
CORE FIXED INCOME
2.1%
Fiscal Year 2024 Highlights
1. The Allocator from With Intelligence presented Michael G. Trotsky, CFA, the PRIM Board’s Executive
Director and Chief Investment Officer, with its Lifetime Achievement Award. The publication called the
PRIM Board “a beacon of public service and investment prowess for the people of the Commonwealth
of Massachusetts.”
2. Michael G. Trotsky, CFA, the PRIM Board’s Executive Director and Chief Investment Officer, was named
to the 2023 CIO Power 100 List by the publication, The 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.”
3. Bill Li, CFA, CAIA, Director of Portfolio Completion Strategies, received Institutional Investor’s Next
Generation Recognition. The award honors “distinguished leaders within the allocator community for
their outstanding contributions to portfolio construction.”
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
*The
PRIM Board claims compliance with the Global Investment Performance
Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA
Institute
does not endorse or promote this organization, nor does it warrant the
accuracy or quality of the content contained herein. A GIPS® Asset Owner
Report is available upon request.
ANNUAL COMPREHENSIVE FINANCIAL REPORT 8 FISCAL YEAR 2024
4. Private Equity Women Investment Network (PE-WIN), recognized the PRIM Board as “Limited Partner
of the Year” for “empowering women in private equity.” The award reflected both the PRIM Board’s
work on investing with women and diverse managers via the FUTURE Initiative and the strong
leadership presence of women on the PRIM Board’s Private Equity team.
5. The PRIM Board was ranked fourth among the largest 200 funds in the U.S. for assets managed by
diverse managers. This indicates that the PRIM Board’s ongoing efforts with the FUTURE Initiative over
the years are putting the PRIM Board near the top of the rankings and well above our rank in assets
under management.
6. The PRIM Board’s Private Equity team won Alpha Edge recognition for Alpha Generation from
Institutional Investor, which cited PRIM’s strong leadership culture, collaboration, and thesis-driven
approach to manager selection, as well as the PRIM Board’s annual commitment modeling process
and strong long-term performance in the asset class.
7. The PRIM Board’s Private Equity Portfolio was ranked #4 among 200 U.S. public pension funds based
on 10-year performance by the American Investment Council’s Public Pension Study. The PRIM Board
is the only fund that has been in the top five every year the study has been conducted, including #1
rankings in 2019, 2018, 2015, and 2013.
8. The PRIM Board was awarded two Commonwealth Citations for Outstanding Performance by
Treasurer Deborah B. Goldberg. Eliza Haynes, Investment Officer, was recognized as a key individual
on PRIM’s Private Equity Team for her sourcing and underwriting work. The PRIM Board 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; David Gurtz, John LaCara, and Chuck LaPosta from the Investment Team.
9. For the 6th consecutive year, the PRIM Board has completed the CFA Institute’s Global Investment
Performance Standards (GIPS®) verification.* Additionally, the CFA Institute appointed Matt Liposky,
the PRIM Board's Chief Investment Operations Officer, to chair the GIPS® Standards Asset Owner
Subcommittee.
10. The PRIM Board was awarded the Government Finance Officer Association’s Certificate of
Achievement for Excellence in Financial Reporting for the 19 th consecutive year.
11. The PRIM Board deployed $6.6 billion in new investments during fiscal year 2024.
12. The PRIM Board recruited and onboarded three new full-time employees, all diverse in gender or race.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 9 FISCAL YEAR 2024
Acknowledgments
The PRIM Board’s success is inextricably linked to the diligence of our Board and its Chair, Treasurer
Deborah B. Goldberg. We are truly privileged to have volunteers of such high caliber and professional
achievement on the Board and its committees, and we recognize that our success is largely due to their
dedication, hard work, and expert oversight.
Very respectfully,
Michael G. Trotsky, CFA
Executive Director and Chief Investment Officer
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 10 FISCAL YEAR 2024
Certificate of Achievement for Excellence in Financial Reporting
The Government Finance Officers Association of the United States and Canada (GFOA) awarded a
Certificate of Achievement for Excellence in Financial Reporting to the PRIM Board for its annual
comprehensive financial report for the fiscal year ended June 30, 2023. This was the 19 th consecutive year
that the PRIM Board has achieved this prestigious award. In order to be awarded a Certificate of
Achievement, an entity must publish an easily readable and efficiently organized annual comprehensive
financial report. This report must satisfy both U.S. generally accepted accounting principles and applicable
legal requirements.
A Certificate of Achievement is valid for a period of one year only. We believe that our current annual
comprehensive financial report continues to meet the Certificate of Achievement Program’s requirements
and we are submitting it to the GFOA to determine its eligibility for another certificate.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 11 FISCAL YEAR 2024
PRIM Board Trustees
June 30, 2024
Deborah B. Goldberg, Chair, Ex Officio Member
State Treasurer & Receiver General, Commonwealth of Massachusetts
Robert L. Brousseau, Elected Representative, Teachers’ Retirement System
Retired Teacher, Town of Wareham Public School System
Catherine D’Amato, Designee of the Governor
President and CEO, Greater Boston Food Bank
Ruth Ellen Fitch, Esq., Appointee of the State Treasurer
Retired President and CEO, The Dimock Center
Theresa F. McGoldrick, Esq., Elected Member, State Employees’ Retirement Board
National Executive Vice President, National Association of Government Employees
Peter Monaco, Appointee of the Governor
Managing Director, Raptor Group Holdings
Dennis J. Naughton, Elected Member, Teachers’ Retirement Board
Retired Educator, Millis Public Schools
Carly Rose, Appointee of the Governor
Public Safety Union Member
Paul E. Shanley, Esq., Elected Representative, State Employees' Retirement System
Retired Director of Professional Liability, Amity Insurance
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 12 FISCAL YEAR 2024
Advisory Committees to the PRIM Board
June 30, 2024
Investment Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Joseph C. Bonfiglio
Massachusetts & Northern New England Laborers’ District Council
C. LaRoy Brantley
Investment Consultant
Catherine D’Amato
Board Member
Michael Even
Former President and CEO, Numeric Investors
Constance M. Everson, CFA
Managing Director, Capital Markets Outlook Group
Ruth Ellen Fitch, Esq.
Board Member
James B. G. Hearty
Retired Partner, Clough Capital
Peter Monaco
Board Member
Phillip H. Perelmuter
Former Managing Partner, Wellington Management
Philip Rotner
Chief Investment Officer, Boston Children’s Hospital
Paul E. Shanley, Esq.
Board Member
Glenn P. Strehle, CFA
Treasurer Emeritus, MIT
Timothy L. Vaill
Former Chairman & CEO, Boston Private Financial
Current CFO, Anbaric Energy
Real Estate and Timberland Committee
Jill S. Hatton, CRE, Chair
Real Estate Investment Professional
Deborah B. Goldberg
Ex Officio Board Member
Lydia Chesnick, Esq.
Partner, Bernkopf Goodman LLP
Robert Gifford
RGA Corp
Dr. Jack Lutz, PhD.
Forest Research Group
William F. McCall, Jr., CRE
McCall & Almy, Inc.
Garlan Morse, Jr., CRE
Morris and Morse Company, Inc.
Peter F. O’Connell
Marina Bay Company
Carly Rose
Board Member
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 13 FISCAL YEAR 2024
Advisory Committees to the PRIM Board, continued
June 30, 2024
Administration and Audit Committee
Robert L. Brousseau, Chair
Board Member
Deborah B. Goldberg
Ex Officio Board Member
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Catherine D’Amato
Board Member
James B. G. Hearty
Retired Partner, Clough Capital
Theresa F. McGoldrick, Esq.
Board Member
Dennis J. Naughton
Board Member
Compensation Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Robert L. Brousseau
Board Member
Catherine D’Amato
Board Member
Marian A. Tse
Retired Partner, Goodwin Procter
Stewardship and Sustainability Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Mary Cerulli
Founder, Climate Finance Action
Michael Even
Former President and CEO, Numeric Investors
Ruth Ellen Fitch, Esq.
Board Member
Theresa F. McGoldrick, Esq.
Board Member
Dennis J. Naughton
Board Member
Poonam Patidar
Member, Mintz
Marcela Pinilla
Director of Sustainable Investing, Zevin
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 14 FISCAL YEAR 2024
PRIM Board Management Organizational Chart
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 15 FISCAL YEAR 2024
PRIM Board Investment Advisors*
Aberdeen Asset Management Inc.
Portfolio Completion Strategies Advisory Services
Hamilton Lane
Private Equity Advisory Services
International Woodland Company
Timberland Advisory Services
Meketa Investment Group
Public Market Advisory Services
NEPC, LLC
Asset Allocation Advisory Services
NewAlpha Asset Management
Portfolio Completion Strategies Advisory Services
* List of investment managers is provided for each investment portfolio in the Investment Section on pages 65–87.
See Schedule of Management Fees on page 91 in the Investment Section for investment management fees by asset class.
Summary Schedule of Broker Commissions listed by brokerage firms is in the Investment Section on page 90.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2024
Financial Section
PENSION RESERVES INVESTMENT TRUST FUND
16
Independent Auditors’ Report
Administration and Audit Committee and Trustees,
Pension Reserves Investment Management Board:
Report on the Audit of the Financial Statements
Opinion
We have audited the financial statements of the Pension Reserves Investment Trust Fund (PRIT Fund), a
component unit of the Commonwealth of Massachusetts, as of and for the years ended June 30, 2024
and 2023, and the related notes to the financial statements, which collectively comprise the PRIT Fund’s
basic financial statements as of and for the years then ended as listed in the table of contents.
In our opinion, the accompanying financial statements referred to above present fairly, in all material
respects, the pooled net position of the PRIT Fund as of June 30, 2024 and 2023, and the changes in
pooled net position for the years then ended in accordance with U.S. generally accepted accounting
principles.
Basis for Opinion
We conducted our audit in accordance with auditing standards generally accepted in the United States of
America (GAAS) and the standards applicable to financial audits contained in Government Auditing
Standards, issued by the Comptroller General of the United States. Our responsibilities under those
standards are further described in the Auditors’ Responsibilities for the Audit of the Financial Statements
section of our report. We are required to be independent of the PRIT Fund and to meet our other ethical
responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that
the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Responsibilities of Management for the Financial Statements
Management is responsible for the preparation and fair presentation of the financial statements in
accordance with U.S. generally accepted accounting principles, and for the design, implementation, and
maintenance of internal control relevant to the preparation and fair presentation of financial statements
that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, management is required to evaluate whether there are conditions or
events, considered in the aggregate, that raise substantial doubt about the PRIT Fund’s ability to continue
as a going concern for twelve months beyond the financial statement date, including any currently known
information that may raise substantial doubt shortly thereafter.
Auditors’ Responsibilities for the Audit of the Financial Statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are
free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that
includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance
and therefore is not a guarantee that an audit conducted in accordance with GAAS and Government
Auditing Standards will always detect a material misstatement when it exists. The risk of not detecting a
material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve
collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.KPMG LLP
Two Financial Center
60 South Street
Boston, MA 02111
KPMG LLP, a Delaware limited liability partnership and a member firm of
the KPMG global organization of independent member firms affiliated with
KPMG International Limited, a private English company limited by guarantee.
17
Misstatements are considered material if there is a substantial likelihood that, individually or in the
aggregate, they would influence the judgment made by a reasonable user based on the financial
statements.
In performing an audit in accordance with GAAS and Government Auditing Standards, we:
• Exercise professional judgment and maintain professional skepticism throughout the audit.
• Identify and assess the risks of material misstatement of the financial statements, whether due to
fraud or error, and design and perform audit procedures responsive to those risks. Such procedures
include examining, on a test basis, evidence regarding the amounts and disclosures in the financial
statements.
• Obtain an understanding of internal control relevant to the audit in order to design audit procedures
that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the PRIT Fund’s internal control. Accordingly, no such opinion is expressed.
• Evaluate the appropriateness of accounting policies used and the reasonableness of significant
accounting estimates made by management, as well as evaluate the overall presentation of the
financial statements.
• Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that
raise substantial doubt about the PRIT Fund’s ability to continue as a going concern for a reasonable
period of time.
We are required to communicate with those charged with governance regarding, among other matters,
the planned scope and timing of the audit, significant audit findings, and certain internal control related
matters that we identified during the audit.
Required Supplementary Information
U.S. generally accepted accounting principles require that the management’s discussion and analysis be
presented to supplement the basic financial statements. Such information is the responsibility of
management and, although not a part of the basic financial statements, is required by the Governmental
Accounting Standards Board who considers it to be an essential part of financial reporting for placing the
basic financial statements in an appropriate operational, economic, or historical context. We have applied
certain limited procedures to the required supplementary information in accordance with GAAS, which
consisted of inquiries of management about the methods of preparing the information and comparing the
information for consistency with management’s responses to our inquiries, the basic financial statements,
and other knowledge we obtained during our audit of the basic financial statements. We do not express
an opinion or provide any assurance on the information because the limited procedures do not provide us
with sufficient evidence to express an opinion or provide any assurance.
Supplementary Information
Our audit for the year ended June 30, 2024, was conducted for the purpose of forming an opinion on the
financial statements that collectively comprise the PRIT Fund’s basic financial statements for the year
ended June 30, 2024. The schedule of pooled net position – capital fund and cash fund and schedule of
changes in pooled net position – capital fund and cash fund as of and for the year ended June 30, 2024
are presented for purposes of additional analysis and are not a required part of the basic financial
statements. Such information is the responsibility of management and was derived from and relates
directly to the underlying accounting and other records used to prepare the basic financial statements.
The information has been subjected to the auditing procedures applied in the audit of the basic financial
statements as of and for the year ended June 30, 2024, and certain additional procedures, including
comparing and reconciling such information directly to the underlying accounting and other records used
18
to prepare the basic financial statements or to the basic financial statements themselves, and other
additional procedures in accordance with GAAS. In our opinion, the information is fairly stated, in all
material respects, in relation to the basic financial statements as a whole as of and for the year ended
June 30, 2024.
Other Information
Management is responsible for the other information included in the annual comprehensive financial
report. The other information comprises the introductory, investment, and statistical sections but does not
include the basic financial statements and our auditors’ report thereon. Our opinion on the basic financial
statements does not cover the other information, and we do not express an opinion or any form of
assurance thereon.
In connection with our audit of the basic financial statements, our responsibility is to read the other
information and consider whether a material inconsistency exists between the other information and the
basic financial statements, or the other information otherwise appears to be materially misstated. If,
based on the work performed, we conclude that an uncorrected material misstatement of the other
information exists, we are required to describe it in our report.
Other Reporting Required by Government Auditing Standards
In accordance with Government Auditing Standards, we have also issued our report dated December 5,
2024, on our consideration of the PRIT Fund's internal control over financial reporting and on our tests of
its compliance with certain provisions of laws, regulations, contracts, and grant agreements and other
matters. The purpose of that report is solely to describe the scope of our testing of internal control over
financial reporting and compliance and the results of that testing, and not to provide an opinion on the
effectiveness of the PRIT Fund's internal control over financial reporting or on compliance. That report is
an integral part of an audit performed in accordance with Government Auditing Standards in considering
the PRIT Fund's internal control over financial reporting and compliance.
Boston, Massachusetts
December 5, 2024
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2024 and 2023
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 19 FISCAL YEAR 2024
This section presents management’s discussion and analysis of the Pension Reserves Investment Trust Fund’s
(the PRIT Fund’s) financial performance for the fiscal years ended June 30, 2024 and 2023 and should be read in
conjunction with the financial statements, which follow this section.
The PRIT Fund is a pooled investment fund, created in 1983 through Massachusetts legislation, that invests the
assets of the State Teachers’ and State Employees’ Retirement Systems and the assets of county, authority,
school district, and municipal retirement systems that choose to invest in the PRIT Fund, as well as the assets of
the State Retiree Benefits Trust (SRBT) Fund.
The investment return percentages reported in management’s discussion and analysis are presented gross of
management fees.
Overview of the Financial Statements
The financial statements include the statements of pooled net position and the statements of changes in pooled
net position. They present the financial position of the PRIT Fund as of June 30, 2024 and 2023 and its financial
activities for the years then ended. The notes to the financial statements provide further information that is
essential to a full understanding of the financial statements. The notes describe the significant accounting policies
of the PRIT Fund and provide detailed disclosures on certain account balances. The supplementary schedules of
pooled net position and changes in pooled net position separately display the balances and activities of the
Capital Fund and Cash Fund of the PRIT Fund.
The financial statements of the PRIT Fund are reported using the economic resources measurement focus and
the accrual basis of accounting. They are prepared in conformity with U.S. generally accepted accounting
principles, as promulgated by the Governmental Accounting Standards Board (GASB).
Financial Highlights
Fiscal Year 2024
• The net position of the PRIT Fund increased $8.7 billion during the year ended June 30, 2024. Total net
position was $105.3 billion at June 30, 2024, compared to $96.6 billion at June 30, 2023.
• Net investment income for fiscal year 2024 was $9.1 billion, compared to net investment income of
$5.1 billion for the prior fiscal year. The PRIT Fund returned 9.93%, gross of fees, in fiscal year 2024, compared
to 6.01% in fiscal year 2023.
• Contributions to the PRIT Fund totaled $3.8 billion during the year ended June 30, 2024, compared to
$3.5 billion during the year ended June 30, 2023.
• Redemptions from the PRIT Fund totaled $4.3 billion during the year ended June 30, 2024, compared to
$4.5 billion during the year ended June 30, 2023.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2024 and 2023
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 20 FISCAL YEAR 2024
Fiscal Year 2023
• The net position of the PRIT Fund increased $4.1 billion during the year ended June 30, 2023. Total net
position was $96.6 billion at June 30, 2023, compared to $92.4 billion at June 30, 2022.
• Net investment income for fiscal year 2023 was $5.1 billion, compared to net investment loss of $3.2 billion
for the prior fiscal year. The PRIT Fund returned 6.01%, gross of fees, in fiscal year 2023, compared to
-2.95% in fiscal year 2022.
• Contributions to the PRIT Fund totaled $3.5 billion during the year ended June 30, 2023, compared to
$4.3 billion during the year ended June 30, 2022.
• Redemptions from the PRIT Fund totaled $4.5 billion during the year ended June 30, 2023, compared to
$4.4 billion during the year ended June 30, 2022.
Condensed Financial Information
Summary balances and activities of the PRIT Fund as of and for the years ended June 30, 2024, 2023, and 2022
are presented below:
June 30
2024 2023 2022
Summary of pooled net position:
Assets:
Investments $ 109,561,828 100,382,001 96,805,918
Cash 167,672 160,920 254,404
Securities lending collateral 97,857 87,748 121,946
Receivables and other assets 2,010,692 1,855,800 1,494,813
Total assets 111,838,049 102,486,469 98,677,081
Liabilities:
Other liabilities 5,682,098 5,029,914 5,258,318
Securities lending obligations 851,690 841,326 872,820
Management fees payable to PRIM 50,327 53,812 116,888
Total liabilities 6,584,115 5,925,052 6,248,026
Net position held in trust for pool
participants $ 105,253,934 96,561,417 92,429,055
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2024 and 2023
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 21 FISCAL YEAR 2024
June 30
2024 2023 2022
Summary of changes in pooled net position:
Additions:
Contributions $ 3,813,111 3,469,500 4,342,091
Net investment income (loss) 9,141,934 5,118,252 (3,239,745)
Total additions 12,955,045 8,587,752 1,102,346
Deductions:
Redemptions 4,262,528 4,455,390 4,372,136
Change in pooled net position 8,692,517 4,132,362 (3,269,790)
Net position held in trust for pool participants:
Balance, beginning of year 96,561,417 92,429,055 95,698,845
Balance, end of year $ 105,253,934 96,561,417 92,429,055
The PRIT Fund Performance during the year ended June 30, 2024
The PRIT Fund began fiscal year 2024 with net position of $96.6 billion and ended the fiscal year with a net
position of $105.3 billion, representing a 9.00% increase. Net investment income for the year ended June 30,
2024 was $9.1 billion, which when added to net participant redemptions (contributions less redemptions) of
$449.4 million, resulted in an overall increase in net position of $8.7 billion.
For the year ended June 30, 2024, the PRIT Fund returned 9.93% gross of fees, lagging its benchmark of 10.29%
by 36 basis points. The benchmark provides a measure of how well the PRIT Fund has implemented its asset
allocation plan.
The asset classes of the PRIT Fund and related investment returns, gross of fees, for the year ended June 30, 2024
are as follows: Global Equity 18.36%; Core Fixed Income -0.02%; Value-Added Fixed Income 11.19%; Private
Equity 8.97%; Real Estate -6.24%; Timberland 10.56%; Portfolio Completion Strategies 10.75%; and Overlay
14.22%.
The PRIT Fund outperformed its benchmarks over the five-year and 10-year periods and has returned an average
of 9.30%, gross of fees, annually since January 1, 1985. According to the Trust Universe Comparison Service
(TUCS) for Public Pension Funds, a widely accepted peer ranking of public pension funds performance, the PRIT
Fund ranked in the second quartile of public pension plans with net position in excess of $25 billion for the one-
year, three-year, five-year, and 10-year periods ended June 30, 2024.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2024 and 2023
(Unaudited)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 22 FISCAL YEAR 2024
The PRIT Fund Performance during the year ended June 30, 2023
The PRIT Fund began fiscal year 2023 with net position of $92.4 billion and ended the fiscal year with a net
position of $96.6 billion, representing a 4.47% increase. Net investment income for the year ended June 30, 2023
was $5.1 billion, which when added to net participant redemptions (contributions less redemptions) of
$985.9 million, resulted in an overall increase in net position of $4.1 billion.
For the year ended June 30, 2023, the PRIT Fund returned 6.01% gross of fees, lagging its benchmark of 8.92% by
291 basis points. The benchmark provides a measure of how well the PRIT Fund has implemented its asset
allocation plan.
The asset classes of the PRIT Fund and related investment returns, gross of fees, for the year ended June 30, 2023
are as follows: Global Equity 17.43%; Core Fixed Income -2.72%; Value-Added Fixed Income 7.70%; Private Equity
-3.45%; Real Estate -2.81%; Timberland 5.93%; Portfolio Completion Strategies 3.52%; and Overlay 13.67%.
Other Information
This financial report is designed to provide a general overview of the PRIT Fund’s financial results. Additional
information can be found on the PRIM Board’s website at www.mapension.com. Questions concerning any of
the information provided in this report or requests for additional financial information should be addressed to
the Pension Reserves Investment Management Board, 53 State Street, Boston, Massachusetts 02109.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Pooled Net Position
June 30, 2024 and 2023
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 23 FISCAL YEAR 2024
2024 2023
Assets:
Investments, at fair value:
Short-term $ 1,302,183 1,239,749
Fixed income 23,242,875 20,656,079
Equity 41,807,764 36,843,256
Timberland 3,192,283 2,985,666
Private equity funds 17,589,527 16,619,860
Real estate:
Real estate properties 9,974,149 10,199,278
Equity 743,848 1,033,887
Real estate funds 763,954 804,345
Mortgage loans receivable 114,176 —
Other 149,575 139,964
Total real estate 11,745,702 12,177,474
Portfolio completion strategies:
Investment funds 2,699,741 2,535,853
Equity 2,096,612 2,162,794
Fixed income 3,886,321 3,326,993
Cash and cash equivalents 1,528,904 1,278,224
Agricultural investments 469,916 556,053
Total portfolio completion strategies 10,681,494 9,859,917
Total investments 109,561,828 100,382,001
Cash 167,672 160,920
Securities lending collateral 97,857 87,748
Interest and dividends receivable 298,991 265,207
Receivable for investments sold and other assets 715,936 1,060,613
Receivable for securities sold on a when-issued basis 871,172 405,644
Foreign currency forward contracts 124,593 124,336
Total assets 111,838,049 102,486,469
Liabilities:
Securities sold short and other liabilities, at fair value:
Portfolio completion strategies 1,864,416 1,711,213
Fixed income — 13,603
Total securities sold short and other liabilities 1,864,416 1,724,816
Payable for investments purchased and other liabilities 988,154 1,315,309
Real estate debt and other liabilities 930,671 804,256
Securities lending obligations 851,690 841,326
Payable for securities purchased on a when-issued basis 1,802,239 1,041,180
Foreign currency forward contracts 96,618 144,353
Management fees payable to PRIM 50,327 53,812
Total liabilities 6,584,115 5,925,052
Net position held in trust for pool participants $ 105,253,934 96,561,417
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Changes in Pooled Net Position
Years ended June 30, 2024 and 2023
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 24 FISCAL YEAR 2024
2024 2023
Additions:
Contributions:
State employees $ 902,529 862,503
State teachers 1,136,487 1,097,164
Other participants 1,774,095 1,509,833
Total contributions 3,813,111 3,469,500
Net investment income (loss):
From investment activities:
Net realized gain on investments and foreign currency
transactions 2,607,560 791,567
Net change in unrealized appreciation on investments
and foreign currency translations 4,140,316 2,190,587
Interest 794,115 616,565
Dividends 904,059 951,652
Timberland 32,143 36,364
Private equity 158,083 83,568
Portfolio completion strategies 301,935 261,562
Real estate:
Income 728,920 627,416
Expenses (243,931) (213,122)
Total real estate 484,989 414,294
Income from investment activities 9,423,200 5,346,159
Investment management and other management fees (257,392) (213,499)
Net income from investment activities 9,165,808 5,132,660
From securities lending activities:
Securities lending income 4,610 6,609
Securities lending expenses (28,484) (21,017)
Net loss from securities lending activities (23,874) (14,408)
Total net investment income 9,141,934 5,118,252
Total additions 12,955,045 8,587,752
Deductions:
Redemptions:
State employees 1,608,857 1,513,900
State teachers 1,235,719 1,422,089
Other participants 1,417,952 1,519,401
Total deductions 4,262,528 4,455,390
Net increase in pooled net position 8,692,517 4,132,362
Net position held in trust for pool participants:
Balance, beginning of year 96,561,417 92,429,055
Balance, end of year $ 105,253,934 96,561,417
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 25 FISCAL YEAR 2024
(1) Description of the Pension Reserves Investment Trust Fund
(a) General
The Pension Reserves Investment Trust Fund (the PRIT Fund), a component unit of the
Commonwealth of Massachusetts, was created in 1983 under Chapter 661 of the Acts of 1983, as
amended by Chapter 315 of the Acts of 1996. The PRIT Fund is a pooled investment fund that invests
the assets of the State Teachers’ and State Employees’ Retirement Systems of Massachusetts and
the assets of county, authority, school district, and municipal retirement systems that choose to
invest in the PRIT Fund, as well as the assets of the State Retiree Benefits Trust (SRBT) Fund. The PRIT
Fund is not registered with the Securities and Exchange Commission, but is subject to oversight
provided by the Pension Reserves Investment Management Board (the PRIM Board). The PRIM Board
was created by legislation to provide general supervision of the investments and management of the
PRIT Fund. The PRIM Board is a separate legal entity that issues its own financial statements, which
are not included in the accompanying financial statements of the PRIT Fund.
A nine-member Board of Trustees governs the PRIM Board. The Trustees include: (1) the Governor,
ex officio, or her designee; (2) the State Treasurer, ex officio, or her designee who shall serve as Chair
of the PRIM Board; (3) a private citizen experienced in the field of financial management appointed
by the State Treasurer; (4) an employee or retiree who is a member of the State Teachers’ Retirement
System, elected by the members of such system for a term of three years; (5) an employee or retiree
who is a member of the State Employees’ Retirement System, elected by the members of such system
for a term of three years; (6) the elected member of the State Retirement Board; (7) one of the
elected members of the Teachers’ Retirement Board chosen by the members of the Teachers’
Retirement Board; (8) a person who is not an employee or official of the Commonwealth appointed
by the Governor; and (9) a representative of a public safety union appointed by the Governor.
Appointed members serve for a term of four years. The Board of Trustees has the authority to employ
an Executive Director, outside investment managers, custodians, consultants, and others as it deems
necessary; to formulate policies and procedures; and to take such other actions as necessary and
appropriate to manage the assets of the PRIT Fund.
The PRIM Board seeks to manage the PRIT Fund to ensure that pension assets are well invested so
that current and future benefit obligations are adequately funded in a cost-effective manner. The
PRIM Board therefore seeks to maximize the total return on investment within acceptable levels of
risk and cost for a public pension fund. Under current law, by the year 2040, the PRIT Fund plans to
have grown, through annual payments in accordance with a legislatively approved funding schedule
and through total return of the PRIT Fund, to an amount sufficient to meet the then-existing pension
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 26 FISCAL YEAR 2024
obligations of the Commonwealth. The Commonwealth has adopted a schedule of state pension
appropriations that assumes a long-term actuarial rate of return for the PRIT Fund of 7.0%.
The State Teachers’ and State Employees’ Retirement Systems and the SRBT Fund are mandated by
statute to invest all of their assets in the PRIT Fund and are, therefore, considered involuntary
participants. The assets of the State-Boston Retirement System attributable to teachers who are
members of that system are also mandated to be held in the PRIT Fund. Other retirement systems
have the option to become Participating or Purchasing System participants in the PRIT Fund.
Participating Systems must transfer all of their assets to the PRIT Fund, commit to remain invested
for five years, and are entitled to share in appropriations made to the PRIT Fund by the
Commonwealth in accordance with Massachusetts General Laws, Chapter 32, Section 22B. The
Commonwealth has made no such appropriation to the PRIT Fund on behalf of Participating Systems
since fiscal year 2000.
Purchasing Systems may invest all or a portion of their assets in the PRIT Fund and retain the ability
to contribute and withdraw funds at their discretion; however, they are not entitled to state
appropriations. Participating and Purchasing Systems share in the investment earnings of the PRIT
Fund based on their proportionate share of net position. As of June 30, 2024, there were 37
Participating Systems and 62 Purchasing Systems invested in the PRIT Fund.
(b) Investment Funds
The PRIT Fund consists of two investment funds, the Capital Fund and the Cash Fund. Each of these
funds is managed, accounted for, and held separately by the PRIT Fund’s custodian.
The Cash Fund consists of short-term investments, which are used to meet the liquidity requirements
of Participating and Purchasing Systems. All Cash Fund earnings are reinvested. The State Teachers’
Retirement System and the State Employees’ Retirement System make daily deposits into the Cash
Fund, which is their source of funds for benefit payments and operating expenses. The Cash Fund
maintains a stable net position value of $1.00 per unit.
Assets contributed by retirement systems are initially deposited in the Cash Fund and then
transferred to the Capital Fund. Funds transferred into the Capital Fund are generally invested in the
General Allocation Account, which invests in all asset classes of the PRIT Fund in accordance with the
PRIM Board’s asset allocation plan and investment policy guidelines. The Capital Fund serves as the
investment portfolio of the PRIT Fund and consists of the following accounts: General Allocation
(holds units of all other accounts), Domestic Equity, International Equity, Emerging Markets Equity,
Global Equity Emerging-Diverse Manager Program, Core Fixed Income, Public Value-Added Fixed
Income, Real Estate, Timberland, Hedge Funds, Private Debt, Overlay, Real Assets, Other Credit
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 27 FISCAL YEAR 2024
Opportunities, Liquidating Portfolios, Private Equity Investments, and Private Equity Investments
Vintage Years 2001-2024. Vintage Year refers to the calendar year in which the PRIT Fund made a
commitment to invest in a private equity investment.
Upon deposit by a Participating or Purchasing System into the accounts of the Capital Fund, units of
participation equal to the total value of the contribution are issued. The value of a unit of each
account is determined monthly by dividing the value of the net position of the account by the number
of units outstanding at each month-end valuation date. The unit price fluctuates with the
performance of the Capital Fund. The number of units generally changes only when a retirement
system makes a contribution or redemption.
Chapter 84 of the Acts of 1996 permits Massachusetts retirement boards to purchase units in the
individual investment accounts of the PRIT Fund as an alternative to investing in its General Allocation
Account. This investment option, also referred to as “segmentation,” was established by an
amendment to the PRIM Board’s Operating Trust Agreement in 1994 in response to requests from
retirement boards wishing to invest in certain asset classes of the PRIT Fund. Purchasing Systems, as
“segmented investors,” may invest in one or more of the following accounts of the Capital Fund:
General Allocation, Domestic Equity, International Equity, Emerging Markets Equity, Core Fixed
Income, Public Value-Added Fixed Income, Real Estate, Hedge Funds, and Private Equity Vintage Year
accounts.
(2) Summary of Significant Accounting Policies
(a) Basis of Accounting and Financial Statement Presentation
The financial statements of the PRIT Fund are reported using the economic resources measurement
focus and the accrual basis of accounting. They are prepared in conformity with U.S. generally
accepted accounting principles, which require management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, and disclosure of contingent assets and
liabilities, at the dates of the financial statements and the reported amounts of additions and
deductions during the reporting periods. Actual results could differ from those estimates.
The PRIT Fund follows Governmental Accounting Standards Board (GASB) guidance as applicable to
external investment pools.
The PRIT Fund consolidates assets and liabilities of its single-member limited liability corporations.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 28 FISCAL YEAR 2024
(b) Investments
The PRIM Board recognizes that over the long term, asset allocation is the single greatest contributor
of return and risk to the PRIT Fund. The PRIM Board’s asset allocation plan embodies its decisions to
invest portions of the Capital Fund in global equity securities, core fixed income securities,
value-added fixed income, real estate, timberland, private equity, portfolio completion strategies
and, where appropriate, the various sub asset classes of each asset class. Statutes prohibit the PRIT
Fund from investing in certain securities. The PRIM Board ensures that investment managers adhere
to the requirements of Massachusetts General Laws.
Security transactions are recorded on the date the securities are purchased or sold. The cost of a
security is the purchase price or, in the case of assets transferred to the PRIT Fund by a Participating
or Purchasing System, the fair value of the securities on the transfer date. The calculation of realized
gains (losses) is independent of the calculation of the net change in unrealized appreciation
(depreciation) on investments. Realized gains and losses on investments sold in the current year
include previously recorded unrealized amounts and are included in net realized gain on investments
in the accompanying statements of changes in pooled net position. Realized gains and losses on
security transactions are determined using cost calculated on an average cost basis.
The PRIM Board values investments in fixed income, money market, other short-term investments,
and U.S. government agency obligations using independent pricing services. In determining the price,
the services may reflect such factors as market prices, yields, maturities, and ratings, supplemented
by dealer quotations. Investments in equity securities, including exchange-traded funds, traded on
national securities exchanges are valued at the last daily sale price or, if no sale price is available, at
the closing bid price. Securities traded on any other exchange are valued in the same manner or, if
not so traded, on the basis of closing over-the-counter (OTC) bid prices. If no bid price exists,
valuation is determined either by establishing the mean between the most recent published bid and
asked prices or averaging quotations obtained from dealers, brokers, or investment bankers.
Securities for which such valuations are unavailable are reported at their fair value as estimated in
good faith by the PRIM Board based on information provided by the investment managers
responsible for such investments. Fair values for investments in pooled investment vehicles
(commingled funds), such as mutual and similar funds with a readily determinable fair value, are
based on the commingled fund’s published net asset value (NAV) which are valued based on the
underlying marketable securities or, in the absence of readily ascertainable fair values, the price of
similar securities or other observable or unobservable inputs.
The PRIT Fund invests a portion of its assets in emerging capital markets. These investments may
involve greater risks than investments in more developed markets, and the prices of such
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 29 FISCAL YEAR 2024
investments may be volatile. The consequences of political, social, or economic changes in these
markets may have disruptive effects on the market prices of these investments and the income they
generate, as well as the PRIT Fund’s ability to repatriate such amounts.
As described further below, certain qualifying investments may be measured using NAV as a practical
expedient to estimate fair value unless as of the measurement date it is probable that the PRIT Fund’s
interest will be sold at an amount different than NAV. As of June 30, 2024 and 2023, the PRIT Fund
had no plans or intentions to sell such investments at amounts other than NAV.
Investments in real estate represent the PRIT Fund’s ownership interest in PRIT Core Realty Holdings
LLC (the LLC). On October 19, 2001, the LLC was formed and was governed by an operating
agreement entered into by the PRIM Board, as trustee of the PRIT Fund, as the sole member. The
principal purpose of the LLC is to conduct the investment activities of the real estate program in a
manner consistent with the PRIT Fund Declaration of Trust and any business or activities incidental
to or in support of such investment activities.
The LLC holds investments in real estate properties, mortgage loans receivable, real estate fund
investments, and Real Estate Investment Trust (REIT) securities. Investments in real estate properties
are stated at fair value based on appraisals prepared by independent real estate appraisers or on
estimated valuations determined by the PRIM Board assuming highest and best use of the assets.
These estimated valuations are based on valuations prepared by the real estate investment
managers under the general supervision of the PRIM Board. Generally, third-party appraisals are
performed on each real estate property within 18 months of the date of acquisition and at least
annually thereafter. Determination of fair value involves judgment because the actual fair value of a
real estate investment can be determined only by negotiation between parties in a sales transaction.
Due to the inherent uncertainty of valuation, fair values used may differ significantly from values that
would have been determined had a ready market for the investments existed, and the differences
could be material. The fair value of mortgage loans receivable generally represents the sum of
accumulated loan advances that have been made as of the date of valuation using a discounted cash
flow model which applies certain key assumptions including terms of the contract, changes in market
rates, interest rate spreads, performance of the underlying collateral, liquidity, and other factors.
Real estate fund investments are invested through limited partnerships and are recorded at fair value
estimated by the PRIM Board, generally using the NAVs provided by general partners as a practical
expedient. The NAVs provided by general partners are generally based on appraised value of
underlying real estate investments, which considers inputs such as comparable sales, projected
income, discount rate, and capitalization rates. REIT securities are publicly traded securities and are
valued in the same manner as the PRIT Fund’s traded equity securities.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 30 FISCAL YEAR 2024
Investments in timberland are valued similarly to investments made by the LLC in real estate
properties. Independent appraisals of timberland investments are performed annually.
Portfolio completion strategies investments represent the PRIT Fund’s ownership in direct hedge
funds, hedge fund-of-funds, a distressed loan fund, and real assets funds (collectively, the funds),
managed accounts, and agricultural investments. The fair values of the PRIT Fund’s interest in funds
are estimated by the PRIM Board, generally using NAVs provided by fund managers as a practical
expedient. NAVs for direct hedge funds, distressed loan, and real assets funds generally are based on
the value of the underlying marketable securities or assets, or in the absence of readily ascertainable
fair values, the price of identical or similar securities or assets. NAVs for hedge fund-of-funds are
generally based on the value of the NAVs of the underlying funds which value their investments
similar to direct hedge funds. Managed account investments in equity securities, fixed income, and
other investments are valued using independent pricing services. In the event that pricing
information is not available, then the investment is reported at fair value as estimated in good faith
by the PRIM Board based on information provided by the investment manager responsible for such
investment. Cash and cash equivalents held in managed accounts consist of cash and highly liquid
investments that are readily convertible into cash. The carrying amount of these investments
approximates fair value. Agricultural investments are valued similarly to investments made by the
LLC in real estate properties and are generally appraised annually.
Private equity investments are typically made through limited partnerships that invest in venture
capital, leveraged buyouts, private placements, and other investments whose structure, risk profile,
and return potential differ from traditional equity and fixed income investments. These investments
are recorded at fair values estimated by the PRIM Board, generally using the NAVs provided by
general partners as a practical expedient. The NAVs generally are based on the value of underlying
investment holdings, which are determined by investment managers and consider variables such as
operating results, earnings of the underlying holdings, projected cash flows, recent sales prices, and
other pertinent information. These estimated fair values are determined in good faith by investment
managers or general partners using consistently applied procedures.
(c) Investment Income
Dividend income is recorded on the ex-dividend date and interest income is accrued as earned. For
the years ended June 30, 2024 and 2023, foreign taxes withheld of $44,305 and $30,906,
respectively, have been netted against dividend income in the statements of changes in pooled net
position. Real estate income includes dividends earned on REIT securities as well as cash distributions
of operating income from investments in real estate properties and investment income from
mortgage loans receivable. Timberland income includes cash distributions of operating income from
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 31 FISCAL YEAR 2024
investments in timberland properties. Private equity income is recorded on a cash distribution basis.
Portfolio completion strategies income includes cash distributions of operating income from
agricultural investments as well as investment income from managed accounts. Distributions that
represent returns of capital in excess of cumulative profits and losses are credited to investment cost
rather than investment income.
(d) Foreign Currency Translation and Transactions
The accounting records of the PRIT Fund are maintained in U.S. dollars. Investment securities and
other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the
prevailing rates of exchange at month-end. Purchases and sales of securities, income receipts, and
expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective
dates of the transactions.
Unrealized net currency gains and losses from valuing foreign currency-denominated assets and
liabilities at month-end exchange rates are reflected within net unrealized appreciation
(depreciation) on investments.
Net realized gains and losses on foreign currency transactions represent principally gains and losses
from sales and maturities of forward foreign currency contracts, disposition of foreign currencies,
and currency gains and losses realized between the trade and settlement dates on securities
transactions.
(e) Derivative Instruments
In accordance with GASB Statement No. 53, Accounting and Financial Reporting of Derivative
Instruments, the PRIT Fund has recorded all of its derivative activity at fair value as investment
instruments within equity, fixed income, portfolio completion strategies, and real estate investments
and the related change in such instruments within the net change in unrealized appreciation
(depreciation) on investments and foreign currency translations in the accompanying financial
statements. As described in GASB Statement No. 72, Fair Value Measurement and Application (GASB
72), a credit valuation adjustment should be applied, when applicable, for nonperformance risk using
the PRIT Fund’s credit risk (liability) in determining fair value.
The PRIT Fund regularly trades derivative financial instruments with off-balance sheet risk in the
normal course of its investing activities to manage exposure to certain risks within the fund. The PRIT
Fund also enters into derivative transactions to gain exposure to currencies and markets where
derivatives are the most effective instrument. The PRIT Fund’s derivative financial instruments
include contracts for differences, foreign currency exchange contracts, financial and commodity
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 32 FISCAL YEAR 2024
futures contracts, and customized swap agreements (see note 7 for more detail). These derivative
instruments can be exchange-traded or OTC contracts. The primary difference in risk associated with
OTC contracts and exchange-traded contracts is credit and liquidity risks. For exchange-traded
contracts, credit risk is limited to the role of the exchange or clearing corporation. OTC contracts
contain credit risk for unrealized gains from various counterparties for the duration of the contract.
(f) When-Issued Securities Transactions
The PRIT Fund may purchase or sell securities on a “when-issued” or delayed-delivery basis. Delivery
and payment for such securities may take place a month or more after the trade date. Normally,
settlement occurs within three months. The price of the underlying securities and the date when the
securities will be delivered and paid for are fixed at trade date. During the time a delayed delivery
sell transaction is outstanding, the contract is marked to market daily and substantially equivalent
deliverable securities are held by the PRIT Fund for the transaction to the extent available. For
delayed delivery purchase transactions, the PRIT Fund maintains segregated assets with a fair value
equal to or greater than the amount of its purchase commitments. The receivables and payables
associated with the sale and purchase of delayed delivery securities are reflected in the
accompanying statements of pooled net position as securities sold and purchased on a when-issued
basis. Losses may arise due to changes in the value of the underlying securities, if the counterparty
does not perform under the contract, or if the issuer does not issue the securities due to political,
economic, or other factors.
The PRIT Fund may also enter into mortgage dollar-roll and reverse mortgage dollar-roll agreements
on a when-issued basis. A mortgage dollar-roll is an agreement in which the PRIT Fund sells securities
on a when-issued basis and simultaneously contracts with the same counterparty to repurchase
similar (same type, coupon, and maturity) but not identical securities on a specified future date.
During the roll period, principal and interest on these securities are not received. The PRIT Fund is
compensated by the difference between the current sales price and the forward price for the future
purchase. A reverse mortgage dollar-roll is an agreement to buy securities and to sell substantially
similar securities on a specified future date. During the roll period, the PRIT Fund receives the
principal and interest on the securities purchased. The receivables and payables associated with
mortgage dollar-rolls and reverse mortgage dollar-rolls are also reflected in the accompanying
statements of pooled net position as securities sold and purchased on a when-issued basis.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 33 FISCAL YEAR 2024
(3) Fair Value Measurements of Investments
In accordance with GASB 72, except for investments measured using NAV as a practical expedient to
estimate fair value, the PRIT Fund categorizes the fair value measurements of its investments within the
fair value hierarchy established by generally accepted accounting principles. The fair value hierarchy
categorizes the inputs to valuation techniques used for fair value measurement into three levels as follows:
• Level 1 – Inputs that reflect quoted prices (unadjusted) in active markets for identical assets or liabilities
that the fund has the ability to access at the measurement date. Most of the PRIT Fund’s directly held
marketable securities, mutual funds and exchange traded funds would be examples of Level 1
investments.
• Level 2 – Inputs other than quoted prices that are observable for an asset or liability either directly or
indirectly, including inputs in markets that are not considered to be active. Fair values are primarily
obtained from third-party pricing services for identical or comparable assets or liabilities, such as
interest rates, foreign exchange rates, and yield curves that are observable at commonly quoted
intervals. Because they must often be priced on the basis of transactions involving similar but not
identical securities or do not trade with sufficient frequency, certain directly held fixed income
securities are categorized in Level 2.
• Level 3 – Unobservable inputs based on the best information available, using assumptions in
determining the fair value of investments and derivative financial instruments. Generally, the PRIT
Fund’s directly held investments in real estate and timberland will be categorized in Level 3 because a
preponderance of inputs used to estimate fair value are not observable. For similar reasons, certain
fixed income securities may also be categorized in Level 3.
The fair value hierarchy gives the highest priority to Level 1 inputs and the lowest priority to Level 3 inputs.
In certain instances where the determination of the fair value measurement is based on inputs from
different levels of the fair value hierarchy, the level in the fair value hierarchy is based on the lowest level
of input that is significant to the fair value measurement.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 34 FISCAL YEAR 2024
The following tables present a summary of the fair value hierarchy of investments that are measured at
fair value on a recurring basis at June 30, 2024 and 2023:
2024
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Short-term:
Money market investments $ 1,302,183 — 1,302,183 — —
Fixed income:
U.S. government obligations (1) 9,189,444 9,189,444 — — —
Domestic fixed income (2) 8,752,145 7,673 8,607,553 136,919 —
International fixed income (3) 2,457,005 122,543 2,290,234 44,228 —
Private debt (4) 868,115 — — — 868,115 471,233
Other credit opportunities (5) 1,976,166 67,986 632,475 540,131 735,574 1,327,934
23,242,875 9,387,646 11,530,262 721,278 1,603,689
Equity:
Domestic equity securities 25,746,015 25,745,992 23 — —
International equity securities 16,061,749 16,058,982 2,767 — —
41,807,764 41,804,974 2,790 — —
Timberland 3,192,283 — — 3,192,283 —
Private equity funds (6) 17,589,527 — — — 17,589,527 6,908,965
Real estate:
Real estate properties 9,974,149 — — 9,974,149 —
Real estate equity securities 743,848 740,266 3,582 — —
Real estate funds (7) 763,954 — — — 763,954 183,930
Mortgage loans receivable 114,176 — — 114,176 — 125,618
Other 149,575 — — 149,575 —
11,745,702 740,266 3,582 10,237,900 763,954
Portfolio completion strategies:
Event-driven hedge funds (8) 998,816 — — — 998,816 50,000
Relative value hedge funds (9) 590,623 — — — 590,623
Fund of funds (10) 775,120 — — — 775,120
Distressed loan fund (11) 80,218 — — — 80,218 49,801
Real assets funds (12) 254,964 — — — 254,964 763,701
Investment funds 2,699,741 — — — 2,699,741
Equity securities 2,096,612 1,959,320 5,249 132,043 —
Fixed income securities 3,886,321 216,226 3,389,485 280,610 —
Cash and cash equivalents 1,528,904 1,461,513 67,391 — —
Agricultural investments 469,916 — — 469,916 —
10,681,494 3,637,059 3,462,125 882,569 2,699,741
Total investments $ 109,561,828 55,569,945 16,300,942 15,034,030 22,656,911
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 35 FISCAL YEAR 2024
2024
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Securities lending collateral:
Money market investments $ 97,857 — 97,857 — —
Total securities lending
collateral $ 97,857 — 97,857 — —
Securities sold short and other liabilities
at fair value:
Portfolio completion strategies:
Equity securities $ 801,859 796,312 5,547 — —
Cash and cash equivalents 659,518 349,799 309,719 — —
Fixed income securities 349,150 1,150 348,000 — —
Other 53,889 — — 53,889 —
Total securities sold short
and other liabilities $ 1,864,416 1,147,261 663,266 53,889 —
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 36 FISCAL YEAR 2024
2023
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Short-term:
Money market investments $ 1,239,749 — 1,239,749 — —
Fixed income:
U.S. government obligations (1) 7,867,869 7,867,869 — — —
Domestic fixed income (2) 7,875,300 — 7,836,549 38,751 —
International fixed income (3) 2,291,046 167,593 2,079,296 44,157 —
Private debt (4) 1,110,078 — — — 1,110,078 518,098
Other credit opportunities (5) 1,511,786 91,235 579,582 436,509 404,460 1,173,539
20,656,079 8,126,697 10,495,427 519,417 1,514,538
Equity:
Domestic equity securities 21,626,338 21,626,338 — — —
International equity securities 15,216,918 15,216,918 — — —
36,843,256 36,843,256 — — —
Timberland 2,985,666 — — 2,985,666 —
Private equity funds (6) 16,619,860 — — — 16,619,860 5,574,053
Real estate:
Real estate properties 10,199,278 — — 10,199,278 —
Real estate equity securities 1,033,887 1,026,368 7,519 — —
Real estate funds (7) 804,345 — — — 804,345 256,546
Other 139,964 — — 139,964 —
12,177,474 1,026,368 7,519 10,339,242 804,345
Portfolio completion strategies:
Event-driven hedge funds (8) 915,892 — — — 915,892
Relative value hedge funds (9) 552,382 — — — 552,382
Fund of funds (10) 725,144 — — — 725,144
Distressed loan fund (11) 97,389 — — — 97,389 49,801
Real assets funds (12) 245,046 — — — 245,046 785,546
Investment funds 2,535,853 — — — 2,535,853
Equity securities 2,162,794 1,972,396 41,776 148,622 —
Fixed income securities 3,326,993 416,817 2,686,667 223,509 —
Cash and cash equivalents 1,278,224 1,229,676 48,548 — —
Agricultural investments 556,053 — — 556,053 —
9,859,917 3,618,889 2,776,991 928,184 2,535,853
Total investments $ 100,382,001 49,615,210 14,519,686 14,772,509 21,474,596
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 37 FISCAL YEAR 2024
2023
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Securities lending collateral:
Money market investments $ 87,748 — 87,748 — —
Total securities lending
collateral $ 87,748 — 87,748 — —
Securities sold short and other liabilities
at fair value:
Portfolio completion strategies:
Equity securities $ 699,712 682,486 17,226 — —
Cash and cash equivalents 595,525 257,972 337,553 — —
Fixed income securities 360,311 10,009 350,302 — —
Other 55,665 — — 55,665 —
1,711,213 950,467 705,081 55,665 —
Fixed income:
Other credit opportunities (5) 13,603 13,603 — — —
Total securities sold short
and other liabilities $ 1,724,816 964,070 705,081 55,665 —
(1) Fiscal year 2024 rates range from 0.00% to 6.75%, and maturities range from 2024 to 2054. Fiscal year
2023 rates range from 0.00% to 7.50%, and maturities range from 2023 to 2053.
(2) Fiscal year 2024 rates range from 0.00% to 14.00%, and maturities range from 2024 to 2122. Fiscal year
2023 rates range from 0.00% to 17.50%, and maturities range from 2023 to 2122.
(3) Fiscal year 2024 rates range from 0.00% to 14.50%, and maturities range from 2024 to 2122. Fiscal year
2023 rates range from -0.21% to 13.65%, and maturities range from 2023 to 2121.
(4) This represents investments in private partnerships that invest directly in distressed debt investment
opportunities. The life cycles of the private partnerships are typically 10 to 15 years during which limited
partners are unable to redeem their positions. Distributions are received as the partnerships liquidate
the underlying assets of the funds.
(5) This includes managed accounts and private partnerships that makes credit investments. Private
partnerships typically have 10 to 15-year life cycles during which limited partners are unable to redeem
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 38 FISCAL YEAR 2024
their positions, but instead, receive distributions as the partnerships liquidate the underlying assets of
the funds.
(6) This includes private partnerships that invest in venture capital, leverage buyouts, private placements,
and other investments. The private partnerships typically have a life cycle of 10 to 15 years during which
limited partners are unable to redeem their positions. Distributions are received as the partnerships
liquidate the underlying assets of the funds.
(7) This includes 15 and 13 closed-end real estate funds that invest in U.S. real estate at June 30, 2024 and
2023, respectively. The funds generally have initial terms of seven to ten years during which limited
partners are unable to redeem their positions. Distributions are received as the funds liquidate the
underlying assets.
(8) This includes four hedge funds that invest in event-driven strategies such as credit-event, multi-event
driven, and stressed/distressed credit positions at June 30, 2024 and 2023. Redemption frequency for
these investments ranged from quarterly to semi-annually with 60 to 65 days’ notice.
(9) This includes one hedge fund that invest in relative value strategies such as fixed income relative value
positions at June 30, 2024 and 2023. Redemption frequency for this investment is quarterly with 45 days’
notice.
(10)This includes one active hedge fund of funds manager, valued at $771,944 and $712,460, at June 30,
2024 and 2023, respectively, which invests in emerging hedge fund managers. Redemption frequency for
this fund is monthly with 30 days’ notice. The remaining balance represents investments in liquidating
portfolios in which distributions are received as the funds liquidate the underlying assets.
(11)This includes one fund that is invested in distressed loans at June 30, 2024 and 2023. Limited partners in
this fund are unable to redeem their positions and distributions are received as the fund liquidates the
underlying assets.
(12)This includes nine funds that seek to make investments in real assets at June 30, 2024 and 2023,
respectively. Limited partners in these funds are generally unable to redeem their positions and
distributions are received as the funds liquidate the underlying assets.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 39 FISCAL YEAR 2024
(4) Deposits and Investments Risks
(a) Custodial Credit Risk
Custodial credit risk is the risk that in the event of bank failure, the PRIT Fund’s deposits and
investments may not be returned. The PRIM Board manages the PRIT Fund’s exposure to custodial
credit risk by requiring all relevant investment managers to hold investments in separate accounts
with the PRIM Board’s custodian (see note 8). The PRIM Board has not adopted a formal custodial
credit risk policy.
Cash balances represent amounts held in bank depository accounts that may be subject to custodial
credit risk. The PRIT Fund maintains cash and cash equivalents with various major financial
institutions. The combined account balances at a specific financial institution may periodically exceed
federally insured limits. No losses have been incurred during the years ended June 30, 2024 and 2023.
(b) Interest Rate Risk
Interest rate risk is the risk that changes in interest rates of fixed income investments will adversely
affect the fair value of an investment. While the PRIM Board does not have a formal policy relating
to interest rate risk, the PRIM Board manages the PRIT Fund’s exposure to fair value loss arising from
movements in interest rates by establishing duration guidelines with its fixed income investment
managers. The guidelines with each individual manager require that the effective duration of the
domestic fixed income investment portfolio be within a specified percentage or number of years of
the effective duration band of the appropriate benchmark index. For emerging markets fixed income
investments, the portfolio must have duration with a band ranging from three to eight years.
Effective duration is a measure of a fixed income investment’s exposure to fair value changes arising
from changes in interest rates. Effective duration makes assumptions regarding the most likely timing
and amounts of variable cash flows. These assumptions take into consideration factors indicative of
investments highly sensitive to interest rate changes, including callable options, prepayments, and
other factors. These factors are reflected in the effective duration numbers provided in the following
table. The PRIM Board compares the effective duration of a manager’s portfolio to their relevant
benchmark including Bloomberg Aggregate Bond index, US Treasury STRIPS 20+ Year index,
Bloomberg Treasury 1-3 Year index, Bloomberg Global Inflation-Linked US TIPS index, Bloomberg
World Government Inflation-Linked Bonds index, Morningstar LSTA Leveraged Loan index, JP Morgan
Emerging Markets Bond index, and the Intercontinental Exchange Bank of America High Yield index.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 40 FISCAL YEAR 2024
The following table shows the debt investments by investment type, fair value, and effective
weighted duration rate at June 30:
2024 2023
Effective Effective
weighted weighted
duration duration
Investment Fair value rate Fair value rate
(Years) (Years)
Asset-backed securities $ 1,456,366 6.34 689,768 2.98
Commercial mortgage – backed securities 709,809 9.22 321,608 4.72
Corporate bonds and other credits 8,181,558 4.02 8,336,465 3.80
U.S. government bonds 5,984,417 14.42 5,250,725 14.57
U.S. government agencies 17,295 1.99 100,287 9.17
U.S. government TIPS 3,419,573 6.63 2,945,055 6.79
U.S. government mortgage – backed
securities 2,668,889 5.05 1,798,546 6.08
Global inflation linked bonds 247,557 7.90 228,498 7.97
Municipal bonds 45,513 9.23 49,398 9.64
Pooled money market fund (1) 1,359,442 N/A 1,284,315 N/A
Other pooled funds (2) 4,340,960 N/A 4,218,156 N/A
Total fixed income and
short-term investments $ 28,431,379 25,222,821
Securities lending collateral investments:
Pooled money market fund (1) $ 97,857 N/A 87,748 N/A
Total securities lending
collateral investments $ 97,857 87,748
(1) Short-term investments with maturities of less than three months.
(2)
Other pooled funds have a weighted average maturity of approximately
one and two years at June 30, 2024 and 2023, respectively.
(c) Credit Risk
Credit risk is the risk that an issuer or other counterparty to an investment will fail to meet its debt
obligations.
The PRIM Board does not have a formal investment policy governing credit risk; each fixed income
securities investment manager is given a specific set of guidelines to invest within based on the
mandate for which it was hired. These guidelines vary depending on the manager’s strategy and the
role of its portfolio to the overall diversification of the PRIT Fund. The guidelines for the PRIT Fund’s
core fixed income portfolio establish the minimum credit rating for any security in the portfolio and
the overall weighted average credit rating of the portfolio. For example, all securities held must
generally be investment grade. The guidelines for the PRIT Fund’s high yield fixed income portfolio
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 41 FISCAL YEAR 2024
establish a fair value range of securities to be held with a specific minimum credit rating and the
overall weighted average credit rating of the portfolio.
Credit risk for derivative instruments held by the PRIT Fund results from counterparty risk. The PRIT
Fund is exposed to credit risk resulting from counterparties being unable to meet their obligations
under the terms of the derivative agreements. See note 7 for more information on the PRIT Fund’s
derivative instruments.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 42 FISCAL YEAR 2024
The
weighted average quality rating of the debt securities portfolio,
excluding pooled investments, investments explicitly backed by the
U.S. government and other nonrated investments was BBB at June 30, 2024 and 2023. The following tables present the PRIT Fund’s
fixed-income securities credit ratings at June 30:
Total Investment grade Noninvestment grade
fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 1,456,366 64,334 116,008 14,763 236,809 232,707 791,745
Commercial mortgage-backed securities 709,809 151,117 15,244 75,089 82,696 67,505 318,158
Corporate bonds and other credits 8,181,558 447,073 1,349,073 1,640,856 1,954,034 716,495 2,074,027
U.S. government agencies 17,295 — 17,295 — — — —
U.S. government mortgage-backed securities 2,406,044 28 1,084,536 6,220 8,162 — 1,307,098
Global inflation linked bonds 247,557 41,159 113,402 72,649 1,862 — 18,485
Municipal bonds 45,513 1,502 41,799 1,713 499 — —
Pooled money market fund 1,359,442 — — — — — 1,359,442
Other pooled funds 4,340,960 — — — — — 4,340,960
Total credit risk, fixed income, and short-term
investments 18,764,544 $ 705,213 2,737,357 1,811,290 2,284,062 1,016,707 10,209,915
Fixed income investments explicitly backed by the
U.S. government 9,666,835
Total fixed income and short-term investments $ 28,431,379
Securities lending collateral investments:
Pooled money market fund $ 97,857 97,857 — — — — —
Total securities lending collateral investments $ 97,857 97,857 — — — — —
2024
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 43 FISCAL YEAR 2024
Total Investment grade Noninvestment grade
fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 689,768 48,115 73,012 8,343 43,000 218,203 299,095
Commercial mortgage-backed securities 321,608 154,726 9,381 8,026 27,530 40,011 81,934
Corporate bonds and other credits 8,336,465 309,984 983,929 1,602,024 1,805,814 416,756 3,217,958
U.S. government agencies 100,287 — 22,297 — — — 77,990
U.S. government mortgage-backed securities 1,548,748 3,468 984,054 — 7,710 — 553,516
Global inflation linked bonds 228,498 37,914 112,096 69,195 2,338 — 6,955
Municipal bonds 49,398 1,854 44,198 2,892 454 — —
Pooled money market fund 1,284,315 — — — — — 1,284,315
Other pooled funds 4,218,156 — — — — — 4,218,156
Total credit risk, fixed income, and short-term
investments 16,777,243 $ 556,061 2,228,967 1,690,480 1,886,846 674,970 9,739,919
Fixed income investments explicitly backed by the
U.S. government 8,445,578
Total fixed income and short-term investments $ 25,222,821
Securities lending collateral investments:
Pooled money market fund $ 87,748 87,748 — — — — —
Total securities lending collateral investments $ 87,748 87,748 — — — — —
2023
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 44 FISCAL YEAR 2024
(d) Foreign Currency Risk
Foreign currency risk is the risk that changes in exchange rates will adversely affect the fair value of
investments. Although the PRIM Board has no overall policy regarding foreign currency risk, the PRIM
Board does manage the PRIT Fund’s exposure to foreign currencies by establishing investment
guidelines with each of its managers who invest in securities not denominated in U.S. dollars. These
guidelines set maximum investment balances for any currency and/or country holdings must be
within a certain percentage of predefined benchmarks. In addition, the PRIM Board’s investment
managers may actively manage exposure to foreign currencies through the use of forward foreign
currency contracts. The following tables present the PRIT Fund’s foreign currency exposures at
June 30 (stated in U.S. dollars in thousands):
2024
Cash and Portfolio
short-term Fixed completion Private equity Timberland
investments Equity income strategies investments investments Total
Australian Dollar $ 2,274 391,910 10,729 (2,129) — 420,655 823,439
Brazilian Real 2,190 182,095 91,355 79,484 — — 355,124
British Pound 4,903 2,081,126 218,769 26,426 101,814 — 2,433,038
Canadian Dollar 2,318 747,505 26,382 34,443 3,383 — 814,031
Danish Krone 9,930 331,532 1,321 (672) — — 342,111
Euro 64,135 3,129,113 348,102 75,560 1,970,701 — 5,587,611
Hong Kong Dollar 2,922 1,042,906 — 3,633 — — 1,049,461
Indian Rupee 2,399 714,563 — 4,852 — — 721,814
Japanese Yen 21,078 2,300,702 20,512 162,374 — — 2,504,666
New Taiwan Dollar 112 700,740 — (817) — — 700,035
South Korean Won 5,317 572,326 12,244 (3,896) — — 585,991
Swedish Krona 2,968 381,355 5,371 (2,071) — — 387,623
Swiss Franc 10,533 547,475 — (737) — — 557,271
Other foreign currencies 20,764 1,189,192 32,987 93,169 — — 1,336,112
Total
securities
subject to
foreign
currency risk 151,843 14,312,540 767,772 469,619 2,075,898 420,655 18,198,327
International investments
denominated in U.S.
dollars — 1,749,209 1,797,700 — — 216,836 3,763,745
Total
international
investments
and cash
deposits $ 151,843 16,061,749 2,565,472 469,619 2,075,898 637,491 21,962,072
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 45 FISCAL YEAR 2024
2023
Cash and Portfolio
short-term Fixed completion Private equity Timberland
investments Equity income strategies investments investments Total
Australian Dollar $ 1,753 444,643 9,537 (815) — 424,302 879,420
Brazilian Real 2,985 207,217 75,733 122,483 — — 408,418
British Pound 5,035 1,790,707 201,651 72,186 93,775 — 2,163,354
Canadian Dollar 2,525 801,059 25,133 25,098 4,908 — 858,723
Euro 62,828 3,076,196 335,355 104,887 1,801,503 — 5,380,769
Hong Kong Dollar 3,272 1,025,424 — (604) — — 1,028,092
Indian Rupee 13,217 558,702 — 5,798 — — 577,717
Japanese Yen 92,972 2,274,414 22,786 24,730 — — 2,414,902
New Taiwan Dollar 409 531,611 — 505 — — 532,525
South Korean Won 4,689 530,713 12,755 2,805 — — 550,962
Swedish Krona 3,904 322,220 5,420 (1,296) — — 330,248
Swiss Franc 21,683 651,838 — (3,592) — — 669,929
Other foreign currencies 28,669 1,377,834 29,292 250,116 — — 1,685,911
Total
securities
subject to
foreign
currency risk 243,941 13,592,578 717,662 602,301 1,900,186 424,302 17,480,970
International investments
denominated in U.S.
dollars — 1,624,340 1,654,565 — — 212,020 3,490,925
Total
international
investments
and cash
deposits $ 243,941 15,216,918 2,372,227 602,301 1,900,186 636,322 20,971,895
(e) Concentration of Credit Risk
The PRIM Board manages the PRIT Fund’s exposure to concentration of credit risk by establishing
guidelines with each investment manager that limit the percentage of investment in any single issue
or issuer. The PRIT Fund has no investments, at fair value, that exceed 5% of the PRIT Fund’s total
investments as of June 30, 2024 and 2023.
(f) Financial Instruments with Off-Balance-Sheet Risk
In the normal course of business, the PRIT Fund enters into financial instrument transactions with
off-balance-sheet risk. These financial instruments involve varying degrees and type of risks,
including credit and market risks, which may be in excess of the amounts recognized in the
Statements of Pooled Net Position. Futures and foreign currency exchange contracts represent
commitments to purchase or sell foreign currencies at a future date and at a specified price. The PRIT
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 46 FISCAL YEAR 2024
Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms
of their contracts or if the value of the foreign currency changes unfavorably.
(5) Securities Lending Program
The PRIM Board uses a third-party securities lending agent to manage its securities lending program. The
program loans domestic and international equity, REIT, and fixed income securities for collateral with a
simultaneous agreement to return the collateral for the same securities in the future. Securities on loan
are secured with collateral ranging from 102% to 105% determined by the type of securities lent. Securities
on loan are valued daily to maintain the collateral requirement and, where applicable, additional collateral
is delivered. At June 30, 2024 and 2023, the PRIT Fund has no credit risk exposure to borrowers because
the borrowers provided collateralization greater than 100% of the fair value of the securities on loan. The
PRIT Fund cannot pledge or sell the collateral securities unless the lending agent defaults. The PRIT Fund is
indemnified in the event that the lending agent fails to return the securities on loan (and if the collateral is
inadequate to replace the securities on loan) or if the lending agent fails to perform its obligations as
stipulated in the agreement. There was no lending agent default during the years ended June 30, 2024 and
2023.
Securities loans are terminable on demand therefore maturities of the securities loans do not generally
match the maturities of investments made with cash collateral. Investments made with cash collateral are
primarily in short-term investments with maximum maturity of three months from the date of purchase.
Securities on loan are included in investments at fair value in the accompanying statements of pooled net
position. As of June 30, 2024 and 2023, the fair value of securities on loan was $828,071 and $820,012,
respectively, and the associated collateral received in cash was $851,690 and $841,326, respectively.
Securities lending obligations to repay the collateral are reported in the accompanying statements of
pooled net position. There was no security collateral or noncash collateral at June 30, 2024 and 2023. The
PRIT Fund pays a monthly rebate on approximately $500,000 of the cash collateral received and is included
in securities lending expenses in the accompanying statements of changes in pooled net position.
For the years ended June 30, 2024 and 2023, in accordance with the Securities Lending Agency Agreement,
the PRIT Fund loaned $750,000 of the cash collateral to the LLC to invest in real estate investments.
$250,000 of the loans mature on March 10, 2027 and can be prepaid at any time. Interest is paid monthly
in arrears at a per annum rate equal to LIBOR, which was transitioned to an agreed upon Fallback SOFR
rate after June 30, 2023. $500,000 of the loans mature on November 18, 2031 and can be prepaid at any
time. Interest is paid monthly in arrears at a per annum rate as agreed to by the parties. As these are
inter-entity loans, they have been eliminated in consolidation in the accompanying financial statements.
The fair value of the remaining cash collateral reinvested was $97,857 and $87,748 at June 30, 2024 and
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 47 FISCAL YEAR 2024
2023, respectively, and is reported as securities lending collateral in the accompanying statements of
pooled net position.
(6) Real Estate Debt
(a) Notes Payable
The LLC’s notes payable obligations consisted of the following as of June 30:
2024 2023
Senior unsecured notes $ 350,000 350,000
Total $ 350,000 350,000
On February 14, 2013, the LLC issued 3.85% Series B Senior Notes in the aggregate principal amount
of $175,000 maturing February 14, 2023 and 4.00% Series C Senior Notes in the aggregate principal
amount of $150,000 maturing February 14, 2025. Interest on the notes is payable semi-annually. On
February 14, 2023, the LLC fully repaid the 3.85% Series B Senior Notes with an aggregate principal
amount of $175,000.
On February 12, 2020, the LLC issued 3.07% Series D Senior Notes in the aggregate principal amount
of $200,000 maturing February 12, 2030. Interest on the notes is payable semi-annually.
The Senior Unsecured Notes contain certain financial covenants as outlined in the respective
agreements. The LLC was in compliance with such covenants at June 30, 2024 and 2023.
(b) Mortgage Loans Payable
The LLC had 13 and 11 property-level mortgage loans payable as of June 30, 2024 and 2023,
respectively. The mortgages have a weighted average interest rate of 4.71% and 3.75% and a
weighted average maturity of 3.8 and 5.4 years at June 30, 2024 and 2023, respectively. The
following table presents the face value of mortgage loans payable at June 30:
2024 2023
Mortgage loans payable $ 571,140 443,443
Total $ 571,140 443,443
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 48 FISCAL YEAR 2024
(c) Other Liabilities
The LLC had other liabilities of $9,531 and $10,813 as of June 30, 2024 and 2023, respectively.
(7) Derivative Investments
The PRIT Fund regularly trades financial instruments with off-balance-sheet risk in the normal course of its
investing activities to assist in managing exposure to market risks. These financial instruments include
contracts for differences, foreign currency exchange contracts, futures contracts, and swap contracts.
(a) Contracts for differences
A contract for differences is an instrument whose value is based on the price movement of the
underlying asset. It allows for gain or losses to be realized when the underlying asset moves in
relation to the position taken, although the actual underlying asset is not owned by the PRIT Fund.
The fair value of these instruments is generally recorded at the contract’s net equity value. The net
equity value is calculated by determining the change in value of the underlying asset less the cost of
any leverage. The changes in fair value are recorded by the PRIT Fund as unrealized gains or losses.
When the contract is closed, the PRIT Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the time it was closed.
Contracts for differences held at June 30 were as follows:
2024
Gross Unrealized
Number of notional Fair value appreciation
Description contracts amount of contracts (depreciation)
Long exposure 34,471,907 $ 86,145 86,322 177
Short exposure (1,405,200) (72,886) (74,468) (1,582)
Total exposure $ 13,259 11,854 (1,405)
2023
Gross Unrealized
Number of notional Fair value appreciation
Description contracts amount of contracts (depreciation)
Long exposure 22,574,875 $ 61,176 67,174 5,998
Short exposure (731,603) (35,236) (34,772) 464
Total exposure $ 25,940 32,402 6,462
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 49 FISCAL YEAR 2024
For the years ended June 30, 2024 and 2023, the change in net unrealized (depreciation) appreciation
on contracts for differences was ($7,867) and $4,058, respectively.
(b) Foreign Currency Exchange Contracts
A foreign currency exchange contract is an agreement between two parties to buy or sell a fixed
quantity of currency at a set price on a future date. The PRIT Fund may enter into foreign currency
exchange contracts to hedge its exposure to the effect of changes in foreign currency exchange rates
upon its non-U.S. dollar-denominated investments. The fair value of such contracts will fluctuate with
changes in currency exchange rates. The contracts are valued daily, and the changes in fair value are
recorded by the PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund
records a realized gain or loss equal to the difference between the cost of the contract at the time it
was opened and the value at the time it was closed.
Foreign currency exchange contracts open at June 30 (in U.S. dollars) were as follows:
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) appreciation depreciation
Forei gn currency excha nge
contra cts purcha s ed:
Aus tra l i a n Dol l a r $ 526,951 $ 518,957 7/3/24–3/19/25 $ — (7,994)
Bra zi l i a n Rea l 162,212 168,637 7/2/24–4/2/25 6,425 —
Chi nes e Yua n 1,776,019 1,800,994 7/2/24–6/20/25 24,975 —
Coi n(O) 1,635,617 1,660,692 7/2/24–7/14/25 25,075 —
Czech Koruna 75,113 77,145 7/2/24–9/18/24 2,032 —
Euro 1,141,602 1,147,049 7/1/24–11/14/24 5,447 —
Ja pa nes e Yen 621,080 642,035 7/1/24–6/20/25 20,955 —
Si nga pore Dol l a r 4,679,492 4,705,375 7/1/24–6/27/25 25,883 —
Other forei gn currenci es 4,302,241 4,306,249 7/1/24–7/2/29 8,225 (4,217)
Forei gn currency excha nge
contra cts s ol d:
Aus tra l i a n Dol l a r 600,318 597,700 7/1/24–3/19/25 2,618 —
Bra zi l i a n Rea l 80,550 84,144 7/2/24–9/18/24 — (3,594)
Chi nes e Yua n 1,251,638 1,269,230 7/2/24–6/3/25 — (17,592)
Coi n(O) 956,296 978,181 7/2/24–12/27/24 — (21,885)
Hunga ri a n Fori nt 143,763 147,407 7/1/24–9/18/24 — (3,644)
Ja pa nes e Yen 168,771 174,853 7/1/24–6/18/25 — (6,082)
Mexi ca n Pes o 131,133 134,108 7/15/24–9/18/24 — (2,975)
Si nga pore Dol l a r 4,704,102 4,723,342 7/1/24–4/24/25 — (19,240)
Other forei gn currenci es 3,404,343 3,410,780 7/1/24–3/25/26 2,958 (9,395)
Tota l $ 124,593 (96,618)
2024
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 50 FISCAL YEAR 2024
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) appreciation depreciation
Forei gn currency excha nge
contra cts purcha s ed:
Bra zi l i a n Rea l $ 395,160 $ 387,779 7/3/23–1/3/24 $ — (7,381)
Bri ti s h Pound 607,159 598,869 7/3/23–12/20/23 — (8,290)
Chi nes e Yua n 1,405,171 1,452,059 7/3/23–12/18/24 46,888 —
Euro 1,077,736 1,070,613 7/3/23–12/20/23 — (7,123)
Hong Kong Dol l a r 1,809,682 1,812,910 7/3/23–12/18/24 3,228 —
Indi a n Rupee 524,328 518,500 7/3/23–8/1/24 — (5,828)
Ja pa nes e Yen 1,143,657 1,178,969 7/3/23–6/18/25 35,312 —
Phi l i ppi nes Pes o 246,612 243,568 7/3/23–9/20/24 — (3,044)
Si nga pore Dol l a r 1,499,152 1,503,561 7/3/23–6/26/24 4,409 —
South Korea n Won 508,037 513,625 7/3/23–6/21/24 5,588 —
Other forei gn currenci es 1,350,125 1,354,742 7/3/23–2/29/24 9,113 (4,496)
Forei gn currency excha nge
contra cts s ol d:
Bra zi l i a n Rea l 343,571 341,455 7/3/23–9/20/23 2,116 —
Bri ti s h Pound 315,204 312,784 7/3/23–12/20/23 2,420 —
Chi nes e Yua n 1,425,204 1,472,889 7/3/23–12/18/24 — (47,685)
Hong Kong Dol l a r 1,435,718 1,438,594 7/3/23–12/18/24 — (2,876)
Indi a n Rupee 661,062 654,995 7/3/23–6/6/24 6,067 —
Ja pa nes e Yen 844,303 869,524 7/3/23–6/18/25 — (25,221)
Mexi ca n Pes o 121,697 119,010 7/3/23–9/20/23 2,687 —
New Ta i wa n Dol l a r 211,576 214,308 7/3/23–2/7/24 — (2,732)
Si nga pore Dol l a r 1,408,799 1,418,989 7/3/23–3/18/24 — (10,190)
South Korea n Won 406,584 420,540 7/3/23–6/21/24 — (13,956)
Other forei gn currenci es 1,695,605 1,694,628 7/3/23–9/20/24 6,508 (5,531)
Tota l $ 124,336 (144,353)
2023
For the years ended June 30, 2024 and 2023, the change in net unrealized appreciation (depreciation)
on foreign currency exchange contracts was $47,992 and $(73,217), respectively.
(c) Futures Contracts
The PRIT Fund enters into financial and commodity futures on various exchanges. A futures contract
is an agreement between two parties to buy or sell units of a particular index, security, or commodity
at a set price on a future date. Upon entering into financial and commodity futures contracts, the
PRIT Fund is required to pledge to the broker an amount of cash or securities equal to a certain
percentage of the contract amount (initial margin deposit). Pursuant to the contract, the PRIT Fund
agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value
of the contract. Such receipts or payments are known as “variation margin” and are recorded by the
PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund records a realized
gain or loss equal to the difference between the value of the contract at the time it was opened and
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 51 FISCAL YEAR 2024
the value at the time it was closed. The potential risk to the PRIT Fund is that the change in value of
futures contracts primarily corresponds with the value of underlying instruments, which may not
correspond to the change in value of the hedged instruments. The PRIT Fund is also subject to credit
risk should its clearing brokers be unable to meet their obligations to the PRIT Fund.
Futures contracts held at June 30 were as follows:
2024
Expiration Gross Unrealized
Number of dates notional Fair value appreciation
Description contracts (month/year) amount of contracts (depreciation)
Short ca s h a nd ca s h equi va l ents :
90-Da y Ba nk Bi l l (6,121) 9/24-6/25 $ (4,043,105) (4,042,382) 723
US Dol l a r Index (3,210) 9/24 (318,843) (321,259) (2,416)
Other s hort ca s h a nd ca s h equi va l ents (3,300) 9/24–12/27 (973,631) (973,231) 400
Long ca s h a nd ca s h equi va l ents :
90-Da y Ba nk Bi l l 6,077 12/24-3/26 4,016,025 4,013,585 (2,440)
Other l ong ca s h a nd ca s h equi va l ents 2,951 7/24–12/27 653,143 651,981 (1,162)
Short fi xed i ncome:
US 10-Yr Trea s ury Notes (2,900) 9/24 (322,502) (324,351) (1,849)
Other s hort fi xed i ncome (3,107) 9/24 (464,833) (464,487) 346
Long fi xed i ncome:
US 5-Yr Trea s ury Notes 2,894 9/24 307,114 308,454 1,340
Ul tra US Trea s ury Bond 907 9/24 112,658 114,334 1,676
Other l ong fi xed i ncome 5,733 9/24 750,831 752,017 1,186
Short equi ty a nd commodi ti es :
Agri cul ture (2,162) 8/24-12/24 (56,303) (53,799) 2,504
Meta l (3,100) 7/24–12/25 (281,665) (272,106) 9,559
Oi l a nd ga s (346) 7/24–12/24 (10,111) (9,246) 865
Other s hort equi ty a nd commodi ti es (4,717) 7/24–12/25 (123,250) (124,107) (857)
Long equi ty a nd commodi ti es :
Meta l 3,024 7/24–12/25 301,631 292,997 (8,634)
Oi l a nd ga s 788 7/24–8/24 65,707 67,084 1,377
KOSPI Index 466 9/24 31,378 32,699 1,321
MSCI EAFE Index 1,657 9/24 195,220 194,134 (1,086)
MSCI Emergi ng Ma rkets Index 1,923 9/24 102,558 104,630 2,072
Other l ong equi ty a nd commodi ti es 7,634 7/24–12/24 653,725 655,234 1,509
Tota l futures expos ure $ 595,747 602,181 6,434
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 52 FISCAL YEAR 2024
2023
Expiration Gross Unrealized
Number of dates notional Fair value appreciation
Description contracts (month/year) amount of contracts (depreciation)
Short ca s h a nd ca s h equi va l ents :
3-Month SOFR (1,643) 9/24-6/26 $ (393,694) (391,541) 2,153
Other s hort ca s h a nd ca s h equi va l ents (1,990) 7/23–3/26 (619,628) (619,904) (276)
Long ca s h a nd ca s h equi va l ents :
USD/CNH 804 9/23 79,950 81,341 1,391
Other l ong ca s h a nd ca s h equi va l ents 4,007 8/23–9/26 976,223 975,552 (671)
Short fi xed i ncome:
US 5-Yr Trea s ury Notes (604) 9/23 (64,685) (63,658) 1,027
US 10-Yr Trea s ury Notes (1,102) 9/23 (124,549) (122,759) 1,790
Ul tra US 10-Yr Trea s ury Notes (1,488) 9/23 (176,239) (174,128) 2,111
Other s hort fi xed i ncome (1,910) 9/23–12/23 (258,963) (258,792) 171
Long fi xed i ncome:
US 2-Yr Trea s ury Notes 1,865 9/23 381,330 377,406 (3,924)
US 5-Yr Trea s ury Notes 3,252 9/23 354,461 348,214 (6,247)
Other l ong fi xed i ncome 4,731 7/23–9/23 591,489 590,345 (1,144)
Short equi ty a nd commodi ti es :
Agri cul ture (476) 8/23-12/23 (21,959) (21,020) 939
Meta l (1,021) 7/23–10/23 (71,325) (67,952) 3,373
Oi l a nd ga s (476) 7/23–8/23 (18,247) (19,602) (1,355)
Other s hort equi ty a nd commodi ti es (6,957) 7/23–12/23 (106,768) (107,712) (944)
Long equi ty a nd commodi ti es :
Agri cul ture 1,419 8/23–12/23 57,781 56,638 (1,143)
Meta l 885 7/23–10/23 64,297 62,490 (1,807)
EURO STOXX 50 Index 1,343 9/23 64,084 65,156 1,072
KOSPI 200 Index 245 9/23 16,633 15,828 (805)
MSCI EAFE Index 1,860 9/23 198,881 200,462 1,581
MSCI Emergi ng Ma rkets Index 2,567 9/23 129,624 128,080 (1,544)
Na s da q 100 E-mi ni Index 98 9/23 30,061 31,129 1,068
Ni kkei 225 Mi ni 1,915 9/23 43,948 44,890 942
S&P 500 E-mi ni Index 538 9/23 117,204 120,734 3,530
S&P Mi dca p 400 E-mi ni Index 187 9/23 48,373 49,711 1,338
S&P/TSX 60 Index 246 9/23 44,346 45,418 1,072
Other l ong equi ty a nd commodi ti es 3,214 7/23–12/23 267,769 268,251 482
Tota l futures expos ure $ 1,610,397 1,614,577 4,180
For the years ended June 30, 2024 and 2023, the change in net unrealized appreciation (depreciation)
on futures contracts was $2,254 and $13,497, respectively.
(d) Swaps
The PRIT Fund enters into swap agreements to gain exposure to certain markets and actively hedge
other exposures to market and credit risks. The PRIT Fund utilizes interest rate, credit default,
currency, equity index, inflation, and total return swaps within the portfolio. The PRIT Fund’s OTC
swap agreements are recorded at fair value as estimated by the PRIM Board. These estimated fair
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 53 FISCAL YEAR 2024
values are determined in good faith by using information from the PRIT Fund’s investment managers,
including methods and assumptions considering market conditions and risks existing at the date of
the statements of pooled net position. Such methods and assumptions incorporate standard
valuation conventions and techniques, such as discounted cash flow analysis and option pricing
models. All methods utilized to estimate fair values result only in general approximations of value,
and such values may or may not actually be realized.
Upon entering into centrally cleared swap contracts, the PRIT Fund is required to deposit an initial
margin with the broker an amount of cash or securities. Pursuant to the contract, the PRIT Fund
agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value
of the contract. Such receipts or payments are known as “variation margin” and are recorded by the
PRIT Fund as unrealized gains or losses. Payments received from or paid to the counterparty,
including at termination, are recorded by the PRIT fund as realized gains or losses.
Open swap contracts at June 30 were as follows:
2024
PRIT Net
PRIT pays/receives Maturity Gross unrealized
pays/receives index/ dates notional appreciation
interest rate protection (month/year) amount (depreciation)
Interes t ra te s wa ps 0.00%–13.05% Va ri ous * 7/24-9/58 $ 43,814,192 72,405
Credi t defa ul t s wa ps 0.00%–5.0% Credi t defa ul t 7/24-12/72 3,381,762 (138,304)
protecti on
Other s wa ps Va ri a bl e Va ri ous * 7/24-12/53 1,043,465 1,213
Tota l s wa ps $ 48,239,419 (64,686)
* PRIT pa ys /recei ves counterpa rty ba s ed on 1-Week CNY, 1-Month JIBAR, 1-Month MYR, 1-Month WIBOR, 3-Month AUD
Fi xi ng Ra te, 3-Month CDOR, 3-Month HKD, 3-Month KRW CD Ra te, 3-Month MYR, 3-Month NZD Ba nk Bi l l , 3-Month NZD
BKBM, 3-Month NZD Fi xi ng Ra te, 3-Month TWD TWCPBA, 6-Month AUD BBSW, 6-Month AUD Fi xi ng Ra te, 6-Month
EURIBOR, 6-Month PRIBOR, 6-Month WIBOR, AUD O/N OIS Ra te, Bra zi l CDI ra te, BZDIOVRA, Chi l e Interba nk ra te,
CORRA, CPI i nfl a ti on ra te, Effecti ve Federa l Funds Ra te, ESTRON Index, Euro Short-Term ra te, Eurozone HICP ra te, INR
OIS ON, JPY ON, Mexi ca n TIIE ra te, NZD ON OIS ra te, OBFR, SIBCSORA, SOFR, SONIA, SORA, TELBOR, TONA, THB
ON Repo Ra te, UK RPI, US CPI Urba n Cons umers NSA Index.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 54 FISCAL YEAR 2024
2023
PRIT Net
PRIT pays/receives Maturity Gross unrealized
pays/receives index/ dates notional appreciation
interest rate protection (month/year) amount (depreciation)
Interes t ra te s wa ps 0.00%–13.65% Va ri ous * 7/23-6/58 $ 24,933,900 65,877
Credi t defa ul t s wa ps 0.11%–16.20% Credi t defa ul t 7/23-12/72 3,223,985 (145,782)
protecti on
Other s wa ps Va ri a bl e Va ri ous * 7/23-6/53 341,747 8,102
Tota l s wa ps $ 28,499,632 (71,803)
* PRIT pa ys /recei ves counterpa rty ba s ed on 1-Week CNY, 1-Month JIBAR, 1-Month USD LIBOR, 1-Month WIBOR,
3-Month AUD Fi xi ng Ra te, 3-Month EURIBOR, 3-Month HKD, 3-Month KRW CD Ra te, 3-Month MYR, 3-Month NZD Ba nk
Bi l l , 3-Month NZD Fi xi ng Ra te, 3-Month TWD TWCPBA, 3-Month USD LIBOR, 6-Month AUD Fi xi ng Ra te, 6-Month
EURIBOR, 6-Month PRIBOR, 6-Month WIBOR, AUD O/N OIS Ra te, Bra zi l CDI ra te, CORRA, CPI i nfl a ti on ra te, Effecti ve
Federa l Funds Ra te, ESTRON Index, Eurozone HICP ra te, INR OIS ON, JPY ON, Mexi ca n TIIE ra te, OBFR, SIBCSORA,
SOFR, SONIA, SORA, TELBOR, TONA, THB ON Repo Ra te, US CPI Urba n Cons umers NSA Index.
For the years ended June 30, 2024 and 2023, the change in net unrealized appreciation (depreciation)
on swap contracts was $7,117 and $18,957, respectively.
The PRIT Fund’s exposures in the event of nonperformance by counterparties at June 30 were as
follows:
2024
Interest rate Credit default
swaps swaps Other swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Bank of America NA A+ $ — — 28,358 (4,438) 35,701 195
BofA Securities A+ — — 25,000 (2,903) — —
Barclays Bank PLC A+ — — 388,152 (7,852) 10,614 (31)
BNP Paribas SA A+ 2,884,536 239 179,437 (40,013) 205,178 (1,561)
BNP Paribas Commodity Futures Ltd A+ — — 36,539 (3,285) — —
Citibank NA A+ — — 8,200 34 354 3,217
Goldman Sachs & Co A+ 1,040,583 60,476 2,049,664 (15,361) 229,501 (369)
Goldman Sachs International A+ — — 53,084 (5,760) 616 (111)
JPMorgan Chase Bank NA A+ 178,062 209 62,409 (10,851) 143,612 404
JP Morgan Securities A+ 33,464,960 (4,278) 135,838 (6,038) 5,179 115
LCH Ltd AA- 1,374,850 3,259 — — 73,006 172
Morgan Stanley & Co LLC A+ 3,086,450 461 202,842 (24,285) 6,379 263
Morgan Stanley Capital Services A+ — — 131,783 (18,695) 61 (162)
SMBC Capital Markets Inc. A 250,000 13,754 — — — —
All others Various 1,534,751 (1,715) 80,456 1,143 333,264 (919)
$ 43,814,192 72,405 3,381,762 (138,304) 1,043,465 1,213
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 55 FISCAL YEAR 2024
2023
Interest rate Credit default
swaps swaps Other swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Bank of America NA A+ $ — — 7,423 (1,364) 150 (73)
Barclays Bank PLC A+ — — 590,398 (5,104) 699 (96)
BNP Paribas SA A+ 43,119 — 86,085 (38,461) — —
Goldman Sachs & Co A+ 695,514 65,096 1,885,784 (29,460) — —
Goldman Sachs International A+ — — 93,572 (12,729) 1,454 153
JPMorgan Chase Bank NA A+ 273,187 (7,740) 19,005 (6,577) 221,036 8,873
JP Morgan Securities A+ 22,216,016 (2,518) 92,186 (8,950) 13,239 713
LCH Ltd AA- 815,893 (6,299) — — 59,874 (28)
Morgan Stanley & Co LLC A+ — — 158,573 (21,724) 8,022 (213)
Morgan Stanley Capital Services A+ — — 144,669 (22,286) — —
SMBC Capital Markets Inc. A+ 250,000 16,551 — — — —
All others Various 640,171 787 146,290 873 37,273 (1,227)
$ 24,933,900 65,877 3,223,985 (145,782) 341,747 8,102
(8) Investment Management and Other Management Fees
In accordance with the PRIM Board’s Operating Trust Agreement, expenses incurred by the PRIM Board in
managing the PRIT Fund are charged to the PRIT Fund in the form of management fees. These expenses
consist of investment management fees, investment advisory fees, custodian fees and professional fees,
as well as staff salaries and other administrative expenses of the PRIM Board.
(a) Investment Management Fees
Investment management fees are paid to discretionary managers pursuant to executed contracts.
Total investment management fees were $211,251 and $172,885 for the years ended June 30, 2024
and 2023, respectively, of which $121,739 and $94,287 were incurred by the PRIM Board for the
years ended June 30, 2024 and 2023, respectively. The remaining investment management fees
were incurred by the single-member limited liability corporations that are consolidated into the PRIT
Fund.
Domestic, international, and emerging market equity managers are generally paid a base fee
calculated as a percentage of either current net position under management or an agreed-upon
funded amount, typically equal to the amount of original and subsequent funding. In certain cases,
this is subject to periodic revision. Base fees are paid quarterly. In addition, some active (nonindexed)
equity managers are eligible to receive a performance fee.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 56 FISCAL YEAR 2024
Fixed income managers are generally paid a quarterly asset-based fee. Certain managers are eligible
for a performance fee.
Fees for private equity investments are typically a percentage of committed capital with the fee
percentage decreasing over time. In addition, the general partners (investment managers) of private
equity limited partnerships are allocated additional profit, known as carried interest, based on the
net gains generally above a specified hurdle rate, on realized partnership investments.
The LLC’s investment management fees generally consist of a base fee and a performance fee.
Performance fees are paid to managers who out-perform their respective hurdle rates, as defined in
the investment management agreements or partnership agreements.
Timberland investment management fees consist of a base fee and a performance fee component
and are calculated and paid similar to the LLC’s investment management fees.
Hedge fund-of-funds investment managers are paid base fees, which are calculated and paid
quarterly.
Fees for portfolio completion strategies investments generally consist of a base fee and a
performance fee based on return.
The majority of investment management fees for private equity and private debt investments are
charged by the general partners to the investment partnerships and not to the limited partner
investors directly. Investment management fees for portfolio completion strategies investments and
commingled account investments are charged to the respective investments. Most base investment
management fees for investments in real estate properties and timberland are charged against the
respective investments. Investment management fees for investments in real estate funds are
charged to the investment partnership and not to the limited partner investors directly. Therefore,
the fair values of these investments are reported net of investment management fees and these
investment management fees are not included in the accompanying statements of changes in pooled
net position, with the exception of investment management fees incurred by the single-member
limited liability corporations that are consolidated into the PRIT Fund.
(b) Investment Advisory Fees
NEPC, LLC, Meketa Investment Group, Aberdeen Asset Management Inc., Hamilton Lane,
International Woodland Company, and NewAlpha Asset Management served as the PRIM Board’s
principal investment advisors as of fiscal year end 2024. NEPC, LLC served as the asset allocation
advisor, Meketa Investment Group served as the public markets advisor, Aberdeen Asset
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2024 and 2023
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 57 FISCAL YEAR 2024
Management Inc. and NewAlpha Asset Management provided portfolio completion strategies
advisory services, Hamilton Lane served as the private equity advisor, and International Woodland
Company provided timberland advisory services. These investment advisors, among others,
provided the PRIM Board with comprehensive investment advisory services, including
recommendations on asset allocation, selection of investment managers, and the monitoring of
performance of the PRIT Fund and its individual investment managers.
For the years ended June 30, 2024 and 2023, investment advisory fees were $15,496 and $14,433,
respectively, which are included in investment management and other management fees in the
accompanying statements of changes in pooled net position.
(c) Custodian Fees
BNY Mellon is the investment custodian and record keeper for the PRIT Fund. BNY Mellon records all
daily transactions, including investment purchases and sales, investment income, expenses, and all
participant activity for the PRIT Fund. BNY Mellon also provides portfolio performance analysis each
month for the PRIT Fund.
For the years ended June 30, 2024 and 2023, custodian fees were $935 and are included in
investment management and other management fees in the accompanying statements of changes
in pooled net position.
(d) Other Administrative Fees
For the years ended June 30, 2024 and 2023, other administrative expenses of the PRIM Board,
including employee compensation, professional fees, and occupancy costs, charged to the PRIT Fund
totaled $29,710 and $25,246, respectively, which are included in investment management and other
management fees in the accompanying statements of changes in pooled net position.
(9) Commitments
As of June 30, 2024 and 2023, the PRIT Fund had outstanding unfunded commitments to invest $9,881,182
and $8,357,583, respectively, in private debt, other credit opportunities, private equity, portfolio
completion strategies, and real estate investments.
(10) Subsequent Events
For purposes of determining the effects of subsequent events on the financial statements, management
has evaluated subsequent events after June 30, 2024 through December 5, 2024, the date on which the
financial statements were available to be issued.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Pooled Net Position – Capital Fund and Cash Fund
June 30, 2024
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 58 FISCAL YEAR 2024
Capital Fund Cash Fund Total
Assets:
Investments, at fair value:
Short-term $ 1,215,749 86,434 1,302,183
Fixed income 23,242,875 — 23,242,875
Equity 41,807,764 — 41,807,764
Timberland 3,192,283 — 3,192,283
Private equity funds 17,589,527 — 17,589,527
Real estate:
Real estate properties 9,974,149 — 9,974,149
Equity 743,848 — 743,848
Real estate funds 763,954 — 763,954
Mortgage loans receivable 114,176 — 114,176
Other 149,575 — 149,575
Total real estate 11,745,702 — 11,745,702
Portfolio completion strategies:
Investment funds 2,699,741 — 2,699,741
Equity 2,096,612 — 2,096,612
Fixed income 3,886,321 — 3,886,321
Cash and cash equivalents 1,528,904 — 1,528,904
Agricultural investments 469,916 — 469,916
Total portfolio completion strategies 10,681,494 — 10,681,494
Total investments 109,475,394 86,434 109,561,828
Cash 167,667 5 167,672
Securities lending collateral 97,857 — 97,857
Interest and dividends receivable 298,043 948 298,991
Receivable for investments sold and other assets 715,936 — 715,936
Receivable for securities sold on a when-issued basis 871,172 — 871,172
Foreign currency forward contracts 124,593 — 124,593
Total assets 111,750,662 87,387 111,838,049
Liabilities:
Securities sold short and other liabilities, at fair value:
Portfolio completion strategies 1,864,416 — 1,864,416
Fixed income — — —
Total securities sold short and other liabilities 1,864,416 — 1,864,416
Payable for investments purchased and other liabilities 988,154 — 988,154
Real estate debt and other liabilities 930,671 — 930,671
Securities lending obligations 851,690 — 851,690
Payable for securities purchased on a when-issued basis 1,802,239 — 1,802,239
Foreign currency forward contracts 96,618 — 96,618
Management fees payable to PRIM 50,327 — 50,327
Total liabilities 6,584,115 — 6,584,115
Net position held in trust for pool
participants $ 105,166,547 87,387 105,253,934
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund
Year ended June 30, 2024
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 59 FISCAL YEAR 2024
Capital Fund Cash Fund Total
Additions:
Contributions:
State employees $ — 902,529 902,529
State teachers — 1,136,487 1,136,487
Other participants — 1,774,095 1,774,095
Total contributions — 3,813,111 3,813,111
Net investment income (loss):
From investment activities:
Net realized gain on investments and foreign
currency transactions 2,607,560 — 2,607,560
Net change in unrealized appreciation on investments
and foreign currency translations 4,140,316 — 4,140,316
Interest 780,567 13,548 794,115
Dividends 904,059 — 904,059
Timberland 32,143 — 32,143
Private equity 158,083 — 158,083
Portfolio completion strategies 301,935 — 301,935
Real estate:
Income 728,920 — 728,920
Expenses (243,931) — (243,931)
Total real estate 484,989 — 484,989
Income from investment activities 9,409,652 13,548 9,423,200
Investment management and other management fees (257,392) — (257,392)
Net income from investment activities 9,152,260 13,548 9,165,808
From securities lending activities:
Securities lending income 4,610 — 4,610
Securities lending expenses (28,484) — (28,484)
Net loss from securities lending activities (23,874) — (23,874)
Total net investment income 9,128,386 13,548 9,141,934
Total additions 9,128,386 3,826,659 12,955,045
Deductions:
Redemptions:
State employees — 1,608,857 1,608,857
State teachers — 1,235,719 1,235,719
Other participants — 1,417,952 1,417,952
Total deductions — 4,262,528 4,262,528
Interfund transfers (out) in, net (461,616) 461,616 —
Net increase (decrease) in pooled net position 8,666,770 25,747 8,692,517
Net position held in trust for pool participants:
Balance, beginning of year 96,499,777 61,640 96,561,417
Balance, end of year $ 105,166,547 87,387 105,253,934
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2024
Investment Section
PENSION RESERVES INVESTMENT TRUST FUND
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 60 FISCAL YEAR 2024
Total PRIT Fund Performance Summary*
For the periods ended June 30, 2024
9.9%
4.2%
8.5%
7.8%
9.3%
10.3%
4.5%
7.4%
6.8%
9.4%
-0.4% -0.3%
1.1% 1.0%
-0.1%
-1.0%
1.0%
3.0%
5.0%
7.0%
9.0%
11.0%
1 Year 3 Years 5 Years 10 Years Since Inception**
Returns
PRIT Fund Total Core Benchmark Value Added
.
Source: BNY Mellon.
* Gross of Fees. Total PRIT Fund includes the Core Fund and Cash Fund. Returns are annualized and
calculated based on a time-weighted rate of return methodology.
** Performance inception date of January 1, 1985
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 61 FISCAL YEAR 2024
Investment Strategy Overview
The PRIT Fund was formed in December 1983 with a mandate to accumulate assets through investment earnings
to reduce the Commonwealth of Massachusetts’ unfunded pension liability and, further on, to assist local
participating retirement systems in meeting their future pension obligations. The PRIM Board is charged with the
general oversight of the PRIT Fund. The PRIM Board seeks to maximize the return on investments within
acceptable levels of risk and cost for a public pension fund, by broadly diversifying its investment portfolio,
capitalizing on economies of scale to achieve cost-effective operations, and gaining access to high quality,
innovative investment management firms, all under the management of a professional staff and members of the
PRIM Board. The PRIM Board’s overall investment performance goal is to achieve an annual rate of return that
exceeds the targeted actuarial rate of return used in determining the Commonwealth of Massachusetts’ pension
obligations (currently 7.0%). A summary of other investment objectives is provided in the Investment Policy
Statement at the end of this section.
The PRIM Board employs professional investment managers to manage the PRIT Fund’s assets. The PRIT Fund
had approximately $105.3 billion in assets under management at June 30, 2024. Investment managers operate
within guidelines that are delineated in a detailed investment management agreement or partnership
agreement.
The PRIT Fund’s net investment portfolio fair values reported in this section and used as a basis for calculating
investment returns differ from those shown in the Financial Section and the Financial Highlights in the Statistical
Section of this report. The values used in this section are the appropriate industry standard basis for investment
return calculations and are net of all investment receivables and payables. Unless otherwise noted, all return
information provided is gross of fees. In addition, “PRIT Core” return information refers to returns for the PRIT
Capital Fund. PRIT Core return information excludes the impact of the Cash Fund on the total PRIT Fund return.
Asset Allocation and Diversification Discussion
The Investment Policy Statement adopted by the PRIM Board in September 1998 with subsequent updates, most
recently in February 2024, states that over the long-term, asset allocation is the single greatest contributor of
return and risk to the PRIT Fund. At reasonable intervals of not more than three to five years, the PRIM Board
will complete a comprehensive review of its Asset Allocation Plan and its underlying assumptions, including: the
Commonwealth’s current and projected pension assets and liabilities; long-term capital markets rate of return
assumptions; and the PRIM Board’s risk tolerances. The PRIM Board shall examine the Asset Allocation Plan
annually and shall consider adjustments to the Plan as may be appropriate given the Plan’s long-term nature and
objectives.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 62 FISCAL YEAR 2024
The PRIM Board-approved Asset Allocation Plan and current Asset Allocation are as follows:
(1) Asset Allocation Plan approved February 15, 2024.
(2) This asset class does not have target range % because it’s not a component of the long-term policy target asset allocation.
(3) Totals may not add due to rounding.
In addition to asset allocation, the PRIM Board seeks to diversify the PRIT Fund through a complementary
diversification of investment styles within various asset classes. Investment managers operate within detailed
investment guidelines to ensure portfolios are managed with appropriate diversification and risk control.
Income and Expense Allocation
Income earned and expenses incurred in each investment account are allocated to retirement systems based on
each individual retirement system’s share of ownership in each investment account. Expenses are classified in
three categories for purposes of allocation to retirement systems: 1) investment management fees, 2) investment
advisory fees, and 3) operational fees. Investment management fees are those directly associated with the
investment management of a certain account. Investment advisory fees are fees that are either directly
associated with an individual asset class, or, for general advisors, are allocated pro-rata based on net asset values
of each asset class. Operational fees are custodian and other administrative expenses incurred by the PRIM Board
in managing the PRIT Fund and are allocated pro-rata based on net asset values of each asset class.
Asset Class
6/30/2024
Allocation % (3) Target Range % (1)
Global Equity 40.6 31 - 41
Core Fixed Income 13.9 12 - 18
Value-Added Fixed Income 7.3 6 - 12
Real Estate 9.6 7 - 13
Private Equity 17.0 13 - 19
Timberland 3.0 1 - 7
Portfolio Completion Strategies 8.3 7 - 13
Overlay (2) 0.3 -
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 63 FISCAL YEAR 2024
PRIT Core Performance: Fiscal Year 2024
Returns are calculated based on a time-weighted rate of return methodology. PRIT Core Returns (gross of fees)
and benchmarks for the periods ended June 30, 2024:
In the fiscal year 2024, the PRIT Core Fund returned 9.94% compared to the Total Core benchmark return of
10.29%. The PRIT Fund began fiscal year 2024 with net position of $96.6 billion and ended with $105.3 billion.
On a gross basis the fund increased $8.7 billion, which is the result of $9.1 billion in net investment income along
with $449.4 million in net redemptions from the State Employees, State Teachers’ and Participant accounts.
The quarterly returns of the PRIT Core Fund in fiscal year 2024 were as follows:
-1.63% for September 30, 2023 – versus a benchmark return of -1.66%.
6.18% for December 31, 2023 – versus a benchmark return of 6.60%.
3.67% for March 31, 2024 – versus a benchmark return of 3.52%.
1.53% for June 30, 2024 – versus a benchmark return of 1.60%.
The PRIT Fund seeks to outperform its three benchmarks in both up and down markets. In order of priority, these
benchmarks are as follows: 1) beating the actuarial rate of return assumption (currently 7.00%); 2) exceeding the
long-term Total Core Benchmark, which measures how well the PRIT Fund has implemented its asset allocation;
and 3) achieving top quartile rankings in the Wilshire Trust Universe Comparison Service (TUCS) report, which
measures the PRIT Fund’s investment performance against its peers nationwide. Through June 30, 2024, the PRIT
Core Fund returned 9.26% since inception, outperforming the actuarial rate of return of 7.00% by 226 basis
points. The PRIT Core Fund outperforms its benchmark over the five-year and 10-year periods. According to the
TUCS ranking, the PRIT Fund’s performance ranked in the second quartile of all U.S. Public Pension Funds over
$25 billion in size for the one-year, three-year, five-year, and 10-year periods ending June 30, 2024.
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1 Year 3 Years 5 Years 10 Years
9.9%
4.2%
8.5% 7.8%
10.3%
4.5%
7.4% 6.8%
9.9%
4.2%
8.5%
7.7%
PRIT Core Total Core Benchmark TUCS Universe Median
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 64 FISCAL YEAR 2024
Management Costs
Expenses incurred by the PRIM Board in managing the PRIT Fund are charged to the PRIT Fund. These expenses
consist of investment management fees, advisory fees, custodian fees, professional fees, salaries, and
administrative expenses of the PRIM Board.
The PRIM Board tracks two types of fees: 1) direct fees and 2) indirect fees. Direct fees are fees the PRIM Board
pays directly to vendors for services rendered. These fees include most investment management fees, advisory
fees, custodian fees, and salaries and administrative expenses of the PRIM Board. Indirect fees are expenses
typically incurred when investing in partnerships or other commingled investment vehicle structures, such as
private equity funds, portfolio completion strategies, real estate, timberland, and other commingled
funds. Indirect management fees incurred in these funds are charged to the respective investments. The fair
value of these investments is reported net of indirect management fees.
The PRIM Board’s investment managers operate with formal contracts. Investment management fees accounted
for approximately 71.0% of the PRIM Board’s total direct expenses for fiscal 2024. The PRIM Board also contracts
with a custodian and investment advisors. Fees to these providers were approximately 9.6% of the PRIM Board’s
total expense for fiscal year 2024.
The total cost of managing the PRIT Fund for fiscal year 2024, inclusive of investment management (direct and
indirect), advisory, custodial, and overhead charges was 51 basis points of the average net position of the PRIT
Fund compared to 46 basis points in fiscal year 2023. For information on expense ratios for each investment
account, refer to the Financial Highlights and Financial Highlights Ratios on pages 97-106 included in the
Statistical Section of this report.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 65 FISCAL YEAR 2024
Domestic Equity Portfolio
As of June 30, 2024, the Domestic Equity portfolio had approximately $26.6 billion in net position, representing
25.3% of the PRIT Fund. As highlighted below, the Domestic Equity portfolio allocation is approximately 87%
invested in passively managed large capitalization equity strategies (S&P500), 9% invested in small and mid-
capitalization equity strategies (Russell 2500, small/SMID cap), and 4% invested in micro-capitalization equity
strategies (Micro Cap). As of the fiscal year-end, the weighting of Domestic Equity was 62.4% of the Global Equity
portfolio.
Portfolio Risks. Although historically and recently long-term returns in equity investments have exceeded all
other public market asset classes (i.e., fixed income and cash), there is no guarantee that this trend will continue
or that investment in the short-term or long-term will produce positive results. Prices may fluctuate based on
changes in a company’s financial condition and on overall market and economic conditions. Smaller companies
are especially sensitive to these factors. There is a significant risk of loss of principal due to market and economic
conditions.
Portfolio Returns. For the fiscal year, the Domestic Equity portfolio returned 22.37% compared to 23.34% for the
portfolio benchmark. The PRIT Fund’s large cap managers returned 24.55% compared to the 24.65% return of
its benchmark, the Custom S&P 500 Index (which excludes legislatively restricted securities in tobacco, Iran,
Russia, and Sudan). The PRIT Fund’s Small/SMID/Micro-cap managers returned 9.34% compared to the 8.20%
return of the benchmark, which is calculated by applying the investment performance of the sub asset class
benchmarks to the sub asset class weights within the Small/SMID/Micro-cap equity portfolio.
On a three-, five-, and 10-year basis through June 30, 2024, the PRIT Fund’s Domestic Equity portfolio has
returned 8.47%, 13.85%, and 11.93%, respectively, compared to the benchmark, which returned 8.25%, 13.96%,
and 12.03%, respectively.
87%
4%
5%
4%
Domestic Equity Portfolio
As of June 30, 2024
S&P 500 Index
Russell 2500 Index
Active Small/SMID Cap
Active Micro Cap
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 66 FISCAL YEAR 2024
The top ten holdings in the Domestic Equity portfolio at June 30, 2024, are illustrated below. A complete listing
of holdings is available upon request.
The PRIT Fund’s Domestic Equity managers at June 30, 2024, are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2024 ($000s)
State Street Global Advisors Custom S&P 500 Index $ 19,365,893
RhumbLine Advisers, LP Custom S&P 500 Index 3,554,179
RhumbLine Advisers, LP - EIA Custom S&P 500 Index 276,089
State Street Global Advisors Custom Russell 2500 Index 1,174,075
Frontier Capital Management Small Cap Value 617,830
Riverbridge Partners SMID Cap Growth 297,852
Summit Creek Advisors Small Cap Growth 406,190
Acadian Asset Management Micro Cap Core 252,005
Brandywine Investment Management Micro Cap Value 140,854
Lord, Abbett & Company Micro Cap Growth 238,403
Driehaus Capital Management Micro Cap Growth 295,775
Other portfolio net assets (6,298)
$ 26,612,847Total Portfolio Fair Value
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Microsoft Corp. 1,663,348$ 6.25%
2 Nvidia Corp 1,521,121 5.72%
3 Apple Inc. 1,519,620 5.71%
4 Amazon.com Inc. 885,040 3.33%
5 Meta Platforms Inc. 553,077 2.08%
6 Alphabet Inc - CL A 535,259 2.01%
7 Alphabet Inc - CL C 448,655 1.69%
8 Berkshire Hathaway Inc 368,652 1.39%
9 Eli Lilly & Co 361,880 1.36%
10 Broadcom Inc. 350,113 1.32%
TOTAL 8,206,765$ 30.86%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 67 FISCAL YEAR 2024
International Equity Portfolio
As of June 30, 2024, the International Equity portfolio had approximately $11.3 billion in net position,
representing 10.7% of the PRIT Fund. The international core equity accounts are benchmarked against the
Custom MSCI World ex-U.S. Standard Index – Net Dividends (which excludes legislatively restricted securities in
tobacco, Iran, Russia, and Sudan). The international small cap equity accounts are benchmarked against the
Custom World ex-U.S. Small Cap Index – Net Dividends (which excludes legislatively restricted securities in
tobacco, Iran, Russia, and Sudan). The International Equity portfolio is allocated to one passive core equity
account (19% of the portfolio), eight active core equity accounts (67% of the portfolio), one passive small cap
equity account (5% of the portfolio), and four active small cap equity accounts (9% of the portfolio).
The primary strategy for this portfolio is investing in companies in developed markets, industrialized nations
outside of the United States, including, but not limited to, Japan, Germany, the United Kingdom, France, Italy,
Switzerland, Hong Kong, Canada, and Australia. As of the fiscal year-end, the weighting of International Equity
was 26.4% of the Global Equity portfolio.
Portfolio Risks. Investing in developed markets outside of the United States carries additional risks as compared
to U.S. domestic investments. The added risks are primarily associated with currency, higher trading and
settlement costs, and less stringent investor protections and disclosure standards.
Portfolio Returns. For the fiscal year ending June 30, 2024, the International Equity portfolio returned 10.03%
compared to the benchmark return of 10.65%. Five of the PRIT Fund’s eight active international equity managers
outperformed the Custom MSCI World ex-U.S. Index. Three of the PRIT Fund’s four active international small cap
equity managers outperformed the Custom World ex-U.S. Small Cap Index. On a three-, five-, and 10-year basis
through June 30, 2024, the PRIT Fund’s International Equity portfolio posted returns of 1.22%, 6.56%, and 4.90%,
respectively, compared to the benchmark, which returned 1.84%, 6.04%, and 4.16%, respectively, over the same
periods.
67%
9%
19% 5%
International Equity Portfolio
As of June 30, 2024
Active - Core
Active - Small Cap
Custom World EX-US
Index
Custom World EX-US
Small Cap Index
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 68 FISCAL YEAR 2024
The top ten holdings in the International Equity portfolio at June 30, 2024, are illustrated below. A complete
listing of holdings is available upon request.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 ASML Holding N.V. 182,266$ 1.62%
2 Novo Nordisk 157,148 1.40%
3 BP PLC 95,061 0.84%
4 United Overseas Bank Ltd 87,207 0.77%
5 Rolls-Royce Holdings PLC 78,498 0.70%
6 CIE Financiere Richemont SA 73,674 0.65%
7 Novartis AG 71,333 0.63%
8 Sanofi 68,884 0.61%
9 Banco Santander SA 67,635 0.60%
10 Roche Holding AG 66,211 0.59%
TOTAL 947,917$ 8.42%
The PRIT Fund’s International Equity managers at June 30, 2024, are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2024 ($000s)
State Street Global Advisors Custom World ex-US Index $ 2,110,617
Marathon-London World ex-US 2,640,410
Baillie Gifford World ex-US 1,592,452
Mondrian Investment World ex-US 581,788
ARGA Investment Management World ex-US 730,598
Columbia Threadneedle World ex-US 621,381
Causeway Capital Management World ex-US 548,633
Pzena Investment Management World ex-US 450,982
Xponance World ex-US 370,905
State Street Global Advisors Custom World ex-US Small Cap Index 555,789
Acadian Asset Management World ex-US Small Cap 368,748
AQR Capital Management World ex-US Small Cap 282,618
Artisan Partners World ex-US Small Cap 195,533
Driehaus Capital Management World ex-US Small Cap 209,860
Other portfolio net assets 2,160
$ 11,262,474Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 69 FISCAL YEAR 2024
Emerging Markets Portfolio
As of June 30, 2024, the Emerging Markets Equity portfolio had approximately $4.6 billion in net position,
representing 4.4% of the PRIT Fund. The active emerging markets core equity managers are benchmarked against
the Custom MSCI Emerging Markets Standard Index – Net Dividends (which excludes legislatively restricted
securities in tobacco, Iran, Russia, and Sudan). The active emerging markets small cap equity managers are
benchmarked against the Custom MSCI Emerging Markets Small Cap Net Dividends Index (which excludes
legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The emerging markets equity portfolio is
allocated to five active core equity managers (which comprise about 84% of the emerging market portfolio) and
two active small cap equity managers (16% of the portfolio). The PRIM Board maintains a target weighting of
100% active for the Emerging Markets Equity portfolio.
The primary strategy for this portfolio is investing in companies in developing countries, including, but not limited
to, China, Brazil, South Korea, Taiwan, and India. These countries typically have less efficient securities markets,
and thus there is opportunity for returns above benchmarks. As of the fiscal year end, the weighting of Emerging
Markets Equity was 10.8% of the Global Equity portfolio.
Portfolio Risks. Investing in emerging markets carries risks above and beyond those inherent to domestic and
developed international equity markets. Emerging markets tend to be less efficient than both U.S. and non-U.S.
developed markets, and therefore, are more volatile. In addition to the added volatility, and those risks
mentioned in association with investments in developed international equity markets, emerging market
investments are subject to economic and political risks, exchange control regulation, expropriation, confiscatory
taxation, and social instability.
Portfolio Returns. For the fiscal year, the Emerging Markets Equity portfolio returned 17.99% compared to the
benchmark return of 13.48%. Four of the PRIT Fund’s five active emerging markets core equity managers
outperformed the benchmark. One of the PRIT Fund’s two active emerging markets small cap equity managers
84%
16%
Emerging Markets Equity Portfolio
As of June 30, 2024
Active - Core
Active - Small Cap
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 70 FISCAL YEAR 2024
outperformed the MSCI Emerging Markets Small Cap Index for the fiscal year. On a three-, five-, and 10-year
basis through June 30, 2024, the PRIT Fund’s emerging markets equity managers posted returns of -0.91%, 7.08%,
and 5.52%, respectively, compared to the asset class benchmark, which returned -4.13%, 3.94%, and 3.20% over
the same periods.
The top ten holdings in the Emerging Markets Equity portfolio at June 30, 2024, are illustrated below. A complete
listing of holdings is available upon request.
The PRIT Fund’s Emerging Markets Equity managers at June 30, 2024, are presented in the following table:
Global Equity Emerging-Diverse Manager Program
As of June 30, 2024, the Global Equity Emerging-Diverse Manager Program (inception in May 2022), managed by
Xponance (manager-of-managers), had $207.2 million in net position, representing 0.5% of the Global Equity
portfolio and 0.2% of the PRIT Fund. The Global Equity Emerging-Diverse Manager Program returned 13.43% for
the fiscal year and 9.94% since its inception, compared to the benchmark, which returned 12.31% and 6.92% over
the same periods.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Tawain Semiconductor Mfg. Co. 264,716$ 5.77%
2 Samsung Electronics 171,239 3.73%
3 Tencent Holdings Ltd 164,546 3.58%
4 Tawain Semiconductor Mfg. Co. Ltd. ADR 79,020 1.72%
5 Reliance Industries Ltd 59,463 1.30%
6 Alibaba Group Holding Ltd HK 53,308 1.16%
7 SK Hynix Inc. 51,685 1.13%
8 Mediatek Inc. 47,427 1.03%
9 Mercadolibre Inc. 41,609 0.91%
10 China Merchants Bank Co Ltd HK 39,848 0.87%
TOTAL 972,861$ 21.20%
Portfolio Fair Value at
Manager Investment Mandate June 30, 2024 ($000s)
AQR Emerging EM Core $ 806,131
Baillie Gifford EM Core 842,650
Driehaus Capital EM Core 946,079
Pzena Investment Management, LLC EM Core 1,021,655
T. Rowe Price EM Core 221,099
Acadian EM Small Cap 553,953
Wasatch EM Small Cap 199,731
Other portfolio net assets 28
$ 4,591,326Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 71 FISCAL YEAR 2024
Core Fixed Income Portfolio
As of June 30, 2024, the Core Fixed Income Portfolio had approximately $14.6 billion invested in investment grade
Core Fixed Income positions, representing 13.9% of the PRIT Fund. The Core Fixed Income Portfolio is invested
using the following strategies:
The Core Fixed Income portfolio is benchmarked to the Bloomberg Aggregate Bond Index for core fixed income
securities, the Bloomberg U.S. STRIPS 20+ Year Bond Index for long-duration U.S. STRIPS securities, the
Bloomberg Treasury 1-3 Year Index for short-term fixed income securities, the Bloomberg U.S. TIPS Index for U.S.
TIPS securities, and the Bloomberg Inflation Linked Bond US Dollar Hedged Index for the Global Inflation Linked
Bonds (ILBs).
The Bloomberg Aggregate Bond Index replicates the investment grade bond market. The index is comprised of
corporate, government, asset and mortgage-backed securities. The index portfolio is designed to approximate
the performance of the Bloomberg Aggregate Bond Index, while the active core managers’ mandate is to exceed
the index return. The Core Fixed Income portfolio is designed to reduce the long-term volatility of the total PRIT
Fund.
The allocations to TIPS and ILBs are designed to provide hedges against rises in inflation. The long-duration U.S.
STRIPS portfolio is designed to approximate the performance of the Bloomberg U.S. STRIPS 20+ Year Bond Index
and to lower overall volatility of the total PRIT Fund. The allocation to short-term fixed income securities is
9%
38%
19%
7%
20%
7% 0%
Core Fixed Income Portfolio
As of June 30, 2024
Bloomberg Aggregate Bond
Index
Bloomberg Aggregate Active
Core
Bloomberg U.S. STRIPS 20+
Year Bond Index
Bloomberg Treasury 1-3 Year
Index
Treasury Inflation Protected
Securities (TIPS) Index
Global Inflation Linked Bonds
(ILBS)
Emerging-Diverse Manager
Program
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 72 FISCAL YEAR 2024
designed to approximate the performance of the Bloomberg Treasury 1-3 Year Index and to reduce volatility
while increasing liquidity within the Core Fixed Income portfolio. The Core Fixed Income portfolio includes
investments with emerging-diverse managers which represent less than 0.1% of the PRIT Fund. There is one
manager-of-managers in the PRIT Fund Core Fixed Income Emerging-Diverse Manager Program.
Portfolio Risks. As in the case of equities, the prices of fixed income securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. The portfolio is subject to credit risk through defaults on bonds and other
fixed income securities. Erosion in principal value can result from credit risk and price fluctuations and can
adversely affect portfolio returns.
Portfolio Returns. For the fiscal year 2024, the Core Fixed Income composite returned -0.02% compared to the
-0.24% return of the benchmark (46.6% Bloomberg Aggregate/20% Bloomberg U.S. STRIPS 20+ Year Bond Index
/20% Bloomberg Global IL US TIPS/6.7% Bloomberg World Government Inflation-Linked USD Hedged/6.7%
Bloomberg US Treasury 1-3 Year Index as of June 30, 2024). The Bloomberg Aggregate mandates returned 3.57%,
compared to the Bloomberg Aggregate Bond Index return of 2.63%. The passively managed long-duration U.S.
STRIPS mandate returned -13.12%, compared to the Bloomberg U.S. STRIPS 20+ Year Bond Index return of -
13.10%. The passively managed TIPS mandate returned 2.71%, compared to the Bloomberg Global Inflation-
Linked US TIPS Index which returned 2.71%. The actively managed ILBs mandate returned 1.84%, compared to
the Bloomberg World Government Inflation-Linked USD Hedged Index return of 1.99%. The passively managed
short-term fixed income securities mandate returned 4.51%, compared to the Bloomberg Treasury 1-3 Year Index
return of 4.51%. The Core Fixed Income Emerging-Diverse Manager Program had a return of 3.53% compared to
the custom benchmark return of 2.63%.
On a three-, five-, and 10-year basis through June 30, 2024, the PRIT Fund’s Core Fixed Income portfolio has
returned -4.86%, -0.53%, and 2.07%, respectively, compared to the benchmark, which returned -5.05%, -0.82%,
and 1.87%, respectively.
The top ten Core Fixed Income holdings as of June 30, 2024, excluding certain pooled funds and repurchase
agreements, are illustrated below. A complete listing of holdings is available upon request.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Commit to Purchase FNMA 5.500% August 2054 216,427$ 1.48%
2 U.S. Treasury Bond Principal STRIP 0.000% November 2050 191,878 1.32%
3 U.S. Treasury-CPI Inflation 0.625% July 2032 154,621 1.06%
4 U.S. Treasury-CPI Inflation 1.125% January 2033 138,894 0.95%
5 U.S. Treasury Bond Principal STRIP 0.000% February 2051 135,362 0.93%
6 U.S. Treasury Bond Principal STRIP 0.000% August 2050 130,429 0.89%
7 U.S. Treasury-CPI Inflation 1.750% January 2034 127,104 0.87%
8 U.S. Treasury-CPI Inflation 1.250% April 2028 125,486 0.86%
9 U.S. Treasury-CPI Inflation 1.375% July 2033 117,104 0.80%
10 U.S. Treasury-CPI Inflation 2.125% April 2029 115,328 0.79%
TOTAL 1,452,633$ 9.95%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 73 FISCAL YEAR 2024
The PRIT Fund’s Core Fixed Income portfolio managers at June 30, 2024, are presented in the following table:
Manager Investment Mandate
Portfolio Fair Value at
June 30, 2024 ($000s)
Blackrock Financial Management Core Index $ 1,334,455
Loomis, Sayles & Co., LP Active Core 2,032,781
PIMCO Active Core 1,646,862
Pugh Capital Management Active Core 588,986
New Century Advisors Active Core 487,230
Longfellow Investment Management Active Core 602,220
Blackrock Financial Management Inflation Link Bonds 951,295
Blackrock Financial Management Long-Duration U.S. STRIPS Index 2,811,363
Blackrock Financial Management TIPS Index 2,921,676
Blackrock Financial Management Short-Term Fixed Income 1,001,422
AFL - CIO Housing Investment ETI - Active Core 136,421
Bivium Capital Partners Emerging-Diverse 73,319
Other portfolio net assets (1,366)
$ 14,586,664Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 74 FISCAL YEAR 2024
Value-Added Fixed Income Portfolio
As of June 30, 2024, the Value-Added Fixed Income portfolio had approximately $7.7 billion in net position,
representing 7.3% of the PRIT Fund. The Value-Added Fixed Income portfolio is invested using the following
strategies:
High Yield Bonds, which represent 1.5% of the PRIT Fund, are securities that are typically rated below Investment
Grade by Standard & Poor’s, Fitch, or Moody’s. There are three managers in the PRIT Fund high yield bond
program, all through separate accounts. Each manager’s mandate is to exceed the index return.
Bank Loans, 2.2% of the PRIT Fund, represents investments in senior secured bank loans. There are two managers
in the PRIT Fund bank loan program; both invest through commingled funds. Each manager’s mandate is to
exceed the index return.
Emerging Markets Debt, 0.8% of the PRIT Fund, represents investments in debt issued within the emerging
marketplace. There are two managers in the PRIT Fund emerging markets debt program, representing Hard
Currency strategies; one is through a commingled emerging debt investment vehicle while the other is through
a separate account. Each manager’s mandate is to exceed the index return.
Emerging-Diverse Manager Program, 0.1% of the PRIT Fund, represents investments with emerging-diverse
managers. There is one manager-of-managers in the PRIT Fund Value-Added Fixed Income Emerging-Diverse
Manager Program.
21%
30%
11%
1%
25%
12%
Value-Added Fixed Income Portfolio
As of June 30, 2024
High Yield Bonds
Bank Loans
Emerging Markets Debt -
Hard Currency
Emerging-Diverse Manager
Program
Other Credit Opportunities
Private Debt
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 75 FISCAL YEAR 2024
Other Credit Opportunities, 1.8% of the PRIT Fund, represents investments in other credit strategies whose risk,
return and liquidity characteristics lie between the public market strategies of high yield bonds, bank loans and
emerging markets debt and the private partnerships in the private debt strategies. There are 10 managers in the
PRIT Fund Other Credit Opportunities program; six are through private partnerships while the rest are through
separate accounts.
Private Debt, 0.9% of the PRIT Fund, represents investments in private partnerships that invest directly in
distressed debt investment opportunities. As of June 30, 2024, the PRIT Fund had distressed debt investments
with 11 investment managers.
Portfolio Risks. As in the core fixed income portfolio, the prices of these securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. Lower-quality securities typically offer higher yields, but also carry more
credit risk. The allocation of investments to emerging markets, other credit strategies, and distressed debt
expose the portfolio to additional risks. Investments in emerging markets are subject to higher settlement,
trading and management costs and greater economic, regulatory, and political risk, as well as currency risk.
Investments in Other Credit Opportunities and private distressed debt funds subject the portfolio to liquidity,
valuation and other risks associated with private investments.
Portfolio Returns: In fiscal year 2024, the Value-Added Fixed Income composite returned 11.19% compared to
10.52% for the asset class benchmark. The PRIT Fund’s three high yield bond managers returned 10.35%, while
the Intercontinental Exchange Bank of America High Yield index returned 10.53%. The Emerging Markets Debt
portfolio returned 11.35% during the fiscal year, compared to the JP Morgan Emerging Markets Bond Index,
which returned 8.35%. The two bank loan managers, returned 10.37%, compared to the Morningstar LSTA
Leveraged Loan index return of 11.11%. The Value-Added Fixed Income Emerging-Diverse Manager Program
returned 10.00% compared to the custom benchmark of 9.89%. The Other Credit Opportunities portfolio
returned 14.41% compared to the custom benchmark of 11.89%. The Private Debt portfolio returned 8.88%
compared to the index return of 8.95%. The benchmark for the Private Debt portfolio at June 30, 2024, is the
Burgiss Distressed Debt Universe Lagged Index.
On a three-, five-, and 10-year basis through June 30, 2024, the PRIT Fund’s Value-Added Fixed Income portfolio
has returned 5.10%, 5.90%, and 4.81%, respectively, compared to the benchmark, which returned 3.89%, 3.04%,
and 2.20%, respectively.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 76 FISCAL YEAR 2024
The top ten holdings in the Value-Added Fixed Income portfolio at June 30, 2024, excluding investments in
emerging debt pooled funds, bank loan funds, private debt and other credit opportunities partnerships, and other
pooled funds, are illustrated below. A complete listing of holdings is available upon request.
The PRIT Fund’s Value-Added Fixed Income portfolio managers at June 30, 2024, are presented in the following
table:
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 U.S. Treasury Note 4.625% February 2026 24,911$ 0.32%
2 U.S. Treasury Note 4.125% July 2028 17,043 0.22%
3 U.S. Treasury Note 3.500% April 2030 16,878 0.22%
4 Brazil Letras Do Tesouro Nacio 0.000% April 2025 16,161 0.21%
5 Energy Transfer LP Variable Rate December 2049 12,181 0.16%
6 U.S. Treasury Note 4.875% April 2026 9,580 0.12%
7 Uber Technologies Inc 7.500% September 2027 9,233 0.12%
8 Petroleos Mexicanos 7.690% January 2050 8,091 0.11%
9 Dish Network Corp 3.375% August 2026 7,774 0.10%
10 Cloud Software Group Inc 6.500% March 2029 7,103 0.09%
TOTAL 128,955$ 1.67%
Portfolio Fair Value at
Manager Investment Mandate June 30, 2024 ($000s)
Fidelity Management Trust High Yield Bond $ 633,621
Loomis, Sayles & Co., LP High Yield Bond 489,075
Shenkman Capital Management High Yield Bond 464,995
Ashmore Investment Management Emerging Markets Debt Hard Currency 442,322
PIMCO Emerging Markets Debt Hard Currency 437,462
Morgan Stanley Bank Loans 1,165,704
Voya Bank Loans 1,146,083
Bivium Capital Partners Emerging-Diverse 88,977
Various accounts and partnerships Other Credit Opportunities 1,896,877
Various partnerships Private Debt 911,268
Other portfolio net assets (249)
$ 7,676,135Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 77 FISCAL YEAR 2024
Real Estate Portfolio
As of June 30, 2024, the PRIM Board had $10.1 billion invested in real estate through the PRIT Fund’s ownership
interest in PRIT Core Realty Holdings LLC (the LLC), representing 9.6% of the PRIT Fund. Real estate holdings
consist of directly-owned properties, REITs, mortgage loans receivable, and investments in real estate funds. The
PRIT Fund invests in real estate because it provides diversification and attractive returns. Real estate returns
typically do not have a strong correlation with stock and bond returns, therefore offering an element of
diversification to reduce volatility. Real estate can also offer attractive current returns as a portfolio of well-leased
assets provides consistent cash flows from rental income.
Approximately 92% of the real estate allocation is dedicated to direct investments and private partnerships (the
“Private Real Estate Investments”). The Private Real Estate Investments are subsequently broken down into Core
and Non-Core real estate investments. As of June 30, 2024, $8.7 billion (net of portfolio debt) of Core real estate
investments and $581.2 million of Non-Core real estate investments comprise PRIT's Private Real Estate
Investments, which represents 8.8% of the PRIT Fund. Typically, Core real estate investments are relatively low
risk and substantially leased (80% or greater occupancy at the time of investment) institutional quality real estate.
Non-Core real estate investments offer higher potential returns at a higher risk profile. The PRIM Board’s Non-
Core program targets opportunities associated with development, vacancy and tenant exposure or the potential
to physically or financially reposition an investment. Real estate investments with diverse managers represent
0.1% of the PRIT Fund. As of June 30, 2024, the Real Estate Emerging-Diverse Manager Program had $68.5 million
in net position. Public REITs comprise the remainder of the investments in the PRIT Fund real estate portfolio. As
of June 30, 2024, the PRIM Board had $724.5 million allocated to public REITs. The public REIT portfolio
represents 0.7% of the PRIT Fund.
The following charts display the property type and geographic diversification of the PRIM Board’s directly-owned
real estate assets, at June 30, 2024:
The PRIM Board's strategies utilize a disciplined portfolio approach to real estate investing that is focused on
investments in equity interests in institutional quality real estate. The PRIM Board has established separate
accounts with capable real estate investment managers under terms that are beneficial to the PRIM Board.
31%
40%
15%
10% 4%
Private Real Estate by Property Type
As of June 30, 2024
Apartments
Industrial/Flex
Office
Retail
Other
4% 1%
10%
8%
13%
34%
21%
9%
Private Real Estate by Georgraphy
As of June 30, 2024
East No. Central
West No. Central
Mideast
Mountain
Northeast
Pacific
Southeast
Southwest
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ANNUAL COMPREHENSIVE FINANCIAL REPORT 78 FISCAL YEAR 2024
Because the PRIM Board is typically the sole owner of the real estate in each such account, the managers operate
under clear policies and guidelines most appropriate to the PRIM Board's investment needs.
Leverage. The PRIM Board approved the Real Estate Portfolio Level Leverage Policy at its February 26, 2020 Board
meeting. This policy permits portfolio level debt to be incurred subject to the following policy guidelines: (i) Debt
Service Coverage: The ratio of i) portfolio EBITDA to ii) debt service on total indebtedness should be no lower
than 1.5x at the time debt is placed, assuming actual debt service. (ii)Spread of Operating Yield over Borrowing
Rate: PRIM will target a spread of 100 basis points between the property portfolio operating yield
(EBITDA/portfolio value at cost) and the weighted average borrowing interest rate on total unsecured
indebtedness at the time debt is placed. When acquiring Core Real Estate that requires an assumption of debt
or placement of new debt, the property NOI Yield shall be at least 100 basis points, greater than the borrowing
interest rate of the assumed or new debt. (iii)Total Leverage Ratio: The ratio should be no more than 40% of
the total real estate property portfolio. This ratio includes any property-level financing in place as well as the
portfolio level facility. The calculation of the loan-to-value ratio will be total debt/gross asset value of the real
estate property portfolio. (iv)Financing Characteristics: PRIM may consider all sources of financing options that
are available. Leverage may utilize fixed or floating interest rates and may utilize derivatives to achieve these
rates. The decision to use fixed or floating rates will be determined at the time of borrowing and will be a function
of availability, rate, and risk. Fixed rate financing will be the preferred method.
The LLC had portfolio level notes payable of $350 million at June 30, 2024. In addition, the LLC utilized internal
securities lending capabilities to increase portfolio leverage by $750 million. By utilizing the securities lending
financing capabilities, the LLC is able to achieve lower borrowing costs for the Real Estate portfolio and allow
more flexibility within the real estate debt program. As the $750 million loan is an inter-entity loan, it has been
eliminated in consolidation from the financial statements presented in the Financial Section.
Portfolio Risks. Investments in real estate are subject to various risks, including adverse changes in economic
conditions and in the capital markets, financial conditions of tenants, interest of buyers and sellers in real estate
properties, environmental laws and regulations, zoning laws, governmental rules, uninsurable losses, and other
factors beyond the control of the property owner. In addition, while diversification is an important tool used by
the PRIM Board for mitigating risk, there is no assurance that diversification, either by geographic region or asset
type, will consistently be maintained in the Core Real Estate Portfolio because of the illiquid nature of real estate.
In addition, the portfolio is subject to valuation risk, as the valuation of the assets in this portfolio is based on
estimates made by the PRIM Board in coordination with external appraisers and the investment managers.
Furthermore, there can be no assurance that the fair value of the portfolio will ultimately correspond to the
realized value of the underlying properties. Public REITs face risks similar to the risks of public equities both
domestically and internationally since they are traded on public exchanges. They can experience corrections and
price movements that are much more rapid than those experienced by private real estate portfolios and the
share price can vary significantly from underlying net asset value.
Performance. During the fiscal year, the PRIM Board’s private real estate portfolio outperformed relative to
benchmark. The private real estate sector benefitted from a strong demand for quality industrial and multifamily
real estate in core markets, two property types where PRIM has a relative overweight.
For fiscal year 2024, the real estate portfolio returned -6.24% compared to the -10.77% return of the asset class
benchmark. The Private Real Estate Investments portfolio returned -7.21% for the year ended June 30, 2024,
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 79 FISCAL YEAR 2024
outperforming the NCREIF NFI-ODCE Index (one quarter lag), which returned -12.00% over the same period. REIT
investments returned 5.94% for fiscal year 2024, outperforming the FTSE EPRA NAREIT Developed Net Total
Return benchmark of 5.48%. The Real Estate Emerging-Diverse Manager Program returned 4.31% for the year
ended June 30, 2024, compared to the custom benchmark of -3.11%.
On a three-, five-, and 10-year basis through June 30, 2024, the PRIT Fund’s Real Estate portfolio has returned
4.57%, 6.22%, and 7.73%, respectively, compared to the benchmark, which returned 0.63%, 2.33%, and 5.39%,
respectively.
The PRIT Fund’s real estate investment managers at June 30, 2024, are presented in the following table:
Manager Investment Mandate
Portfolio Fair Value at
June 30, 2024 ($000s)
Invesco Realty Advisors Separate Account - Core $ 2,467,380
LaSalle Investment Management Separate Account - Core 2,368,676
AEW Separate Account - Core 2,431,080
CBRE Separate Account - Core 829,712
Stockbridge Separate Account - Core 795,746
DivcoWest Separate Account - Core 122,589
PRIM Board Separate Account - Core 565,425
Invesco Realty Advisors - Transition Portfolio Separate Account - Core 884
Various Partnerships Non-Core 581,178
CenterSquare Investment Management Global REITs 724,106
Cambridge Associates Emerging-Diverse 68,480
Other portfolio net assets (portfolio debt included) (895,881)
$ 10,059,375Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 80 FISCAL YEAR 2024
Timberland Portfolio
As of June 30, 2024, the PRIM Board had $3.2 billion invested in timberland, representing 3.0% of the PRIT Fund.
The PRIT Fund’s allocation to timberland is through two external timberland investment managers, Forest
Investment Associates (FIA) and The Campbell Group (Campbell).
The United States timberland markets are divided into three regions, each with distinct economic characteristics:
the Pacific Northwest, the Northeast, and the Southeast. The Pacific Northwest is a high value softwood market,
in which the growing cycle to produce a mature tree is forty to fifty years. The high value tree in this region is
Douglas Fir, which is used primarily to produce high quality dimensional and structural lumber. The timber
growing cycle in the Southeast is much shorter, in the range of 20-25 years. Southern pine is the dominant species
and is used typically to make pulp for the paper industry or lower quality framing lumber. The Northeast market
is much smaller than the other two markets and consists of a wider range of trees, including high value specialty
woods such as cherry and oak.
In Australia, there is approximately 2 million hectares (4.9 million acres) of plantation timberlands that are almost
evenly split between hardwood and softwood species. Australia is a net importer of forest products, with limited
domestic supply and high demand. Potential export opportunities exist for plantations within close proximity to
ports due to demand from China. There are approximately 2 million hectares of timberland plantations in New
Zealand, comprised primarily of softwood (radiata pine). The country produces significantly more logs than it
consumes, relying heavily on export markets, particularly China.
The geographical diversification of the PRIT Fund’s timberland portfolio at June 30, 2024, is presented below.
4% 4% 5%
3% 7%
10%
2%
1%
9%
11%
24%
13%
7%
Timberland Assets by Geography
As of June 30, 2024
Arkansas
Florida
Louisiana
Pennsylvania
Mississippi
South Carolina
Georgia
North Carolina
Texas
Oregon
Washington
Australia
New Zealand
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 81 FISCAL YEAR 2024
Investment returns from timberland investments are derived from the net cash flow generated from the sale of
trees (referred to as stumpage sales) combined with capital appreciation from the biological growth of the trees.
Both of these return factors depend to some degree upon the direction of forest product commodity prices
(paper goods and lumber products). There can also be gains from timely land sales to buyers aiming to convert
timberland into higher and better uses.
Portfolio Risks. Investments in timberland assets are subject to various risks, including adverse changes in
general economic conditions, fluctuations in the market price of timber, damage to timber properties due to
infestation and weather-related events, changes in regulatory conditions and other governmental rules. In
addition, the portfolio is subject to valuation risk, as the valuation of the assets in this segment are based on
estimates made by the PRIM Board through coordination with external appraisers and the PRIM Board’s
timberland investment managers. Accordingly, there can be no assurance that the fair value of investments will
correspond to the ultimate realized value of the properties. International timberland investments are also subject
to currency fluctuations that can result in unpredictable gains or losses when foreign currency is converted into
U.S. dollars.
Performance. As of June 30, 2024, the one-year Timberland return was 10.56% as compared to the NCREIF
Timberland Index (one quarter lag) of 9.85%. On a three-, five-, and 10-year basis through June 30, 2024, the
PRIT Fund’s Timberland portfolio has returned 9.26%, 6.73%, and 6.15%, respectively, compared to the
benchmark return of 10.99%, 7.04%, and 5.83%, respectively.
The PRIT Fund’s Timberland investment managers at June 30, 2024, are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2024 ($000s)
Forest Investments Associates Separate Account - Timberland $ 1,464,342
The Campbell Group Separate Account - Timberland 1,727,940
Other portfolio net assets 13,451
$ 3,205,733Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 82 FISCAL YEAR 2024
Private Equity Portfolio
As of June 30, 2024, the fair value of the Private Equity portfolio was $17.9 billion, representing 17.0% of the PRIT
Fund. Unlike public equities, where investors have the ability to liquidate investments generally at any time,
private equity investments are illiquid. Therefore, an investment in this category is a long-term commitment.
The Private Equity portfolio is well-diversified by strategy and the allocation as of June 30, 2024, is presented
below.
The Private Equity portfolio is diversified at the partnership level by strategy as well as at the underlying portfolio
company level by industry and geography. The portfolio’s current geographical and industry allocations are
presented below.
21%
22%
17%
16%
15%
9%
Private Equity by Strategy
As of June 30, 2024
Buyout - Mid
Buyout - Mega
Buyout - Large
Growth Equity
Buyout - Small
Venture Capital
71%
24%
5%
Private Equity by Geography
As of June 30, 2024
North America
Western Europe
Other
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 83 FISCAL YEAR 2024
Capital invested in private equity partnerships is subject to a relatively high degree of risk as compared to other
potential investments, with the assumption that the investor will be rewarded with higher returns for that
assumption of risk, i.e., the “risk/return trade-off”. This risk/return trade-off is the key consideration in
determining if this asset is appropriate for a particular portfolio. These risks are highlighted below.
Portfolio Risks. Risks associated with investing in private equity limited partnerships include, but are not limited
to:
• Illiquidity: Limited partnership vehicles typically have 10-15-year life cycles during which limited partners
are unable to liquidate their entire positions, but instead, will receive the cash flow from successful
investments.
• Volatility: Volatility has historically been greater for private equity investing than many other assets.
• Management Fee Effect: Typically, general partners’ fees range from 150 to 250 basis points annually.
This is usually drawn down against committed capital, although it may not be invested, and may result in
negative returns until investments are realized successfully.
• Valuation of investments: Investment valuation at any time may not be reflective of fair value. Private
equity investments are generally valued at fair value. However, because of the inherent uncertainty of
the valuation of the portfolio companies, the estimated value may differ significantly from the value that
would have been used had a ready market for these investments existed.
42%
14%
14%
8%
7%
6% 3% 2% 2% 2%
Private Equity by Industry
As of June 30, 2024
Information Technology
Health Care
Industrials
Financials
Consumer Discretionary
Communication Services
Energy & Utilities
Consumer Staples
Materials
Other
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 84 FISCAL YEAR 2024
• General Partner Discretion: Investors lack control over the general partner’s investment decisions. The
general partner is provided capital to manage at its discretion and investors are provided limited rights,
such as termination of the partnership in certain instances. (These rights may not prove practical except
in extreme circumstances.)
• Binding Commitments: There is limited ability to reduce or terminate investments. Under the contractual
terms of the partnership, investments may be terminated in some cases by super-majority vote of the
investors and after the occurrence of certain events. (These rights may not prove practical except in
extreme circumstances.)
• Risk of Loss: There is risk of losing 100% of the investment. Investments in partnerships are usually equity
and their risk nature could result in loss of the entire investment.
Performance. The PRIT Fund’s Private Equity portfolio delivered a one-year return of 8.97% through June 30,
2024. The PRIT Fund’s Private Equity managers were active in making new investments as well as in generating
liquidity in the year ending June 30, 2024. The PRIT Fund’s managers called $1.7 billion of capital for additional
investments, management fees, and partnership expenses, which compares to the $2.0 billion called during the
prior fiscal year. From a liquidity standpoint, the portfolio generated total distributions of $2.0 billion which
compares to $1.5 billion of distributions for the 2023 fiscal year.
While there is not currently a widely used or conventional benchmark in this asset class, the PRIM Board staff
targets investment opportunities with the ability to generate a long-term rate of return equal to or greater than
a custom benchmark (7-year annualized return of a blend of the 88% Russell 3000 + 3%/12% MSCI Europe IMI +
3% as of June 30, 2024). As of June 30, 2024, the PRIT Fund’s Private Equity portfolio returned 8.97% compared
to the custom benchmark return of 14.89%. On a three-, five-, and 10-year basis through June 30, 2024, the PRIT
Fund’s Private Equity portfolio has returned 10.23%, 19.28%, and 18.55%, respectively, compared to the custom
benchmark return of 14.68%, 14.60%, and 14.83%, respectively. It is important to remember that there is a one
quarter lag inherent in private equity valuations.
Since inception to June 30, 2024, the PRIT Fund has committed $34.3 billion of which $29.4 billion has been
invested. The program has generated $34.5 billion in distributions. The net IRR since inception for the program
is 13.90%. As of June 30, 2024, there are 397 active partnerships including co-investments.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 85 FISCAL YEAR 2024
PRIVATE EQUITY EXTERNAL MANAGERS
As of June 30, 2024
Partnership Location Partnership Location
1 1315 Capital Philadelphia, PA 54 Kohlberg Kravis Roberts & Co. New York, NY
2 ACON Investments Washington, DC 55 Knox Lane San Francisco, CA
3 Advent International Boston, MA 56 KPS New York, NY
4 AIP Management LP København, Denmark 57 Lovell Minnick Partners Radnor, PA
5 Alta Communications Boston, MA 58 M/C Partners Boston, MA
6 Altor Stockholm, Sweden 59 Madison Dearborn Partners LLC Chicago, IL
7 American Industrial Partners New York, NY 60 Menlo Ventures Menlo Park, CA
8 American Securities, LLC New York, NY 61 Montagu Private Equity London, UK
9 Apollo Management New York, NY 62 Montreux Equity Partners San Francisco, CA
10 Ascent Venture Partners Boston, MA 63 Nash, Sell & Partners London, UK
11 Austin Ventures Austin, TX 64 Nautic Partners LLC Providence, RI
12 Bain Capital Boston, MA 65 New Enterprise Associates Baltimore, MD
13 Battery Ventures Boston, MA 66 NewView Capital Management Burlingame, CA
14 Berkshire Partners Boston, MA 67 Nordic Capital Stockholm, Sweden
15 BlackFin Paris, France 68 Odyssey Investment Partners New York, NY
16 Blackstone New York, NY 69 Olympus Stamford, CT
17 Bridgepoint Capital Ltd. London, UK 70 Onex Corporation Toronto, Canada
18 Carlyle Group Washington, DC 71 Permira Advisers Limited London, UK
19 Catalyst Investors New York, NY 72 Polaris Growth Fund Boston, MA
20 Centerbridge Associates New York, NY 73 Polaris Boston, MA
21 Charlesbank Capital Partners Boston, MA 74 Providence Equity Partners, Inc. Providence, RI
22 Charterhouse Capital Partners London, UK 75 PSG Equity L.L.C. Boston, MA
23 Chequers Partenaires Paris, France 76 Quad-C Management, Inc. Charlottesville, VA
24 Clearhaven Partners Boston, MA 77 Quantum Energy Partners Houston, TX
25 CVC Capital Partners London, UK 78 Red Arts Capital Management, LLC Chicago, IL
26 Denham Capital Management LP Boston, MA 79 Rembrandt Venture Partners Menlo Park, CA
27 Elysian Capital LLP London, UK 80 Rhone Capital LLC New York, NY
28 Essex Woodlands Health Ventures New York, NY 81 SAIF Partners Hong Kong, China
29 Ethos Private Equity Ltd. Johannesburg, South Africa 82 SCP Private Equity Management L.P. Wayne, PA
30 Exponent London, UK 83 Sherbrooke Capital Newton, MA
31 First Reserve Corporation Standford, CT 84 Sofinnova Ventures Inc. Menlo Park, CA
32 Five Elms GP Salt Lake City, UT 85 Spark Capital Partners, LLC Boston, MA
33 Flagship Ventures Cambridge, MA 86 Stone Point Capital Greenwich, CT
34 Genstar Capital Partners San Francisco, CA 87 Summit Partners Boston, MA
35 Georgian Partners Toronto, Canada 88 Schroder Ventures Life Sciences Boston, MA
36 Gilde Buyout Partners Utrecht, Netherlands 89 TA Associates Boston, MA
37 Gores Technology Group Los Angeles, CA 90 Technology Crossover Ventures Menlo Park, CA
38 GTCR Golder Rauner, LLC Chicago, IL 91 Thoma Bravo, LLC San Francisco, CA
39 H.I.G. Capital Miami, FL 92 Thoma Cressey Equity Partners Chicago, IL
40 Hellman & Friedman LLC San Francisco, CA 93 THL Partners Boston, MA
41 Highland Capital Lexington, MA 94 Thompson Street Capital Partners St. Louis, MO
42 HongShan Capital Beijing, China 95 Tidemark Management Company LP Menlo Park, CA
43 Hony Capital Beijing, China 96 TorQuest Partners Toronto, Canada
44 Index Ventures Management SA London, UK 97 Towerbrook Capital Partners New York, NY
45 Medicxi Ventures London, UK 98 TPG Capital San Francisco, CA
46 Insight Partners New York, NY 99 Trident Capital Management Los Angeles, CA
47 Institutional Venture Partners Menlo Park, CA 100 Union Square Ventures New York, NY
48 InterWest Partners Menlo Park, CA 101 VantagePoint Venture Partners San Bruno, CA
49 JMI Management Baltimore, MD 102 Vista Equity Partners San Francisco, CA
50 Kelso & Company New York, NY 103 Waterland Private Equity Investments B.V. Amsterdam, Netherlands
51 Kepha Partners Waltham, MA 104 Westview Capital Management Boston, MA
52 Keytone Capital Partners Beijing, China 105 Wing Ventures Palo Alto, CA
53 Kinzie Capital Partners LLC Chicago, IL 106 Xenon Private Equity Ltd. Jersey, UK
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 86 FISCAL YEAR 2024
Portfolio Completion Strategies (PCS) Portfolio
As of June 30, 2024, the PCS portfolio had approximately $8.7 billion in net position, representing 8.3% of the
PRIT Fund. The PCS portfolio is invested in the following strategies:
The objective of the PCS portfolio is to provide the PRIT Fund access to broader investment opportunities.
Investments selected for the PCS portfolio should enhance the risk/return profile of the PRIT Fund. Investments
may include long-term strategic investments or short-term opportunistic investments.
The overall PCS portfolio is compared against a strategic benchmark, which is the weighted average of the
subcategories’ public index-based benchmarks. Meanwhile, each investment within the PCS portfolio has a
secondary (implementation) benchmark, which is largely peer index-based, to measure the performance of
individual managers.
Portfolio Risks. The PCS portfolio is subject to the various risks of underlying investments. The portfolio is subject
to market risk through a general downturn in market conditions and a general reversal of the risk premia that
the strategies are trying to capture, as well as credit risk inherent in fixed income strategies. The portfolio is also
exposed to liquidity risk in unwinding underlying illiquid positions. In addition, the PCS portfolio is exposed to
operational risks in executing investment strategies and valuing investment positions. Investment managers
operate within detailed investment guidelines to ensure portfolios are managed with appropriate diversification
and risk control.
Performance. For the fiscal year, the PCS portfolio returned 10.75% compared to the asset class benchmark
return of 8.77%. On a three-, five-, and 10-year basis through June 30, 2024, the PRIT Fund’s PCS portfolio has
returned 4.38%, 4.56%, and 3.77%, respectively, compared to the benchmark return of 4.30%, 5.35%, and 4.05%,
respectively.
92%
8%
Portfolio Completion Strategies Portfolio
As of June 30, 2024
Hedge Funds
Real Assets
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 87 FISCAL YEAR 2024
The PRIT Fund’s PCS managers at June 30, 2024, are presented in the following table:
Overlay
As of June 30, 2024, the Overlay portfolio, managed in part by Parametric Portfolio Associates, had $317.8 million
in net position, representing 0.3% of the PRIT Fund. The Overlay portfolio returned 14.22% for the fiscal year,
2.04% over the three-year period, 9.83% over the five-year period, and 7.89% over the 10-year period.
The objective of the overlay program is to reduce performance drag by earning market returns on cash which is
not invested. Investments are made through the futures market.
Manager Strategy Focus Location
1 400 Capital Management Hedge Fund New York, NY
2 Basswood Capital Management, LLC Hedge Fund New York, NY
3 BlackRock Financial Management Real Assets New York, NY
4 Bridgade Capital Management Hedge Fund New York, NY
5 Cantab Capital Partners Hedge Fund Cambridge, UK
6 Canvas Capital Hedge Fund Rio de Janeiro, Brazil
7 Capula Investment Management Hedge Fund Greenwich, CT
8 CKC Capital Hedge Fund New York, NY
9 Complus Asset Management Limited Hedge Fund Hong Kong, China
10 Contrarian Capital Management Hedge Fund Greenwich, CT
11 Davidson Kempner Capital Management Hedge Fund New York, NY
12 DLD Asset Management Hedge Fund New York, NY
13 Elliot Management Corporation Hedge Fund New York, NY
14 Fir Tree Partners Hedge Fund New York, NY
15 Highland Peak Capital, LLC Hedge Fund Old Greenwich, CT
16 Investcorp Investment Advisers Hedge Fund New York, NY
17 JEN Partners Real Assets New York, NY
18 Land and Buildings Investment Management Hedge Fund Stamford, CT
19 LMCG Serenitas Hedge Fund New York, NY
20 Markel CATCo Investment Management Real Assets Hamilton, Bermuda
21 Mudrick Capital Management Hedge Fund New York, NY
22 Mygale Hedge Fund London, UK
23 North Peak Capital Management Hedge Fund New York, NY
24 Oaktree Capital Management, LP Hedge Fund New York, NY
25 PAAMCO Hedge Fund Newport Beach, CA
26 PGIM Real Assets Newark, NJ
27 RV Capital Management Hedge Fund Singapore
28 Sightway Capital Real Assets New York, NY
29 Silver Creek Advisory Partners Real Assets Seattle, WA
30 Summit Partners Public Asset Management, LLC Hedge Fund Boston, MA
31 Tabor Asset Management Hedge Fund New York, NY
32 Trium Capital LLP Hedge Fund London, UK
33 Valent Asset Management Hedge Fund New York, NY
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 88 FISCAL YEAR 2024
SCHEDULE OF TIME-WEIGHTED RETURNS BY ASSET CLASS*
For the Periods Ended June 30, 2024
(1)
The Global Equity Emerging-Diverse Manager Program Index was
established on May 1, 2022. The Composite Index is calculated by
applying the underlying benchmark return for each manager
to the manager’s weight within the Global Equity Emerging-Diverse Manager Program Composite.
(2)
Value-Added Fixed Income benchmark is calculated by applying the
investment performance of the sub asset class benchmarks to the sub
asset class weights within the value-added fixed income
portfolio,
Private Debt component is using Burgiss Distressed Debt Universe Lagged,
if the Burgiss return is not available, the actual portfolio net return
will be used as a placeholder until the
Burgiss Private Debt BM is published.
(3)
Real Estate benchmark is calculated by applying the investment
performance of the sub asset class benchmarks to the sub asset class
weights within the real estate portfolio.
(4) 7-year annualized return of a blend of the 88% Russell 3000 + 3%/12% MSCI Europe IMI + 3% at 6/30/2024.
(5)
Total Portfolio Completion Strategies Composite Index was formed on
April 1, 2017 by combining the prior Portfolio Completion Strategies
with Total Hedge Funds. Total Portfolio Completion
Strategies
Composite Index is calculated by applying the underlying benchmark
return for each sub asset class to the asset class’s weight within the
Total Portfolio Completion Strategies Composite.
* All return information is gross of fees. Returns are calculated based on a time-weighted rate of return methodology.
Asset Class 1 Year 3 Year 5 Year 10 Year
Benchmark as of June 30, 2024
Global Equity 18.36% 5.24% 10.79% 8.60%
Custom MSCI ACWI IMI with USA Gross Index (Net Variant) 18.72% 4.93% 10.26% 8.04%
Domestic Equity 22.37% 8.47% 13.85% 11.93%
Custom MSCI USA IMI Gross 23.34% 8.25% 13.96% 12.03%
International Equity 10.03% 1.22% 6.56% 4.90%
Custom MSCI World EX-US IMI NET DIVS 10.65% 1.84% 6.04% 4.16%
Emerging Markets Equity 17.99% -0.91% 7.08% 5.52%
Custom MSCI Emerging Markets IMI NET DIVS 13.48% -4.13% 3.94% 3.20%
Global Equity Emerging-Diverse Manager Program 13.43% na na na
Global Equity Emerging-Diverse Manager Program Index (1) 12.31% na na na
Core Fixed Income -0.02% -4.86% -0.53% 2.07%
46.6% Bloomberg US Agg/20% Bloomberg Global IL US TIPS/6.7% Bloomberg World Gov IL
USD Hedged/20% Bloomberg US STRIPS 20+ Year/6.7% Bloomberg US Treasury 1-3 Year -0.24% -5.05% -0.82% 1.87%
Value-Added Fixed Income 11.19% 5.10% 5.90% 4.81%
Asset Class BM (2) 10.52% 3.89% 3.04% 2.20%
Real Estate -6.24% 4.57% 6.22% 7.73%
Asset Class BM (3) -10.77% 0.63% 2.33% 5.39%
Private Equity 8.97% 10.23% 19.28% 18.55%
7 year annualized custom benchmark (4) 14.89% 14.68% 14.60% 14.83%
Timberland 10.56% 9.26% 6.73% 6.15%
NCREIF Timberland Index (one quarter lag) 9.85% 10.99% 7.04% 5.83%
Portfolio Completion Strategies 10.75% 4.38% 4.56% 3.77%
Total Portfolio Completion Strategies Composite Index (5) 8.77% 4.30% 5.35% 4.05%
Overlay 14.22% 2.04% 9.83% 7.89%
No Benchmark na na na na
1 Year 3 Year 5 Year 10 Year
Total PRIT Core Fund 9.94% 4.19% 8.53% 7.78%
Policy Benchmark 10.29% 4.54% 7.44% 6.77%
TUCS Universe Median 9.93% 4.20% 8.52% 7.65%
TUCS Universe Ranking 50th 50th 50th 35th
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 89 FISCAL YEAR 2024
Investment Summary at Fair Value
As of June 30, 2024
Short-term:
Fair Value
($000s)
% of Fair
Value
Money market investments $ 1,302,183 1.19%
Fixed income:
U.S. government obligations 9,189,444 8.39%
Domestic fixed income 8,752,145 7.99%
International fixed income 2,457,005 2.24%
Private debt 868,115 0.79%
Other credit opportunities 1,976,166 1.80%
23,242,875 21.21%
Equity:
Domestic equity securities 25,746,015 23.50%
International equity securities 16,061,749 14.66%
41,807,764 38.16%
Timberland 3,192,283 2.91%
Private equity funds 17,589,527 16.05%
Real estate:
Real estate properties 9,974,149 9.10%
Real estate equity securities 743,848 0.68%
Real estate funds 763,954 0.70%
Mortgage loans receivable 114,176 0.10%
Other 149,575 0.14%
11,745,702 10.72%
Portfolio completion strategies:
Event-driven hedge funds 998,816 0.91%
Relative value hedge funds 590,623 0.54%
Fund of funds 775,120 0.71%
Distressed loan fund 80,218 0.07%
Real assets fund 254,964 0.23%
Equity securities 2,096,612 1.92%
Fixed income securities 3,886,321 3.55%
Cash and cash equivalent 1,528,904 1.40%
Agricultural investments 469,916 0.43%
10,681,494 9.76%
Total investments $ 109,561,828 100.00%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 90 FISCAL YEAR 2024
SUMMARY SCHEDULE OF BROKER COMMISSIONS
(Top 25 Brokers and Cumulative Fees Paid to Others)
Fiscal Year Ended June 30, 2024
Brokerage Firms Fees Paid ($) % Total
Average $
per share
JP Morgan 1,106,854$ 9.6% 0.0035
Goldman Sachs 986,902 8.6% 0.0019
Morgan Stanley 894,678 7.8% 0.0021
Merrill Lynch 783,767 6.8% 0.0024
UBS 687,495 6.0% 0.0022
Jefferies 676,725 5.9% 0.0057
Citigroup 525,053 4.6% 0.0037
Loop Capital Markets 476,779 4.1% 0.0191
Pershing 309,328 2.7% 0.0054
Instinet 303,963 2.6% 0.0012
HSBC 256,066 2.2% 0.0012
Macquarie 253,209 2.2% 0.0029
Liquidnet 235,695 2.0% 0.0172
William Blair & Co 215,349 1.9% 0.0322
National Financial Services 198,513 1.7% 0.0219
RBC Capital Markets 178,708 1.5% 0.0204
Daiwa Securities 173,212 1.5% 0.0076
Credit Lyonnais 164,209 1.4% 0.0017
Sanford C. Bernstein & Co 148,743 1.3% 0.0085
Virtu Americas LLC 140,971 1.2% 0.0098
Barclays 126,332 1.1% 0.0054
DSP Merrill Lynch Ltd 116,198 1.0% 0.0051
Needham & Co 112,589 1.0% 0.0309
Robert W. Baird & Co 111,363 1.0% 0.0371
CACEIS 103,127 0.9% 0.0044
Others 2,236,285 19.4% 0.0067
Totals 11,522,113$ 100.0% 0.0034
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 91 FISCAL YEAR 2024
SCHEDULE OF MANAGEMENT FEES
Fiscal Year Ended June 30, 2024
Investment Management Fees by Asset Class: ($000s)
Global Equity 82,379$
Core Fixed Income 9,341
Value-Added Fixed Income 14,031
Real Estate 53,757
Timberland (983)
Private Equity 10,072
Portfolio Completion Strategies 41,841
Overlay 813
Total Investment Management Fees 211,251
Investment Advisory Fees 15,496
Custodian Fees 935
Other Administrative Fees 29,710
Total Management Fees charged to the PRIT Fund 257,392$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 92 FISCAL YEAR 2024
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENT
Segmentation Accounts invested as of June 30, 2024
Retirement System
Net Asset Vaules
($000s) 6/30/24
General
Allocation
Domestic Equity
International
Equity
Emerging Markets
Core Fixed Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Adams 42,006$ X
Amesbury 72,848$ X
Andover 312,290$ X X X X X
Arlington 214,660$ X
Attleboro 18,062$ X
Barnstable 1,636,825$ X
Belmont 152,567$ X
Berkshire 357,821$ X
Beverly 194,765$ X
Blue Hills 14,954$ X
Boston Teachers 2,388,859$ X
Braintree 20,956$ X X
Bristol County 139,382$ X X
Brookline 476,771$ X X
Cambridge 267,019$ X X
Cape Light Compact JPE 3,672$ X
Chelsea 288,609$ X
Chicopee 82,199$ X X X
Clinton 77,373$ X X
Concord 107,141$ X X X X X
Danvers 58,608$ X X X X X
Dedham 194,993$ X
Dukes County 126,966$ X X X X
Easthampton 75,785$ X
Essex 699,019$ X X
Everett 284,627$ X
Fairhaven 92,505$ X
Fall River 391,212$ X
Falmouth 38,175$ X X X
Fitchburg 171,616$ X
Framingham 462,229$ X
Franklin County 115,044$ X X X X X
Gardner 76,765$ X
Gloucester 159,549$ X
Greenfield 101,622$ X
Hampden County 527,280$ X
Hampshire County 472,609$ X X X X X X X
Haverhill 218,236$ X X X X X X X X
Hingham 170,937$ X
Holliston 1,010$ X
Holyoke 23,741$ X X X
Hull 63,916$ X
Lawrence 344,152$ X
Leominster 288,820$ X
Lexington 28,309$ X X
Lowell 522,393$ X
Lynn 533,432$ X
Marblehead 126,386$ X
Mass Turnpike 163,303$ X
Massport 162,023$ X X
Maynard 27,372$ X X X X X
MBTA 327,733$ X X X X X X X
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 93 FISCAL YEAR 2024
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENT, continued
Segmentation Accounts invested as of June 30, 2024
Retirement System
Net Asset Vaules
($000s) 6/30/24
General Allocation
Domestic Equity
International
Equity
Emerging Markets
Core Fixed Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Medford 73,186$ X X X
Melrose 112,555$ X
Methuen 244,433$ X
Middlesex 2,032,244$ X
Milford 134,736$ X X
Milton 204,425$ X
Minuteman 16,019$ X
Montague 59,660$ X
MSCBA 5,312$ X
MWRA 34,916$ X X X
Natick 68,367$ X X X
Needham 231,948$ X
Newburyport 123,094$ X
Newton 537,122$ X
Norfolk 308,409$ X X X X
North Adams 188$ X
Northbridge 53,140$ X
Northampton 334$ X
Norwood 10,172$ X
Peabody 205,317$ X
Pittsfield 189,239$ X
Plymouth 73,696$ X X X X
Quincy 395,852$ X X X
Reading 191,740$ X X X X X X X X X
Revere 249,529$ X
Salem 271,044$ X
Saugus 63,745$ X X X X
Shrewsbury 136,672$ X X X X X X X
Somerville 15,247$ X
Southbridge 84,463$ X
Springfield 581,405$ X
State Employees' 37,555,010$ X
State Retiree Benefits Trust 3,658,801$ X
State Teachers' 40,193,113$ X
Stoneham 62,957$ X X X X
Swampscott 60,746$ X X X X X X
Tauton 10,392$ X
Wakefield 170,923$ X
Waltham 88,471$ X X X X
Watertown 85,876$ X X X X
Webster 61,979$ X X
Wellesley 290,290$ X
Westfield 26,735$ X X X
Weymouth 32,621$ X X
Winchester 176,339$ X
Winthrop 105,626$ X
Woburn 195,064$ X
Worcester 771,424$ X X X X
Worcester Regional 1,080,212$ X
105,253,934$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 94 FISCAL YEAR 2024
INVESTMENT POLICY STATEMENT
The following are significant elements and related excerpts from the PRIM Board’s investment policy statement.
The purpose of the statement is to delineate the investment policy and guidelines and to establish the overall
investment strategies and discipline of the PRIM Board. This policy is intended to allow for sufficient flexibility to
capture investment opportunities yet provide parameters that ensure prudence and care in the execution of the
investment program. This policy is issued for the guidance of fiduciaries, including Trustees, staff professionals,
investment managers, custodians, and investment consultants, for managing the assets of the PRIT Fund. The
policy is intended to provide a foundation from which to oversee the management of the PRIT Fund in a prudent
manner.
A. Investment Objectives
PRIM’s overall objective is to achieve the highest level of investment performance that is compatible with its risk
tolerance and prudent investment practices. Because of the long-term nature of the Commonwealth’s pension
liabilities, PRIM maintains a long-term perspective in formulating and implementing its investment policies, and
in evaluating its investment performance. Investment performance is measured by three integrated long-term
objectives as described below:
(a) The actuarial target rate of return is the key actuarial assumption affecting future Commonwealth funding
rates and pension liabilities. Investment performance that exceeds or underperforms the target rate may
materially impact future funding rates and liabilities. The PRIM Board seeks to have a long-term investment
performance that will meet or exceed its actuarial target rate of return.
(b) The investment policy benchmark is calculated by applying the investment performance of the asset class
benchmarks to the PRIT Fund’s asset allocation targets. The investment policy benchmark enables PRIM
to compare the PRIT Fund’s actual performance to a passively managed proxy and to measure the
contribution of active investment management and policy implementation.
(c) PRIM also compares its total fund performance to an appropriate public plan sponsor comparison universe.
A peer universe comparison permits PRIM to compare its performance to large public and other pension
plans. While PRIM seeks to rank consistently in the top half of comparable public pension funds, PRIM
recognizes that other funds may have investment objectives and risk tolerances that differ substantially
from PRIM’s.
PRIM expects to meet or exceed these objectives over its long-term investment horizon. The expected volatility
of markets and unique objectives of PRIM relative to other pension plans may not favor, over shorter periods,
PRIM’s strategic investment policies.
B. Asset Allocation Plan
PRIM recognizes that over the long-term, asset allocation is the single greatest contributor of return and risk to
the PRIT Fund. At reasonable intervals of not more than three to five years, PRIM will complete a comprehensive
review of its Asset Allocation Plan and its underlying assumptions, including: the Commonwealth’s current and
projected pension assets and liabilities; long-term capital markets rate of return assumptions; and PRIM’s risk
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 95 FISCAL YEAR 2024
tolerances. The PRIM Board shall examine the Asset Allocation Plan annually and shall consider adjustments to
the Plan as may be appropriate given the Plan’s long-term nature and objectives.
C. Rebalancing Policy
The actual asset allocation mix will deviate from the Asset Allocation Plan’s target due to market movement, cash
flows, and manager performance. Material deviations from the asset allocation targets can alter the expected
return and risk of the PRIT Fund. Accordingly, the PRIM Board has adopted asset class ranges for each asset class,
and positioning within a specified asset class range is acceptable and constitutes compliance with the Asset
Allocation Plan. It is the responsibility of PRIM staff to keep actual asset class allocations within the asset
allocation ranges. It is anticipated that the PRIM Board will make periodic revisions to the Asset Allocation Plan,
and it is recognized that in some cases it may be prudent to allow an extended period of time to fully implement
revisions to the Asset Allocation Plan. The spirit of this policy is to implement the investment strategy within the
asset class ranges at a reasonable cost, recognizing that overly precise management of asset exposures can result
in transactions costs that are not economically justified. In the circumstance that a rebalancing is warranted,
staff shall have the discretion to instruct public securities managers (including an overlay manager) to use futures
as a short-term tool to rebalance the PRIT Fund. The PRIM Board acknowledges that market conditions or
circumstances beyond PRIM’s control may lead to asset class weightings being temporarily out of their target
ranges, especially as those ranges relate to illiquid asset classes.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2024
Statistical Section
PENSION RESERVES INVESTMENT TRUST FUND
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 96 FISCAL YEAR 2024
Schedules of Changes in Pooled Net Position
For Fiscal Years Ending June 30
(Dollars in thousands)
Additions 2024 2023 2022 2021 2020 2019 2018 2017 2016 2015
State
Employees contributions $ 902,529 $ 862,503 $ 858,181 $ 698,282 $
705,315 $ 733,289 $ 727,625 $ 855,586 $ 727,147 $ 580,527
State teachers contributions 1,136,487 1,097,164 1,058,832 898,722 851,798 860,223 804,171 761,753 752,835 721,148
Other participants contributions 1,774,095 1,509,833 2,425,078 1,313,240 1,466,201 1,579,329 1,218,193 1,071,727 922,092 877,252
Net
investment income (loss) 9,141,934 5,118,252 (3,239,745) 21,944,914
1,448,873 4,046,225 6,354,624 7,655,016 1,091,671 2,073,376
Total
additions to pooled net position 12,955,045 8,587,752 1,102,346
24,855,158 4,472,187 7,219,066 9,104,613 10,344,082 3,493,745 4,252,303
Deductions
State employees warrants 711,757 660,900 617,937 561,407 542,457 516,014 486,526 458,340 444,166 381,565
State teachers warrants 800,186 765,139 729,006 708,768 680,135 656,099 621,701 596,815 569,054 544,646
Participants redemptions 1,417,952 1,519,401 1,355,825 1,112,613 1,218,278 1,073,298 996,520 1,055,203 924,710 768,507
State appropriation funding 1,297,433 1,478,950 1,639,792 1,723,567 1,844,875 1,910,459 2,014,583 2,034,579 2,066,264 1,954,853
Operating expenses 35,200 31,000 29,576 35,717 36,321 29,200 34,082 41,509 40,491 35,761
Total
deductions to pooled net position 4,262,528 4,455,390 4,372,136
4,142,072 4,322,066 4,185,070 4,153,412 4,186,446 4,044,685 3,685,332
Changes
in pooled net position $ 8,692,517 $ 4,132,362 $ (3,269,790) $
20,713,086 $ 150,121 $ 3,033,996 $ 4,951,201 $ 6,157,636 $ (550,940) $
566,971
The above table provides additional information regarding
changes in pooled net position from that presented in the Statement of
Changes in Pooled
Net Position in the Financial Section of the ACFR.
Deductions represent redemptions from the PRIT fund by state employees,
state teachers and other
participant retirement systems. Deductions
also include redemptions for state appropriation funding and
reimbursement of MASTERS operating
expenses. State appropriation
funding represents funds withdrawn to cover the shortfall in the pension
appropriation of the Commonwealth of
Massachusetts. Operating
expenses represent redemptions made by state employees and state
teachers for certain operating expenses. This
information is derived
from the same information used for the basic financial statements.
Current fiscal year-end information should be read in
conjunction with the Schedule of Changes in Pooled Net Position - Capital Fund and Cash Fund provided in the Financial Section.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights and Financial Highlights Ratios
ANNUAL COMPREHENSIVE FINANCIAL REPORT 97 FISCAL YEAR 2024
Pages 98-100 provide the financial highlights of the PRIT Fund for the year ended June 30, 2024. In addition,
pages 101-106 provide additional financial highlights ratios for the nine previous fiscal year ends. Together, these
tables provide additional information regarding important ratios to assist the reader of the ACFR in understanding
the financial position of the PRIT Fund. This information includes important return and expense ratios for the
entire PRIT Fund as well as the various accounts that comprise the PRIT Fund. This information should be read in
conjunction with the description of the investment program highlighted in the Investment Section of the ACFR.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights
For the year ended June 30, 2024
ANNUAL COMPREHENSIVE FINANCIAL REPORT 98 FISCAL YEAR 2024
Public Private Private Private Private
Value- Equity Equity Equity Equity
Core Added Vintage Vintage Vintage Vintage
General Domestic International Emerging Fixed Fixed Private Hedge Liquidating Private Year Year Year Year
Allocation Equity Equity Markets Income Income Debt Funds Portfolios Equity 2000 2001 2002 2003
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 527.68 606.33 407.36 604.17
290.25 350.39 232.03 105.54 66.51 467.26 205.68 1,045.80 755.50 439.79
Investment operations:
Net investment income (loss)(1) 11.93 9.05 11.20 14.26 (9.15) 27.05 16.03 0.26 (0.46) 33.74 7.60 (2.07) (6.15) (0.18)
Net realized and unrealized gain (loss)
on investments and foreign currency 38.39 125.92 28.29 89.02 8.80 8.33 1.81 13.03 (4.39) (0.40) (45.86) 93.52 (252.35) 15.99
Total from investment
operations 50.32 134.97 39.49 103.28 (0.35) 35.38 17.84 13.29 (4.85) 33.34 (38.26) 91.45 (258.50) 15.81
Net
position per unit, end of year $ 578.00 741.30 446.85 707.45 289.90
385.77 249.87 118.83 61.66 500.60 167.42 1,137.25 497.00 455.60
Ratios and supplementary data:
Total net return(2) 9.54% 22.26% 9.69% 17.09% (0.12)% 10.10% 7.69% 12.59% (7.29)% 7.14% (18.60)% 8.74% (34.22)% 3.59%
Net
position, end of year ($'000s) $ 101,904,936 26,612,847 11,262,474
4,591,326 14,586,664 4,867,991 911,268 8,043,162 25,465 292,352 7,534
13,647 497 11,390
Units outstanding, end of year ('000s) 176,306 35,900 25,204 6,490 50,316 12,619 3,647 67,689 413 584 45 12 1 25
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.51% 0.10% 0.32% 0.85% 0.10% 0.42% 1.10% 1.09% 0.69% 0.04% 0.04% 0.04% 0.05% 0.04%
Ratio of expenses, excluding indirect
management fees 0.20% 0.10% 0.32% 0.85% 0.10% 0.19% 0.09% 0.19% 0.69% 0.04% 0.04% 0.04% 0.05% 0.04%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
(1) Based on weighted average units outstanding.
(2)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights, continued
For the year ended June 30, 2024
ANNUAL COMPREHENSIVE FINANCIAL REPORT 99 FISCAL YEAR 2024
Private Private Private Private Private Private Private Private Private Private Private Private Private Private
Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage
Year Year Year Year Year Year Year Year Year Year Year Year Year Year
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 215.00 248.45 198.63 68.30
384.63 504.57 320.85 309.98 38.21 376.10 274.22 344.00 133.18 244.83
Investment operations:
Net investment income (loss)(1) (0.72) 2.71 (0.02) 0.06 0.92 1.11 1.14 0.43 (0.04) 2.70 3.40 0.56 0.09 2.67
Net realized and unrealized gain (loss)
on investments and foreign currency (68.64) (32.00) (0.51) (8.29) 60.60 4.49 (33.25) (5.93) 2.00 (10.31) 1.84 31.14 15.66 23.04
Total from investment
operations (69.36) (29.29) (0.53) (8.23) 61.52 5.60 (32.11) (5.50) 1.96 (7.61) 5.24 31.70 15.75 25.71
Net
position per unit, end of year $ 145.64 219.16 198.10 60.07 446.15
510.17 288.74 304.48 40.17 368.49 279.46 375.70 148.93 270.54
Ratios and supplementary data:
Total net return(2) (32.26)% (11.79)% (0.27)% (12.05)% 15.99% 1.11% (10.01)% (1.77)% 5.13% (2.02)% 1.91% 9.22% 11.83% 10.50%
Net
position, end of year ($'000s) $ 3,204 9,862 104,201 88,238 443,478
61,731 329,163 453,985 394,855 593,998 1,232,145 1,601,244 718,757
1,810,487
Units outstanding, end of year ('000s) 22 45 526 1,469 994 121 1,140 1,491 9,829 1,612 4,409 4,262 4,826 6,692
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.04% 0.12% 0.05% 0.13% 0.08% 0.04% 0.28% 0.76% 0.72% 0.63% 0.67% 0.83% 1.30% 0.86%
Ratio of expenses, excluding indirect
management fees 0.04% 0.04% 0.04% 0.04% 0.04% 0.04% 0.05% 0.07% 0.04% 0.04% 0.12% 0.16% 0.04% 0.07%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.(2)
(1) Based on weighted average units outstanding.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights, continued
For the year ended June 30, 2024
ANNUAL COMPREHENSIVE FINANCIAL REPORT 100 FISCAL YEAR 2024
Private Private Private Private Private Private Private
Equity Equity Equity Equity Equity Equity Equity Global
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Other Equity
Year Year Year Year Year Year Year Real Cash Real Credit Emerging
2018 2019 2020 2021 2022 2023 2024 Estate Timberland Overlay Assets Opportunities Diverse
Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 173.62 223.39 156.42 101.77
94.68 99.50 100.00 951.98 353.47 273.44 85.45 149.49 107.36
Investment operations:
Net investment income (loss)(1) 1.35 0.30 0.60 (0.02) (0.06) 0.20 (3.77) 35.30 5.11 20.00 1.57 2.96 1.47
Net realized and unrealized gain (loss)
on investments and foreign currency 17.59 10.59 16.13 10.64 9.39 17.21 (0.41) (99.90) 31.46 18.43 (9.43) 18.32 12.07
Total from investment
operations 18.94 10.89 16.73 10.62 9.33 17.41 (4.18) (64.60) 36.57 38.43 (7.86) 21.28 13.54
Net position per unit, end of year $ 192.56 234.28 173.15 112.39 104.01 116.91 95.82 887.38 390.04 311.87 77.59 170.77 120.90
Ratios and supplementary data:
Total net return(2) 10.91% 4.87% 10.70% 10.44% 9.85% 17.50% (4.18)% (3) (6.79)% 10.35% 14.05% (9.20)% 14.24% 12.61%
Net
position, end of year ($'000s) $ 2,197,139 1,852,665 1,995,951
2,200,145 1,156,599 279,875 32,675 10,059,375 3,205,735 317,795 692,521
1,896,877 207,230
Units outstanding, end of year ('000s) 11,410 7,908 11,527 19,576 11,120 2,394 341 11,336 8,219 1,019 8,925 11,108 1,714
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.93% 0.97% 1.65% 1.97% 3.49% 1.90% 4.19% (3) 0.57% 0.20% 0.07% 1.21% 1.02% 0.70%
Ratio of expenses, excluding indirect
management fees 0.12% 0.25% 0.04% 0.04% 0.07% 0.32% 3.85% (3) 0.24% (0.05)% 0.07% 0.04% 0.32% 0.70%
Note:
Financial Highlights include only the Core Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Based on weighted average units outstanding.
Total net
return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total net return and ratios not annualized.
(2)
(1)
(3)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios
For the years ended June 30, 2023-2015
ANNUAL COMPREHENSIVE FINANCIAL REPORT 101 FISCAL YEAR 2024
Public Vintage Vintage Vintage Vintage Vintage
General Domestic International Emerging Core Fixed Value-Added Private Hedge Liquidating Private Year Year Year Year Year
Allocation Equity Equity Markets Income Fixed Income Debt Funds Portfolios Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
Ratios and supplementary data:
Total net return (1) 5.73% 18.90% 17.23% 8.47% (2.82)% 8.51% 4.64% 4.39% (13.18)% 3.52% (7.83)% 0.84% 8.50% (12.46)% (19.35)%
Net
position, end of year ($'000s) 93,545,001 22,207,923 11,310,381
4,272,717 12,831,262 4,302,824 1,167,341 7,356,681 37,246 159,802 10,901
15,687 1,511 12,314 4,730
Units outstanding, end of year ('000s) 177,276 36,627 27,765 7,072 44,208 12,280 5,031 69,708 560 342 53 15 2 28 22
Total
net return (1) (3.75)% (12.59)% (20.00)% (24.92)% (11.54)% (11.39)%
18.13% (1.28)% 39.70% 0.15% (5.22)% 23.10% 150.08% 1.39% 18.43%
Net
position, end of year ($'000s) 89,306,605 18,697,417 10,576,654
4,105,161 13,347,999 3,958,023 1,328,505 7,088,137 55,009 168,818 12,273
16,594 2,089 14,066 6,665
Units outstanding, end of year ('000s) 178,945 36,666 30,436 7,370 44,691 12,257 5,991 70,133 718 374 55 16 3 28 25
Total net return (1) 29.43% 45.07% 36.68% 47.71% (0.83)% 13.30% 29.76% 17.27% 36.89% (0.34)% 32.19% 9.32% 72.59% (5.50)% 25.28%
Net
position, end of year ($'000s) 93,212,189 22,011,373 12,437,174
5,273,588 14,605,575 4,395,888 1,317,931 7,081,240 72,548 213,642 18,835
20,221 2,506 13,873 8,104
Units outstanding, end of year ('000s) 179,774 37,728 28,631 7,108 43,258 12,062 7,021 69,146 1,323 474 80 24 9 28 36
Total
net return (1) 1.99% 5.49% (3.51)% (3.23)% 13.82% (2.50)% (7.70)%
(5.51)% (45.46)% 1.34% (29.66)% 0.89% (29.91)% (12.07)% 20.89%
Net
position, end of year ($'000s) 73,216,082 12,066,835 10,383,531
4,461,293 11,759,338 3,873,573 1,201,948 6,419,650 70,224 88,643 17,099
21,579 2,420 16,254 7,187
Units outstanding, end of year ('000s) 182,766 30,004 32,671 8,882 34,539 12,042 8,309 73,511 1,753 196 96 28 15 31 40
Total net return (1) 5.68% 8.66% (0.13)% 1.42% 8.22% 6.44% 4.08% 2.79% (18.07)% 3.53% (13.15)% 0.06% 19.20% 20.65% 26.18%
Net
position, end of year ($'000s) 73,116,815 11,763,882 11,264,739
4,652,110 10,162,275 4,376,086 1,249,573 6,029,787 162,686 160,219
26,334 26,737 4,373 20,869 22,889
Units outstanding, end of year ('000s) 186,154 30,858 34,200 8,963 33,974 13,264 7,973 65,240 2,215 359 104 35 19 35 154
Total net return (1) 9.55% 15.50% 8.47% 8.62% 1.29% 1.47% 9.27% 6.06% 4.04% 6.02% (0.51)% 3.54% (10.09)% 27.26% (2.24)%
Net
position, end of year ($'000s) 70,145,449 13,695,898 11,831,052
4,537,474 9,153,731 4,441,960 1,153,692 5,999,629 203,319 137,947 35,279
46,571 4,827 42,008 22,851
Units outstanding, end of year ('000s) 188,731 39,037 35,873 8,867 33,118 14,331 7,661 66,727 2,268 320 121 61 25 85 194
Total net return (1) 12.80% 18.49% 19.98% 27.49% (4.48)% 7.67% 15.40% 9.32% 16.35% 2.00% 2.08% 18.17% (7.69)% 2.31% 25.85%
Net
position, end of year ($'000s) 65,460,073 13,216,006 12,038,165
5,243,481 7,984,311 4,176,825 1,225,906 5,579,937 250,843 67,900 43,665
60,463 9,019 55,921 41,088
Units outstanding, end of year ('000s) 192,948 43,507 39,591 11,130 29,261 13,674 8,895 65,823 2,911 167 149 82 42 144 341
Total
net return (1) 1.87% 1.51% (7.86)% (9.91)% 14.58% 2.79% (6.84)% (5.43)%
(20.30)% (0.94)% (6.12)% (3.72)% 6.54% (4.22)% (4.63)%
Net position,
end of year ($'000s) 59,382,003 11,359,746 10,018,446 4,264,286
8,404,125 3,868,726 1,251,421 5,192,238 195,445 66,569 56,265 77,994
13,493 69,465 80,997
Units outstanding, end of year ('000s) 197,436 44,312 39,533 11,540 29,419 13,636 10,478 66,965 2,639 167 196 125 58 183 846
Total net return (1) 3.41% 6.60% (2.94)% (6.14)% 4.58% (5.14)% 1.96% 3.64% (4.25)% 5.03% 5.97% 7.56% 4.11% 13.06% 5.97%
Net
position, end of year ($'000s) 59,982,623 11,745,353 10,341,307
4,011,292 8,377,734 3,702,871 1,350,323 5,575,153 32,057 52,713 103,656
102,397 20,089 145,442 119,669
Units outstanding, end of year ('000s) 203,159 46,508 37,600 9,780 33,603 13,416 10,533 67,998 345 131 339 158 92 367 1,192
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 0.46% 0.14% 0.28% 0.61%
0.10% 0.42% 1.20% 1.08% 0.06% 0.03% 0.04% 0.04% 0.04% 0.04% 0.04%
Ratio
of expenses, excluding indirect management fees 0.15% 0.14% 0.28% 0.61%
0.10% 0.19% 0.12% 0.03% 0.06% 0.03% 0.04% 0.04% 0.04% 0.04% 0.04%
Ratio
of expenses, including indirect management fees 0.52% 0.16% 0.24% 0.63%
0.09% 0.33% 1.20% 1.05% 0.11% 0.08% 0.04% 0.03% 0.03% 0.03% (0.02)%
Ratio
of expenses, excluding indirect management fees 0.24% 0.16% 0.24% 0.63%
0.09% 0.14% 0.10% 0.19% 0.11% 0.08% 0.04% 0.04% 0.03% 0.03% 0.04%
Ratio
of expenses, including indirect management fees 0.49% 0.14% 0.23% 0.69%
0.08% 0.37% 2.94% 1.06% 0.37% 0.03% 0.04% 0.07% 0.04% 0.04% 0.38%
Ratio
of expenses, excluding indirect management fees 0.20% 0.14% 0.23% 0.69%
0.08% 0.15% 0.07% 0.18% 0.03% 0.03% 0.04% 0.04% 0.04% 0.04% 0.03%
Ratio
of expenses, including indirect management fees 0.51% 0.11% 0.24% 0.58%
0.08% 0.43% 1.57% 1.11% 0.75% 0.04% 0.04% —% 0.05% 0.04% 0.24%
Ratio
of expenses, excluding indirect management fees 0.20% 0.11% 0.24% 0.58%
0.08% 0.19% 0.04% 0.13% 0.04% 0.04% 0.04% 0.04% 0.05% 0.04% 0.05%
Ratio
of expenses, including indirect management fees 0.52% 0.11% 0.23% 0.57%
0.11% 0.44% 1.59% 1.11% 0.89% 0.06% 0.04% 0.03% 0.09% 0.04% 0.31%
Ratio
of expenses, excluding indirect management fees 0.20% 0.11% 0.23% 0.57%
0.11% 0.22% 0.04% 0.12% 0.03% 0.06% 0.04% 0.04% 0.04% 0.04% 0.04%
2023
2019
2022
2022
2021
2021
2019
2016
2015
2023
2017
2020
2020
2018
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2023-2015
ANNUAL COMPREHENSIVE FINANCIAL REPORT 102 FISCAL YEAR 2024
Public Vintage Vintage Vintage Vintage Vintage
General Domestic International Emerging Core Fixed Value-Added Private Hedge Liquidating Private Year Year Year Year Year
Allocation Equity Equity Markets Income Fixed Income Debt Funds Portfolios Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
2018
Ratio
of expenses, including indirect management fees 0.52% 0.11% 0.23% 0.47%
0.10% 0.44% 1.76% 1.17% 0.92% 0.05% 0.04% 0.01% 0.68% 0.04% 0.21%
Ratio
of expenses, excluding indirect management fees 0.18% 0.11% 0.23% 0.47%
0.10% 0.23% 0.04% 0.09% 0.03% 0.05% 0.04% 0.04% 0.05% 0.04% 0.04%
2017
Ratio
of expenses, including indirect management fees 0.54% 0.10% 0.20% 0.58%
0.10% 0.47% 1.91% 1.25% 1.02% 0.06% 0.04% 0.15% 0.77% 0.15% 0.20%
Ratio
of expenses, excluding indirect management fees 0.18% 0.10% 0.20% 0.58%
0.09% 0.29% 0.04% 0.09% 1.02% 0.06% 0.04% 0.09% 0.04% 0.04% 0.04%
2016
Ratio
of expenses, including indirect management fees 0.53% 0.13% 0.19% 0.44%
0.09% 0.47% 1.76% 1.42% 1.41% 0.08% 0.18% 0.17% 0.79% 0.28% 0.43%
Ratio
of expenses, excluding indirect management fees 0.14% 0.13% 0.19% 0.44%
0.08% 0.30% 0.04% 0.06% 1.40% 0.08% 0.04% 0.07% 0.04% 0.04% 0.06%
Ratio
of expenses, including indirect management fees 0.53% 0.14% 0.18% 0.31%
0.10% 0.47% 1.55% 1.40% 0.04% 0.04% 0.25% 0.22% 0.76% 0.38% 0.90%
Ratio
of expenses, excluding indirect management fees 0.16% 0.14% 0.18% 0.31%
0.09% 0.30% 0.04% 0.04% 0.02% 0.04% 0.04% 0.05% 0.04% 0.04% 0.05%
(1)
(2)
Includes Portable Alpha Wind Down, Hedge Funds closed portfolios, and
Natural Resources Private Wind Down. Prior to January 31, 2016, Natural
Resources Private assets were reflected in the Timberland portfolio.
2015
Total
net return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2023-2015
ANNUAL COMPREHENSIVE FINANCIAL REPORT 103 FISCAL YEAR 2024
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage
Year Year Year Year Year Year Year Year Year Year Year Year Year Year Year
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Total
net return (1) (4.95)% 1.94% (14.49)% 9.10% (24.83)% (24.53)% (6.40)%
(12.74)% (11.31)% (3.23)% (5.79)% (12.83)% 1.58% (0.68)% (1.36)%
Net
position, end of year ($'000s) 12,671 114,608 114,876 437,324 94,860
410,052 519,834 470,703 696,916 1,469,533 1,784,350 705,837 1,808,809
2,094,784 1,733,955
Units outstanding, end of year ('000s) 51 577 1,682 1,137 188 1,278 1,677 12,319 1,853 5,359 5,187 5,300 7,388 12,065 7,762
Total net return (1) 2.76% 13.73% 4.71% 27.45% 41.02% 6.30% 40.25% (5.01)% 20.50% 31.36% 17.39% 29.31% 32.31% 35.45% 47.13%
Net
position, end of year ($'000s) 18,819 130,548 198,489 431,504 188,619
595,619 666,661 588,923 1,008,811 1,674,473 2,132,407 940,692 1,867,792
2,007,542 1,659,513
Units outstanding, end of year ('000s) 72 670 2,485 1,224 281 1,401 2,013 13,449 2,379 5,909 5,840 6,157 7,750 11,485 7,328
Total net return (1) 37.60% 52.84% 51.17% 49.24% 139.68% 108.80% 79.58% 79.10% 109.95% 57.44% 75.06% 64.51% 64.17% 65.15% 68.00%
Net
position, end of year ($'000s) 39,678 138,429 305,643 524,998 276,548
705,125 638,740 869,212 1,025,485 1,557,125 2,359,373 872,298 1,332,666
1,398,299 994,786
Units outstanding, end of year ('000s) 156 808 4,007 1,898 581 1,763 2,705 18,855 2,914 7,218 7,585 7,383 7,316 10,835 6,463
Total
net return (1) (14.41)% (7.06)% 0.20% (12.99)% 1.22% (7.30)% (1.55)%
6.80% 15.47% 5.34% 13.21% 7.87% (1.83)% (6.56)% (7.67)%
Net position,
end of year ($'000s) 48,247 146,274 249,451 431,299 192,827 482,128
628,788 607,363 675,522 1,175,774 1,539,669 562,258 680,492 572,418
354,096
Units outstanding, end of year ('000s) 261 1,305 4,944 2,327 971 2,517 4,782 23,595 4,030 8,581 8,665 7,829 6,133 7,326 3,865
Total net return (1) 8.66% 9.35% 14.14% 13.88% 26.97% 18.09% 20.06% 12.46% 16.72% 23.83% 23.40% 4.10% 7.47% (15.53)% (0.77)% (2)
Net
position, end of year ($'000s) 84,655 236,036 443,048 574,946 262,119
611,034 759,937 645,784 711,849 1,214,210 1,467,994 503,055 389,158
245,699 57,257
Units outstanding, end of year ('000s) 392 1,957 8,798 2,699 1,336 2,957 5,690 26,792 4,904 9,335 9,353 7,556 3,443 2,938 577
Total net return (1) 10.58% 4.94% 16.60% 24.15% 20.66% 24.74% 18.83% 19.25% 14.10% 25.68% 29.69% 7.73% 5.21% (0.99)% (2) N/A
Net
position, end of year ($'000s) 135,744 306,512 538,342 726,311 343,201
701,188 866,997 739,683 623,594 1,087,916 941,586 290,614 127,993 15,842
N/A
Units outstanding, end of year ('000s) 683 2,779 12,203 3,883 2,221 4,007 7,794 34,520 5,014 10,357 7,403 4,544 1,217 160 N/A
Total net return (1) 19.15% 9.31% 23.14% 28.78% 16.27% 16.58% 23.76% 21.34% 19.87% 17.62% 15.25% (28.04)% (0.04)% (2) N/A N/A
Net
position, end of year ($'000s) 196,987 440,532 769,225 882,880 379,849
791,761 919,627 623,043 493,966 659,809 520,540 108,285 27,388 N/A N/A
Units outstanding, end of year ('000s) 1,096 4,191 20,328 5,860 2,966 5,644 9,824 34,669 4,532 7,894 5,308 1,824 274 N/A N/A
Total net return (1) 8.56% 2.52% 9.87% 12.84% 20.05% 15.08% 22.91% 8.34% 5.06% 5.15% (9.23)% (17.50)% (2) N/A N/A N/A
Net
position, end of year ($'000s) 430,797 612,037 912,296 904,434 443,570
806,666 796,339 542,987 308,790 399,073 184,978 165 N/A N/A N/A
Units outstanding, end of year ('000s) 2,856 6,365 29,691 7,731 4,027 6,704 10,528 36,668 3,396 5,616 2,174 2 N/A N/A N/A
Total net return (1) 15.15% 11.51% 9.04% 16.66% 24.02% 19.09% 24.07% 11.77% (5.24)% (13.53)% (6.26)% (2) N/A N/A N/A N/A
Net
position, end of year ($'000s) 594,274 848,797 1,154,470 1,017,713
494,545 762,278 704,428 425,548 170,840 177,995 40,871 N/A N/A N/A N/A
Units outstanding, end of year ('000s) 4,277 9,049 41,282 9,816 5,390 7,290 11,447 31,126 1,974 2,634 436 N/A N/A N/A N/A
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 0.16% 0.05% 0.35% 0.11%
0.22% 0.25% 0.70% 1.04% 0.72% 0.68% 0.87% 1.25% 1.06% 1.21% 1.03%
Ratio
of expenses, excluding indirect management fees 0.04% 0.04% 0.04% 0.04%
0.04% 0.08% 0.07% 0.04% 0.04% 0.11% 0.20% 0.04% 0.19% 0.14% 0.26%
Ratio
of expenses, including indirect management fees 0.29% (0.11)% 0.44%
0.16% 0.20% 0.37% 0.76% 0.84% 0.64% 0.59% 0.73% 1.10% 1.03% 1.24% 1.23%
Ratio
of expenses, excluding indirect management fees 0.04% (0.14)% 0.14%
0.06% 0.03% 0.06% 0.08% 0.04% 0.04% 0.07% 0.13% 0.03% 0.12% 0.03% 0.29%
Ratio
of expenses, including indirect management fees 0.54% (0.01)% 0.45%
0.35% 0.66% 0.61% 1.07% 0.99% 0.94% 0.97% 1.05% 1.69% 2.23% 2.66% 3.00%
Ratio
of expenses, excluding indirect management fees 0.04% (0.04)% 0.04%
0.08% 0.03% 0.03% 0.09% 0.04% 0.03% 0.03% 0.16% 0.03% 0.03% 0.03% 0.50%
Ratio
of expenses, including indirect management fees 0.67% 0.42% 0.50% 0.46%
1.57% 0.93% 1.04% 1.28% 1.15% 1.02% 1.35% 2.37% 3.95% 6.23% 3.86%
Ratio
of expenses, excluding indirect management fees 0.04% 0.07% 0.05% 0.09%
0.04% 0.04% 0.06% 0.04% 0.04% 0.04% 0.24% 0.08% 0.05% 0.08% 0.12%
Ratio
of expenses, including indirect management fees 0.56% 0.55% 0.45% 0.56%
1.63% 0.79% 1.08% 1.39% 1.45% 1.58% 1.89% 3.33% 8.34% 4.39% 0.14% (2)
Ratio
of expenses, excluding indirect management fees 0.04% 0.07% 0.04% 0.09%
0.04% 0.04% 0.09% 0.04% 0.04% 0.04% 0.32% 0.04% 0.04% 0.17% 0.14% (2)
2017
2022
2022
Ratios and supplementary data:
2021
2016
2020
2020
2019
2019
2023
2023
2021
2018
2015
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2023-2015
ANNUAL COMPREHENSIVE FINANCIAL REPORT 104 FISCAL YEAR 2024
Vintage
Year Vintage Year Vintage Year Vintage Year Vintage Year Vintage Year
Vintage Year Vintage Year Vintage Year Vintage Year Vintage Year Vintage
Year Vintage Year Vintage Year
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Ratio
of expenses, including indirect management fees 0.53% 0.62% 0.92% 0.70%
1.59% 1.25% 1.35% 1.59% 1.77% 2.19% 3.16% 6.59% 10.13% 0.14% (2)
Ratio
of expenses, excluding indirect management fees 0.06% 0.08% 0.04% 0.09%
0.04% 0.04% 0.07% 0.04% 0.04% 0.04% 0.51% 0.04% 0.04% 0.14% (2)
Ratio
of expenses, including indirect management fees 0.65% 0.74% 0.98% 0.75%
1.47% 1.15% 1.53% 1.82% 2.82% 3.69% 5.87% 10.75% 0.01% (2) N/A
Ratio
of expenses, excluding indirect management fees 0.06% 0.03% 0.04% 0.08%
0.04% 0.04% 0.15% 0.04% 0.04% 0.04% 0.74% 0.30% 0.01% (2) N/A
Ratio
of expenses, including indirect management fees 0.73% 0.77% 1.00% 0.98%
1.29% 1.30% 1.74% 2.28% 4.91% 4.71% 9.50% (21.53)% (2) N/A N/A
Ratio
of expenses, excluding indirect management fees 0.04% 0.03% 0.04% 0.14%
0.04% 0.04% 0.16% 0.04% 0.04% 0.05% 0.04% (21.53)% (2) N/A N/A
Ratio
of expenses, including indirect management fees 0.82% 0.80% 1.01% 0.97%
1.71% 1.61% 2.21% 3.27% 8.83% 9.28% 2.57% (2) N/A N/A N/A
Ratio of
expenses, excluding indirect management fees 0.05% 0.05% 0.04% 0.11%
0.04% 0.04% 0.15% 0.05% 0.04% 0.06% 0.02% (2) N/A N/A N/A
(1)
(2)
2018
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total net return and ratios not annualized.
Total
return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
between the beginning and end of the year.
2016
2015
2017
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2023-2015
ANNUAL COMPREHENSIVE FINANCIAL REPORT 105 FISCAL YEAR 2024
Global
Portfolio Other Equity
Vintage Year Vintage Year Vintage Year Vintage Year Real Cash Completion Risk Real Enhanced Credit Emerging
2020 2021 2022 2023 Estate Timberland Overlay Strategies Premia Assets Equity Opportunities Diverse
Account Account Account Account Account Account Account Account (3) Account (3) Account (3) Account Account Account
Total net return (1) (3.92)% (5.23)% 0.07% (0.50)% (2) (3.13)% 5.91% 13.77% N/A N/A (6.06)% (100.00)% 4.82% 14.60%
Net
position, end of year ($'000s) 1,641,438 1,705,904 691,556 63,678
10,523,221 2,995,979 452,538 N/A N/A 736,761 — 1,420,265 108,004
Units outstanding, end of year ('000s) 10,494 16,763 7,304 640 11,054 8,476 1,655 N/A N/A 8,622 — 9,501 1,006
Total net return (1) 24.09% 9.87% (5.39)% (2) N/A 24.24% 10.92% (18.11)% N/A N/A 1.63% (9.56)% 6.19% (6.32)% (2)
Net
position, end of year ($'000s) 1,303,273 1,138,431 163,587 N/A
9,819,201 2,919,996 539,337 N/A N/A 857,795 985,503 951,732 93,678
Units outstanding, end of year ('000s) 8,005 10,601 1,729 N/A 9,992 8,749 2,244 N/A N/A 9,430 6,887 6,673 1,000
Total net return (1) 40.10% (2.26)% (2) N/A N/A 16.44% 7.49% 30.45% N/A (100.00)% 1.07% 35.36% 24.40% N/A
Net position, end of year ($'000s) 333,380 174,180 N/A N/A 7,945,278 2,833,009 941,595 N/A — 837,883 1,083,781 897,070 N/A
Units outstanding, end of year ('000s) 2,541 1,782 N/A N/A 10,045 9,415 3,208 N/A — 9,362 6,850 6,679 N/A
Total net return (1) (6.35)% (2) N/A N/A N/A 0.56% (1.74)% 15.21% N/A 2.94% (2.90)% (0.34)% (1.01)% N/A
Net position, end of year ($'000s) 51,697 N/A N/A N/A 6,921,152 2,766,226 444,807 N/A 2 832,035 4,589,770 574,855 N/A
Units outstanding, end of year ('000s) 552 N/A N/A N/A 10,189 9,882 1,977 N/A — 9,396 39,267 5,324 N/A
Total net return (1) N/A N/A N/A N/A 5.56% 1.57% 1.34% N/A (0.60)% (14.97)% 6.17% 5.95% N/A
Net position, end of year ($'000s) N/A N/A N/A N/A 6,992,131 2,888,192 465,349 N/A 615,528 804,725 4,586,863 257,835 N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A 10,351 10,138 2,383 N/A 6,005 8,825 39,107 2,364 N/A
Total net return (1) N/A N/A N/A N/A 8.86% 7.38% 2.64% N/A 5.49% 5.95% 10.47% 2.94% (2) N/A
Net position, end of year ($'000s) N/A N/A N/A N/A 6,454,777 2,433,762 304,443 N/A 618,533 631,406 2,372,889 164,184 N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A 10,087 8,677 1,580 N/A 5,998 5,888 21,480 1,595 N/A
Total net return (1) N/A N/A N/A N/A 6.27% 7.65% 14.55% N/A (5.06)% 1.22% N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A N/A 6,047,656 2,483,085 682,197 N/A 585,639 153,348 N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A 10,288 9,506 3,634 N/A 5,991 1,515 N/A N/A N/A
Total net return (1) N/A N/A N/A N/A 11.70% (3.31)% 5.65% 8.62% N/A N/A N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A N/A 6,302,436 2,012,000 286,627 736,581 N/A N/A N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A 11,394 8,292 1,749 7,154 N/A N/A N/A N/A N/A
Total net return (1) N/A N/A N/A N/A 11.30% (2.04)% 5.19% (5.21)% (2) N/A N/A N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A N/A 6,093,142 2,347,050 567,427 94,882 N/A N/A N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A 12,305 9,353 3,658 1,001 N/A N/A N/A N/A N/A
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 1.92% 3.00% 3.57% 1.82%
(2) 0.33% 0.04% 0.07% N/A N/A 1.03% 0.36% 1.16% 0.61%
Ratio of
expenses, excluding indirect management fees 0.04% 0.12% 0.18% 1.82% (2)
(0.01)% (0.22)% 0.07% N/A N/A 0.04% 0.36% 0.16% 0.61%
Ratio of
expenses, including indirect management fees 2.98% 3.16% 0.31% (2) N/A
1.06% 0.45% 0.06% N/A N/A 1.04% 0.43% 1.33% 0.21% (2)
Ratio of
expenses, excluding indirect management fees 0.04% 0.06% 0.31% (2) N/A
0.72% 0.19% 0.06% N/A N/A 0.03% 0.43% 1.33% 0.21% (2)
Ratio of expenses, including indirect management fees 5.65% 0.09% (2) N/A N/A 0.52% 0.46% 0.07% N/A —% 1.04% 0.42% 1.14% N/A
Ratio of expenses, excluding indirect management fees 0.04% 0.09% (2) N/A N/A 0.17% 0.19% 0.07% N/A —% 0.04% 0.42% 1.14% N/A
Ratio of expenses, including indirect management fees 4.22% (2) N/A N/A N/A 0.49% 0.09% 0.07% N/A 0.52% 1.23% 0.37% 1.14% N/A
Ratio of expenses, excluding indirect management fees 1.91% (2) N/A N/A N/A 0.15% 0.30% 0.07% N/A 0.14% 0.05% 0.37% 1.14% N/A
Ratio of expenses, including indirect management fees N/A N/A N/A N/A 0.49% 0.26% 0.08% N/A 0.89% 1.48% 0.43% 0.92% N/A
Ratio of expenses, excluding indirect management fees N/A N/A N/A N/A 0.15% 0.26% 0.08% N/A 0.12% 0.07% 0.43% 0.92% N/A
2023
2023
2022
2022
2020
2018
2021
2020
2019
Ratios and supplementary data:
2021
2016
2017
2019
2015
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2023-2015
ANNUAL COMPREHENSIVE FINANCIAL REPORT 106 FISCAL YEAR 2024
Portfolio Other
Real Cash Completion Risk Real Enhanced Credit
Estate Timberland Overlay Strategies Premia Assets Equity Opportunities
Account Account Account Account (3) Account (3) Account (3) Account Account
Ratio of expenses, including indirect management fees 0.50% 0.55% 0.06% N/A 0.90% 1.37% 0.42% 0.62% (2)
Ratio of expenses, excluding indirect management fees 0.14% 0.21% 0.06% N/A 0.11% 0.03% 0.03% 0.62% (2)
Ratio of expenses, including indirect management fees 0.46% 0.67% 0.07% N/A 1.27% 0.04% N/A N/A
Ratio of expenses, excluding indirect management fees 0.09% 0.34% 0.07% N/A 0.15% 0.04% N/A N/A
Ratio of expenses, including indirect management fees 0.47% 0.23% 0.07% 0.90% N/A N/A N/A N/A
Ratio of expenses, excluding indirect management fees 0.09% (0.11)% 0.07% 0.16% N/A N/A N/A N/A
Ratio of expenses, including indirect management fees 0.64% 0.70% 0.07% 0.29% (2) N/A N/A N/A N/A
Ratio of expenses, excluding indirect management fees 0.27% 0.40% 0.07% 0.10% (2) N/A N/A N/A N/A
(1)
Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
between the beginning and end of the year.
(2)
Denotes account commenced operations subsequent to the beginning of the
fiscal year. Total net return and ratios not annualized.
(3) Prior to July 2016, Risk Premia and Real Assets were reflected in the Portfolio Completion Strategies account.
2015
2017
2016
2018
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
PRIT Fund Asset Allocation
As of June 30:
ANNUAL COMPREHENSIVE FINANCIAL REPORT 107 FISCAL YEAR 2024
The
following table is intended to provide readers of this ACFR with
further information regarding the financial position of the PRIT Fund
over the
past ten years. This table provides the change in assets
during this time period. This table should be read in conjunction with
the discussion on asset
allocation in the Investment Section of this ACFR.
(1) The Global Equity Emerging-Diverse Manager Program was established in May 2022.
(2)
At the February 14, 2017 Board meeting, the PRIM Board voted to combine
the Hedge Funds and Portfolio Completion Strategies portfolios into a
single portfolio
(Portfolio Completion Strategies).
(3) Includes
Portable Alpha Wind Down, Hedge Funds closed portfolios, and Natural
Resources Private Wind Down. Prior to January 31, 2016, Natural
Resources Private
assets were reflected in the Timberland portfolio.
2024 2023 2022 2021 2020 2019 2018 2017 2016 2015
Domestic Equity 25.3% 23.0% 21.3% 24.2% 22.2% 21.9% 19.1% 19.8% 18.7% 19.2%
International Equity 10.7% 11.7% 11.5% 13.0% 13.9% 15.1% 16.5% 18.0% 16.5% 16.9%
Emerging Markets 4.4% 4.4% 4.4% 5.5% 6.0% 6.2% 6.3% 7.9% 7.0% 6.6%
Global Equity Emerging-Diverse
Manager Program (1) 0.2% 0.1% 0.1% - - - - - - -
Core Fixed Income 13.9% 13.3% 14.5% 15.3% 15.7% 13.6% 12.8% 12.0% 13.9% 13.7%
Value-Added Fixed Income 7.3% 7.1% 6.8% 6.9% 7.5% 7.9% 8.0% 8.1% 8.4% 8.3%
Private Equity 17.0% 17.4% 18.4% 14.5% 11.4% 11.3% 10.8% 10.6% 11.1% 11.3%
Real Estate 9.6% 10.9% 10.6% 8.3% 9.2% 9.4% 9.0% 9.1% 10.4% 10.0%
Timberland 3.0% 3.1% 3.2% 3.0% 3.7% 3.9% 3.4% 3.7% 3.3% 3.8%
Hedge Funds (2) - - - - - - - - 8.6% 9.1%
Liquidating Portfolios (3) 0.0% 0.0% 0.1% 0.1% 0.1% 0.2% 0.3% 0.4% 0.3% 0.1%
Overlay 0.3% 0.5% 0.6% 1.0% 0.6% 0.6% 0.4% 1.0% 0.5% 0.9%
Portfolio Completion Strategies (2) 8.3% 8.4% 8.6% 8.3% 9.7% 10.0% 13.4% 9.5% 1.2% 0.2%
Totals may not add due to rounding.
53 State Street, Boston, MA 02109
www.mapension.com
Annual Comprehensive Financial Report
Fiscal Years Ended June 30, 2025 and 2024
Pension Reserves Investment Trust Fund
(A Component Unit of the Commonwealth of Massachusetts)
Deborah B. Goldberg, Treasurer and Receiver General, Chair
Michael G. Trotsky, CFA, Executive Director and Chief Investment Officer
Annual Comprehensive Financial Report
For the Years Ended June 30, 2025 and 2024
Pension Reserves Investment Trust Fund
(A Component Unit of the Commonwealth of Massachusetts)
Prepared By
Pension Reserves Investment Management Board Staff
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2025
For More Information
All correspondence may be directed to:
Client Services
Pension Reserves Investment Management Board
53 State Street
Boston, MA 02109
Telephone: 617-946-8401
Website: www.mapension.com
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2025
Table of Contents
Page
Introductory Section:
Letter of Transmittal 3 – 9
Certificate of Achievement for Excellence in Financial Reporting 10
PRIM Board Trustees 11
Advisory Committees to the PRIM Board 12 – 13
PRIM Board Management Organizational Chart 14
PRIM Board Investment Advisors 15
Financial Section:
Independent Auditors’ Report 16 – 18
Management’s Discussion and Analysis (Unaudited) 19 – 22
Basic Financial Statements:
Statements of Pooled Net Position 23
Statements of Changes in Pooled Net Position 24
Notes to Financial Statements 25 – 57
Other Supplementary Information:
Schedule of Pooled Net Position – Capital Fund and Cash Fund 58
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund 59
Investment Section:
Total PRIT Fund Performance Summary 60
Investment Strategy Overview 61 – 62
PRIT Capital Fund Performance: Fiscal Year 2025 63 – 64
Domestic Equity Portfolio 65 – 66
International Equity Portfolio 67 – 68
Emerging Markets Equity Portfolio 69 – 70
Global Equity Emerging-Diverse Manager Program 70
Core Fixed Income Portfolio 71 – 73
Value-Added Fixed Income Portfolio 74 – 76
Real Estate Portfolio 77 – 79
Timberland Portfolio 80 – 81
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2025
Table of Contents, continued
Page
Private Equity Portfolio 82 – 85
Portfolio Completion Strategies Portfolio 86 – 87
Overlay 87
Schedule of Time-Weighted Returns by Asset Class 88
Investment Summary at Fair Value 89
Summary Schedule of Broker Commissions 90
Schedule of Management Fees 91
Schedule of Retirement Systems by Investment 92 – 93
Investment Policy Statement 94 – 95
Statistical Section:
Schedules of Changes in Pooled Net Position 96
Financial Highlights and Financial Highlights Ratios 97 – 106
PRIT Fund Asset Allocation 107
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2025
Introductory Section
PENSION RESERVES INVESTMENT TRUST FUND
Pension Reserves Investment Management Board
ANNUAL COMPREHENSIVE FINANCIAL REPORT 3 FISCAL YEAR 2025
December 4, 2025
To Chair Goldberg, the Trustees of the Pension Reserves Investment Management Board (the PRIM Board),
Committee members, Participants, and Beneficiaries:
I am pleased to transmit the Annual Comprehensive Financial Report (ACFR) of the Massachusetts Pension
Reserves Investment Trust Fund (the PRIT Fund) for the fiscal year ending June 30, 2025. The document
that follows is the 21 st consecutive ACFR produced in the PRIM Board’s 41-year history. We hope that you
will find the ACFR useful in understanding the performance and financial position of the PRIT Fund as of
and for the fiscal year ended June 30, 2025.
The ACFR contains the basic financial statements presented in accordance with U.S. generally accepted
accounting principles (GAAP) and the standards applicable to financial audits set forth by Government
Auditing Standards. The ACFR and the basic financial statements are the responsibility of the PRIM Board.
The fiscal year 2025 audit was conducted by KPMG LLP, a firm of licensed certified public accountants.
The ACFR is divided into four major sections:
Introductory Section: This section contains the letter of transmittal, the Certificate of Achievement for
Excellence in Financial Reporting and outlines the PRIM Board’s organizational structure.
Financial Section: This section contains the report of the independent auditors, Management’s Discussion
and Analysis (MD&A), the financial statements of the PRIT Fund, the notes to the financial statements and
supporting schedules.
Investment Section: This section contains a summary of the PRIT Fund’s investment strategy, investment
policies, investment holdings, investment results and supporting tables and schedules.
Statistical Section: This section contains information regarding financial ratios of the PRIT Fund.
Within the financial section, the MD&A follows the independent auditors’ report and provides an overview
of the PRIT Fund’s financial statements and financial results. The MD&A complements this letter of
transmittal and should be read in conjunction with this letter. Responsibility for both the accuracy and
completeness of the data and the contents of this report rests with the PRIM Board. The PRIM Board has
implemented a system of internal controls designed to provide reasonable assurance that the financial
statements are free from material misstatements, that all assets will be properly safeguarded and that
transactions will be properly executed. The concept of reasonable assurance recognizes that the cost of a
control should not exceed the benefits to be derived. The objective is to provide reasonable, rather than
absolute, assurance that the financial statements are free of any material misstatements.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 4 FISCAL YEAR 2025
Profile of the PRIT Fund
The PRIT Fund is a pooled investment trust fund established to invest the assets of the Massachusetts State
Teachers’ and Employees’ Retirement Systems, and the assets of county, authority, district, and municipal
retirement systems. The PRIT Fund was created by the Legislature in 1983 (Chapter 661 of the Acts of 1983)
with a mandate to accumulate assets through investment earnings to reduce the Commonwealth’s
unfunded pension liability, and to assist local participating retirement systems in meeting future pension
obligations. The PRIT Fund merged with the Massachusetts State Teachers’ and Employees’ Retirement
Systems (MASTERS) Trust in 1997, in accordance with Chapter 315 of the Acts of 1996.
The Massachusetts State Teachers’, State Employees’ and State-Boston/Teachers’ Retirement Systems, and
the State Retiree Benefits Trust Fund (SRBTF), are mandated by statute to invest all of their assets in the
PRIT Fund. Other retirement systems may voluntarily invest all or part of their assets in the PRIT Fund.
Furthermore, Chapter 84 of the Acts of 1996 explicitly granted retirement boards the ability to invest only
in individual asset classes of the PRIT Fund through a segmentation program. See Note 1 of the financial
statements for more information on the profile and background of the PRIT Fund.
The most recent Commonwealth Actuarial Valuation Report, dated October 28, 2025, calculated the
Commonwealth’s unfunded actuarial pension liability at $40.5 billion. The Commonwealth Actuarial
Valuation Report estimates that, as of January 1, 2025, the pension liability is 67.4% funded. It should be
noted that the unfunded actuarial pension liability is calculated on a calendar year basis.
The PRIM Board seeks to prudently increase the value of the PRIT Fund to ensure that current and future
benefit obligations are adequately funded. The PRIM Board seeks to maximize the probability of achieving
the required rate of return while limiting unanticipated large drawdowns. The PRIT Fund’s Investment
Policy Statement establishes investment objectives and policies designed to provide a framework for
implementing investment strategy and oversight. A summary of the Investment Policy Statement is
included in the Investment Section.
As of June 30, 2025, the PRIT Fund had approximately $115.5 billion in net position compared to $105.3
billion at the end of fiscal year 2024. The PRIM Board contracts with a custodian bank to safeguard
investment holdings and to ensure the proper settlement and recording of investment and cash
transactions.
Executive Director/Chief Investment Officer Discussion
The PRIT Fund ended with a record balance of $115.5 billion for the fiscal year ended June 30, 2025,
surpassing the previous records of $105.3 billion last year and $96.6 billion two years ago. The PRIT Fund
returned 9.6% (net) to gain $10.2 billion in the fiscal year, with all seven major asset classes posting positive
returns for the first time in six years. The PRIM Board met all liquidity commitments with no difficulty during
the year despite heightened volatility in both equity and bond markets.
Organizationally, the depth and talent of the PRIM Board’s staff have never been stronger, and we continue
to benefit from extremely low turnover with no senior staff members departing during the year. We hired
one new full-time employee, welcomed six interns, and promoted three of the PRIM Board’s outstanding
contributors. The PRIM Board’s workforce is 63% diverse, and 52% of the PRIM Board’s workforce is female.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
*The
PRIM Board claims compliance with the Global Investment Performance
Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA
Institute
does not endorse or promote this organization, nor does it warrant the
accuracy or quality of the content contained herein. A GIPS® Asset Owner
Report is available upon request.
ANNUAL COMPREHENSIVE FINANCIAL REPORT 5 FISCAL YEAR 2025
The work of our staff continues to receive local and national recognition. The Allocator from With
Intelligence, described the PRIM Board as “a beacon of public service and investment prowess for the
people of the Commonwealth of Massachusetts.” This recognition of the PRIM Board and staff was
highlighted when I received the publication’s Lifetime Achievement Award. (I was also named to the Chief
Investment Officer 2024 POWER 100 list.) More recently, the PRIT Fund’s Private Equity portfolio was
ranked fourth by the American Investment Council’s Public Pension Study of 200 U.S. public pension funds
based on 10-year performance. The PRIT Fund is the only fund that has been in the top five every year the
study has been conducted, including #1 rankings in 2019, 2018, 2015, and 2013. In addition, Private Equity
International (PEI) named Helen Huang, Senior Investment Officer, a member of its annual list, “40 Under
40: Future Leaders of Private Equity.” PEI credited Helen with helping to “reinvigorate the pension plan’s
venture capital program [and contributing] significantly to PE investment process design.” The PRIT Fund
ranked fifth in the U.S. for assets managed by diverse managers according to Pensions & Investments, and
two PRIM Board staff members were awarded Commonwealth Citations for Outstanding Performance.
The PRIM Board earned the Certificate of Achievement for Excellence in Financial Reporting from the
Government Finance Officers Association for the 20th consecutive year and successfully completed the CFA
Institute’s Global Investment Performance Standards (GIPS®) verification* for the seventh consecutive
year, a standard with which only a small handful of other pension funds comply.
The strong PRIT Fund results occurred during a period in which the market and government policy decisions
are changing very quickly. However, despite heightened uncertainty, U.S. equities were up 15.1%,
developed international equities were up 17.8%, emerging markets equities were up 15.2%, and diversified
bonds were up 6.1% for the fiscal year. The highest returning PRIT Fund asset classes included Global
Equities and Hedge funds, while Value-Added Fixed Income and Private Equity posted high single digit
returns.
While the last four fiscal years have provided an extraordinary test for staff and the PRIT Fund, we remain
pleased and confident in the Fund’s resiliency and its performance over all periods and throughout several
different market environments. The PRIT Fund’s trailing 1-, 3-, 5-, and 10-year returns consistently exceed
the required actuarial rate of return of 7%.
The FUTURE Initiative, established to meet the objectives of the 2021 Investment Equity legislation, aims
to ensure that at least 20% of The PRIM Board’s investment managers are women, minorities, or persons
with disabilities. Currently, the PRIT Fund allocates approximately $15.1 billion, representing more than
13%, to diverse investment managers across all asset classes. Since the Initiative's inception in 2021, the
PRIM Board has more than doubled its commitment to diverse managers.
The PRIM Board’s Stewardship and Sustainability team adopted new Stewardship Priorities, and an
Engagement Policy focused on Climate Transition Planning, Fair Pay, Sustainable Forestry, and
Transparency. The PRIM Board joined two organizations to help pursue engagement initiatives and voted
12,181 proxy ballots aligned with the PRIM Board’s custom proxy voting guidelines on areas such as board
diversity requirements, over-boarded directors, gender pay gaps, labor and human rights, climate change,
and executive compensation. The PRIM Board also updated the Proxy Voting Guidelines with a focus on
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 6 FISCAL YEAR 2025
executive compensation and developed and obtained Board approval on a Proxy Voting Decision-Making
Policy.
In Research, we concluded our five-year membership in MIT’s Aggregate Confusion Project (ACP) on
September 30, 2025. We have completed our work with the ACP, and we recognize that the ACP has
successfully fulfilled its original purpose and timeline. We are confident that the knowledge and experience
gained from the ACP membership will continue to benefit our organization as we pursue our Stewardship
Priorities and engagement activities. We extend our gratitude to the MIT Sloan Sustainability Initiative, our
fellow ACP members, and all those who contributed to the success of this project.
In conclusion, I am extremely proud of the entire PRIM Board team and how we have responded during
the volatile and challenging environment of the last several years. The team is hardworking and dedicated,
delivering not only strong investment performance but also extraordinary non-investment innovation and
responsiveness, grounded in both our adherence to fiduciary duty and a steadfast pursuit of excellence.
We thank the entire PRIM Board staff, as well as our Board and committee members, for their support,
dedication, and hard work over the past year.
PRIT Total Capital Fund Returns
(Net of Fees) Annualized Returns as of June 30, 2025
Source: BNY. Totals may not add due to rounding. Total Capital Fund Benchmark includes the private equity benchmark.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 7 FISCAL YEAR 2025
PRIT Performance by Asset Class
(Net of Fees) Annualized Returns as of June 30, 2025
Source: BNY. Totals may not add due to rounding. *Benchmark is State Street PE Index.
PRIT Fund Periodic Table of Returns
(Net of Fees) as of June 30, 2025
Source: BNY.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
*The
PRIM Board claims compliance with the Global Investment Performance
Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA
Institute
does not endorse or promote this organization, nor does it warrant the
accuracy or quality of the content contained herein. A GIPS® Asset Owner
Report is available upon request.
ANNUAL COMPREHENSIVE FINANCIAL REPORT 8 FISCAL YEAR 2025
Fiscal Year 2025 Highlights
1. The Allocator from With Intelligence presented Michael G. Trotsky, CFA, the PRIM Board’s Executive
Director and Chief Investment Officer, with its Lifetime Achievement Award. The publication called the
PRIM Board “a beacon of public service and investment prowess for the people of the Commonwealth
of Massachusetts.”
2. Michael G. Trotsky, CFA, the PRIM Board’s Executive Director and Chief Investment Officer, was named
to the 2024 CIO Power 100 List by the publication, The Chief Investment Officer. The publication
highlighted how many CIOs continue to maintain calm and guide their organizations through tough
choices about public and private markets.
3. Private Equity International (PEI) named Helen Huang, Senior Investment Officer, a member of its
annual “40 Under 40: Future Leaders of Private Equity” list in the Investors category. PEI credited Helen
with helping to “reinvigorate the pension plan’s venture capital program [and contributing]
significantly to PE investment process design.”
4. The PRIM Board was ranked fifth among the largest 200 funds in the U.S. for assets managed by diverse
managers. This indicates that the PRIM Board’s ongoing efforts with the FUTURE Initiative over the
years are putting the PRIM Board near the top of the rankings and well above our rank in assets under
management.
5. The PRIT Fund’s Private Equity Portfolio was ranked #4 among 200 U.S. public pension funds based on
10-year performance by the American Investment Council’s Public Pension Study. The PRIT Fund is the
only fund that has been in the top five every year the study has been conducted, including #1 rankings
in 2019, 2018, 2015, and 2013.
6. Treasurer Deborah B. Goldberg awarded the PRIM Board two Commonwealth Citations for
Outstanding Performance. Veena Ramani, Director of Stewardship, and George Tsipakis, Director of
Investment Operations, were recognized for their outstanding contribution and performance.
7. For the 7 th consecutive year, the PRIM Board has completed the CFA Institute’s Global Investment
Performance Standards (GIPS®) verification.*
8. The PRIM Board was awarded the Government Finance Officers Association’s Certificate of
Achievement for Excellence in Financial Reporting for the 20 th consecutive year.
9. The PRIM Board deployed $5.0 billion in new investments during fiscal year 2025.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 9 FISCAL YEAR 2025
Acknowledgments
The PRIM Board’s success is inextricably linked to the diligence of our Board and its Chair, Treasurer
Deborah B. Goldberg. We are truly privileged to have volunteers of such high caliber and professional
achievement on the Board and its committees, and we recognize that our success is largely due to their
dedication, hard work, and expert oversight.
Very respectfully,
Michael G. Trotsky, CFA
Executive Director and Chief Investment Officer
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 10 FISCAL YEAR 2025
Certificate of Achievement for Excellence in Financial Reporting
The Government Finance Officers Association of the United States and Canada (GFOA) awarded a
Certificate of Achievement for Excellence in Financial Reporting to the PRIM Board for its annual
comprehensive financial report for the fiscal year ended June 30, 2024. This was the 20 th consecutive year
that the PRIM Board has achieved this prestigious award. In order to be awarded a Certificate of
Achievement, an entity must publish an easily readable and efficiently organized annual comprehensive
financial report. This report must satisfy both U.S. generally accepted accounting principles and applicable
legal requirements.
A Certificate of Achievement is valid for a period of one year only. We believe that our current annual
comprehensive financial report continues to meet the Certificate of Achievement Program’s requirements
and we are submitting it to the GFOA to determine its eligibility for another certificate.
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 11 FISCAL YEAR 2025
PRIM Board Trustees
June 30, 2025
Deborah B. Goldberg, Chair, Ex Officio Member
State Treasurer & Receiver General, Commonwealth of Massachusetts
Robert L. Brousseau, Elected Representative, Teachers’ Retirement System
Retired Teacher, Town of Wareham Public School System
Catherine D’Amato, Designee of the Governor
President and CEO, Greater Boston Food Bank
Ruth Ellen Fitch, Esq., Appointee of the State Treasurer
Retired President and CEO, The Dimock Center
Mark Lapman, Ph.D., CFA, Appointee of the Governor
Manager/Adviser, Cooper Lapman Financial, LLC
Theresa F. McGoldrick, Esq., Elected Member, State Employees’ Retirement Board
National Executive Vice President, National Association of Government Employees
Dennis J. Naughton, Elected Member, Teachers’ Retirement Board
Retired Educator, Millis Public Schools
Carly Rose, Appointee of the Governor
Public Safety Union Member
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 12 FISCAL YEAR 2025
Advisory Committees to the PRIM Board
June 30, 2025
Investment Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Joseph C. Bonfiglio
Massachusetts & Northern New England Laborers’ District Council
C. LaRoy Brantley
Investment Consultant
Catherine D’Amato
Board Member
Michael Even
Former President and CEO, Numeric Investors
Constance M. Everson, CFA
Managing Director, Capital Markets Outlook Group
Ruth Ellen Fitch, Esq.
Board Member
James B. G. Hearty
Retired Partner, Clough Capital
Mark Lapman, Ph.D., CFA
Board Member
Peter Monaco
Managing Director, Raptor Group Holdings
Phillip H. Perelmuter
Former Managing Partner, Wellington Management
Philip Rotner
Chief Investment Officer, Boston Children’s Hospital
Glenn P. Strehle, CFA
Treasurer Emeritus, MIT
Timothy L. Vaill
Former Chairman & CEO, Boston Private Financial
Current CFO, Anbaric Energy
Real Estate and Timberland Committee
Jill S. Hatton, CRE, Chair
Real Estate Investment Professional
Deborah B. Goldberg
Ex Officio Board Member
Lydia Chesnick, Esq.
Partner, Bernkopf Goodman LLP
Robert Gifford
RGA Corp
Dr. Jack Lutz, Ph.D.
Forest Research Group
William F. McCall, Jr., CRE
McCall & Almy, Inc.
Garlan Morse, Jr., CRE
Morris and Morse Company, Inc.
Peter F. O’Connell
Marina Bay Company
Carly Rose
Board Member
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 13 FISCAL YEAR 2025
Advisory Committees to the PRIM Board, continued
June 30, 2025
Administration and Audit Committee
Robert L. Brousseau, Chair
Board Member
Deborah B. Goldberg
Ex Officio Board Member
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Catherine D’Amato
Board Member
James B. G. Hearty
Retired Partner, Clough Capital
Theresa F. McGoldrick, Esq.
Board Member
Dennis J. Naughton
Board Member
Compensation Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Patrick E. Brock
Chairman, Hampshire County Retirement Board
Robert L. Brousseau
Board Member
Catherine D’Amato
Board Member
Marian A. Tse
Retired Partner, Goodwin Procter
Stewardship and Sustainability Committee
Deborah B. Goldberg, Chair
Ex Officio Board Member
Mary Cerulli
Founder, Climate Finance Action
Michael Even
Former President and CEO, Numeric Investors
Ruth Ellen Fitch, Esq.
Board Member
Theresa F. McGoldrick, Esq.
Board Member
Dennis J. Naughton
Board Member
Poonam Patidar
Member, Mintz
Marcela Pinilla
Director of Sustainable Investing, Zevin
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 14 FISCAL YEAR 2025
PRIM Board Management Organizational Chart
PENSION RESERVES INVESTMENT TRUST FUND Introductory Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 15 FISCAL YEAR 2025
PRIM Board Investment Advisors*
Aberdeen Asset Management Inc.
Portfolio Completion Strategies Advisory Services
Hamilton Lane
Private Equity Advisory Services
International Woodland Company
Timberland Advisory Services
Meketa Investment Group
Public Market Advisory Services
NEPC, LLC
Asset Allocation Advisory Services
NewAlpha Asset Management
Portfolio Completion Strategies Advisory Services
* List of investment managers is provided for each investment portfolio in the Investment Section on pages 65–87.
See Schedule of Management Fees on page 91 in the Investment Section for investment management fees by asset class.
Summary Schedule of Broker Commissions listed by brokerage firms is in the Investment Section on page 90.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2025
Financial Section
PENSION RESERVES INVESTMENT TRUST FUND
16
Independent Auditors’ Report
Administration and Audit Committee and Trustees,
Pension Reserves Investment Management Board:
Report on the Audit of the Financial Statements
Opinion
We have audited the financial statements of the Pension Reserves Investment Trust Fund (the PRIT Fund), a
component unit of the Commonwealth of Massachusetts, as of and for the years ended June 30, 2025 and
2024, and the related notes to the financial statements, which collectively comprise the PRIT Fund’s basic
financial statements for the years then ended as listed in the table of contents.
In our opinion, the accompanying financial statements referred to above present fairly, in all material respects,
the pooled net position of the PRIT Fund as of June 30, 2025 and 2024, and the changes in its pooled net
position for the year then ended in accordance with U.S. generally accepted accounting principles.
Basis for Opinion
We conducted our audits in accordance with auditing standards generally accepted in the United States of
America (GAAS) and the standards applicable to financial audits contained in Government Auditing Standards,
issued by the Comptroller General of the United States. Our responsibilities under those standards are further
described in the Auditors’ Responsibilities for the Audit of the Financial Statements section of our report. We
are required to be independent of the PRIT Fund and to meet our other ethical responsibilities, in accordance
with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have
obtained is sufficient and appropriate to provide a basis for our audit opinion.
Responsibilities of Management for the Financial Statements
Management is responsible for the preparation and fair presentation of the financial statements in accordance
with U.S. generally accepted accounting principles, and for the design, implementation, and maintenance of
internal control relevant to the preparation and fair presentation of financial statements that are free from
material misstatement, whether due to fraud or error.
In preparing the financial statements, management is required to evaluate whether there are conditions or
events, considered in the aggregate, that raise substantial doubt about the PRIT Fund’s ability to continue as a
going concern for twelve months beyond the financial statement date, including any currently known
information that may raise substantial doubt shortly thereafter.
Auditors’ Responsibilities for the Audit of the Financial Statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free
from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our
opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not
a guarantee that an audit conducted in accordance with GAAS and Government Auditing Standards will alwaysKPMG L L P
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Boston, MA 02111
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17
detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from
fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions,
misrepresentations, or the override of internal control. Misstatements are considered material if there is a
substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a
reasonable user based on the financial statements.
In performing an audit in accordance with GAAS and Government Auditing Standards, we:
• Exercise professional judgment and maintain professional skepticism throughout the audit.
• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or
error, and design and perform audit procedures responsive to those risks. Such procedures include
examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements.
• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of
the PRIT Fund’s internal control. Accordingly, no such opinion is expressed.
• Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting
estimates made by management, as well as evaluate the overall presentation of the financial statements.
• Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise
substantial doubt about the PRIT Fund’s ability to continue as a going concern for a reasonable period of
time.
We are required to communicate with those charged with governance regarding, among other matters, the
planned scope and timing of the audit, significant audit findings, and certain internal control related matters that
we identified during the audit.
Required Supplementary Information
U.S. generally accepted accounting principles require that the management’s discussion and analysis be
presented to supplement the basic financial statements. Such information is the responsibility of management
and, although not a part of the basic financial statements, is required by the Governmental Accounting
Standards Board who considers it to be an essential part of financial reporting for placing the basic financial
statements in an appropriate operational, economic, or historical context. We have applied certain limited
procedures to the required supplementary information in accordance with GAAS, which consisted of inquiries of
management about the methods of preparing the information and comparing the information for consistency
with management’s responses to our inquiries, the basic financial statements, and other knowledge we
obtained during our audit of the basic financial statements. We do not express an opinion or provide any
assurance on the information because the limited procedures do not provide us with sufficient evidence to
express an opinion or provide any assurance.
Supplementary Information
Our audit for the year ended June 30, 2025, was conducted for the purpose of forming an opinion on the
financial statements that collectively comprise the PRIT Fund’s basic financial statements for the year ended
June 30, 2025. The schedule of pooled net position – capital fund and cash fund and schedule of changes in
pooled net position – capital fund and cash fund as of and for the year ended June 30, 2025 are presented for
purposes of additional analysis and are not a required part of the basic financial statements. Such information
is the responsibility of management and was derived from and relates directly to the underlying accounting and
other records used to prepare the basic financial statements. The information has been subjected to the
auditing procedures applied in the audit of the basic financial statements as of and for the year ended June 30,
2025, and certain additional procedures, including comparing and reconciling such information directly to the
underlying accounting and other records used to prepare the basic financial statements or to the basic financial
statements themselves, and other additional procedures in accordance with GAAS. In our opinion, the
18
information is fairly stated, in all material respects, in relation to the basic financial statements as a whole as of
and for the year ended June 30, 2025.
Other Information
Management is responsible for the other information included in the annual comprehensive financial report. The
other information comprises the introductory, investment, and statistical sections but does not include the basic
financial statements and our auditors’ report thereon. Our opinion on the basic financial statements does not
cover the other information, and we do not express an opinion or any form of assurance thereon.
In connection with our audit of the basic financial statements, our responsibility is to read the other information
and consider whether a material inconsistency exists between the other information and the basic financial
statements, or the other information otherwise appears to be materially misstated. If, based on the work
performed, we conclude that an uncorrected material misstatement of the other information exists, we are
required to describe it in our report.
Other Reporting Required by Government Auditing Standards
In accordance with Government Auditing Standards, we have also issued our report dated December 4, 2025,
on our consideration of the PRIT Fund's internal control over financial reporting and on our tests of its
compliance with certain provisions of laws, regulations, contracts, and grant agreements and other matters.
The purpose of that report is solely to describe the scope of our testing of internal control over financial
reporting and compliance and the results of that testing, and not to provide an opinion on the effectiveness of
the PRIT Fund's internal control over financial reporting or on compliance. That report is an integral part of an
audit performed in accordance with Government Auditing Standards in considering the PRIT Fund's internal
control over financial reporting and compliance.
Boston, Massachusetts
December 4, 2025
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2025 and 2024
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 19 FISCAL YEAR 2025
This section presents management’s discussion and analysis of the Pension Reserves Investment Trust Fund’s
(the PRIT Fund’s) financial performance for the fiscal years ended June 30, 2025 and 2024 and should be read in
conjunction with the financial statements, which follow this section.
The PRIT Fund is a pooled investment fund, created in 1983 through Massachusetts legislation, that invests the
assets of the State Teachers’ and State Employees’ Retirement Systems and the assets of county, authority,
school district, and municipal retirement systems that choose to invest in the PRIT Fund, as well as the assets of
the State Retiree Benefits Trust (SRBT) Fund.
The investment return percentages reported in management’s discussion and analysis are presented net of
management fees.
Overview of the Financial Statements
The financial statements include the statements of pooled net position and the statements of changes in pooled
net position. They present the financial position of the PRIT Fund as of June 30, 2025 and 2024 and its financial
activities for the years then ended. The notes to the financial statements provide further information that is
essential to a full understanding of the financial statements. The notes describe the significant accounting policies
of the PRIT Fund and provide detailed disclosures on certain account balances. The supplementary schedules of
pooled net position and changes in pooled net position separately display the balances and activities of the
Capital Fund and Cash Fund of the PRIT Fund.
The financial statements of the PRIT Fund are reported using the economic resources measurement focus and
the accrual basis of accounting. They are prepared in conformity with U.S. generally accepted accounting
principles, as promulgated by the Governmental Accounting Standards Board (GASB).
Financial Highlights
Fiscal Year 2025
• The net position of the PRIT Fund increased $10.2 billion during the year ended June 30, 2025. Total net
position was $115.5 billion at June 30, 2025, compared to $105.3 billion at June 30, 2024.
• Net investment income for fiscal year 2025 was $10.2 billion, compared to net investment income of
$9.2 billion for the prior fiscal year. The PRIT Fund returned 9.62%, net of fees, in fiscal year 2025, compared
to 9.46% in fiscal year 2024.
• Contributions to the PRIT Fund totaled $4.2 billion during the year ended June 30, 2025, compared to
$3.8 billion during the year ended June 30, 2024.
• Redemptions from the PRIT Fund totaled $4.1 billion during the year ended June 30, 2025, compared to
$4.3 billion during the year ended June 30, 2024.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2025 and 2024
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 20 FISCAL YEAR 2025
Fiscal Year 2024
• The net position of the PRIT Fund increased $8.7 billion during the year ended June 30, 2024. Total net
position was $105.3 billion at June 30, 2024, compared to $96.6 billion at June 30, 2023.
• Net investment income for fiscal year 2024 was $9.2 billion, compared to net investment income of
$5.1 billion for the prior fiscal year. The PRIT Fund returned 9.46%, net of fees, in fiscal year 2024, compared
to 5.58% in fiscal year 2023.
• Contributions to the PRIT Fund totaled $3.8 billion during the year ended June 30, 2024, compared to
$3.5 billion during the year ended June 30, 2023.
• Redemptions from the PRIT Fund totaled $4.3 billion during the year ended June 30, 2024, compared to
$4.5 billion during the year ended June 30, 2023.
Condensed Financial Information
Summary balances and activities of the PRIT Fund as of and for the years ended June 30, 2025, 2024, and 2023
are presented below:
June 30
2025 2024 2023
Summary of pooled net position:
Assets:
Investments $ 121,695,725 109,561,828 100,382,001
Cash 151,090 167,672 160,920
Securities lending collateral 238,819 97,857 87,748
Receivables and other assets 2,843,443 2,010,692 1,855,800
Total assets 124,929,077 111,838,049 102,486,469
Liabilities:
Other liabilities 8,289,579 5,682,098 5,029,914
Securities lending obligations 1,140,922 851,690 841,326
Management fees payable to PRIM 40,083 50,327 53,812
Total liabilities 9,470,584 6,584,115 5,925,052
Net position held in trust for pool
participants $ 115,458,493 105,253,934 96,561,417
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2025 and 2024
(Unaudited)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 21 FISCAL YEAR 2025
June 30
2025 2024 2023
Summary of changes in pooled net position:
Additions:
Contributions $ 4,177,647 3,813,111 3,469,500
Net investment income 10,199,405 9,171,644 5,143,498
Total additions 14,377,052 12,984,755 8,612,998
Deductions:
Redemptions 4,141,434 4,262,528 4,455,390
Administrative expenses 31,059 29,710 25,246
Total deductions 4,172,493 4,292,238 4,480,636
Change in pooled net position 10,204,559 8,692,517 4,132,362
Net position held in trust for pool participants:
Balance, beginning of year 105,253,934 96,561,417 92,429,055
Balance, end of year $ 115,458,493 105,253,934 96,561,417
The PRIT Fund Performance during the year ended June 30, 2025
The PRIT Fund began fiscal year 2025 with net position of $105.3 billion and ended the fiscal year with a net
position of $115.5 billion, representing a 9.70% increase. Net investment income for the year ended June 30,
2025 was $10.2 billion, which when added to net participant contributions (contributions less redemptions) of
$36.2 million, resulted in an overall increase in net position of $10.2 billion.
For the year ended June 30, 2025, the PRIT Fund returned 9.62% net of fees, lagging its benchmark of 10.93% by
131 basis points. The benchmark provides a measure of how well the PRIT Fund has implemented its asset
allocation plan.
The asset classes of the PRIT Fund and related investment returns, net of fees, for the year ended June 30, 2025
are as follows: Global Equity 15.22%; Core Fixed Income 3.78%; Value-Added Fixed Income 9.47%; Private Equity
7.28%; Real Estate 0.93%; Timberland 4.20%; Portfolio Completion Strategies 11.64%; and Overlay 17.91%.
The PRIT Fund outperformed its benchmarks over the five-year and 10-year periods and has returned an average
of 8.46%, net of fees, annually since January 1, 1995.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Required Supplementary Information –
Management’s Discussion and Analysis
June 30, 2025 and 2024
(Unaudited)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 22 FISCAL YEAR 2025
The PRIT Fund Performance during the year ended June 30, 2024
The PRIT Fund began fiscal year 2024 with net position of $96.6 billion and ended the fiscal year with a net
position of $105.3 billion, representing a 9.00% increase. Net investment income for the year ended June 30,
2024 was $9.2 billion, which when added to net participant redemptions (contributions less redemptions) of
$449.4 million, resulted in an overall increase in net position of $8.7 billion.
For the year ended June 30, 2024, the PRIT Fund returned 9.46% net of fees, lagging its benchmark of 10.29% by
83 basis points. The benchmark provides a measure of how well the PRIT Fund has implemented its asset
allocation plan.
The asset classes of the PRIT Fund and related investment returns, net of fees, for the year ended June 30, 2024
are as follows: Global Equity 18.09%; Core Fixed Income -0.12%; Value-Added Fixed Income 10.69%; Private
Equity 7.69%; Real Estate -6.78%; Timberland 10.35%; Portfolio Completion Strategies 10.56%; and Overlay
14.15%.
Other Information
This financial report is designed to provide a general overview of the PRIT Fund’s financial results. Additional
information can be found on the PRIM Board’s website at www.mapension.com. Questions concerning any of
the information provided in this report or requests for additional financial information should be addressed to
the Pension Reserves Investment Management Board, 53 State Street, Boston, Massachusetts 02109.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Pooled Net Position
June 30, 2025 and 2024
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 23 FISCAL YEAR 2025
2025 2024
Assets:
Investments, at fair value:
Short-term $ 2,011,181 1,302,183
Fixed income 27,351,699 23,242,875
Equity 45,060,493 41,807,764
Timberland 3,138,919 3,192,283
Private equity funds 18,847,838 17,589,527
Real estate:
Real estate properties 10,217,534 9,974,149
Equity 1,097,702 743,848
Real estate funds 718,596 763,954
Mortgage loans receivable 219,071 114,176
Other 160,911 149,575
Total real estate 12,413,814 11,745,702
Portfolio completion strategies:
Investment funds 3,039,986 2,699,741
Equity 2,702,124 2,096,612
Fixed income 4,988,410 3,886,321
Cash and cash equivalents 1,717,259 1,528,904
Agricultural investments 424,002 469,916
Total portfolio completion strategies 12,871,781 10,681,494
Total investments 121,695,725 109,561,828
Cash 151,090 167,672
Securities lending collateral 238,819 97,857
Interest and dividends receivable 362,204 298,991
Receivable for investments sold and other assets 1,130,854 715,936
Receivable for securities sold on a when-issued basis 1,118,749 871,172
Foreign currency forward contracts 231,636 124,593
Total assets 124,929,077 111,838,049
Liabilities:
Securities sold short and other liabilities, at fair value:
Portfolio completion strategies 2,832,627 1,864,416
Fixed income 13,234 —
Total securities sold short and other liabilities 2,845,861 1,864,416
Payable for investments purchased and other liabilities 2,018,650 988,154
Real estate debt and other liabilities 863,373 930,671
Securities lending obligations 1,140,922 851,690
Payable for securities purchased on a when-issued basis 2,229,927 1,802,239
Foreign currency forward contracts 331,768 96,618
Management fees payable to PRIM 40,083 50,327
Total liabilities 9,470,584 6,584,115
Net position held in trust for pool participants $ 115,458,493 105,253,934
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Statements of Changes in Pooled Net Position
Years ended June 30, 2025 and 2024
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 24 FISCAL YEAR 2025
2025 2024
Additions:
Contributions:
State employees $ 916,063 902,529
State teachers 1,124,442 1,136,487
Other participants 2,137,142 1,774,095
Total contributions 4,177,647 3,813,111
Net investment income (loss):
From investment activities:
Net realized gain on investments and foreign currency transactions 3,825,057 2,607,560
Net change in unrealized appreciation on investments and foreign
currency translations 3,870,942 4,140,316
Interest 997,180 794,115
Dividends 881,784 904,059
Timberland 17,889 32,143
Private equity 184,179 158,083
Portfolio completion strategies 200,636 301,935
Real estate:
Income 721,853 728,920
Expenses (262,269) (243,931)
Total real estate 459,584 484,989
Income from investment activities 10,437,251 9,423,200
Investment expenses (211,643) (227,682)
Net income from investment activities 10,225,608 9,195,518
From securities lending activities:
Securities lending income 4,701 4,610
Securities lending expenses (30,904) (28,484)
Net loss from securities lending activities (26,203) (23,874)
Total net investment income 10,199,405 9,171,644
Total additions 14,377,052 12,984,755
Deductions:
Redemptions:
State employees 1,553,109 1,608,857
State teachers 1,101,053 1,235,719
Other participants 1,487,272 1,417,952
Total redemptions 4,141,434 4,262,528
Administrative expenses 31,059 29,710
Total deductions 4,172,493 4,292,238
Net increase in pooled net position 10,204,559 8,692,517
Net position held in trust for pool participants:
Balance, beginning of year 105,253,934 96,561,417
Balance, end of year $ 115,458,493 105,253,934
See accompanying notes to financial statements.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 25 FISCAL YEAR 2025
(1) Description of the Pension Reserves Investment Trust Fund
(a) General
The Pension Reserves Investment Trust Fund (the PRIT Fund), a component unit of the
Commonwealth of Massachusetts, was created in 1983 under Chapter 661 of the Acts of 1983, as
amended by Chapter 315 of the Acts of 1996. The PRIT Fund is a pooled investment fund that invests
the assets of the State Teachers’ and State Employees’ Retirement Systems of Massachusetts and
the assets of county, authority, school district, and municipal retirement systems that choose to
invest in the PRIT Fund, as well as the assets of the State Retiree Benefits Trust (SRBT) Fund. The PRIT
Fund is not registered with the Securities and Exchange Commission, but is subject to oversight
provided by the Pension Reserves Investment Management Board (the PRIM Board). The PRIM Board
was created by legislation to provide general supervision of the investments and management of the
PRIT Fund. The PRIM Board is a separate legal entity that issues its own financial statements, which
are not included in the accompanying financial statements of the PRIT Fund.
A nine-member Board of Trustees governs the PRIM Board. The Trustees include: (1) the Governor,
ex officio, or her designee; (2) the State Treasurer, ex officio, or her designee who shall serve as Chair
of the PRIM Board; (3) a private citizen experienced in the field of financial management appointed
by the State Treasurer; (4) an employee or retiree who is a member of the State Teachers’ Retirement
System, elected by the members of such system for a term of three years; (5) an employee or retiree
who is a member of the State Employees’ Retirement System, elected by the members of such system
for a term of three years; (6) the elected member of the State Retirement Board; (7) one of the
elected members of the Teachers’ Retirement Board chosen by the members of the Teachers’
Retirement Board; (8) a person who is not an employee or official of the Commonwealth appointed
by the Governor; and (9) a representative of a public safety union appointed by the Governor.
Appointed members serve for a term of four years. The Board of Trustees has the authority to employ
an Executive Director, outside investment managers, custodians, consultants, and others as it deems
necessary; to formulate policies and procedures; and to take such other actions as necessary and
appropriate to manage the assets of the PRIT Fund.
The PRIM Board seeks to prudently increase the value of the PRIT Fund to ensure that current and
future benefit obligations are adequately funded. The PRIM Board seeks to maximize the probability
of achieving the required rate of return while limiting unanticipated large drawdowns. Under current
law, by the year 2040, the PRIT Fund plans to have grown, through annual payments in accordance
with a legislatively approved funding schedule and through total return of the PRIT Fund, to an
amount sufficient to meet the then-existing pension obligations of the Commonwealth. The
Commonwealth has adopted a schedule of state pension appropriations that assumes a long-term
actuarial rate of return for the PRIT Fund of 7.0%.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 26 FISCAL YEAR 2025
The State Teachers’ and State Employees’ Retirement Systems and the SRBT Fund are mandated by
statute to invest all of their assets in the PRIT Fund and are, therefore, considered involuntary
participants. The assets of the State-Boston Retirement System attributable to teachers who are
members of that system are also mandated to be held in the PRIT Fund. Other retirement systems
have the option to become Participating or Purchasing System participants in the PRIT Fund.
Participating Systems must transfer all of their assets to the PRIT Fund, commit to remain invested
for five years, and are entitled to share in appropriations made to the PRIT Fund by the
Commonwealth in accordance with Massachusetts General Laws, Chapter 32, Section 22B. The
Commonwealth has made no such appropriation to the PRIT Fund on behalf of Participating Systems
since fiscal year 2000.
Purchasing Systems may invest all or a portion of their assets in the PRIT Fund and retain the ability
to contribute and withdraw funds at their discretion; however, they are not entitled to state
appropriations. Participating and Purchasing Systems share in the investment earnings of the PRIT
Fund based on their proportionate share of net position. As of June 30, 2025, there were 37
Participating Systems and 63 Purchasing Systems invested in the PRIT Fund.
(b) Investment Funds
The PRIT Fund consists of two investment funds, the Capital Fund and the Cash Fund. Each of these
funds is managed, accounted for, and held separately by the PRIT Fund’s custodian.
The Cash Fund consists of short-term investments, which are used to meet the liquidity requirements
of Participating and Purchasing Systems. All Cash Fund earnings are reinvested. The State Teachers’
Retirement System and the State Employees’ Retirement System make daily deposits into the Cash
Fund, which is their source of funds for benefit payments and operating expenses. The Cash Fund
maintains a stable net position value of $1.00 per unit.
Assets contributed by retirement systems are initially deposited in the Cash Fund and then
transferred to the Capital Fund. Funds transferred into the Capital Fund are generally invested in the
General Allocation Account, which invests in all asset classes of the PRIT Fund in accordance with the
PRIM Board’s asset allocation plan and investment policy guidelines. The Capital Fund serves as the
investment portfolio of the PRIT Fund and consists of the following accounts: General Allocation
(holds units of all other accounts), Domestic Equity, International Equity, Emerging Markets Equity,
Global Equity Emerging-Diverse Manager Program, Core Fixed Income, Public Value-Added Fixed
Income, Real Estate, Timberland, Hedge Funds, Private Debt, Overlay, Real Assets, Other Credit
Opportunities, Liquidating Portfolios, Private Equity Investments, and Private Equity Investments
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 27 FISCAL YEAR 2025
Vintage Years 2000-2001 and 2003-2025. Vintage Year refers to the calendar year in which the PRIT
Fund made a commitment to invest in a private equity investment.
Upon deposit by a Participating or Purchasing System into the accounts of the Capital Fund, units of
participation equal to the total value of the contribution are issued. The value of a unit of each
account is determined monthly by dividing the value of the net position of the account by the number
of units outstanding at each month-end valuation date. The unit price fluctuates with the
performance of the Capital Fund. The number of units generally changes only when a retirement
system makes a contribution or redemption.
Chapter 84 of the Acts of 1996 permits Massachusetts retirement boards to purchase units in the
individual investment accounts of the PRIT Fund as an alternative to investing in its General Allocation
Account. This investment option, also referred to as “segmentation,” was established by an
amendment to the PRIM Board’s Operating Trust Agreement in 1994 in response to requests from
retirement boards wishing to invest in certain asset classes of the PRIT Fund. Purchasing Systems, as
“segmented investors,” may invest in one or more of the following accounts of the Capital Fund:
General Allocation, Domestic Equity, International Equity, Emerging Markets Equity, Core Fixed
Income, Public Value-Added Fixed Income, Real Estate, Hedge Funds, and Private Equity Vintage Year
accounts.
(2) Summary of Significant Accounting Policies
(a) Basis of Accounting and Financial Statement Presentation
The financial statements of the PRIT Fund are reported using the economic resources measurement
focus and the accrual basis of accounting. They are prepared in conformity with U.S. generally
accepted accounting principles, which require management to make estimates and assumptions that
affect the reported amounts of assets and liabilities, and disclosure of contingent assets and
liabilities, at the dates of the financial statements and the reported amounts of additions and
deductions during the reporting periods. Actual results could differ from those estimates.
The PRIT Fund follows Governmental Accounting Standards Board (GASB) guidance as applicable to
external investment pools.
The PRIT Fund consolidates assets and liabilities of its single-member limited liability corporations.
(b) Investments
The PRIM Board’s asset allocation plan embodies its decisions to invest portions of the Capital Fund
in global equity securities, core fixed income securities, value-added fixed income, real estate,
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 28 FISCAL YEAR 2025
timberland, private equity, portfolio completion strategies and, where appropriate, the various sub
asset classes of each asset class. Statutes prohibit the PRIT Fund from investing in certain securities.
The PRIM Board ensures that investment managers adhere to the requirements of Massachusetts
General Laws.
Security transactions are recorded on the date the securities are purchased or sold. The cost of a
security is the purchase price or, in the case of assets transferred to the PRIT Fund by a Participating
or Purchasing System, the fair value of the securities on the transfer date. The calculation of realized
gains (losses) is independent of the calculation of the net change in unrealized appreciation
(depreciation) on investments. Realized gains and losses on investments sold in the current year
include previously recorded unrealized amounts and are included in net realized gain on investments
in the accompanying statements of changes in pooled net position. Realized gains and losses on
security transactions are determined using cost calculated on an average cost basis.
The PRIM Board values investments in fixed income, money market, other short-term investments,
and U.S. government agency obligations using independent pricing services. In determining the price,
the services may reflect such factors as market prices, yields, maturities, and ratings, supplemented
by dealer quotations. Investments in equity securities, including exchange-traded funds, traded on
national securities exchanges are valued at the last daily sale price or, if no sale price is available, at
the closing bid price. Securities traded on any other exchange are valued in the same manner or, if
not so traded, on the basis of closing over-the-counter (OTC) bid prices. If no bid price exists,
valuation is determined either by establishing the mean between the most recent published bid and
asked prices or averaging quotations obtained from dealers, brokers, or investment bankers.
Securities for which such valuations are unavailable are reported at their fair value as estimated in
good faith by the PRIM Board based on information provided by the investment managers
responsible for such investments. Fair values for investments in pooled investment vehicles
(commingled funds), such as mutual and similar funds with a readily determinable fair value, are
based on the commingled fund’s published net asset value (NAV) which are valued based on the
underlying marketable securities or, in the absence of readily ascertainable fair values, the price of
similar securities or other observable or unobservable inputs.
The PRIT Fund invests a portion of its assets in emerging capital markets. These investments may
involve greater risks than investments in more developed markets, and the prices of such
investments may be volatile. The consequences of political, social, or economic changes in these
markets may have disruptive effects on the market prices of these investments and the income they
generate, as well as the PRIT Fund’s ability to repatriate such amounts.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 29 FISCAL YEAR 2025
As described further below, certain qualifying investments may be measured using NAV as a practical
expedient to estimate fair value unless as of the measurement date it is probable that the PRIT Fund’s
interest will be sold at an amount different than NAV. As of June 30, 2025 and 2024, the PRIT Fund
had no plans or intentions to sell such investments at amounts other than NAV.
Investments in real estate represent the PRIT Fund’s ownership interest in PRIT Core Realty Holdings
LLC (the LLC). On October 19, 2001, the LLC was formed and was governed by an operating
agreement entered into by the PRIM Board, as trustee of the PRIT Fund, as the sole member. The
principal purpose of the LLC is to conduct the investment activities of the real estate program in a
manner consistent with the PRIT Fund Declaration of Trust and any business or activities incidental
to or in support of such investment activities.
The LLC holds investments in real estate properties, mortgage loans receivable, real estate fund
investments, and Real Estate Investment Trust (REIT) securities. Investments in real estate properties
are stated at fair value based on appraisals prepared by independent real estate appraisers or on
estimated valuations determined by the PRIM Board assuming highest and best use of the assets.
These estimated valuations are based on valuations prepared by the real estate investment
managers under the general supervision of the PRIM Board. Generally, third-party appraisals are
performed on each real estate property within 18 months of the date of acquisition and at least
annually thereafter. Determination of fair value involves judgment because the actual fair value of a
real estate investment can be determined only by negotiation between parties in a sales transaction.
Due to the inherent uncertainty of valuation, fair values used may differ significantly from values that
would have been determined had a ready market for the investments existed, and the differences
could be material. The fair value of mortgage loans receivable generally represents the sum of
accumulated loan advances that have been made as of the date of valuation using a discounted cash
flow model which applies certain key assumptions including terms of the contract, changes in market
rates, interest rate spreads, performance of the underlying collateral, liquidity, and other factors.
Real estate fund investments are invested through limited partnerships and are recorded at fair value
estimated by the PRIM Board, generally using the NAVs provided by general partners as a practical
expedient. The NAVs provided by general partners are generally based on appraised value of
underlying real estate investments, which considers inputs such as comparable sales, projected
income, discount rate, and capitalization rates. REIT securities are publicly traded securities and are
valued in the same manner as the PRIT Fund’s traded equity securities.
Investments in timberland are valued similarly to investments made by the LLC in real estate
properties. Independent appraisals of timberland investments are performed annually.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 30 FISCAL YEAR 2025
Portfolio completion strategies investments represent the PRIT Fund’s ownership in direct hedge
funds, hedge fund-of-funds, distressed loan funds, and real assets funds (collectively, the funds),
managed accounts, and agricultural investments. The fair values of the PRIT Fund’s interest in funds
are estimated by the PRIM Board, generally using NAVs provided by fund managers as a practical
expedient. NAVs for direct hedge funds, distressed loan, and real assets funds generally are based on
the value of the underlying marketable securities or assets, or in the absence of readily ascertainable
fair values, the price of identical or similar securities or assets. NAVs for hedge fund-of-funds are
generally based on the value of the NAVs of the underlying funds which value their investments
similar to direct hedge funds. Managed account investments in equity securities, fixed income, and
other investments are valued using independent pricing services. In the event that pricing
information is not available, then the investment is reported at fair value as estimated in good faith
by the PRIM Board based on information provided by the investment manager responsible for such
investment. Cash and cash equivalents held in managed accounts consist of cash and highly liquid
investments that are readily convertible into cash. The carrying amount of these investments
approximates fair value. Agricultural investments are valued similarly to investments made by the
LLC in real estate properties and are generally appraised annually.
Private equity investments are typically made through limited partnerships that invest in venture
capital, leveraged buyouts, private placements, and other investments whose structure, risk profile,
and return potential differ from traditional equity and fixed income investments. These investments
are recorded at fair values estimated by the PRIM Board, generally using the NAVs provided by
general partners as a practical expedient. The NAVs generally are based on the value of underlying
investment holdings, which are determined by investment managers and consider variables such as
operating results, earnings of the underlying holdings, projected cash flows, recent sales prices, and
other pertinent information. These estimated fair values are determined in good faith by investment
managers or general partners using consistently applied procedures.
(c) Investment Income
Dividend income is recorded on the ex-dividend date and interest income is accrued as earned. For
the years ended June 30, 2025 and 2024, foreign taxes withheld of $59,822 and $44,305,
respectively, have been netted against dividend income in the statements of changes in pooled net
position. Real estate income includes dividends earned on REIT securities as well as cash distributions
of operating income from investments in real estate properties. Timberland income includes cash
distributions of operating income from investments in timberland properties. Private equity income
is recorded on a cash distribution basis. Portfolio completion strategies income includes cash
distributions of operating income from agricultural investments as well as investment income from
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 31 FISCAL YEAR 2025
managed accounts. Distributions that represent returns of capital in excess of cumulative profits and
losses are credited to investment cost rather than investment income.
(d) Foreign Currency Translation and Transactions
The accounting records of the PRIT Fund are maintained in U.S. dollars. Investment securities and
other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the
prevailing rates of exchange at month-end. Purchases and sales of securities, income receipts, and
expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective
dates of the transactions.
Unrealized net currency gains and losses from valuing foreign currency-denominated assets and
liabilities at month-end exchange rates are reflected within net unrealized appreciation
(depreciation) on investments.
Net realized gains and losses on foreign currency transactions represent principally gains and losses
from sales and maturities of forward foreign currency contracts, disposition of foreign currencies,
and currency gains and losses realized between the trade and settlement dates on securities
transactions.
(e) Derivative Instruments
In accordance with GASB Statement No. 53, Accounting and Financial Reporting of Derivative
Instruments, the PRIT Fund has recorded all of its derivative activity at fair value as investment
instruments within equity, fixed income, portfolio completion strategies, and real estate investments
and the related change in such instruments within the net change in unrealized appreciation
(depreciation) on investments and foreign currency translations in the accompanying financial
statements. As described in GASB Statement No. 72, Fair Value Measurement and Application
(GASB 72), a credit valuation adjustment should be applied, when applicable, for nonperformance
risk using the PRIT Fund’s credit risk (liability) in determining fair value.
The PRIT Fund regularly trades derivative financial instruments with off-balance sheet risk in the
normal course of its investing activities to manage exposure to certain risks within the fund. The PRIT
Fund also enters into derivative transactions to gain exposure to currencies and markets where
derivatives are the most effective instrument. The PRIT Fund’s derivative financial instruments
include contracts for differences, foreign currency exchange contracts, financial and commodity
futures contracts, and customized swap agreements (see note 7 for more detail). These derivative
instruments can be exchange-traded or OTC contracts. The primary difference in risk associated with
OTC contracts and exchange-traded contracts is credit and liquidity risks. For exchange-traded
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 32 FISCAL YEAR 2025
contracts, credit risk is limited to the role of the exchange or clearing corporation. OTC contracts
contain credit risk for unrealized gains from various counterparties for the duration of the contract.
(f) When-Issued Securities Transactions
The PRIT Fund may purchase or sell securities on a “when-issued” or delayed-delivery basis. Delivery
and payment for such securities may take place a month or more after the trade date. Normally,
settlement occurs within three months. The price of the underlying securities and the date when the
securities will be delivered and paid for are fixed at trade date. During the time a delayed delivery
sell transaction is outstanding, the contract is marked to market daily and substantially equivalent
deliverable securities are held by the PRIT Fund for the transaction to the extent available. For
delayed delivery purchase transactions, the PRIT Fund maintains segregated assets with a fair value
equal to or greater than the amount of its purchase commitments. The receivables and payables
associated with the sale and purchase of delayed delivery securities are reflected in the
accompanying statements of pooled net position as securities sold and purchased on a when-issued
basis. Losses may arise due to changes in the value of the underlying securities, if the counterparty
does not perform under the contract, or if the issuer does not issue the securities due to political,
economic, or other factors.
The PRIT Fund may also enter into mortgage dollar-roll and reverse mortgage dollar-roll agreements
on a when-issued basis. A mortgage dollar-roll is an agreement in which the PRIT Fund sells securities
on a when-issued basis and simultaneously contracts with the same counterparty to repurchase
similar (same type, coupon, and maturity) but not identical securities on a specified future date.
During the roll period, principal and interest on these securities are not received. The PRIT Fund is
compensated by the difference between the current sales price and the forward price for the future
purchase. A reverse mortgage dollar-roll is an agreement to buy securities and to sell substantially
similar securities on a specified future date. During the roll period, the PRIT Fund receives the
principal and interest on the securities purchased. The receivables and payables associated with
mortgage dollar-rolls and reverse mortgage dollar-rolls are also reflected in the accompanying
statements of pooled net position as securities sold and purchased on a when-issued basis.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 33 FISCAL YEAR 2025
(3) Fair Value Measurements of Investments
In accordance with GASB 72, except for investments measured using NAV as a practical expedient to
estimate fair value, the PRIT Fund categorizes the fair value measurements of its investments within the
fair value hierarchy established by generally accepted accounting principles. The fair value hierarchy
categorizes the inputs to valuation techniques used for fair value measurement into three levels as
follows:
• Level 1 – Inputs that reflect quoted prices (unadjusted) in active markets for identical assets or
liabilities that the fund has the ability to access at the measurement date. Most of the PRIT Fund’s
directly held marketable securities, mutual funds and exchange traded funds would be examples of
Level 1 investments.
• Level 2 – Inputs other than quoted prices that are observable for an asset or liability either directly
or indirectly, including inputs in markets that are not considered to be active. Fair values are primarily
obtained from third-party pricing services for identical or comparable assets or liabilities, such as
interest rates, foreign exchange rates, and yield curves that are observable at commonly quoted
intervals. Because they must often be priced on the basis of transactions involving similar but not
identical securities or do not trade with sufficient frequency, certain directly held fixed income
securities are categorized in Level 2.
• Level 3 – Unobservable inputs based on the best information available, using assumptions in
determining the fair value of investments and derivative financial instruments. Generally, the PRIT
Fund’s directly held investments in real estate and timberland will be categorized in Level 3 because
a preponderance of inputs used to estimate fair value are not observable. For similar reasons, certain
fixed income securities may also be categorized in Level 3.
The fair value hierarchy gives the highest priority to Level 1 inputs and the lowest priority to Level 3
inputs. In certain instances where the determination of the fair value measurement is based on inputs
from different levels of the fair value hierarchy, the level in the fair value hierarchy is based on the lowest
level of input that is significant to the fair value measurement.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 34 FISCAL YEAR 2025
The following tables present a summary of the fair value hierarchy of investments that are measured at
fair value on a recurring basis at June 30, 2025 and 2024:
2025
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Short-term:
Money market investments $ 2,011,181 — 2,011,181 — —
Fixed income:
U.S. government obligations (1) 10,409,289 10,409,289 — — —
Domestic fixed income (2) 10,361,994 30,133 9,229,626 1,102,235 —
International fixed income (3) 3,608,840 102,233 3,075,855 430,752 —
Private debt (4) 670,547 — — — 670,547 431,350
Other credit opportunities (5) 2,301,029 134,217 652,137 419,915 1,094,760 1,609,589
27,351,699 10,675,872 12,957,618 1,952,902 1,765,307
Equity:
Domestic equity securities 27,814,998 27,811,971 3,027 — —
International equity securities 17,245,495 17,245,495 — — —
45,060,493 45,057,466 3,027 — —
Timberland 3,138,919 — — 3,138,919 —
Private equity funds (6) 18,847,838 — — — 18,847,838 6,794,753
Real estate:
Real estate properties 10,217,534 — — 10,217,534 —
Real estate equity securities 1,097,702 1,089,706 7,996 — —
Real estate funds (7) 718,596 — — — 718,596 163,205
Mortgage loans receivable 219,071 — — 219,071 — 26,315
Other 160,911 — — 160,911 —
12,413,814 1,089,706 7,996 10,597,516 718,596
Portfolio completion strategies:
Event-driven hedge funds (8) 1,121,336 — — — 1,121,336 21,376
Relative value hedge fund (9) 715,499 — — — 715,499
Fund of funds (10) 928,765 — — — 928,765
Distressed loan funds (11) 75,051 — — — 75,051 181,845
Real assets funds (12) 199,335 — — — 199,335 539,565
Investment funds 3,039,986 — — — 3,039,986
Equity securities 2,702,124 2,505,990 9,743 186,391 —
Fixed income securities 4,988,410 863,938 3,656,164 405,107 63,201
Cash and cash equivalents 1,717,259 1,587,560 129,699 — —
Agricultural investments 424,002 — — 424,002 —
12,871,781 4,957,488 3,795,606 1,015,500 3,103,187
Total investments $ 121,695,725 61,780,532 18,775,428 16,704,837 24,434,928
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 35 FISCAL YEAR 2025
2025
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Securities lending collateral:
Money market investments $ 238,819 — 238,819 — —
Total securities lending
collateral $ 238,819 — 238,819 — —
Securities sold short and other liabilities
at fair value:
Portfolio completion strategies:
Equity securities $ 926,028 915,613 7,099 3,316 —
Cash and cash equivalents 1,179,475 471,702 707,773 — —
Fixed income securities 677,532 121,011 556,521 — —
Other 49,592 — — 49,592 —
2,832,627 1,508,326 1,271,393 52,908 —
Fixed income:
Other credit opportunities (5) 13,234 13,234 — — —
Total securities sold short
and other liabilities $ 2,845,861 1,521,560 1,271,393 52,908 —
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 36 FISCAL YEAR 2025
2024
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Short-term:
Money market investments $ 1,302,183 — 1,302,183 — —
Fixed income:
U.S. government obligations (1) 9,189,444 9,189,444 — — —
Domestic fixed income (2) 8,752,145 7,673 8,607,553 136,919 —
International fixed income (3) 2,457,005 122,543 2,290,234 44,228 —
Private debt (4) 868,115 — — — 868,115 471,233
Other credit opportunities (5) 1,976,166 67,986 632,475 540,131 735,574 1,327,934
23,242,875 9,387,646 11,530,262 721,278 1,603,689
Equity:
Domestic equity securities 25,746,015 25,745,992 23 — —
International equity securities 16,061,749 16,058,982 2,767 — —
41,807,764 41,804,974 2,790 — —
Timberland 3,192,283 — — 3,192,283 —
Private equity funds (6) 17,589,527 — — — 17,589,527 6,908,965
Real estate:
Real estate properties 9,974,149 — — 9,974,149 —
Real estate equity securities 743,848 740,266 3,582 — —
Real estate funds (7) 763,954 — — — 763,954 183,930
Mortgage loans receivable 114,176 — — 114,176 — 125,618
Other 149,575 — — 149,575 —
11,745,702 740,266 3,582 10,237,900 763,954
Portfolio completion strategies:
Event-driven hedge funds (8) 998,816 — — — 998,816 50,000
Relative value hedge fund (9) 590,623 — — — 590,623
Fund of funds (10) 775,120 — — — 775,120
Distressed loan fund (11) 80,218 — — — 80,218 49,801
Real assets funds (12) 254,964 — — — 254,964 763,701
Investment funds 2,699,741 — — — 2,699,741
Equity securities 2,096,612 1,959,320 5,249 132,043 —
Fixed income securities 3,886,321 216,226 3,389,485 280,610 —
Cash and cash equivalents 1,528,904 1,461,513 67,391 — —
Agricultural investments 469,916 — — 469,916 —
10,681,494 3,637,059 3,462,125 882,569 2,699,741
Total investments $ 109,561,828 55,569,945 16,300,942 15,034,030 22,656,911
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 37 FISCAL YEAR 2025
2024
Fair value measurements using
Quoted prices
in active Significant Significant
markets for other unobservable
identical observable inputs or not Net asset
assets inputs redeemable value Unfunded
Investments at fair value Total (Level 1) (Level 2) (Level 3) (NAV) commitments
Securities lending collateral:
Money market investments $ 97,857 — 97,857 — —
Total securities lending
collateral $ 97,857 — 97,857 — —
Securities sold short and other liabilities
at fair value:
Portfolio completion strategies:
Equity securities $ 801,859 796,312 5,547 — —
Cash and cash equivalents 659,518 349,799 309,719 — —
Fixed income securities 349,150 1,150 348,000 — —
Other 53,889 — — 53,889 —
Total securities sold short
and other liabilities $ 1,864,416 1,147,261 663,266 53,889 —
(1) Fiscal year 2025 rates range from 0.00% to 6.75%, and maturities range from 2025 to 2055. Fiscal year
2024 rates range from 0.00% to 6.75%, and maturities range from 2024 to 2054.
(2) Fiscal year 2025 rates range from 0.00% to 13.50%, and maturities range from 2025 to 2122. Fiscal year
2024 rates range from 0.00% to 14.00%, and maturities range from 2024 to 2122.
(3) Fiscal year 2025 rates range from 0.00% to 48.87%, and maturities range from 2025 to 2122. Fiscal year
2024 rates range from 0.00% to 14.50%, and maturities range from 2024 to 2122.
(4) This represents investments in private partnerships that invest directly in distressed debt investment
opportunities. The life cycles of the private partnerships are typically 10 to 15 years during which
limited partners are unable to redeem their positions. Distributions are received as the partnerships
liquidate the underlying assets of the funds.
(5) This includes managed accounts and private partnerships that make credit investments. Private
partnerships typically have 10 to 15-year life cycles during which limited partners are unable to redeem
their positions, but instead, receive distributions as the partnerships liquidate the underlying assets of
the funds.
(6) This includes private partnerships that invest in venture capital, leverage buyouts, private placements,
and other investments. The private partnerships typically have a life cycle of 10 to 15 years during
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 38 FISCAL YEAR 2025
which limited partners are unable to redeem their positions. Distributions are received as the
partnerships liquidate the underlying assets of the funds.
(7) This includes real estate funds that invest in U.S. real estate. The funds generally have initial terms of
seven to ten years during which limited partners are unable to redeem their positions. Distributions
are received as the funds liquidate the underlying assets.
(8) This includes four hedge funds that invest in event-driven strategies such as credit-event, equity-event,
multi-event driven, and stressed/distressed credit positions at June 30, 2025 and 2024. Redemption
frequency for these investments ranged from quarterly to semi-annually with 60 to 65 days’ notice.
(9) This includes one hedge fund that invests in relative value strategies such as fixed income relative value
positions at June 30, 2025 and 2024. Redemption frequency for this investment is quarterly with
45 days’ notice.
(10)The majority of this investment includes one active hedge fund of funds manager, valued at $926,675
and $771,944, at June 30, 2025 and 2024, respectively, which invests in emerging hedge fund
managers. Redemption frequency for this fund is monthly with 30 days’ notice. The remaining balance
represents investments in four liquidating portfolios in which distributions are received as the funds
liquidate the underlying assets.
(11)This includes two and one funds that invests in distressed loans at June 30, 2025 and 2024, respectively.
Limited partners in the funds are unable to redeem their positions and distributions are received as the
funds liquidate the underlying assets.
(12)This includes six and nine funds that invest in real assets at June 30, 2025 and 2024, respectively.
Limited partners in these funds are generally unable to redeem their positions and distributions are
received as the funds liquidate the underlying assets.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 39 FISCAL YEAR 2025
(4) Deposits and Investments Risks
(a) Custodial Credit Risk
Custodial credit risk is the risk that in the event of bank failure, the PRIT Fund’s deposits and
investments may not be returned. The PRIM Board manages the PRIT Fund’s exposure to custodial
credit risk by requiring all relevant investment managers to hold investments in separate accounts
with the PRIM Board’s custodian (see note 8). The PRIM Board has not adopted a formal custodial
credit risk policy.
Cash balances represent amounts held in bank depository accounts that may be subject to custodial
credit risk. The PRIT Fund maintains cash and cash equivalents with various major financial
institutions. The combined account balances at a specific financial institution may periodically exceed
federally insured limits. No losses have been incurred during the years ended June 30, 2025 and 2024.
(b) Interest Rate Risk
Interest rate risk is the risk that changes in interest rates of fixed income investments will adversely
affect the fair value of an investment. While the PRIM Board does not have a formal policy relating
to interest rate risk, the PRIM Board manages the PRIT Fund’s exposure to fair value loss arising from
movements in interest rates by establishing duration guidelines with its fixed income investment
managers. The guidelines with each individual manager require that the effective duration of the
domestic fixed income investment portfolio be within a specified percentage or number of years of
the effective duration band of the appropriate benchmark index. For emerging markets fixed income
investments, the portfolio must have duration with a band ranging from three to eight years.
Effective duration is a measure of a fixed income investment’s exposure to fair value changes arising
from changes in interest rates. Effective duration makes assumptions regarding the most likely timing
and amounts of variable cash flows. These assumptions take into consideration factors indicative of
investments highly sensitive to interest rate changes, including callable options, prepayments, and
other factors. These factors are reflected in the effective duration numbers provided in the following
table. The PRIM Board compares the effective duration of a manager’s portfolio to their relevant
benchmark including Bloomberg U.S. Aggregate Bond index, Bloomberg U.S. STRIPS 20+ Year index,
Bloomberg U.S. Treasury 1-3 Year index, Bloomberg U.S. TIPS index, Bloomberg World Government
Inflation Linked Bonds index, Morningstar LSTA Leveraged Loan index, JP Morgan Emerging Markets
Bond Index Global, and the Intercontinental Exchange Bank of America U.S. High Yield index.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 40 FISCAL YEAR 2025
The following table shows the debt investments by investment type, fair value, and effective
weighted duration rate at June 30:
2025 2024
Effective Effective
weighted weighted
duration duration
Investment Fair value rate Fair value rate
(Years) (Years)
Asset-backed securities $ 1,392,626 4.52 $ 1,456,366 6.34
Commercial mortgage – backed securities 698,218 9.86 709,809 9.22
Corporate bonds and other credits 13,100,636 3.36 8,181,558 4.02
U.S. government bonds 6,587,303 15.05 5,984,417 14.42
U.S. government agencies 14,330 5.50 17,295 1.99
U.S. government TIPS 3,995,534 6.57 3,419,573 6.63
U.S. government mortgage – backed
securities 3,006,709 5.23 2,668,889 5.05
Global inflation linked bonds 291,490 7.71 247,557 7.90
Municipal bonds 53,286 8.61 45,513 9.23
Pooled money market fund (1) 2,133,189 N/A 1,359,442 N/A
Other pooled funds (2) 3,077,969 N/A 4,340,960 N/A
Total fixed income and
short-term investments $ 34,351,290 $ 28,431,379
Securities lending collateral investments:
Pooled money market fund (1) $ 238,819 N/A $ 97,857 N/A
Total securities lending
collateral investments $ 238,819 $ 97,857
(1) Short-term investments with maturities of less than three months.
(2) Other pooled funds have a weighted average maturity of approximately two and one years at June 30, 2025
and 2024, respectively.
(c) Credit Risk
Credit risk is the risk that an issuer or other counterparty to an investment will fail to meet its debt
obligations.
The PRIM Board does not have a formal investment policy governing credit risk; each fixed income
securities investment manager is given a specific set of guidelines to invest within based on the
mandate for which it was hired. These guidelines vary depending on the manager’s strategy and the
role of its portfolio to the overall diversification of the PRIT Fund. The guidelines for the PRIT Fund’s
core fixed income portfolio establish the minimum credit rating for any security in the portfolio and
the overall weighted average credit rating of the portfolio. For example, all securities held must
generally be investment grade. The guidelines for the PRIT Fund’s high yield fixed income portfolio
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 41 FISCAL YEAR 2025
establish a fair value range of securities to be held with a specific minimum credit rating and the
overall weighted average credit rating of the portfolio.
Credit risk for derivative instruments held by the PRIT Fund results from counterparty risk. The PRIT
Fund is exposed to credit risk resulting from counterparties being unable to meet their obligations
under the terms of the derivative agreements. See note 7 for more information on the PRIT Fund’s
derivative instruments.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 42 FISCAL YEAR 2025
The
weighted average quality rating of the debt securities portfolio,
excluding pooled investments, investments explicitly backed by the
U.S.
government and other nonrated investments was BBB- and BBB at June 30,
2025 and 2024, respectively. The following tables present
the PRIT Fund’s fixed-income securities credit ratings at June 30:
Total Investment grade Noninvestment grade
fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 1,392,626 91,983 78,509 8,981 245,363 248,521 719,269
Commercial mortgage-backed securities 698,218 103,195 22,638 86,565 112,776 55,667 317,377
Corporate bonds and other credits 13,100,636 473,235 1,960,548 2,198,205 3,649,864 1,175,229 3,643,555
U.S. government agencies 14,330 — 14,330 — — — —
U.S. government mortgage-backed securities 2,759,176 — 1,271,348 11,306 — — 1,476,522
Global inflation linked bonds 291,490 36,319 133,163 98,529 2,109 — 21,370
Municipal bonds 53,286 1,270 49,103 2,398 515 — —
Pooled money market fund 2,133,189 — — — — — 2,133,189
Other pooled funds 3,077,969 — — — — — 3,077,969
Total credit risk, fixed income, and short-term
investments $ 23,520,920 706,002 3,529,639 2,405,984 4,010,627 1,479,417 11,389,251
Fixed income investments explicitly backed by the
U.S. government 10,830,370
Total fixed income and short-term investments $ 34,351,290
Securities lending collateral investments:
Pooled money market fund $ 238,819 238,819 — — — — —
Total securities lending collateral investments $ 238,819 238,819 — — — — —
2025
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 43 FISCAL YEAR 2025
Total Investment grade Noninvestment grade
fair value AAA AA+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Not rated
Asset-backed securities $ 1,456,366 64,334 116,008 14,763 236,809 232,707 791,745
Commercial mortgage-backed securities 709,809 151,117 15,244 75,089 82,696 67,505 318,158
Corporate bonds and other credits 8,181,558 447,073 1,349,073 1,640,856 1,954,034 716,495 2,074,027
U.S. government agencies 17,295 — 17,295 — — — —
U.S. government mortgage-backed securities 2,406,044 28 1,084,536 6,220 8,162 — 1,307,098
Global inflation linked bonds 247,557 41,159 113,402 72,649 1,862 — 18,485
Municipal bonds 45,513 1,502 41,799 1,713 499 — —
Pooled money market fund 1,359,442 — — — — — 1,359,442
Other pooled funds 4,340,960 — — — — — 4,340,960
Total credit risk, fixed income, and short-term
investments 18,764,544 $ 705,213 2,737,357 1,811,290 2,284,062 1,016,707 10,209,915
Fixed income investments explicitly backed by the
U.S. government 9,666,835
Total fixed income and short-term investments $ 28,431,379
Securities lending collateral investments:
Pooled money market fund $ 97,857 97,857 — — — — —
Total securities lending collateral investments $ 97,857 97,857 — — — — —
2024
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 44 FISCAL YEAR 2025
(d) Foreign Currency Risk
Foreign currency risk is the risk that changes in exchange rates will adversely affect the fair value of
investments. Although the PRIM Board has no overall policy regarding foreign currency risk, the PRIM
Board does manage the PRIT Fund’s exposure to foreign currencies by establishing investment
guidelines with each of its managers who invest in securities not denominated in U.S. dollars. These
guidelines set maximum investment balances for any currency and/or country holdings must be
within a certain percentage of predefined benchmarks. In addition, the PRIM Board’s investment
managers may actively manage exposure to foreign currencies through the use of forward foreign
currency contracts. The following tables present the PRIT Fund’s foreign currency exposures at
June 30 (stated in U.S. dollars in thousands):
2025
Cash and Portfolio
short-term Fixed completion Private equity Timberland
investments Equity income strategies investments investments Total
Australian Dollar $ 2,116 393,101 9,762 1,251 — 486,570 892,800
Brazilian Real 2,161 206,012 96,340 66,306 — — 370,819
British Pound 8,611 2,168,573 230,774 24,107 143,817 — 2,575,882
Canadian Dollar 4,661 808,873 28,186 52,546 6,272 — 900,538
Euro 66,992 3,596,014 692,040 166,973 2,497,322 — 7,019,341
Hong Kong Dollar 5,274 1,298,345 — 17,360 — — 1,320,979
Indian Rupee 1,280 669,316 — (746) — — 669,850
Japanese Yen 33,679 2,387,872 44,247 338,842 — — 2,804,640
New Taiwan Dollar 245 680,772 — (97) — — 680,920
South Korean Won 3,891 568,829 13,010 7,424 — — 593,154
Swedish Krona 1,419 299,765 5,236 (1,461) — — 304,959
Swiss Franc 3,571 654,679 — 4,085 56,497 — 718,832
Other foreign currencies 18,609 1,532,381 41,646 367,783 — — 1,960,419
Total
securities
subject to
foreign
currency risk 152,509 15,264,532 1,161,241 1,044,373 2,703,908 486,570 20,813,133
International investments
denominated in U.S.
dollars — 1,980,963 2,545,408 — — 208,730 4,735,101
Total
international
investments
and cash
deposits $ 152,509 17,245,495 3,706,649 1,044,373 2,703,908 695,300 25,548,234
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 45 FISCAL YEAR 2025
2024
Cash and Portfolio
short-term Fixed completion Private equity Timberland
investments Equity income strategies investments investments Total
Australian Dollar $ 2,274 391,910 10,729 (2,129) — 420,655 823,439
Brazilian Real 2,190 182,095 91,355 79,484 — — 355,124
British Pound 4,903 2,081,126 218,769 26,426 101,814 — 2,433,038
Canadian Dollar 2,318 747,505 26,382 34,443 3,383 — 814,031
Danish Krone 9,930 331,532 1,321 (672) — — 342,111
Euro 64,135 3,129,113 348,102 75,560 1,970,701 — 5,587,611
Hong Kong Dollar 2,922 1,042,906 — 3,633 — — 1,049,461
Indian Rupee 2,399 714,563 — 4,852 — — 721,814
Japanese Yen 21,078 2,300,702 20,512 162,374 — — 2,504,666
New Taiwan Dollar 112 700,740 — (817) — — 700,035
South Korean Won 5,317 572,326 12,244 (3,896) — — 585,991
Swedish Krona 2,968 381,355 5,371 (2,071) — — 387,623
Swiss Franc 10,533 547,475 — (737) — — 557,271
Other foreign currencies 20,764 1,189,192 32,987 93,169 — — 1,336,112
Total
securities
subject to
foreign
currency risk 151,843 14,312,540 767,772 469,619 2,075,898 420,655 18,198,327
International investments
denominated in U.S.
dollars — 1,749,209 1,797,700 — — 216,836 3,763,745
Total
international
investments
and cash
deposits $ 151,843 16,061,749 2,565,472 469,619 2,075,898 637,491 21,962,072
(e) Concentration of Credit Risk
The PRIM Board manages the PRIT Fund’s exposure to concentration of credit risk by establishing
guidelines with each investment manager that limit the percentage of investment in any single issue
or issuer. The PRIT Fund has no investments, at fair value, that exceed 5% of the PRIT Fund’s total
investments as of June 30, 2025 and 2024.
(f) Financial Instruments with Off-Balance-Sheet Risk
In the normal course of business, the PRIT Fund enters into financial instrument transactions with
off-balance-sheet risk. These financial instruments involve varying degrees and type of risks,
including credit and market risks, which may be in excess of the amounts recognized in the
Statements of Pooled Net Position. Futures and foreign currency exchange contracts represent
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 46 FISCAL YEAR 2025
commitments to purchase or sell foreign currencies at a future date and at a specified price. The PRIT
Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms
of their contracts or if the value of the foreign currency changes unfavorably.
(5) Securities Lending Program
The PRIM Board uses a third-party securities lending agent to manage its securities lending program. The
program loans domestic and international equity, REIT, and fixed income securities for collateral with a
simultaneous agreement to return the collateral for the same securities in the future. Securities on loan
are secured with collateral ranging from 102% to 105% determined by the type of securities lent.
Securities on loan are valued daily to maintain the collateral requirement and, where applicable,
additional collateral is delivered. At June 30, 2025 and 2024, the PRIT Fund has no credit risk exposure to
borrowers because the borrowers provided collateralization greater than 100% of the fair value of the
securities on loan. The PRIT Fund cannot pledge or sell the collateral securities unless the lending agent
defaults. The PRIT Fund is indemnified in the event that the lending agent fails to return the securities on
loan (and if the collateral is inadequate to replace the securities on loan) or if the lending agent fails to
perform its obligations as stipulated in the agreement. There was no lending agent default during the
years ended June 30, 2025 and 2024.
Securities loans are terminable on demand therefore maturities of the securities loans do not generally
match the maturities of investments made with cash collateral. Investments made with cash collateral
are primarily in short-term investments with maximum maturity of three months from the date of
purchase.
Securities on loan are included in investments at fair value in the accompanying statements of pooled
net position. As of June 30, 2025 and 2024, the fair value of securities on loan was $1,114,468 and
$828,071, respectively, and the associated collateral received in cash was $1,140,922 and $851,690,
respectively. Securities lending obligations to repay the collateral are reported in the accompanying
statements of pooled net position. There was no security collateral or noncash collateral at June 30, 2025
and 2024. The PRIT Fund pays a monthly rebate on approximately $650,000 of the cash collateral
received and is included in securities lending expenses in the accompanying statements of changes in
pooled net position.
For the years ended June 30, 2025 and 2024, in accordance with the Securities Lending Agency
Agreement, the PRIT Fund loaned $900,000 and $750,000, respectively, of the cash collateral to the LLC
to invest in real estate investments. $250,000 of the loans mature on March 10, 2027 and can be prepaid
at any time. Interest is paid monthly in arrears at a per annum rate equal to LIBOR, which was transitioned
to an agreed upon Fallback SOFR rate after June 30, 2023. $500,000 of the loans mature on November 18,
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 47 FISCAL YEAR 2025
2031 and can be prepaid at any time. Interest is paid monthly in arrears at a per annum rate as agreed
to by the parties. $150,000 of the loans mature on September 27, 2034 and can be prepaid at any time.
Interest is paid monthly in arrears at a per annum rate as agreed to by the parties. As these are
inter-entity loans, they have been eliminated in consolidation in the accompanying financial statements.
The fair value of the remaining cash collateral reinvested was $238,819 and $97,857 at June 30, 2025 and
2024, respectively, and is reported as securities lending collateral in the accompanying statements of
pooled net position.
(6) Real Estate Debt
(a) Notes Payable
The LLC’s notes payable obligations consisted of the following as of June 30:
2025 2024
Senior unsecured notes $ 200,000 350,000
Total $ 200,000 350,000
On February 14, 2013, the LLC issued 4.00% Series C Senior Notes in the aggregate principal amount
of $150,000 which matured on February 14, 2025. Interest on the notes was payable semi-annually.
On February 12, 2020, the LLC issued 3.07% Series D Senior Notes in the aggregate principal amount
of $200,000 maturing February 12, 2030. Interest on the notes is payable semi-annually.
The Senior Unsecured Notes contain certain financial covenants as outlined in the respective
agreements. The LLC was in compliance with such covenants at June 30, 2025 and 2024.
(b) Mortgage Loans Payable
The LLC had 13 property-level mortgage loans payable as of June 30, 2025 and 2024. The mortgages
have a weighted average interest rate of 4.78% and 4.71% and a weighted average maturity of 2.6
and 3.8 years at June 30, 2025 and 2024, respectively. The following table presents the face value of
mortgage loans payable at June 30:
2025 2024
Mortgage loans payable $ 653,648 571,140
Total $ 653,648 571,140
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 48 FISCAL YEAR 2025
(c) Other Liabilities
The LLC had other liabilities of $9,725 and $9,531 as of June 30, 2025 and 2024, respectively.
(7) Derivative Investments
The PRIT Fund regularly trades financial instruments with off-balance-sheet risk in the normal course of
its investing activities to assist in managing exposure to market risks. These financial instruments include
contracts for differences, foreign currency exchange contracts, futures contracts, and swap contracts.
(a) Contracts for differences
A contract for differences is an instrument whose value is based on the price movement of the
underlying asset. It allows for gain or losses to be realized when the underlying asset moves in
relation to the position taken, although the actual underlying asset is not owned by the PRIT Fund.
The fair value of these instruments is generally recorded at the contract’s net equity value. The net
equity value is calculated by determining the change in value of the underlying asset less the cost of
any leverage. The changes in fair value are recorded by the PRIT Fund as unrealized gains or losses.
When the contract is closed, the PRIT Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the time it was closed.
Contracts for differences held at June 30 were as follows:
2025
Gross Unrealized
Number of notional Fair value appreciation
Description contracts amount of contracts (depreciation)
Long exposure 34,579,073 $ 40,127 40,127 —
Short exposure (2,535,534) (45,488) (46,474) (986)
Total exposure $ (5,361) (6,347) (986)
2024
Gross Unrealized
Number of notional Fair value appreciation
Description contracts amount of contracts (depreciation)
Long exposure 34,471,907 $ 86,145 86,322 177
Short exposure (1,405,200) (72,886) (74,468) (1,582)
Total exposure $ 13,259 11,854 (1,405)
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 49 FISCAL YEAR 2025
For the years ended June 30, 2025 and 2024, the change in net unrealized appreciation (depreciation)
on contracts for differences was $419 and $(7,867), respectively.
(b) Foreign Currency Exchange Contracts
A foreign currency exchange contract is an agreement between two parties to buy or sell a fixed
quantity of currency at a set price on a future date. The PRIT Fund may enter into foreign currency
exchange contracts to hedge its exposure to the effect of changes in foreign currency exchange rates
upon its non-U.S. dollar-denominated investments. The fair value of such contracts will fluctuate with
changes in currency exchange rates. The contracts are valued daily, and the changes in fair value are
recorded by the PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund
records a realized gain or loss equal to the difference between the cost of the contract at the time it
was opened and the value at the time it was closed.
Foreign currency exchange contracts open at June 30 (in U.S. dollars) were as follows:
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) appreciation depreciation
Foreign currency exchange
contracts purchased:
Brazilian Real $ 133,149 $ 129,766 7/1/25–10/2/25 $ — (3,383)
British Pound 585,306 579,881 7/1/25–6/17/26 — (5,425)
Chinese Yuan 1,042,243 1,037,233 7/2/25–12/17/26 — (5,010)
Coin(O) 755,831 776,067 7/14/25–4/16/26 20,236 —
Euro 1,466,107 1,424,333 7/1/25–6/17/26 — (41,774)
Gold 665,694 673,791 7/1/25–7/25/25 8,097 —
Hong Kong Dollar 1,615,156 1,620,993 7/2/25–6/16/26 5,837 —
Japanese Yen 789,239 771,142 7/1/25–7/1/27 — (18,097)
Mexican Peso 138,011 134,973 8/14/25–9/17/25 — (3,038)
New Taiwan Dollar 825,872 790,459 7/1/25–10/8/26 — (35,413)
Polish Zloty 73,861 71,414 7/10/25–10/17/25 — (2,447)
Singapore Dollar 6,682,593 6,515,055 7/1/25–9/10/26 — (167,538)
South Korean Won 401,968 396,782 7/1/25–7/17/26 — (5,186)
Swiss Franc 121,852 118,698 7/1/25–4/16/26 — (3,154)
Other foreign currencies 1,457,926 1,449,675 7/1/25–5/16/30 743 (8,994)
Foreign currency exchange
contracts sold:
Australian Dollar 271,193 268,832 7/1/25–6/17/26 2,361 —
Brazilian Real 194,002 187,976 7/2/25–9/17/25 6,026 —
Chinese Yuan 955,448 950,671 7/2/25–12/17/26 4,777 —
Coin(O) 702,225 722,970 7/14/25–3/23/26 — (20,745)
Euro 951,805 930,396 7/1/25–6/17/26 21,409 —
Gold 664,484 672,557 7/1/25–7/25/25 — (8,073)
Hong Kong Dollar 883,339 886,493 7/2/25–6/16/26 — (3,154)
Hungarian Forint 50,573 48,356 9/17/25 2,217 —
Japanese Yen 400,069 395,866 7/1/25–7/1/27 4,203 —
New Taiwan Dollar 850,487 822,440 7/2/25–10/8/26 28,047 —
Singapore Dollar 6,056,829 5,943,803 7/1/25–8/11/26 113,026 —
South Korean Won 413,269 408,599 7/2/25–7/17/26 4,670 —
Swiss Franc 133,174 129,613 7/1/25–4/16/26 3,561 —
Other foreign currencies 1,476,708 1,470,619 7/1/25–6/10/27 6,426 (337)
Total $ 231,636 (331,768)
2025
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 50 FISCAL YEAR 2025
Aggregate Delivery Unrealized Unrealized
Fair value face value date(s) appreciation depreciation
Foreign currency exchange
contracts purchased:
Australian Dollar $ 526,951 $ 518,957 7/3/24–3/19/25 $ — (7,994)
Brazilian Real 162,212 168,637 7/2/24–4/2/25 6,425 —
Chinese Yuan 1,776,019 1,800,994 7/2/24–6/20/25 24,975 —
Coin(O) 1,635,617 1,660,692 7/2/24–7/14/25 25,075 —
Czech Koruna 75,113 77,145 7/2/24–9/18/24 2,032 —
Euro 1,141,602 1,147,049 7/1/24–11/14/24 5,447 —
Japanese Yen 621,080 642,035 7/1/24–6/20/25 20,955 —
Singapore Dollar 4,679,492 4,705,375 7/1/24–6/27/25 25,883 —
Other foreign currencies 4,302,241 4,306,249 7/1/24–7/2/29 8,225 (4,217)
Foreign currency exchange
contracts sold:
Australian Dollar 600,318 597,700 7/1/24–3/19/25 2,618 —
Brazilian Real 80,550 84,144 7/2/24–9/18/24 — (3,594)
Chinese Yuan 1,251,638 1,269,230 7/2/24–6/3/25 — (17,592)
Coin(O) 956,296 978,181 7/2/24–12/27/24 — (21,885)
Hungarian Forint 143,763 147,407 7/1/24–9/18/24 — (3,644)
Japanese Yen 168,771 174,853 7/1/24–6/18/25 — (6,082)
Mexican Peso 131,133 134,108 7/15/24–9/18/24 — (2,975)
Singapore Dollar 4,704,102 4,723,342 7/1/24–4/24/25 — (19,240)
Other foreign currencies 3,404,343 3,410,780 7/1/24–3/25/26 2,958 (9,395)
Total $ 124,593 (96,618)
2024
For the years ended June 30, 2025 and 2024, the change in net unrealized (depreciation) appreciation
on foreign currency exchange contracts was $(128,107) and $47,992, respectively.
(c) Futures Contracts
The PRIT Fund enters into financial and commodity futures on various exchanges. A futures contract
is an agreement between two parties to buy or sell units of a particular index, security, or commodity
at a set price on a future date. Upon entering into financial and commodity futures contracts, the
PRIT Fund is required to pledge to the broker an amount of cash or securities equal to a certain
percentage of the contract amount (initial margin deposit). Pursuant to the contract, the PRIT Fund
agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value
of the contract. Such receipts or payments are known as “variation margin” and are recorded by the
PRIT Fund as unrealized gains or losses. When the contract is closed, the PRIT Fund records a realized
gain or loss equal to the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The potential risk to the PRIT Fund is that the change in value of
futures contracts primarily corresponds with the value of underlying instruments, which may not
correspond to the change in value of the hedged instruments. The PRIT Fund is also subject to credit
risk should its clearing brokers be unable to meet their obligations to the PRIT Fund.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 51 FISCAL YEAR 2025
Futures contracts held at June 30 were as follows:
2025
Expiration Gross Unrealized
Number of dates notional Fair value appreciation
Description contracts (month/year) amount of contracts (depreciation)
Short ca s h a nd ca s h equi va l ents :
90-Da y Ba nk Bi l l (5,630) 12/25 $ (3,661,811) (3,664,636) (2,825)
3-month SOFR (1,518) 3/26-6/28 (367,252) (368,037) (785)
Euro FX currency (569) 9/25 (84,184) (86,241) (2,057)
Other s hort ca s h a nd ca s h equi va l ents (548) 9/25–3/26 (92,173) (92,735) (562)
Long ca s h a nd ca s h equi va l ents :
90-Da y Ba nk Bi l l 5,630 6/26–12/26 3,662,601 3,664,940 2,339
Euro FX currency 250 9/25 36,139 37,049 910
Other l ong ca s h a nd ca s h equi va l ents 9,636 7/25–3/28 2,373,629 2,374,831 1,202
Short fi xed i ncome:
Euro-Scha tz (706) 9/25 (87,666) (88,867) (1,201)
US 10-Yr Trea s ury Notes (2,147) 9/25 (242,668) (246,004) (3,336)
US 5-Yr Trea s ury Notes (641) 9/25 (69,869) (70,707) (838)
Ul tra US 10-Yr Trea s ury Notes (774) 9/25 (86,840) (88,442) (1,602)
Other s hort fi xed i ncome (3,439) 9/25 (460,712) (463,567) (2,855)
Long fi xed i ncome:
US 2-Yr Trea s ury Notes 2,111 9/25 437,873 439,417 1,544
US 5-Yr Trea s ury Notes 4,443 9/25 480,691 485,926 5,235
US 10-Yr Trea s ury Notes 1,892 9/25 210,619 213,396 2,777
US Trea s ury Bond 302 9/25 33,590 34,872 1,282
Ul tra US 10-Yr Trea s ury Notes 992 9/25 111,201 113,352 2,151
Ul tra US Trea s ury Bond 973 9/25 111,179 116,083 4,904
Other l ong fi xed i ncome 3,831 9/25 337,890 339,290 1,400
Short equi ty a nd commodi ti es :
Meta l (1,456) 7/25–12/25 (164,356) (171,577) (7,221)
Other s hort equi ty a nd commodi ti es (7,952) 7/25–7/26 (135,796) (136,294) (498)
Long equi ty a nd commodi ti es :
Meta l 1,439 7/25–12/25 167,425 174,206 6,781
KOSPI Index 629 9/25 44,659 48,606 3,947
MSCI EAFE Index 1,608 9/25 212,604 215,609 3,005
MSCI Emergi ng Ma rkets Index 2,002 9/25 119,762 123,473 3,711
Rus s el l 2000 Mi ni Index 317 9/25 33,699 34,738 1,039
S&P 500 E-mi ni Index 505 9/25 152,621 157,907 5,286
S&P Mi dca p 400 E-mi ni Index 127 9/25 38,521 39,694 1,173
Other l ong equi ty a nd commodi ti es 2,536 7/25–4/26 204,337 206,050 1,713
Tota l futures expos ure $ 3,315,713 3,342,332 26,619
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 52 FISCAL YEAR 2025
2024
Expiration Gross Unrealized
Number of dates notional Fair value appreciation
Description contracts (month/year) amount of contracts (depreciation)
Short ca s h a nd ca s h equi va l ents :
90-Da y Ba nk Bi l l (6,121) 9/24-6/25 $ (4,043,105) (4,042,382) 723
US Dol l a r Index (3,210) 9/24 (318,843) (321,259) (2,416)
Other s hort ca s h a nd ca s h equi va l ents (3,300) 9/24–12/27 (973,631) (973,231) 400
Long ca s h a nd ca s h equi va l ents :
90-Da y Ba nk Bi l l 6,077 12/24-3/26 4,016,025 4,013,585 (2,440)
Other l ong ca s h a nd ca s h equi va l ents 2,951 7/24–12/27 653,143 651,981 (1,162)
Short fi xed i ncome:
US 10-Yr Trea s ury Notes (2,900) 9/24 (322,502) (324,351) (1,849)
Other s hort fi xed i ncome (3,107) 9/24 (464,833) (464,487) 346
Long fi xed i ncome:
US 5-Yr Trea s ury Notes 2,894 9/24 307,114 308,454 1,340
Ul tra US Trea s ury Bond 907 9/24 112,658 114,334 1,676
Other l ong fi xed i ncome 5,733 9/24 750,831 752,017 1,186
Short equi ty a nd commodi ti es :
Agri cul ture (2,162) 8/24-12/24 (56,303) (53,799) 2,504
Meta l (3,100) 7/24–12/25 (281,665) (272,106) 9,559
Oi l a nd ga s (346) 7/24–12/24 (10,111) (9,246) 865
Other s hort equi ty a nd commodi ti es (4,717) 7/24–12/25 (123,250) (124,107) (857)
Long equi ty a nd commodi ti es :
Meta l 3,024 7/24–12/25 301,631 292,997 (8,634)
Oi l a nd ga s 788 7/24–8/24 65,707 67,084 1,377
KOSPI Index 466 9/24 31,378 32,699 1,321
MSCI EAFE Index 1,657 9/24 195,220 194,134 (1,086)
MSCI Emergi ng Ma rkets Index 1,923 9/24 102,558 104,630 2,072
Other l ong equi ty a nd commodi ti es 7,634 7/24–12/24 653,725 655,234 1,509
Tota l futures expos ure $ 595,747 602,181 6,434
For the years ended June 30, 2025 and 2024, the change in net unrealized appreciation (depreciation)
on futures contracts was $20,185 and $2,254, respectively.
(d) Swaps
The PRIT Fund enters into swap agreements to gain exposure to certain markets and actively hedge
other exposures to market and credit risks. The PRIT Fund utilizes interest rate, credit default,
currency, inflation, and total return swaps within the portfolio. The PRIT Fund’s OTC swap
agreements are recorded at fair value as estimated by the PRIM Board. These estimated fair values
are determined in good faith by using information from the PRIT Fund’s investment managers,
including methods and assumptions considering market conditions and risks existing at the date of
the statements of pooled net position. Such methods and assumptions incorporate standard
valuation conventions and techniques, such as discounted cash flow analysis and option pricing
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 53 FISCAL YEAR 2025
models. All methods utilized to estimate fair values result only in general approximations of value,
and such values may or may not actually be realized.
Upon entering into centrally cleared swap contracts, the PRIT Fund is required to deposit an initial
margin with the broker an amount of cash or securities. Pursuant to the contract, the PRIT Fund
agrees to receive from, or pay to, the broker an amount of cash equal to the daily fluctuation in value
of the contract. Such receipts or payments are known as “variation margin” and are recorded by the
PRIT Fund as unrealized gains or losses. Payments received from or paid to the counterparty,
including at termination, are recorded by the PRIT fund as realized gains or losses.
Open swap contracts at June 30 were as follows:
2025
PRIT Net
PRIT pays/receives Maturity Gross unrealized
pays/receives index/ dates notional appreciation
interest rate protection (month/year) amount (depreciation)
Interes t ra te s wa ps 0.27%–13.05% Va ri ous * 7/25-9/58 $ 39,856,538 75,305
Credi t defa ul t s wa ps 0.11%–5.00% Credi t defa ul t 12/25-12/72 5,456,436 (188,353)
protecti on
Other s wa ps Va ri a bl e Va ri ous * 7/25-11/54 493,725 9,489
Tota l s wa ps $ 45,806,699 (103,559)
* PRIT pa ys /recei ves counterpa rty ba s ed on 1-Week CNY, 1-Month JIBAR, 1-Month MYR, 3-Month AUD Fi xi ng Ra te, 3-Month
BKBM, 3-Month CDOR, 3-Month HKD, 3-Month KRW CD Ra te, 3-Month MYR, 3-Month NZD Ba nk Bi l l , 3-Month NZD Fi xi ng
Ra te, 3-Month TWD TWCPBA, 6-Month AUD Fi xi ng Ra te, 6-Month EURIBOR, 6-Month PRIBOR, 6-Month WIBOR, AUD O/N OIS
Ra te, Bra zi l CDI ra te, BUBOR, BZDIOVRA, Chi l e Interba nk ra te, CORRA, Effecti ve Federa l Funds Ra te, ESTRON Index,
Eurozone HICP ra te, INR OIS ON, JPY ON, Mexi ca n TIIE ra te, NZD ON OIS ra te, OBFR, SIBCSORA, SOFR, SONIA, SORA, TELBOR,
TONA, THB ON Repo Ra te, US CPI URBAN CONSUMERS NSA.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 54 FISCAL YEAR 2025
2024
PRIT Net
PRIT pays/receives Maturity Gross unrealized
pays/receives index/ dates notional appreciation
interest rate protection (month/year) amount (depreciation)
Interes t ra te s wa ps 0.00%–13.05% Va ri ous * 7/24-9/58 $ 43,814,192 72,405
Credi t defa ul t s wa ps 0.00%–5.0% Credi t defa ul t 7/24-12/72 3,381,762 (138,304)
protecti on
Other s wa ps Va ri a bl e Va ri ous * 7/24-12/53 1,043,465 1,213
Tota l s wa ps $ 48,239,419 (64,686)
* PRIT pa ys /recei ves counterpa rty ba s ed on 1-Week CNY, 1-Month JIBAR, 1-Month MYR, 1-Month WIBOR, 3-Month AUD
Fi xi ng Ra te, 3-Month CDOR, 3-Month HKD, 3-Month KRW CD Ra te, 3-Month MYR, 3-Month NZD Ba nk Bi l l , 3-Month NZD
BKBM, 3-Month NZD Fi xi ng Ra te, 3-Month TWD TWCPBA, 6-Month AUD BBSW, 6-Month AUD Fi xi ng Ra te, 6-Month
EURIBOR, 6-Month PRIBOR, 6-Month WIBOR, AUD O/N OIS Ra te, Bra zi l CDI ra te, BZDIOVRA, Chi l e Interba nk ra te,
CORRA, CPI i nfl a ti on ra te, Effecti ve Federa l Funds Ra te, ESTRON Index, Euro Short-Term ra te, Eurozone HICP ra te, INR
OIS ON, JPY ON, Mexi ca n TIIE ra te, NZD ON OIS ra te, OBFR, SIBCSORA, SOFR, SONIA, SORA, TELBOR, TONA, THB
ON Repo Ra te, UK RPI, US CPI Urba n Cons umers NSA Index.
For the years ended June 30, 2025 and 2024, the change in net unrealized (depreciation) appreciation
on swap contracts was $(38,873) and $7,117, respectively.
The PRIT Fund’s exposures in the event of nonperformance by counterparties at June 30 were as
follows:
2025
Interest rate Credit default
swaps swaps Other swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Bank of America NA A+ $ — — 56,790 (7,174) 1 1
Barclays Bank PLC A+ 8,400 99 438,767 (16,496) 458 (47)
BNP Paribas SA A+ 4,245,817 208 211,812 (41,151) — —
BNP Paribas Commodity Futures Ltd A+ — — 79,871 (6,555) — —
CME Group Inc. AA- 502,909 (2,548) — — — —
Goldman Sachs & Co A+ 1,398,916 38,500 3,319,666 (43,561) 8,500 149
Goldman Sachs International A+ — — 41,285 (3,828) 2,119 307
Intercontinental Exchange Holdings Inc. A- — — 196,944 4,127 — —
JPMorgan Chase Bank NA AA- 28,125 (1,666) 42,896 (9,111) 118,482 5,268
JP Morgan Securities AA- 29,215,094 32,503 553,887 (20,574) 19,954 45
LCH Ltd AA- 2,108,288 2,772 — — 179,164 59
Morgan Stanley & Co LLC A+ 1,476,240 325 379,352 (30,965) 9,710 104
Morgan Stanley Capital Services A+ — — 122,870 (13,120) 20 95
SMBC Capital Markets Inc. A 250,000 5,623 — — — —
All others Various 622,749 (511) 12,296 55 155,317 3,508
$ 39,856,538 75,305 5,456,436 (188,353) 493,725 9,489
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 55 FISCAL YEAR 2025
2024
Interest rate Credit default
swaps swaps Other swaps
Credit Gross Fair Gross Fair Gross Fair
Counterparty rating notional value notional value notional value
Bank of America NA A+ $ — — 28,358 (4,438) 35,701 195
BofA Securities A+ — — 25,000 (2,903) — —
Barclays Bank PLC A+ — — 388,152 (7,852) 10,614 (31)
BNP Paribas SA A+ 2,884,536 239 179,437 (40,013) 205,178 (1,561)
BNP Paribas Commodity Futures Ltd A+ — — 36,539 (3,285) — —
Citibank NA A+ — — 8,200 34 354 3,217
Goldman Sachs & Co A+ 1,040,583 60,476 2,049,664 (15,361) 229,501 (369)
Goldman Sachs International A+ — — 53,084 (5,760) 616 (111)
JPMorgan Chase Bank NA A+ 178,062 209 62,409 (10,851) 143,612 404
JP Morgan Securities A+ 33,464,960 (4,278) 135,838 (6,038) 5,179 115
LCH Ltd AA- 1,374,850 3,259 — — 73,006 172
Morgan Stanley & Co LLC A+ 3,086,450 461 202,842 (24,285) 6,379 263
Morgan Stanley Capital Services A+ — — 131,783 (18,695) 61 (162)
SMBC Capital Markets Inc. A 250,000 13,754 — — — —
All others Various 1,534,751 (1,715) 80,456 1,143 333,264 (919)
$ 43,814,192 72,405 3,381,762 (138,304) 1,043,465 1,213
(8) Investment Expenses
Investment expenses consist of investment management fees, investment advisory fees, and custodian
fees.
(a) Investment Management Fees
Investment management fees are paid to discretionary managers pursuant to executed contracts.
Total investment management fees were $193,922 and $211,251 for the years ended June 30, 2025
and 2024, respectively, of which $104,716 and $121,739 were incurred by the PRIM Board for the
years ended June 30, 2025 and 2024, respectively. The remaining investment management fees were
incurred by the single-member limited liability corporations that are consolidated into the PRIT Fund.
Domestic, international, and emerging market equity managers are generally paid a base fee
calculated as a percentage of either current net position under management or an agreed-upon
funded amount, typically equal to the amount of original and subsequent funding. In certain cases,
this is subject to periodic revision. Base fees are paid quarterly. In addition, some active (nonindexed)
equity managers are eligible to receive a performance fee.
Fixed income managers are generally paid a quarterly asset-based fee. Certain managers are eligible
for a performance fee. Fees for other credit opportunities investments generally consist of a base
fee and a performance fee based on return.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
(Continued)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 56 FISCAL YEAR 2025
Fees for private equity investments are typically a percentage of committed capital with the fee
percentage decreasing over time. In addition, the general partners (investment managers) of private
equity limited partnerships are allocated additional profit, known as carried interests, based on the
net gains generally above a specified hurdle rate, on realized partnership investments.
The LLC’s investment management fees generally consist of a base fee and a performance fee.
Performance fees are paid to managers who out-perform their respective hurdle rates, as defined in
the investment management agreements or partnership agreements.
Timberland investment management fees consist of a base fee and a performance fee component
and are calculated and paid similar to the LLC’s investment management fees.
Hedge fund-of-funds investment managers are paid base fees, which are calculated and paid
quarterly.
Fees for portfolio completion strategies investments generally consist of a base fee and a
performance fee based on return.
The majority of investment management fees for private equity and private debt investments are
charged by the general partners to the investment partnerships and not to the limited partner
investors directly. Investment management fees for portfolio completion strategies investments and
commingled account investments are charged to the respective investments. Most base investment
management fees for investments in real estate properties and timberland are charged against the
respective investments. Investment management fees for investments in real estate funds are
charged to the investment partnership and not to the limited partner investors directly. Therefore,
the fair values of these investments are reported net of investment management fees and these
investment management fees are not included in the accompanying statements of changes in pooled
net position, with the exception of investment management fees incurred by the single-member
limited liability corporations that are consolidated into the PRIT Fund.
(b) Investment Advisory Fees
NEPC, LLC, Meketa Investment Group, Aberdeen Asset Management Inc., Hamilton Lane,
International Woodland Company, and NewAlpha Asset Management served as the PRIM Board’s
principal investment advisors as of fiscal year end 2025. NEPC, LLC served as the asset allocation
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Notes to Financial Statements
June 30, 2025 and 2024
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 57 FISCAL YEAR 2025
advisor, Meketa Investment Group served as the public markets advisor, Aberdeen Asset
Management Inc. and NewAlpha Asset Management provided portfolio completion strategies
advisory services, Hamilton Lane served as the private equity advisor, and International Woodland
Company provided timberland advisory services. These investment advisors, among others, provided
the PRIM Board with comprehensive investment advisory services, including recommendations on
asset allocation, selection of investment managers, and the monitoring of performance of the PRIT
Fund and its individual investment managers.
For the years ended June 30, 2025 and 2024, investment advisory fees were $16,786 and $15,496,
respectively, which are included in investment expenses in the accompanying statements of changes
in pooled net position.
(c) Custodian Fees
BNY Mellon is the investment custodian and record keeper for the PRIT Fund. BNY Mellon records all
daily transactions, including investment purchases and sales, investment income, expenses, and all
participant activity for the PRIT Fund. BNY Mellon also provides portfolio performance analysis each
month for the PRIT Fund.
For the years ended June 30, 2025 and 2024, custodian fees were $935 and are included in
investment expenses in the accompanying statements of changes in pooled net position.
(9) Administrative Expenses
For the years ended June 30, 2025 and 2024, administrative expenses of the PRIM Board, including
employee compensation, professional fees and occupancy costs, charged to the PRIT Fund totaled
$31,059 and $29,710, respectively, which are included in the accompanying statements of changes in
pooled net position.
(10) Commitments
As of June 30, 2025 and 2024, the PRIT Fund had outstanding unfunded commitments to invest
$9,767,998 and $9,881,182, respectively, in private debt, other credit opportunities, private equity,
portfolio completion strategies, and real estate investments.
(11) Subsequent Events
For purposes of determining the effects of subsequent events on the financial statements, management
has evaluated subsequent events after June 30, 2025 through December 4, 2025, the date on which the
financial statements were available to be issued.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Pooled Net Position – Capital Fund and Cash Fund
June 30, 2025
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 58 FISCAL YEAR 2025
Capital Fund Cash Fund Total
Assets:
Investments, at fair value:
Short-term $ 1,923,727 87,454 2,011,181
Fixed income 27,351,699 — 27,351,699
Equity 45,060,493 — 45,060,493
Timberland 3,138,919 — 3,138,919
Private equity funds 18,847,838 — 18,847,838
Real estate:
Real estate properties 10,217,534 — 10,217,534
Equity 1,097,702 — 1,097,702
Real estate funds 718,596 — 718,596
Mortgage loans receivable 219,071 — 219,071
Other 160,911 — 160,911
Total real estate 12,413,814 — 12,413,814
Portfolio completion strategies:
Investment funds 3,039,986 — 3,039,986
Equity 2,702,124 — 2,702,124
Fixed income 4,988,410 — 4,988,410
Cash and cash equivalents 1,717,259 — 1,717,259
Agricultural investments 424,002 — 424,002
Total portfolio completion strategies 12,871,781 — 12,871,781
Total investments 121,608,271 87,454 121,695,725
Cash 150,991 99 151,090
Securities lending collateral 238,819 — 238,819
Interest and dividends receivable 361,392 812 362,204
Receivable for investments sold and other assets 1,130,854 — 1,130,854
Receivable for securities sold on a when-issued basis 1,118,749 — 1,118,749
Foreign currency forward contracts 231,636 — 231,636
Total assets 124,840,712 88,365 124,929,077
Liabilities:
Securities sold short and other liabilities, at fair value:
Portfolio completion strategies 2,832,627 — 2,832,627
Fixed income 13,234 — 13,234
Total securities sold short and other liabilities 2,845,861 — 2,845,861
Payable for investments purchased and other liabilities 2,018,650 — 2,018,650
Real estate debt and other liabilities 863,373 — 863,373
Securities lending obligations 1,140,922 — 1,140,922
Payable for securities purchased on a when-issued basis 2,229,927 — 2,229,927
Foreign currency forward contracts 331,768 — 331,768
Management fees payable to PRIM 40,083 — 40,083
Total liabilities 9,470,584 — 9,470,584
Net position held in trust for pool
participants $ 115,370,128 88,365 115,458,493
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND Financial Section
Schedule of Changes in Pooled Net Position – Capital Fund and Cash Fund
Year ended June 30, 2025
(Dollars in thousands)
ANNUAL COMPREHENSIVE FINANCIAL REPORT 59 FISCAL YEAR 2025
Capital Fund Cash Fund Total
Additions:
Contributions:
State employees $ — 916,063 916,063
State teachers — 1,124,442 1,124,442
Other participants — 2,137,142 2,137,142
Total contributions — 4,177,647 4,177,647
Net investment income (loss):
From investment activities:
Net realized gain on investments and foreign currency transactions 3,825,057 — 3,825,057
Net change in unrealized appreciation on investments and foreign
currency translations 3,870,942 — 3,870,942
Interest 985,096 12,084 997,180
Dividends 881,784 — 881,784
Timberland 17,889 — 17,889
Private equity 184,179 — 184,179
Portfolio completion strategies 200,636 — 200,636
Real estate:
Income 721,853 — 721,853
Expenses (262,269) — (262,269)
Total real estate 459,584 — 459,584
Income from investment activities 10,425,167 12,084 10,437,251
Investment expenses (211,643) — (211,643)
Net income from investment activities 10,213,524 12,084 10,225,608
From securities lending activities:
Securities lending income 4,701 — 4,701
Securities lending expenses (30,904) — (30,904)
Net loss from securities lending activities (26,203) — (26,203)
Total net investment income 10,187,321 12,084 10,199,405
Total additions 10,187,321 4,189,731 14,377,052
Deductions:
Redemptions:
State employees — 1,553,109 1,553,109
State teachers — 1,101,053 1,101,053
Other participants — 1,487,272 1,487,272
Total redemptions — 4,141,434 4,141,434
Administrative expenses 31,059 — 31,059
Total deductions 31,059 4,141,434 4,172,493
Interfund transfers in (out), net 47,319 (47,319) —
Net increase in pooled net position 10,203,581 978 10,204,559
Net position held in trust for pool participants:
Balance, beginning of year 105,166,547 87,387 105,253,934
Balance, end of year $ 115,370,128 88,365 115,458,493
See accompanying independent auditors’ report.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2025
Investment Section
PENSION RESERVES INVESTMENT TRUST FUND
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 60 FISCAL YEAR 2025
Total PRIT Fund Performance Summary*
For the periods ended June 30, 2025
9.6%
8.2%
9.6%
7.9%
8.5%
10.9%
10.1%
8.9%
7.6%
8.1%
-1.3%
-1.9%
0.8%
0.3% 0.3%
-2.5%
-0.5%
1.5%
3.5%
5.5%
7.5%
9.5%
11.5%
1 Year 3 Years 5 Years 10 Years Since Inception**
Returns
PRIT Fund Total Capital Fund Benchmark Value Added
.
Source: BNY Mellon. Totals may not add due to rounding.
* Net of Fees. Total PRIT Fund includes the Capital Fund and Cash Fund. Returns are annualized and
calculated based on a time-weighted rate of return methodology.
** Performance inception date of January 1, 1995
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 61 FISCAL YEAR 2025
Investment Strategy Overview
The PRIT Fund was formed in December 1983 with a mandate to accumulate assets through investment earnings
to reduce the Commonwealth of Massachusetts’ unfunded pension liability and, further on, to assist local
participating retirement systems in meeting their future pension obligations. The PRIM Board is charged with the
general oversight of the PRIT Fund. The PRIM Board seeks to maximize the probability of achieving the required
rate of return compatible with its risk tolerance and prudent investment practices over the long term, by broadly
diversifying its investment portfolio, capitalizing on economies of scale to achieve cost-effective operations, and
gaining access to high quality, innovative investment management firms, all under the management of a
professional staff and members of the PRIM Board. The PRIM Board’s overall investment performance goal is to
achieve an annual rate of return that exceeds the targeted actuarial rate of return used in determining the
Commonwealth of Massachusetts’ pension obligations (currently 7.0%). A summary of other investment
objectives is provided in the Investment Policy Statement at the end of this section.
The PRIM Board employs professional investment managers to manage the PRIT Fund’s assets. The PRIT Fund
had approximately $115.5 billion in assets under management at June 30, 2025. Investment managers operate
within guidelines that are delineated in a detailed investment management agreement or partnership
agreement.
The PRIT Fund’s net investment portfolio fair values reported in this section and used as a basis for calculating
investment returns differ from those shown in the Financial Section and the Financial Highlights in the Statistical
Section of this report. The values used in this section are the appropriate industry standard basis for investment
return calculations and are net of all investment receivables and payables. Unless otherwise noted, all return
information provided is net of fees. In addition, the PRIT Capital Fund return information excludes the impact of
the Cash Fund on the total PRIT Fund return.
Asset Allocation and Diversification Discussion
The PRIM Board shall examine the Asset Allocation Plan annually and shall consider adjustments to the Plan as
appropriate. At least once every five years, this examination shall include a comprehensive review of the
Commonwealth’s current and projected pension assets and liabilities, long-term capital markets rate of return
assumptions, and the PRIM Board’s risk and liquidity tolerances.
The PRIM Board-approved Asset Allocation Plan and current Asset Allocation are as follows:
Asset Class
6/30/2025
Allocation % (3) Target Range % (1)
Global Equity 39.6 31 - 41
Core Fixed Income 14.8 12 - 18
Value-Added Fixed Income 7.9 6 - 12
Real Estate 9.2 7 - 13
Private Equity 16.6 13 - 19
Timberland 2.8 1 - 7
Portfolio Completion Strategies 8.6 7 - 13
Overlay (2) 0.5 -
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 62 FISCAL YEAR 2025
(1) Asset Allocation Plan approved February 27, 2025.
(2) This asset class does not have target range % because it’s not a component of the long-term policy target asset allocation.
(3) Totals may not add due to rounding.
In addition to asset allocation, the PRIM Board seeks to diversify the PRIT Fund through a complementary
diversification of investment styles within various asset classes. Investment managers operate within detailed
investment guidelines to ensure portfolios are managed with appropriate diversification and risk control.
Income and Expense Allocation
Income earned and expenses incurred in each investment account are allocated to retirement systems based on
each individual retirement system’s share of ownership in each investment account. Expenses are classified in
three categories for purposes of allocation to retirement systems: 1) investment management fees, 2) investment
advisory fees, and 3) operational fees. Investment management fees are those directly associated with the
investment management of a certain account. Investment advisory fees are fees that are either directly
associated with an individual asset class, or, for general advisors, are allocated pro-rata based on net asset values
of each asset class. Operational fees are custodian and other administrative expenses incurred by the PRIM Board
in managing the PRIT Fund and are allocated pro-rata based on net asset values of each asset class.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 63 FISCAL YEAR 2025
PRIT Capital Fund Performance: Fiscal Year 2025
Returns are calculated based on a time-weighted rate of return methodology. PRIT Capital Fund Returns (net of
fees) and benchmarks for the periods ended June 30, 2025:
In fiscal year 2025, the PRIT Capital Fund returned 9.63% compared to the Total Capital Fund benchmark return
of 10.93%. The PRIT Fund began fiscal year 2025 with net position of $105.3 billion and ended with $115.5 billion.
On a gross basis the fund increased $10.2 billion, which is the result of $10.2 billion in net investment income
along with $36.2 million in net contributions from the State Employees, State Teachers, and Participant accounts.
The quarterly returns of the PRIT Capital Fund in fiscal year 2025 were as follows:
4.44% for September 30, 2024 – versus a benchmark return of 4.82%.
-0.57% for December 31, 2024 – versus a benchmark return of -0.53%.
0.14% for March 31, 2025 – versus a benchmark return of 0.78%.
5.42% for June 30, 2025 – versus a benchmark return of 5.57%.
The PRIT Fund seeks to meet or exceed its three investment objectives over a long-term investment horizon.
These objectives are as follows: 1) measuring each investment strategy against an appropriate benchmark that
describes the opportunity set, risk, and return characteristics associated with the strategy; 2) earning a long-term
investment return that meets or exceeds the actuarial target rate of return (currently 7.00%); and 3) minimizing
the probability of having a significant market-induced drawdown in the PRIT Fund. Through June 30, 2025, the
PRIT Capital Fund returned 8.50% since January 1, 1995, outperforming the actuarial rate of return of 7.00% by
150 basis points. The PRIT Capital Fund outperforms its benchmark over the five-year and 10-year periods.
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1 Year 3 Years 5 Years 10 Years
9.6%
8.2%
9.7%
8.0%
10.9%
10.1%
8.9%
7.6%
PRIT Capital Fund Total Capital Fund Benchmark
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 64 FISCAL YEAR 2025
Management Costs
Expenses incurred by the PRIM Board in managing the PRIT Fund are charged to the PRIT Fund. These expenses
consist of investment management fees, advisory fees, custodian fees, professional fees, salaries, and
administrative expenses of the PRIM Board.
The PRIM Board tracks two types of fees: 1) direct fees and 2) indirect fees. Direct fees are fees the PRIM Board
pays directly to vendors for services rendered. These fees include most investment management fees, advisory
fees, custodian fees, and salaries and administrative expenses of the PRIM Board. Indirect fees are expenses
typically incurred when investing in partnerships or other commingled investment vehicle structures, such as
private equity funds, portfolio completion strategies, real estate, timberland, and other commingled
funds. Indirect management fees incurred in these funds are charged to the respective investments. The fair
value of these investments is reported net of indirect management fees.
The PRIM Board’s investment managers operate with formal contracts. Investment management fees accounted
for approximately 67.1% of the PRIM Board’s total direct expenses for fiscal 2025. The PRIM Board also contracts
with a custodian and investment advisors. Fees to these providers were approximately 11.3% of the PRIM Board’s
total expense for fiscal year 2025.
The total cost of managing the PRIT Fund for fiscal year 2025, inclusive of investment management (direct and
indirect), advisory, custodial, and overhead charges was 46 basis points of the average net position of the PRIT
Fund compared to 51 basis points in fiscal year 2024. For information on expense ratios for each investment
account, refer to the Financial Highlights and Financial Highlights Ratios on pages 97-106 included in the
Statistical Section of this report.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 65 FISCAL YEAR 2025
Domestic Equity Portfolio
As of June 30, 2025, the Domestic Equity portfolio had approximately $28.6 billion in net position, representing
24.8% of the PRIT Fund. As highlighted below, the Domestic Equity portfolio allocation is approximately 88%
invested in large capitalization equity strategies (S&P500) and 12% invested in mid-, small-, and micro-
capitalization equity strategies (Russell 2500, Small/SMID cap, Micro Cap). As of the fiscal year-end, the weighting
of Domestic Equity was 62.5% of the Global Equity portfolio.
Portfolio Risks. Although historically and recently long-term returns in equity investments have exceeded all
other public market asset classes (i.e., fixed income and cash), there is no guarantee that this trend will continue
or that investment in the short-term or long-term will produce positive results. Prices may fluctuate based on
changes in a company’s financial condition and on overall market and economic conditions. Smaller companies
are especially sensitive to these factors. There is a significant risk of loss of principal due to market and economic
conditions.
Portfolio Returns. For the fiscal year, the Domestic Equity portfolio returned 14.33% compared to 14.95% for the
portfolio benchmark. The PRIT Fund’s large cap managers returned 15.07% compared to the 14.88% return of
its benchmark, the Custom S&P 500 Index (which excludes legislatively restricted securities in tobacco, Iran,
Russia, and Sudan). The PRIT Fund’s Small/SMID/Micro-cap managers returned 9.56% compared to the 11.33%
return of the benchmark, which is calculated by applying the investment performance of the sub asset class
benchmarks to the sub asset class weights within the Small/SMID/Micro-cap equity portfolio.
On a three-, five-, and 10-year basis through June 30, 2025, the PRIT Fund’s Domestic Equity portfolio has
returned 18.40%, 15.89%, and 12.57%, respectively, compared to the benchmark, which returned 18.87%,
15.93%, and 12.83%, respectively.
86%
2%
5%
7%
Domestic Equity Portfolio
As of June 30, 2025
Passive S&P 500 Index
Active Large Cap
Passive Russell 2500 Index
Active Small/SMID/Micro
Cap
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 66 FISCAL YEAR 2025
The top ten holdings in the Domestic Equity portfolio at June 30, 2025, are illustrated below. A complete listing
of holdings is available upon request.
The PRIT Fund’s Domestic Equity managers at June 30, 2025, are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2025 ($000s)
State Street Global Advisors Custom S&P 500 Index $ 20,591,872
RhumbLine Advisers, LP Custom S&P 500 Index 3,838,913
RhumbLine Advisers, LP Custom EIA IFED Large Cap Index 602,743
State Street Global Advisors Custom Russell 2500 Index 1,425,807
Frontier Capital Management Small Cap Value 666,022
Riverbridge Partners SMID Cap Growth 138,386
Summit Creek Advisors Small Cap Growth 412,858
Acadian Asset Management Micro Cap Core 298,744
Lord, Abbett & Company Micro Cap Growth 271,873
Driehaus Capital Management Micro Cap Growth 330,642
Other portfolio net assets (6,786)
$ 28,571,074Total Portfolio Fair Value
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Nvidia Corp 1,780,105$ 6.23%
2 Microsoft Corp. 1,708,033 5.98%
3 Apple Inc. 1,415,760 4.96%
4 Amazon.com Inc. 957,697 3.35%
5 Meta Platforms Inc. 740,367 2.59%
6 Broadcom Inc. 598,808 2.10%
7 Alphabet Inc - CL A 473,863 1.66%
8 Berkshire Hathaway Inc 411,529 1.44%
9 Tesla Inc. 411,268 1.44%
10 Alphabet Inc - CL C 384,755 1.35%
TOTAL 8,882,185$ 31.10%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 67 FISCAL YEAR 2025
International Equity Portfolio
As of June 30, 2025, the International Equity portfolio had approximately $12.1 billion in net position,
representing 10.5% of the PRIT Fund. The international core equity accounts are benchmarked against the
Custom MSCI World ex-U.S. Standard Index – Net Dividends (which excludes legislatively restricted securities in
tobacco, Iran, Russia, and Sudan). The international small cap equity accounts are benchmarked against the
Custom World ex-U.S. Small Cap Index – Net Dividends (which excludes legislatively restricted securities in
tobacco, Iran, Russia, and Sudan). The International Equity portfolio is allocated to one passive core equity
account (15% of the portfolio), 11 active core equity accounts (70% of the portfolio), one passive small cap equity
account (4% of the portfolio), and four active small cap equity accounts (11% of the portfolio).
The primary strategy for this portfolio is investing in companies in developed markets, industrialized nations
outside of the United States, including, but not limited to, Japan, United Kingdom, Canada, France, Germany,
Switzerland, Australia, Netherlands, Sweden, and Spain. As of the fiscal year-end, the weighting of International
Equity was 26.4% of the Global Equity portfolio.
Portfolio Risks. Investing in developed markets outside of the United States carries additional risks as compared
to U.S. domestic investments. The added risks are primarily associated with currency, higher trading and
settlement costs, and less stringent investor protections and disclosure standards.
Portfolio Returns. For the fiscal year ending June 30, 2025, the International Equity portfolio returned 19.13%
compared to the benchmark return of 19.16%. Seven of the PRIT Fund’s 11 active international equity managers
outperformed the Custom MSCI World ex-U.S. Index. Two of the PRIT Fund’s four active international small cap
equity managers outperformed the Custom World ex-U.S. Small Cap Index. On a three-, five-, and 10-year basis
through June 30, 2025, the PRIT Fund’s International Equity portfolio posted returns of 15.27%, 10.86%, and
6.82%, respectively, compared to the benchmark, which returned 15.27%, 10.99%, and 6.49%, respectively, over
the same periods.
70%
11%
15%
4%
International Equity Portfolio
As of June 30, 2025
Active - Core
Active - Small Cap
Custom World EX-US
Index
Custom World EX-US
Small Cap Index
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 68 FISCAL YEAR 2025
The top ten holdings in the International Equity portfolio at June 30, 2025, are illustrated below. A complete
listing of holdings is available upon request.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Rolls-Royce Holdings PLC 139,980$ 1.16%
2 ASML Holding N.V. 126,909 1.05%
3 Novo Nordisk 112,017 0.93%
4 AIA Group Ltd 94,697 0.78%
5 SAP SE 86,590 0.72%
6 Barclays PLC 86,578 0.72%
7 Roche Holding AG 86,439 0.71%
8 Nestle SA 80,300 0.66%
9 Sony Group Corp. 80,144 0.66%
10 UniCredit S.p.A 78,598 0.65%
TOTAL 972,252$ 8.03%
The PRIT Fund’s International Equity managers at June 30, 2025, are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2025 ($000s)
State Street Global Advisors Custom World ex-US Index $ 1,773,080
Marathon-London World ex-US 2,970,235
Baillie Gifford World ex-US 441,533
C WorldWide Asset Management World ex-US 424,855
PineStone Asset Management World ex-US 415,030
Walter Scott & Partners World ex-US 400,318
Mondrian Investment World ex-US 702,389
ARGA Investment Management World ex-US 746,682
Columbia Threadneedle World ex-US 736,938
Causeway Capital Management World ex-US 733,417
Pzena Investment Management World ex-US 608,241
Xponance World ex-US 368,632
State Street Global Advisors Custom World ex-US Small Cap Index 474,509
Acadian Asset Management World ex-US Small Cap 478,254
AQR Capital Management World ex-US Small Cap 342,901
Artisan Partners World ex-US Small Cap 224,711
Driehaus Capital Management World ex-US Small Cap 258,261
Other portfolio net assets 1,259
$ 12,101,245Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 69 FISCAL YEAR 2025
Emerging Markets Equity Portfolio
As of June 30, 2025, the Emerging Markets Equity portfolio had approximately $4.8 billion in net position,
representing 4.2% of the PRIT Fund. The active emerging markets core equity managers are benchmarked against
the Custom MSCI Emerging Markets Standard Index – Net Dividends (which excludes legislatively restricted
securities in tobacco, Iran, Russia, and Sudan). The active emerging markets small cap equity managers are
benchmarked against the Custom MSCI Emerging Markets Small Cap Net Dividends Index (which excludes
legislatively restricted securities in tobacco, Iran, Russia, and Sudan). The emerging markets equity portfolio is
allocated to four active core equity managers (which comprise about 83% of the emerging market portfolio) and
two active small cap equity managers (17% of the portfolio). The PRIM Board maintains a target weighting of
100% active for the Emerging Markets Equity portfolio.
The primary strategy for this portfolio is investing in companies in developing countries, including, but not limited
to, China, Taiwan, India, South Korea, Brazil, Saudi Arabia, South Africa, Mexico, United Arab Emirates, and
Malaysia. These countries typically have less efficient securities markets, and thus there is opportunity for
returns above benchmarks. As of the fiscal year end, the weighting of Emerging Markets Equity was 10.6% of the
Global Equity portfolio.
Portfolio Risks. Investing in emerging markets carries risks above and beyond those inherent to domestic and
developed international equity markets. Emerging markets tend to be less efficient than both U.S. and non-U.S.
developed markets, and therefore, are more volatile. In addition to the added volatility, and those risks
mentioned in association with investments in developed international equity markets, emerging market
investments are subject to economic and political risks, exchange control regulation, expropriation, confiscatory
taxation, and social instability.
Portfolio Returns. For the fiscal year, the Emerging Markets Equity portfolio returned 11.33% compared to the
benchmark return of 14.41%. The PRIT Fund’s four active emerging markets core equity managers lagged the
83%
17%
Emerging Markets Equity Portfolio
As of June 30, 2025
Active - Core
Active - Small Cap
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 70 FISCAL YEAR 2025
benchmark. One of the PRIT Fund’s two active emerging markets small cap equity managers outperformed the
MSCI Emerging Markets Small Cap Index for the fiscal year. On a three-, five-, and 10-year basis through June 30,
2025, the PRIT Fund’s emerging markets equity managers posted returns of 12.22%, 9.41%, and 6.73%,
respectively, compared to the asset class benchmark, which returned 10.19%, 7.62%, and 5.02% over the same
periods.
The top ten holdings in the Emerging Markets Equity portfolio at June 30, 2025, are illustrated below. A complete
listing of holdings is available upon request.
The PRIT Fund’s Emerging Markets Equity managers at June 30, 2025, are presented in the following table:
Global Equity Emerging-Diverse Manager Program
As of June 30, 2025, the Global Equity Emerging-Diverse Manager Program (inception in May 2022), managed by
Xponance (manager-of-managers), had $243.9 million in net position, representing 0.5% of the Global Equity
portfolio and 0.2% of the PRIT Fund. The Global Equity Emerging-Diverse Manager Program returned 16.92% for
the fiscal year, 14.73% for the three-year period, and 11.60% since its inception, compared to the benchmark,
which returned 17.73%, 14.37%, and 10.22% over the same periods.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Taiwan Semiconductor Mfg. Co. 289,797$ 6.00%
2 Tencent Holdings Ltd 199,504 4.13%
3 Samsung Electronics 120,566 2.50%
4 Alibaba Group Holding Ltd HK 102,609 2.13%
5 Taiwan Semiconductor Mfg. Co. Ltd. ADR 71,456 1.48%
6 Mercadolibre Inc. 62,199 1.29%
7 SK Hynix Inc. 60,337 1.25%
8 Reliance Industries Ltd 55,643 1.15%
9 China Merchants Bank Co Ltd HK 48,030 0.99%
10 Credicorp Ltd 47,059 0.97%
TOTAL 1,057,200$ 21.89%
Portfolio Fair Value at
Manager Investment Mandate June 30, 2025 ($000s)
AQR Capital Management EM Core $ 896,331
Baillie Gifford EM Core 949,942
Driehaus Capital Management EM Core 1,030,949
Pzena Investment Management EM Core 1,131,927
Acadian Asset Management EM Small Cap 619,240
Wasatch Advisors EM Small Cap 198,120
Other portfolio net assets 804
$ 4,827,313Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 71 FISCAL YEAR 2025
Core Fixed Income Portfolio
As of June 30, 2025, the Core Fixed Income Portfolio had approximately $17.1 billion invested in investment grade
Core Fixed Income positions, representing 14.8% of the PRIT Fund. The Core Fixed Income Portfolio is invested
using the following strategies:
The Core Fixed Income portfolio is benchmarked to the Bloomberg U.S. Aggregate Bond Index for core fixed
income securities, the Bloomberg U.S. STRIPS 20+ Year Bond Index for long-duration U.S. STRIPS securities, the
Bloomberg U.S. Treasury 1-3 Year Index for short-term fixed income securities, the Bloomberg U.S. TIPS Index for
U.S. TIPS securities, and the Bloomberg World Government Inflation Linked Bond US Dollar Hedged Index for the
Global Inflation Linked Bonds (ILBs).
The Bloomberg U.S. Aggregate Bond Index replicates the investment grade bond market. The index is comprised
of corporate, government, asset and mortgage-backed securities. The index portfolio is designed to approximate
the performance of the Bloomberg Aggregate Bond Index, while the active core managers’ mandate is to exceed
the index return. The Core Fixed Income portfolio is designed to reduce the long-term volatility of the total PRIT
Fund.
8%
39%
19%
7%
20%
6% 1%
Core Fixed Income Portfolio
As of June 30, 2025
Bloomberg Aggregate Bond
Index
Bloomberg Aggregate Active
Core
Bloomberg U.S. STRIPS 20+
Year Bond Index
Bloomberg Treasury 1-3 Year
Index
Treasury Inflation Protected
Securities (TIPS) Index
Global Inflation Linked Bonds
(ILBS)
Emerging-Diverse Manager
Program
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 72 FISCAL YEAR 2025
The allocations to TIPS and ILBs are designed to provide hedges against rises in inflation. The long-duration U.S.
STRIPS portfolio is designed to approximate the performance of the Bloomberg U.S. STRIPS 20+ Year Bond Index
and to lower overall volatility of the total PRIT Fund. The allocation to short-term fixed income securities is
designed to approximate the performance of the Bloomberg U.S. Treasury 1-3 Year Index and to reduce volatility
while increasing liquidity within the Core Fixed Income portfolio. The Core Fixed Income portfolio includes
investments with emerging-diverse managers which represent less than 0.1% of the PRIT Fund. There is one
manager-of-managers in the PRIT Fund Core Fixed Income Emerging-Diverse Manager Program.
Portfolio Risks. As in the case of equities, the prices of fixed income securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. The portfolio is subject to credit risk through defaults on bonds and other
fixed income securities. Erosion in principal value can result from credit risk and price fluctuations and can
adversely affect portfolio returns.
Portfolio Returns. For the fiscal year 2025, the Core Fixed Income composite returned 3.78% compared to the
3.76% return of the benchmark (46.6% Bloomberg U.S. Aggregate Bond/20% Bloomberg U.S. STRIPS 20+ Year
Bond Index /20% Bloomberg Global IL US TIPS/6.7% Bloomberg World Government Inflation-Linked USD
Hedged/6.7% Bloomberg US Treasury 1-3 Year Index as of June 30, 2025). The Bloomberg Aggregate mandates
returned 6.33%, compared to the Bloomberg U.S. Aggregate Bond Index return of 6.08%. The passively managed
long-duration U.S. STRIPS mandate returned -4.69%, compared to the Bloomberg U.S. STRIPS 20+ Year Bond
Index return of -4.61%. The passively managed TIPS mandate returned 5.85%, compared to the Bloomberg Global
Inflation-Linked US TIPS Index which returned 5.84%. The actively managed ILBs mandate returned 3.26%,
compared to the Bloomberg World Government Inflation-Linked USD Hedged Index return of 3.36%. The
passively managed short-term fixed income securities mandate returned 5.72%, compared to the Bloomberg U.S.
Treasury 1-3 Year Index return of 5.72%. The Core Fixed Income Emerging-Diverse Manager Program had a return
of 6.01% compared to the custom benchmark return of 6.51%.
On a three-, five-, and 10-year basis through June 30, 2025, the PRIT Fund’s Core Fixed Income portfolio has
returned 0.24%, -2.45%, and 1.90%, respectively, compared to the benchmark, which returned 0.15%, -2.61%,
and 1.82%, respectively.
The top ten Core Fixed Income holdings as of June 30, 2025, excluding certain pooled funds and repurchase
agreements, are illustrated below. A complete listing of holdings is available upon request.
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 Commit to Purchase FNMA 5.000% August 2055 184,238$ 1.08%
2 U.S. Treasury-CPI Inflation 0.625% July 2032 172,463 1.01%
3 U.S. Treasury-CPI Inflation 1.750% January 2034 170,502 1.00%
4 U.S. Treasury-CPI Inflation 2.125% January 2035 170,164 1.00%
5 U.S. Treasury-CPI Inflation 1.250% January 2033 165,916 0.97%
6 U.S. Treasury-CPI Inflation 1.875% July 2034 154,983 0.91%
7 Commit to Purchase FNMA 5.500% August 2055 154,435 0.90%
8 Commit to Purchase FNMA 4.500% August 2055 136,982 0.80%
9 U.S. Treasury-CPI Inflation 1.375% July 2033 136,841 0.80%
10 U.S. Treasury-CPI Inflation 1.625% October 2029 135,513 0.79%
TOTAL 1,582,037$ 9.26%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 73 FISCAL YEAR 2025
The PRIT Fund’s Core Fixed Income portfolio managers at June 30, 2025, are presented in the following table:
Manager Investment Mandate
Portfolio Fair Value at
June 30, 2025 ($000s)
Blackrock Financial Management Core Index $ 1,314,070
Loomis, Sayles & Co., LP Active Core 2,372,460
PIMCO Active Core 2,070,395
Pugh Capital Management Active Core 754,105
New Century Advisors Active Core 620,240
Longfellow Investment Management Active Core 716,763
Blackrock Financial Management Inflation Link Bonds 1,059,670
Blackrock Financial Management Long-Duration U.S. STRIPS Index 3,270,571
Blackrock Financial Management TIPS Index 3,505,739
Blackrock Financial Management Short-Term Fixed Income 1,162,163
AFL - CIO Housing Investment ETI - Active Core 144,094
Bivium Capital Partners Emerging-Diverse 98,608
Other portfolio net assets (2,943)
$ 17,085,935Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 74 FISCAL YEAR 2025
Value-Added Fixed Income Portfolio
As of June 30, 2025, the Value-Added Fixed Income portfolio had approximately $9.1 billion in net position,
representing 7.9% of the PRIT Fund. The Value-Added Fixed Income portfolio is invested using the following
strategies:
High Yield Bonds, which represent 1.1% of the PRIT Fund, are securities that are typically rated below Investment
Grade by Standard & Poor’s, Fitch, or Moody’s. There are three managers in the PRIT Fund high yield bond
program, all through separate accounts. Each manager’s mandate is to exceed the index return.
Bank Loans, which represents 1.2% of the PRIT Fund, are investments in senior secured bank loans. There are
four managers in the PRIT Fund bank loan program; two invest through commingled funds and two invest through
separate accounts. Each manager’s mandate is to exceed the index return.
Multi-Asset Credit, 1.9% of the PRIT Fund, represents investments in multi-asset class credit strategies. There
are three managers in the PRIT Fund multi-asset credit program, all through separate accounts. Each manager’s
mandate is to exceed the return of an index comprised of high yield bonds and bank loans.
Emerging Markets Debt, 0.9% of the PRIT Fund, represents investments in debt issued within the emerging
marketplace. There are two managers in the PRIT Fund emerging markets debt program, representing Hard
Currency strategies; one is through a commingled emerging debt investment vehicle while the other is through
a separate account. Each manager’s mandate is to exceed the index return.
14%
15%
24%
12%
1%
26%
8%
Value-Added Fixed Income Portfolio
As of June 30, 2025
High Yield Bonds
Bank Loans
Multi-Asset Credit
Emerging Markets Debt -
Hard Currency
Emerging-Diverse Manager
Program
Other Credit Opportunities
Private Debt
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 75 FISCAL YEAR 2025
Emerging-Diverse Manager Program, 0.1% of the PRIT Fund, represents investments with emerging-diverse
managers. There is one manager-of-managers in the PRIT Fund Value-Added Fixed Income Emerging-Diverse
Manager Program.
Other Credit Opportunities, 2.0% of the PRIT Fund, represents investments in other credit strategies whose risk,
return and liquidity characteristics lie between the public market strategies of high yield bonds, bank loans and
emerging markets debt and the private partnerships in the private debt strategies. There are 12 managers in the
PRIT Fund Other Credit Opportunities program; seven are through private partnerships while the rest are through
separate accounts.
Private Debt, 0.6% of the PRIT Fund, represents investments in private partnerships that invest directly in
distressed debt investment opportunities. As of June 30, 2025, the PRIT Fund had distressed debt investments
with 10 investment managers.
Portfolio Risks. As in the core fixed income portfolio, the prices of these securities increase and decrease in value.
Price fluctuations in bonds result from rising and falling interest rates, changes in market conditions, and other
economic and political developments. Lower-quality securities typically offer higher yields but also carry more
credit risk. The allocation of investments to emerging markets, other credit strategies, and distressed debt
expose the portfolio to additional risks. Investments in emerging markets are subject to higher settlement,
trading and management costs and greater economic, regulatory, and political risk, as well as currency risk.
Investments in Other Credit Opportunities and private distressed debt funds subject the portfolio to liquidity,
valuation and other risks associated with private investments.
Portfolio Returns: In fiscal year 2025, the Value-Added Fixed Income composite returned 9.47% compared to
8.79% for the asset class benchmark. The PRIT Fund’s high yield bond managers returned 11.08%, while the
Intercontinental Exchange Bank of America U.S. High Yield index returned 10.31%. The Emerging Markets Debt
portfolio returned 11.29% during the fiscal year, compared to the JP Morgan Emerging Markets Bond Index
Global, which returned 9.51%. The bank loan managers returned 6.53%, compared to the Morningstar LSTA
Leveraged Loan index return of 7.29%. The multi-asset credit managers (inception in July and August 2024)
returned 8.50% compared to the custom benchmark of 8.80%. The Value-Added Fixed Income Emerging-Diverse
Manager Program returned 9.02% compared to the custom benchmark of 9.71%. The Other Credit Opportunities
portfolio returned 12.91% compared to the custom benchmark of 10.08%. The Private Debt portfolio returned
4.52% compared to the index return of 5.57%. The benchmark for the Private Debt portfolio at June 30, 2025, is
the Burgiss Distressed Debt Universe Lagged Index.
On a three-, five-, and 10-year basis through June 30, 2025, the PRIT Fund’s Value-Added Fixed Income portfolio
has returned 9.09%, 8.07%, and 5.43%, respectively, compared to the benchmark, which returned 9.02%, 5.29%,
and 3.81%, respectively.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 76 FISCAL YEAR 2025
The top ten holdings in the Value-Added Fixed Income portfolio at June 30, 2025, excluding investments in
emerging debt pooled funds, bank loan funds, private debt and other credit opportunities partnerships, and other
pooled funds, are illustrated below. A complete listing of holdings is available upon request.
The PRIT Fund’s Value-Added Fixed Income portfolio managers at June 30, 2025, are presented in the following
table:
# Issue Name Fair Value ($000s)
% of Account
Fair Value
1 FREMF 2025-KF167 KF 167 CS 144A Variable Rate May 2035 54,265$ 0.60%
2 Twitter 2/25 Fixed TL 0.000% October 2029 27,448 0.30%
3 FREMF 2024-K528 MO K528 C 144A Variable Rate August 2029 25,394 0.28%
4 Brazil Letras Do Tesouro Nacio 0.000% October 2025 21,700 0.24%
5 FREMF 2025-K760 MO K760 D 144A 0.000% March 2062 20,050 0.22%
6 FREMF Mortgage Tru K167 D 144A 0.000% December 2061 20,017 0.22%
7 Altice France SA 144A 5.125% July 2029 13,849 0.15%
8 Milano 10/20 Cov-Lite TLB 0.000% October 2027 13,825 0.15%
9 Echostar Corp 6.750% November 2030 13,706 0.15%
10 Echostar Corp 3.875% November 2030 13,287 0.15%
TOTAL 223,541$ 2.46%
Portfolio Fair Value at
Manager Investment Mandate June 30, 2025 ($000s)
Fidelity Management Trust High Yield Bond $ 707,886
Loomis, Sayles & Co., LP High Yield Bond 230,395
Shenkman Capital Management High Yield Bond 347,855
Ashmore Investment Management Emerging Markets Debt Hard Currency 493,234
PIMCO Emerging Markets Debt Hard Currency 593,346
Ares Capital Management Bank Loans 300,551
Beach Point Capital Management Bank Loans 150,355
Morgan Stanley Bank Loans 403,000
Voya Bank Loans 496,876
Achorage Credit Advisor Multi-Asset Credit 436,029
KKR Credit Advisors - GCOF Multi-Asset Credit 318,210
KKR Credit Advisors - KMAC Multi-Asset Credit 746,105
Shenkman Capital Management Multi-Asset Credit 640,381
Bivium Capital Partners Emerging-Diverse 97,636
Various accounts and partnerships Other Credit Opportunities 2,317,750
Various partnerships Private Debt 679,239
Other portfolio net assets 101,753
$ 9,060,601Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 77 FISCAL YEAR 2025
Real Estate Portfolio
As of June 30, 2025, the PRIM Board had $10.6 billion invested in real estate through the PRIT Fund’s ownership
interest in PRIT Core Realty Holdings LLC (the LLC), representing 9.2% of the PRIT Fund. Real estate holdings
consist of directly-owned properties, REITs, mortgage loans receivable, and investments in real estate funds. The
PRIT Fund invests in real estate because it provides diversification and attractive returns. Real estate returns
typically do not have a strong correlation with stock and bond returns, therefore offering an element of
diversification to reduce volatility. Real estate can also offer attractive current returns as a portfolio of well-leased
assets provides consistent cash flows from rental income.
Approximately 89% of the real estate allocation is dedicated to direct investments and private partnerships (the
“Private Real Estate Investments”). The Private Real Estate Investments are subsequently broken down into Core
and Non-Core real estate investments. As of June 30, 2025, $8.9 billion (net of portfolio debt) of Core real estate
investments and $534.8 million of Non-Core real estate investments comprise PRIT's Private Real Estate
Investments, which represents 8.2% of the PRIT Fund. Typically, Core real estate investments are relatively low
risk and substantially leased (80% or greater occupancy at the time of investment) institutional quality real estate.
Non-Core real estate investments offer higher potential returns at a higher risk profile. The PRIM Board’s Non-
Core program targets opportunities associated with development, vacancy and tenant exposure or the potential
to physically or financially reposition an investment. Real estate investments with diverse managers represent
0.1% of the PRIT Fund. As of June 30, 2025, the Real Estate Emerging-Diverse Manager Program had $104.3
million in net position. Public REITs comprise the remainder of the investments in the PRIT Fund real estate
portfolio. As of June 30, 2025, the PRIM Board had $1.1 billion allocated to public REITs. The public REIT portfolio
represents 0.9% of the PRIT Fund.
The following charts display the property type and geographic diversification of the PRIM Board’s directly-owned
real estate assets, at June 30, 2025:
The PRIM Board's strategies utilize a disciplined portfolio approach to real estate investing that is focused on
investments in equity interests in institutional quality real estate. The PRIM Board has established separate
accounts with capable real estate investment managers under terms that are beneficial to the PRIM Board.
29%
43%
13%
10% 5%
Private Real Estate by Property Type
As of June 30, 2025
Apartments
Industrial/Flex
Office
Retail
Other
4% 1%
9%
8%
13%
33%
22%
10%
Private Real Estate by Geography
As of June 30, 2025
East No. Central
West No. Central
Mideast
Mountain
Northeast
Pacific
Southeast
Southwest
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 78 FISCAL YEAR 2025
Because the PRIM Board is typically the sole owner of the real estate in each such account, the managers operate
under clear policies and guidelines most appropriate to the PRIM Board's investment needs.
Leverage. The PRIM Board approved the Real Estate Portfolio Leverage Policy at its December 5, 2024, Board
meeting. The PRIM Board may utilize leverage to enhance the returns of the Real Estate portfolio or certain real
estate investments. The PRIM Board will seek to maintain high levels of liquidity, accretive leverage and a low
loan to value ratio, comparable to that of the benchmark.
The following leverage guidelines have been adopted by the PRIM Board:
a. Financing Characteristics – PRIM may consider all available sources of financing. Fixed rate financing is
preferred. However, fixed and floating rate financing may be utilized. Derivatives may be used to achieve these
rates. The decision to use fixed or floating rates will be determined at the time of borrowing and will be a function
of availability, rate and risk.
b. Debt Service Coverage - Leverage may be utilized at the total portfolio level or property level and can be in the
form of secured or unsecured indebtedness. Leverage will generally be used when borrowing costs are at least
100 basis points below that of property portfolio operating yield and attractive borrowing terms can be put in
place that will ensure adequate debt-service coverage ratios.
c. Total Leverage Ratio- The total leverage ratio should be no more than 10% higher than MassPRIM’s private
real estate benchmark leverage ratio, and no higher than 50% of the total real estate property portfolio net asset
value. The total leverage ratio includes any property level financing in place as well as the portfolio level facility.
Leverage contained in commingled funds and co-investments is not included in this calculation. The calculation
of the loan to value ratio will be: total debt/gross asset value of the real estate property portfolio.
The LLC had portfolio level notes payable of $200 million at June 30, 2025. In addition, the LLC utilized internal
securities lending capabilities to increase portfolio leverage by $900 million. By utilizing the securities lending
financing capabilities, the LLC is able to achieve lower borrowing costs for the Real Estate portfolio and allow
more flexibility within the real estate debt program. As the $900 million loan is an inter-entity loan, it has been
eliminated in consolidation from the financial statements presented in the Financial Section.
Portfolio Risks. Investments in real estate are subject to various risks, including adverse changes in economic
conditions and in the capital markets, financial conditions of tenants, interest of buyers and sellers in real estate
properties, environmental laws and regulations, zoning laws, governmental rules, uninsurable losses, and other
factors beyond the control of the property owner. In addition, while diversification is an important tool used by
the PRIM Board for mitigating risk, there is no assurance that diversification, either by geographic region or asset
type, will consistently be maintained in the Core Real Estate Portfolio because of the illiquid nature of real estate.
In addition, the portfolio is subject to valuation risk, as the valuation of the assets in this portfolio is based on
estimates made by the PRIM Board in coordination with external appraisers and the investment managers.
Furthermore, there can be no assurance that the fair value of the portfolio will ultimately correspond to the
realized value of the underlying properties. Public REITs face risks similar to the risks of public equities both
domestically and internationally since they are traded on public exchanges. They can experience corrections and
price movements that are much more rapid than those experienced by private real estate portfolios and the
share price can vary significantly from underlying net asset value.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 79 FISCAL YEAR 2025
Performance. For fiscal year 2025, the real estate portfolio returned 0.93% compared to the 1.37% return of the
asset class benchmark. The Private Real Estate Investments portfolio returned 0.48% for the year ended June 30,
2025, lagging the NCREIF NFI-ODCE Net Index (one quarter lag), which returned 1.17% over the same period. REIT
investments returned 7.02%, outperforming the FTSE NAREIT Equity REITS Index of 4.39%. The Real Estate
Emerging-Diverse Manager Program returned 6.96% for the year ended June 30, 2025, compared to the custom
benchmark of 5.92%.
On a three-, five-, and 10-year basis through June 30, 2025, the PRIT Fund’s Real Estate portfolio has returned
-3.04%, 5.68%, and 6.11%, respectively, compared to the benchmark, which returned -4.59%, 2.32%, and 4.50%,
respectively.
The PRIT Fund’s real estate investment managers at June 30, 2025, are presented in the following table:
Manager Investment Mandate
Portfolio Fair Value at
June 30, 2025 ($000s)
Invesco Realty Advisors Separate Account - Core $ 2,610,921
LaSalle Investment Management Separate Account - Core 2,328,991
AEW Separate Account - Core 2,505,916
CBRE Separate Account - Core 888,781
Stockbridge Separate Account - Core 889,474
DivcoWest Separate Account - Core 125,691
PRIM Board Separate Account - Core 468,164
Various Partnerships Non-Core 534,783
CenterSquare Investment Management U.S. REITS 775,737
DWS/RREEF U.S. REITS 148,421
PGIM U.S. REITS 150,202
Cambridge Associates Emerging-Diverse 104,314
Other portfolio net assets (portfolio debt included) (937,790)
$ 10,593,605Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 80 FISCAL YEAR 2025
Timberland Portfolio
As of June 30, 2025, the PRIM Board had $3.2 billion invested in timberland, representing 2.8% of the PRIT Fund.
The PRIT Fund’s allocation to timberland is through two external timberland investment managers, Forest
Investment Associates (FIA) and The Campbell Group (Campbell).
The United States timberland markets are divided into three regions, each with distinct economic characteristics:
the Pacific Northwest, the Northeast, and the Southeast. The Pacific Northwest is a high value softwood market,
in which the growing cycle to produce a mature tree is forty to fifty years. The high value tree in this region is
Douglas Fir, which is used primarily to produce high quality dimensional and structural lumber. The timber
growing cycle in the Southeast is much shorter, in the range of twenty to twenty-five years. Southern pine is the
dominant species and is used typically to make pulp for the paper industry or lower quality framing lumber. The
Northeast market is much smaller than the other two markets and consists of a wider range of trees, including
high value specialty woods such as cherry and oak.
In Australia, there is approximately 2 million hectares (4.9 million acres) of plantation timberlands that are almost
evenly split between hardwood and softwood species. Australia is a net importer of forest products, with limited
domestic supply and high demand. Potential export opportunities exist for plantations within close proximity to
ports due to demand from China. There are approximately 2 million hectares of timberland plantations in New
Zealand, comprised primarily of softwood (radiata pine). The country produces significantly more logs than it
consumes, relying heavily on export markets, particularly China.
The geographical diversification of the PRIT Fund’s timberland portfolio at June 30, 2025, is presented below.
4%
4% 6%
2% 7%
11%
2%
1%
10%
11%
20%
15%
7%
Timberland Assets by Geography
As of June 30, 2025
Arkansas
Florida
Louisiana
Pennsylvania
Mississippi
South Carolina
Georgia
North Carolina
Texas
Oregon
Washington
Australia
New Zealand
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 81 FISCAL YEAR 2025
Investment returns from timberland investments are derived from the net cash flow generated from the sale of
trees (referred to as stumpage sales) combined with capital appreciation from the biological growth of the trees.
Both of these return factors depend to some degree upon the direction of forest product commodity prices
(paper goods and lumber products). There can also be gains from timely land sales to buyers aiming to convert
timberland into higher and better uses.
Portfolio Risks. Investments in timberland assets are subject to various risks, including adverse changes in
general economic conditions, fluctuations in the market price of timber, damage to timber properties due to
infestation and weather-related events, changes in regulatory conditions and other governmental rules. In
addition, the portfolio is subject to valuation risk, as the valuation of the assets in this segment are based on
estimates made by the PRIM Board through coordination with external appraisers and the PRIM Board’s
timberland investment managers. Accordingly, there can be no assurance that the fair value of investments will
correspond to the ultimate realized value of the properties. International timberland investments are also subject
to currency fluctuations that can result in unpredictable gains or losses when foreign currency is converted into
U.S. dollars.
Performance. As of June 30, 2025, the one-year Timberland return was 4.20% as compared to the NCREIF
Timberland Index (one quarter lag) of 5.60%. On a three-, five-, and 10-year basis through June 30, 2025, the
PRIT Fund’s Timberland portfolio has returned 6.79%, 7.74%, and 5.33%, respectively, compared to the
benchmark return of 8.89%, 7.93%, and 5.34%, respectively.
The PRIT Fund’s Timberland investment managers at June 30, 2025, are presented in the following table:
Portfolio Fair Value at
Manager Investment Mandate June 30, 2025 ($000s)
Forest Investments Associates Separate Account - Timberland $ 1,471,914
The Campbell Group Separate Account - Timberland 1,667,006
Other portfolio net assets 53,859
$ 3,192,779Total Portfolio Fair Value
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 82 FISCAL YEAR 2025
Private Equity Portfolio
As of June 30, 2025, the fair value of the Private Equity portfolio was $19.2 billion, representing 16.6% of the PRIT
Fund. Unlike public equities, where investors have the ability to liquidate investments generally at any time,
private equity investments are illiquid. Therefore, an investment in this category is a long-term commitment.
The Private Equity portfolio is well-diversified by strategy and the allocation as of June 30, 2025, is presented
below.
The Private Equity portfolio is diversified at the partnership level by strategy as well as at the underlying portfolio
company level by industry and geography. The portfolio’s current geographical and industry allocations are
presented below.
21%
23%
17%
15%
15%
9%
Private Equity by Strategy
As of June 30, 2025
Buyout - Mid
Buyout - Mega
Buyout - Large
Growth Equity
Buyout - Small
Venture Capital
67%
27%
6%
Private Equity by Geography
As of June 30, 2025
North America
Western Europe
Other
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 83 FISCAL YEAR 2025
Capital invested in private equity partnerships is subject to a relatively high degree of risk as compared to other
potential investments, with the assumption that the investor will be rewarded with higher returns for that
assumption of risk, i.e., the “risk/return trade-off”. This risk/return trade-off is the key consideration in
determining if this asset is appropriate for a particular portfolio. These risks are highlighted below.
Portfolio Risks. Risks associated with investing in private equity limited partnerships include, but are not limited
to:
• Illiquidity: Limited partnership vehicles typically have 10-15-year life cycles during which limited partners
are unable to liquidate their entire positions, but instead, will receive the cash flow from successful
investments.
• Volatility: Volatility has historically been greater for private equity investing than many other assets.
• Management Fee Effect: Typically, general partners’ fees range from 150 to 250 basis points annually.
This is usually drawn down against committed capital, although it may not be invested, and may result in
negative returns until investments are realized successfully.
• Valuation of investments: Investment valuation at any time may not be reflective of fair value. Private
equity investments are generally valued at fair value. However, because of the inherent uncertainty of
the valuation of the portfolio companies, the estimated value may differ significantly from the value that
would have been used had a ready market for these investments existed.
40%
14%
13%
6%
12%
5% 3%
1% 2%3% 1%
Private Equity by Industry
As of June 30, 2025
Information Technology
Health Care
Industrials
Consumer Discretionary
Financials
Communication Services
Consumer Staples
Energy
Materials
Other
Utilities
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 84 FISCAL YEAR 2025
• General Partner Discretion: Investors lack control over the general partner’s investment decisions. The
general partner is provided capital to manage at its discretion and investors are provided limited rights,
such as termination of the partnership in certain instances. (These rights may not prove practical except
in extreme circumstances.)
• Binding Commitments: There is limited ability to reduce or terminate investments. Under the contractual
terms of the partnership, investments may be terminated in some cases by super-majority vote of the
investors and after the occurrence of certain events. (These rights may not prove practical except in
extreme circumstances.)
• Risk of Loss: There is risk of losing 100% of the investment. Investments in partnerships are usually equity
and their risk nature could result in loss of the entire investment.
Performance. The PRIT Fund’s Private Equity portfolio delivered a one-year return of 7.28% through June 30,
2025. The PRIT Fund’s Private Equity managers were active in making new investments as well as in generating
liquidity in the year ending June 30, 2025. The PRIT Fund’s managers called $2.2 billion of capital for additional
investments, management fees, and partnership expenses, which compares to the $1.7 billion called during the
prior fiscal year. From a liquidity standpoint, the portfolio generated total distributions of $2.3 billion which
compares to $2.0 billion of distributions for the 2024 fiscal year.
While there is not currently a widely used or conventional benchmark in this asset class, the PRIM Board staff
targets investment opportunities with the ability to generate a long-term rate of return equal to or greater than
a custom benchmark (7-year annualized return of a blend of 87% Russell 3000 + 3%/13% MSCI Europe IMI + 3%
as of June 30, 2025). As of June 30, 2025, the PRIT Fund’s Private Equity portfolio returned 7.28% compared to
the custom benchmark return of 15.25%. On a three-, five-, and 10-year basis through June 30, 2025, the PRIT
Fund’s Private Equity portfolio has returned 3.29%, 18.80%, and 16.18%, respectively, compared to the custom
benchmark return of 14.71%, 14.78%, and 15.27%, respectively. It is important to remember that there is a one
quarter lag inherent in private equity valuations.
Since inception to June 30, 2025, the PRIT Fund has committed $36.2 billion of which $31.5 billion has been
invested. The program has generated $36.7 billion in distributions. The net IRR since inception for the program
is 13.8%. As of June 30, 2025, there are 422 active partnerships including co-investments.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 85 FISCAL YEAR 2025
PRIVATE EQUITY EXTERNAL MANAGERS
As of June 30, 2025
Partnership Location Partnership Location
1 1315 Capital Philadelphia, PA 53 Kinzie Capital Partners LLC Chicago, IL
2 5th Century Partners Chicago, IL 54 Knox Lane San Francisco, CA
3 ACON Investments Washington, DC 55 Kohlberg Kravis Roberts & Co. New York, NY
4 Advent International Boston, MA 56 KPS New York, NY
5 Allied Industrial Partners Houston, TX 57 Lovell Minnick Partners Radnor, PA
6 Alphi Capital Toronto, Canada 58 Medicxi London, UK
7 Alta Communications Boston, MA 59 Menlo Ventures Menlo Park, CA
8 Altor Stockholm, Sweden 60 Montagu Private Equity London, UK
9 American Industrial Partners New York, NY 61 Montreux Equity Partners San Francisco, CA
10 American Securities, LLC New York, NY 62 Nautic Partners LLC Providence, RI
11 Apollo Management New York, NY 63 New Enterprise Associates Baltimore, MD
12 Ascent Venture Partners Boston, MA 64 NewView Capital Management Burlingame, CA
13 Bain Capital Boston, MA 65 Nordic Capital Stockholm, Sweden
14 Battery Ventures Boston, MA 66 Odyssey Investment Partners New York, NY
15 Berkshire Partners Boston, MA 67 Onex Corporation Toronto, Canada
16 BlackFin Paris, France 68 Permira Advisers Limited London, UK
17 Blackstone New York, NY 69 Polaris Boston, MA
18 Bridgepoint Capital Ltd. London, UK 70 Polaris Growth Fund Boston, MA
19 Carlyle Group Washington, DC 71 Providence Equity Partners Providence, RI
20 Catalyst Investors New York, NY 72 PSG Equity L.L.C. Boston, MA
21 Centerbridge Associates New York, NY 73 Quad-C Management, Inc. Charlottesville, VA
22 Charlesbank Capital Partners Boston, MA 74 Quantum Energy Partners Houston, TX
23 Charterhouse Capital Partners London, UK 75 Red Arts Chicago, IL
24 Chequers Partenaires Paris, France 76 Rembrandt Venture Partners Menlo Park, CA
25 Clearhaven Partners Boston, MA 77 Rhone Capital LLC New York, NY
26 Cohere Boston, MA 78 SAIF Partners Hong Kong, China
27 CVC Capital Partners London, UK 79 Schroder Ventures Life Sciences Boston, MA
28 Elysian Capital LLP London, UK 80 SCP Wayne, PA
29 Essex Woodlands Health Ventures New York, NY 81 Sherbrooke Capital Newton, MA
30 Ethos Private Equity Ltd. Johannesburg, South Africa 82 Sofinnova Ventures Inc. Menlo Park, CA
31 Exponent London, UK 83 Spark Capital Partners, LLC Boston, MA
32 Five Elms GP Salt Lake City, UT 84 Stone Point Capital Greenwich, CT
33 Flagship Ventures Cambridge, MA 85 Summit Partners Boston, MA
34 Forerunner San Francisco, CA 86 TA Associates Boston, MA
35 Genstar Capital Partners San Francisco, CA 87 Technology Crossover Ventures Menlo Park, CA
36 Georgian Partners Toronto, Canada 88 THL Partners Boston, MA
37 Gilde Buyout Partners Utrecht, Netherlands 89 Thoma Bravo, LLC San Francisco, CA
38 Gores Technology Group Los Angeles, CA 90 Thompson Street Capital Partners St. Louis, MO
39 GTCR Golder Rauner, LLC Chicago, IL 91 Tidemark Management Company LP Menlo Park, CA
40 H.I.G. Capital Miami, FL 92 Tiger Iron San Francisco, CA
41 Hellman & Friedman LLC San Francisco, CA 93 TorQuest Partners Toronto, Canada
42 Highland Capital Lexington, MA 94 Towerbrook Capital Partners New York, NY
43 HongShan Capital Beijing, China 95 TPG Capital San Francisco, CA
44 Hony Capital Beijing, China 96 Trident Capital Management Los Angeles, CA
45 Index Ventures Management SA London, UK 97 Turn River San Francisco, CA
46 Insight Partners New York, NY 98 Union Square Ventures New York, NY
47 Institutional Venture Partners Menlo Park, CA 99 VantagePoint Venture Partners San Bruno, CA
48 InterWest Partners Menlo Park, CA 100 Vista Equity Partners San Francisco, CA
49 JMI Management Baltimore, MD 101 Waterland Amsterdam, Netherlands
50 Kelso & Company New York, NY 102 Westview Capital Management Boston, MA
51 Kepha Partners Waltham, MA 103 Wing Ventures Palo Alto, CA
52 Keytone Capital Partners Beijing, China 104 Xenon Private Equity Ltd. Jersey, UK
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 86 FISCAL YEAR 2025
Portfolio Completion Strategies (PCS) Portfolio
As of June 30, 2025, the PCS portfolio had approximately $10.0 billion in net position, representing 8.6% of the
PRIT Fund. The PCS portfolio is invested in the following strategies:
The objective of the PCS portfolio is to provide the PRIT Fund access to broader investment opportunities.
Investments selected for the PCS portfolio should enhance the risk/return profile of the PRIT Fund. Investments
may include long-term strategic investments or short-term opportunistic investments.
The overall PCS portfolio is compared against a strategic benchmark, which is the weighted average of the
subcategories’ public index-based benchmarks. Meanwhile, each investment within the PCS portfolio has a
secondary (implementation) benchmark, which is largely peer index-based, to measure the performance of
individual managers.
Portfolio Risks. The PCS portfolio is subject to the various risks of underlying investments. The portfolio is subject
to market risk through a general downturn in market conditions and a general reversal of the risk premia that
the strategies are trying to capture, as well as credit risk inherent in fixed income strategies. The portfolio is also
exposed to liquidity risk in unwinding underlying illiquid positions. In addition, the PCS portfolio is exposed to
operational risks in executing investment strategies and valuing investment positions. Investment managers
operate within detailed investment guidelines to ensure portfolios are managed with appropriate diversification
and risk control.
Performance. For the fiscal year, the PCS portfolio returned 11.64% compared to the asset class benchmark
return of 7.70%. On a three-, five-, and 10-year basis through June 30, 2025, the PRIT Fund’s PCS portfolio has
returned 8.45%, 7.82%, and 4.41%, respectively, compared to the benchmark return of 7.52%, 7.48%, and 4.41%,
respectively.
94%
6%
Portfolio Completion Strategies Portfolio
As of June 30, 2025
Hedge Funds
Real Assets
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 87 FISCAL YEAR 2025
The PRIT Fund’s PCS managers at June 30, 2025, are presented in the following table:
Overlay
As of June 30, 2025, the Overlay portfolio, managed in part by Parametric Portfolio Associates, had $546.7 million
in net position, representing 0.5% of the PRIT Fund. The Overlay portfolio returned 17.91% for the fiscal year,
15.20% over the three-year period, 10.30% over the five-year period, and 9.05% over the 10-year period.
The objective of the overlay program is to reduce performance drag by earning market returns on cash which is
not invested. Investments are made through the futures market.
Manager Strategy Focus Location
1 400 Capital Management Hedge Fund New York, NY
2 Astaris Capital Management Hedge Fund London, UK
3 Basswood Capital Management, LLC Hedge Fund New York, NY
4 BlackRock Financial Management Real Assets New York, NY
5 Bridgade Capital Management Hedge Fund New York, NY
6 Capital Fund Management Hedge Fund Paris, France
7 Capula Investment Management Hedge Fund Greenwich, CT
8 CKC Capital Hedge Fund New York, NY
9 Complus Asset Management Limited Hedge Fund Hong Kong, China
10 Contrarian Capital Management Hedge Fund Greenwich, CT
11 Davidson Kempner Capital Management Hedge Fund New York, NY
12 DLD Asset Management Hedge Fund New York, NY
13 Eidos Partners Hedge Fund Milan, Italy
14 Elliot Management Corporation Hedge Fund New York, NY
15 Fir Tree Partners Hedge Fund New York, NY
16 FourSixThree Capital Hedge Fund New York, NY
17 Goodlander Investment Management Hedge Fund Dallas, TX
18 Highland Peak Capital, LLC Hedge Fund Old Greenwich, CT
19 Investcorp Investment Advisers Hedge Fund New York, NY
20 JEN Partners Real Assets New York, NY
21 Land and Buildings Investment Management Hedge Fund Stamford, CT
22 LMCG Serenitas Hedge Fund New York, NY
23 Mudrick Capital Management Hedge Fund New York, NY
24 North Peak Capital Management Hedge Fund New York, NY
25 Oaktree Capital Management, LP Hedge Fund New York, NY
26 PAAMCO Hedge Fund Newport Beach, CA
27 PGIM Real Assets Newark, NJ
28 Quadra Capital Hedge Fund Sao Paolo, Brazil
29 RV Capital Management Hedge Fund Singapore
30 Sightway Capital Real Assets New York, NY
31 Summit Partners Public Asset Management, LLC Hedge Fund Boston, MA
32 Trium Capital LLP Hedge Fund London, UK
33 Valent Asset Management Hedge Fund New York, NY
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 88 FISCAL YEAR 2025
SCHEDULE OF TIME-WEIGHTED RETURNS BY ASSET CLASS*
For the Periods Ended June 30, 2025
(1)
The Global Equity Emerging-Diverse Manager Program Index was
established on May 1, 2022. The Composite Index is calculated by
applying the underlying benchmark return for each manager
to the manager’s weight within the Global Equity Emerging-Diverse Manager Program Composite.
(2)
Value-Added Fixed Income benchmark is calculated by applying the
investment performance of the sub asset class benchmarks to the sub
asset class weights within the value-added fixed income
portfolio,
Private Debt component is using Burgiss Distressed Debt Universe Lagged,
if the Burgiss return is not available, the actual portfolio net return
will be used as a placeholder until the
Burgiss Private Debt BM is published.
(3)
Real Estate benchmark is calculated by applying the investment
performance of the sub asset class benchmarks to the sub asset class
weights within the real estate portfolio.
(4) 7-year annualized return of a blend of 87% Russell 3000 + 3%/13% MSCI Europe IMI + 3% at 6/30/2025.
(5)
Total Portfolio Completion Strategies Composite Index was formed on
April 1, 2017 by combining the prior Portfolio Completion Strategies
with Total Hedge Funds. Total Portfolio Completion
Strategies
Composite Index is calculated by applying the underlying benchmark
return for each sub asset class to the asset class’s weight within the
Total Portfolio Completion Strategies Composite.
* Source: BNY. All
return information is net of fees. Returns are calculated based on a
time-weighted rate of return methodology.
Asset Class 1 Year 3 Year 5 Year 10 Year
Benchmark as of June 30, 2025
Global Equity 15.22% 16.82% 13.64% 9.82%
Custom MSCI ACWI IMI with USA Gross Index (Net Variant) 15.98% 16.88% 13.48% 9.58%
Domestic Equity 14.33% 18.40% 15.89% 12.57%
Custom MSCI USA IMI Gross 14.95% 18.87% 15.93% 12.83%
International Equity 19.13% 15.27% 10.86% 6.82%
Custom MSCI World EX-US IMI NET DIVS 19.16% 15.27% 10.99% 6.49%
Emerging Markets Equity 11.33% 12.22% 9.41% 6.73%
Custom MSCI Emerging Markets IMI NET DIVS 14.41% 10.19% 7.62% 5.02%
Global Equity Emerging-Diverse Manager Program 16.92% 14.73% na na
Global Equity Emerging-Diverse Manager Program Index (1) 17.73% 14.37% na na
Core Fixed Income 3.78% 0.24% -2.45% 1.90%
46.6% Bloomberg US Agg/20% Bloomberg Global IL US TIPS/6.7% Bloomberg World Gov IL
USD Hedged/20% Bloomberg US STRIPS 20+ Years/6.7% Bloomberg US Treasury 1-3 Year 3.76% 0.15% -2.61% 1.82%
Value-Added Fixed Income 9.47% 9.09% 8.07% 5.43%
Asset Class BM (2) 8.79% 9.02% 5.29% 3.81%
Real Estate 0.93% -3.04% 5.68% 6.11%
Asset Class BM (3) 1.37% -4.59% 2.32% 4.50%
Private Equity 7.28% 3.29% 18.80% 16.18%
7 year annualized custom benchmark (4) 15.25% 14.71% 14.78% 15.27%
Timberland 4.20% 6.79% 7.74% 5.33%
NCREIF Timberland Index (one quarter lag) 5.60% 8.89% 7.93% 5.34%
Portfolio Completion Strategies 11.64% 8.45% 7.82% 4.41%
Total Portfolio Completion Strategies Composite Index (5) 7.70% 7.52% 7.48% 4.41%
Overlay 17.91% 15.20% 10.30% 9.05%
No Benchmark na na na na
1 Year 3 Year 5 Year 10 Year
Total PRIT Capital Fund 9.63% 8.21% 9.65% 7.95%
Policy Benchmark 10.93% 10.05% 8.86% 7.59%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 89 FISCAL YEAR 2025
Investment Summary at Fair Value
As of June 30, 2025
Short-term:
Fair Value
($000s)
% of Fair
Value
Money market investments $ 2,011,181 1.65%
Fixed income:
U.S. government obligations 10,409,289 8.55%
Domestic fixed income 10,361,994 8.52%
International fixed income 3,608,840 2.97%
Private debt 670,547 0.55%
Other credit opportunities 2,301,029 1.89%
27,351,699 22.48%
Equity:
Domestic equity securities 27,814,998 22.86%
International equity securities 17,245,495 14.17%
45,060,493 37.03%
Timberland 3,138,919 2.58%
Private equity funds 18,847,838 15.49%
Real estate:
Real estate properties 10,217,534 8.40%
Real estate equity securities 1,097,702 0.90%
Real estate funds 718,596 0.59%
Mortgage loans receivable 219,071 0.18%
Other 160,911 0.13%
12,413,814 10.20%
Portfolio completion strategies:
Event-driven hedge funds 1,121,336 0.92%
Relative value hedge fund 715,499 0.59%
Fund of funds 928,765 0.76%
Distressed loan funds 75,051 0.06%
Real assets funds 199,335 0.16%
Equity securities 2,702,124 2.22%
Fixed income securities 4,988,410 4.10%
Cash and cash equivalents 1,717,259 1.41%
Agricultural investments 424,002 0.35%
12,871,781 10.57%
Total investments $ 121,695,725 100.00%
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 90 FISCAL YEAR 2025
SUMMARY SCHEDULE OF BROKER COMMISSIONS
(Top 25 Brokers and Cumulative Fees Paid to Others)
Fiscal Year Ended June 30, 2025
Brokerage Firms Fees Paid ($) % Total
Average $
per share
JP Morgan 1,385,282$ 10.2% 0.0052
Goldman Sachs 1,312,759 9.7% 0.0012
Morgan Stanley 1,027,824 7.6% 0.0031
UBS 784,201 5.8% 0.0017
Jefferies 748,566 5.5% 0.0070
Instinet 463,373 3.4% 0.0006
Merrill Lynch 425,993 3.1% 0.0013
Citigroup 425,867 3.1% 0.0042
Pershing 370,203 2.7% 0.0076
Macquarie 310,829 2.3% 0.0029
HSBC 291,433 2.1% 0.0023
Bank of America 286,328 2.1% 0.0120
William Blair & Co 271,058 2.0% 0.0351
Liquidnet 267,430 2.0% 0.0227
Daiwa Securities 243,337 1.8% 0.0078
RBC Capital Markets 233,669 1.7% 0.0193
Barclays 225,130 1.7% 0.0058
Credit Lyonnais 200,484 1.5% 0.0014
Societe Generale 167,915 1.2% 0.0020
Raymond James 165,772 1.2% 0.0219
Berenberg 156,045 1.1% 0.0100
Virtu Americas LLC 152,415 1.1% 0.0169
BNP Paribas 151,192 1.1% 0.0036
DSP Merrill Lynch Ltd 142,813 1.1% 0.0072
National Financial Services 136,458 1.0% 0.0206
Others 3,246,977 23.9% 0.0101
Totals 13,593,353$ 100.0% 0.0030
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 91 FISCAL YEAR 2025
SCHEDULE OF MANAGEMENT FEES
Fiscal Year Ended June 30, 2025
Investment Management Fees by Asset Class: ($000s)
Global Equity 63,260$
Core Fixed Income 11,690
Value-Added Fixed Income 20,729
Real Estate 37,993
Timberland 1,911
Private Equity 9,904
Portfolio Completion Strategies 47,404
Overlay 1,031
Total Investment Management Fees 193,922
Investment Advisory Fees 16,786
Custodian Fees 935
Administrative Fees 31,059
Total Management Fees charged to the PRIT Fund 242,702$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 92 FISCAL YEAR 2025
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENT
Segmentation Accounts invested as of June 30, 2025
Retirement System
Net Asset Values
($000s) 6/30/25
General
Allocation
Domestic Equity
International
Equity
Emerging Markets
Core Fixed Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Adams 44,736$ X
Amesbury 79,354$ X
Andover 336,437$ X X X X
Arlington 229,312$ X
Attleboro 19,288$ X
Barnstable 1,786,724$ X
Belmont 172,247$ X
Berkshire 390,166$ X
Beverly 213,545$ X
Blue Hills 16,833$ X
Boston Teachers 2,670,966$ X
Braintree 23,641$ X X
Bristol County 194,521$ X X X X
Brookline 534,058$ X X
Cambridge 306,647$ X X
Cape Light Compact JPE 3,810$ X
Chelsea 323,145$ X
Chicopee 89,884$ X X X
Clinton 84,395$ X X X
Concord 116,909$ X X X X X
Danvers 82,569$ X X X X X X
Dedham 209,258$ X
Dukes County 138,424$ X X X X
Easthampton 81,410$ X
Essex 768,691$ X X
Everett 322,645$ X
Fairhaven 100,621$ X
Fall River 431,583$ X
Falmouth 42,816$ X X X
Fitchburg 185,929$ X
Framingham 507,031$ X
Franklin County 122,396$ X X X X X
Gardner 83,465$ X
Gloucester 174,292$ X
Greenfield 111,407$ X
Hampden County 578,938$ X
Hampshire County 523,400$ X X X X X X X
Haverhill 240,478$ X X X X X X X X X
Hingham 184,888$ X
Holliston 1,412$ X
Holyoke 14,058$ X X
Hull 69,915$ X
Lawrence 380,266$ X
Leominster 312,105$ X
Lexington 31,038$ X X
Lowell 570,799$ X
Lynn 592,807$ X
Marblehead 136,421$ X
Mass Turnpike 167,518$ X
Massport 164,755$ X X
Maynard 37,834$ X X X X X
MBTA 838,808$ X X X X X X X X
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 93 FISCAL YEAR 2025
SCHEDULE OF RETIREMENT SYSTEMS BY INVESTMENT, continued
Segmentation Accounts invested as of June 30, 2025
Retirement System
Net Asset Values
($000s) 6/30/25
General Allocation
Domestic Equity
International
Equity
Emerging Markets
Core Fixed Income
Real Estate
Private Equity
Hedge Funds
Public Value
Added Fixed
Income
Medford 78,854$ X X X
Melrose 124,183$ X
Methuen 270,941$ X
Middlesex 2,252,555$ X
Milford 146,605$ X X
Milton 219,256$ X
Minuteman 16,881$ X
Montague 64,316$ X
MSCBA 5,824$ X
MWRA 48,165$ X X X
Natick 62,954$ X X X
Needham 257,821$ X
New Bedford 11,372$ X
Newburyport 134,851$ X
Newton 597,565$ X
Norfolk 338,692$ X X X X
North Adams 202$ X
Northbridge 57,308$ X
Northampton 358$ X
Norwood 14,271$ X
Peabody 222,256$ X
Pittsfield 207,487$ X
Plymouth 88,259$ X X X X
Quincy 399,511$ X X X
Reading 208,686$ X X X X X X X X X
Revere 277,692$ X
Salem 300,076$ X
Saugus 67,081$ X X X X
Shrewsbury 142,379$ X X X X X X X
Somerville 17,984$ X
Southbridge 93,606$ X
Springfield 668,518$ X
State Employees' 40,506,035$ X
State Retiree Benefits Trust 4,139,539$ X
State Teachers' 44,093,895$ X
Stoneham 67,605$ X X X X
Swampscott 66,499$ X X X X X X
Tauton 13,574$ X
Wakefield 186,054$ X
Waltham 104,823$ X X X X
Watertown 90,463$ X X X X
Webster 69,434$ X X
Wellesley 317,613$ X X X
Westfield 35,300$ X X X
Weymouth 37,262$ X X
Winchester 191,582$ X
Winthrop 114,895$ X
Woburn 211,222$ X
Worcester 767,847$ X X X X
Worcester Regional 1,203,747$ X
115,458,493$
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 94 FISCAL YEAR 2025
INVESTMENT POLICY STATEMENT
The following are significant elements and related excerpts from the PRIM Board’s investment policy statement.
The purpose of the statement is to delineate the investment policy and guidelines and to establish the overall
investment strategies and discipline of the PRIM Board. This policy is intended to allow for sufficient flexibility to
capture investment opportunities yet provide parameters that ensure prudence and care in the execution of the
investment program. This policy is issued for the guidance of fiduciaries, including Trustees, staff professionals,
investment managers, custodians, and investment consultants, for managing the assets of the PRIT Fund. The
policy is intended to provide a foundation from which to oversee the management of the PRIT Fund in a prudent
manner.
I. Investment Objectives
MassPRIM’s overall objective is to maximize the probability of achieving the required rate of return compatible
with its risk tolerance and prudent investment practices over the long-term. Investment performance is
measured by three long-term objectives as described below:
A. Benchmarking
Benchmarks enable MassPRIM to compare the PRIT Fund’s actual performance. Asset class and sub-asset
class benchmarks are recommended by MassPRIM staff in cooperation with a relevant investment advisor(s)
and approved by the PRIM Board. Each investment strategy is measured against an appropriate benchmark
that describes the opportunity set, risk, and return characteristics associated with the strategy. MassPRIM
staff, with investment advisor(s), will review benchmarks for appropriateness, as needed.
B. Actuarial Target Rate of Return (“Required Rate of Return”)
The actuarial target rate of return is the actuarial assumption affecting future Commonwealth funding rates
and pension liabilities, and it is set by the Public Employee Retirement Administration Commission (PERAC.)
The PRIM Board seeks to earn a long-term investment return that meets or exceeds the actuarial target rate
of return.
C. Downside Protection
MassPRIM seeks to minimize the probability of having a significant market-induced drawdown in the PRIT
Fund. The maximum drawdown goals are delineated in the annual asset allocation exercise and approved
by the PRIM Board.
MassPRIM expects to meet or exceed these three objectives over a long-term investment horizon.
II. Asset Allocation Plan
MassPRIM staff shall examine the Asset Allocation Plan annually and may make recommendations to the PRIM
Board, as appropriate. Additionally, at least once every five years, this examination shall include a comprehensive
review of the Commonwealth’s current and projected pension assets and liabilities, long-term capital markets
rate of return assumptions, and MassPRIM’s risk and liquidity tolerances.
PENSION RESERVES INVESTMENT TRUST FUND Investment Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 95 FISCAL YEAR 2025
III. Rebalancing Policy
The Asset Allocation Plan specifies acceptable allocation ranges for each major asset class in the PRIT Fund. The
actual allocations may temporarily deviate from the target ranges due to market volatility, cash flows, liquidity
constraints, and investment manager performance. Material deviations from the target ranges may alter the
expected return and risk of the PRIT Fund. The PRIM Board acknowledges that market conditions, changes to the
Asset Allocation Plan, or circumstances beyond PRIM’s control, may lead to asset class weightings being
temporarily out of their target ranges.
MassPRIM staff is responsible for rebalancing asset class allocations as necessary to remain compliant with the
Asset Allocation Plan. It is recognized that it may be prudent to allow an extended period to fully rebalance the
PRIT Fund to be in compliance with the Asset Allocation Plan. The spirit of this policy is to implement the Asset
Allocation Plan in a cost-effective manner, recognizing that overly precise management of asset exposures can
result in transactions costs that are not economically justified. Staff may utilize futures contracts to rebalance the
PRIT Fund.
PENSION RESERVES INVESTMENT TRUST FUND
ANNUAL COMPREHENSIVE FINANCIAL REPORT FISCAL YEAR 2025
Statistical Section
PENSION RESERVES INVESTMENT TRUST FUND
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
ANNUAL COMPREHENSIVE FINANCIAL REPORT 96 FISCAL YEAR 2025
Schedules of Changes in Pooled Net Position
For Fiscal Years Ending June 30
(Dollars in thousands)
Additions 2025 2024 2023 2022 2021 2020 2019 2018 2017 2016
State
Employees contributions $ 916,063 $ 902,529 $ 862,503 $ 858,181 $
698,282 $ 705,315 $ 733,289 $ 727,625 $ 855,586 $ 727,147
State teachers contributions 1,124,442 1,136,487 1,097,164 1,058,832 898,722 851,798 860,223 804,171 761,753 752,835
Other
participants contributions 2,137,142 1,774,095 1,509,833 2,425,078
1,313,240 1,466,201 1,579,329 1,218,193 1,071,727 922,092
Net
investment income (loss) 10,199,405 9,171,644 5,143,498 (3,217,142)
21,965,061 1,464,846 4,061,475 6,367,620 7,667,391 1,102,477
Total
additions to pooled net position 14,377,052 12,984,755 8,612,998
1,124,949 24,875,305 4,488,160 7,234,316 9,117,609 10,356,457 3,504,551
Deductions
State employees redemptions 1,553,109 1,608,857 1,513,900 1,509,113 1,450,024 1,454,457 1,445,514 1,442,808 1,459,041 1,452,096
State teachers redemptions 1,101,053 1,235,719 1,422,089 1,507,198 1,579,435 1,649,331 1,666,258 1,714,084 1,672,202 1,667,879
Other participants redemptions 1,487,272 1,417,952 1,519,401 1,355,825 1,112,613 1,218,278 1,073,298 996,520 1,055,203 924,710
Administrative expenses 31,059 29,710 25,246 22,603 20,147 15,973 15,250 12,996 12,375 10,806
Total
deductions to pooled net position 4,172,493 4,292,238 4,480,636
4,394,739 4,162,219 4,338,039 4,200,320 4,166,408 4,198,821 4,055,491
Changes
in pooled net position $ 10,204,559 $ 8,692,517 $ 4,132,362 $
(3,269,790) $ 20,713,086 $ 150,121 $ 3,033,996 $ 4,951,201 $ 6,157,636 $
(550,940)
The above table provides additional historical information
regarding changes in pooled net position from that presented in the
Statement of Changes
in Pooled Net Position in the Financial Section
of the ACFR. This information is derived from the same information used
for the basic financial
statements. Current fiscal year-end
information should be read in conjunction with the Schedule of Changes
in Pooled Net Position - Capital Fund and
Cash Fund provided in the Financial Section.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights and Financial Highlights Ratios
ANNUAL COMPREHENSIVE FINANCIAL REPORT 97 FISCAL YEAR 2025
Pages 98-100 provide the financial highlights of the PRIT Fund for the year ended June 30, 2025. In addition,
pages 101-106 provide additional financial highlights ratios for the nine previous fiscal year ends. Together, these
tables provide additional information regarding important ratios to assist the reader of the ACFR in understanding
the financial position of the PRIT Fund. This information includes important return and expense ratios for the
entire PRIT Fund as well as the various accounts that comprise the PRIT Fund. This information should be read in
conjunction with the description of the investment program highlighted in the Investment Section of the ACFR.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights
For the year ended June 30, 2025
ANNUAL COMPREHENSIVE FINANCIAL REPORT 98 FISCAL YEAR 2025
Public Private Private Private Private
Value- Equity Equity Equity Equity
Emerging Core Added Vintage Vintage Vintage Vintage
General Domestic International Markets Fixed Fixed Private Hedge Liquidating Private Year Year Year Year
Allocation Equity Equity Equity Income Income Debt Funds Portfolios Equity 2000 2001 2002 2003
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 578.00 741.30 446.85 707.45
289.90 385.77 249.87 118.83 61.66 500.60 167.42 1,137.25 497.00 455.60
Investment operations:
Net investment income (loss)(1) 12.48 10.05 12.31 21.45 9.86 24.70 7.63 (0.07) (0.14) 26.75 (0.47) 18.17 (0.14) (0.17)
Net realized and unrealized gain (loss)
on investments and foreign currency 43.25 96.15 73.21 58.59 1.10 9.65 3.65 15.13 (18.49) (0.34) (6.97) 63.15 139.36 24.57
Total from investment
operations 55.73 106.20 85.52 80.04 10.96 34.35 11.28 15.06 (18.63) 26.41 (7.44) 81.32 139.22 24.40
Redemption — — — — — — — — — — — (636.22) —
Net
position per unit, end of year $ 633.73 847.50 532.37 787.49 300.86
420.12 261.15 133.89 43.03 527.01 159.98 1,218.57 — 480.00
Ratios and supplementary data:
Total net return(2) 9.64% 14.33% 19.14% 11.31% 3.78% 8.90% 4.51% 12.67% (30.21)% 5.28% (4.44)% 7.15% 28.01% 5.36%
Net
position, end of year ($'000s) $ 111,249,422 28,571,074 12,101,245
4,827,313 17,085,935 6,063,613 679,239 9,386,064 15,320 284,583 7,199
8,530 — 11,520
Units outstanding, end of year ('000s) 175,546 33,712 22,731 6,130 56,790 14,433 2,601 70,102 356 540 45 7 — 24
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.46% 0.08% 0.34% 0.35% 0.10% 0.40% 1.04% 1.06% 0.23% 0.08% 0.32% 0.04% 0.03% 0.04%
Ratio of expenses, excluding indirect
management fees 0.14% 0.08% 0.34% 0.35% 0.10% 0.26% 0.07% 0.13% 0.23% 0.08% 0.32% 0.04% 0.03% 0.04%
Note:
Financial Highlights include only the Capital Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the period. It represents
the percentage change in the net asset value per unit between the
beginning and end of the period.
(1) Based on weighted average units outstanding.
(2)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights, continued
For the year ended June 30, 2025
ANNUAL COMPREHENSIVE FINANCIAL REPORT 99 FISCAL YEAR 2025
Private Private Private Private Private Private Private Private Private Private Private Private Private Private
Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity Equity
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage
Year Year Year Year Year Year Year Year Year Year Year Year Year Year
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 145.64 219.16 198.10 60.07
446.15 510.17 288.74 304.48 40.17 368.49 279.46 375.70 148.93 270.54
Investment operations:
Net investment income (loss)(1) (4.53) 7.94 (0.06) 1.53 1.22 2.10 2.43 (0.10) (0.03) 0.10 1.86 3.38 10.04 3.43
Net realized and unrealized gain (loss)
on
investments and foreign currency 9.67 3.75 (11.73) (5.14) 48.25 (20.21)
(71.61) (24.58) 5.64 (30.55) (13.84) 32.08 (0.84) 17.04
Total from investment
operations 5.14 11.69 (11.79) (3.61) 49.47 (18.11) (69.18) (24.68) 5.61 (30.45) (11.98) 35.46 9.20 20.47
Redemption — — — — — — — — — — — — — —
Net
position per unit, end of year $ 150.78 230.85 186.31 56.46 495.62
492.06 219.56 279.80 45.78 338.04 267.48 411.16 158.13 291.01
Ratios and supplementary data:
Total net return(2) 3.53% 5.33% (5.95)% (6.01)% 11.09% (3.55)% (23.96)% (8.11)% 13.97% (8.26)% (4.29)% 9.44% 6.18% 7.57%
Net
position, end of year ($'000s) $ 2,714 7,618 89,800 52,003 477,782
58,063 216,701 340,521 342,008 458,047 987,539 1,391,767 631,743
1,712,278
Units outstanding, end of year ('000s) 18 33 482 921 964 118 987 1,217 7,471 1,355 3,692 3,385 3,995 5,884
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.04% 0.04% 0.04% 0.05% 0.07% 0.04% 0.19% 0.66% 0.33% 0.50% 0.59% 0.71% 1.18% 0.79%
Ratio of expenses, excluding indirect
management fees 0.04% 0.04% 0.04% 0.05% 0.04% 0.04% 0.04% 0.05% 0.04% 0.04% 0.12% 0.15% 0.04% 0.10%
Note:
Financial Highlights include only the Capital Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Total net return calculation is based on the value of a single
unit of participation outstanding throughout the period. It represents
the percentage change in the net asset value per unit between the
beginning and end of the period.(2)
(1) Based on weighted average units outstanding.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights, continued
For the year ended June 30, 2025
ANNUAL COMPREHENSIVE FINANCIAL REPORT 100 FISCAL YEAR 2025
Private Private Private Private Private Private Private Private
Equity Equity Equity Equity Equity Equity Equity Equity Global
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Other Equity
Year Year Year Year Year Year Year Year Real Cash Real Credit Emerging
2018 2019 2020 2021 2022 2023 2024 2025 Estate Timberland Overlay Assets Opportunities Diverse
Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Net
position per unit, beginning of year $ 192.56 234.28 173.15 112.39
104.01 116.91 95.82 100.00 887.38 390.04 311.87 77.59 170.77 120.90
Investment operations:
Net investment income (loss)(1) 1.05 0.45 1.30 0.43 0.55 0.57 (0.48) (0.38) 32.95 2.75 22.16 (1.55) 3.59 1.50
Net realized and unrealized gain (loss)
on investments and foreign currency 12.55 11.16 27.88 11.58 8.77 23.00 12.25 1.99 (24.69) 13.62 34.63 0.01 18.45 18.99
Total from investment
operations 13.60 11.61 29.18 12.01 9.32 23.57 11.77 1.61 8.26 16.37 56.79 (1.54) 22.04 20.49
Redemption — — — — — — — — — — — — — —
Net
position per unit, end of year $ 206.16 245.89 202.33 124.40 113.33
140.48 107.59 101.61 895.64 406.41 368.66 76.05 192.81 141.39
Ratios and supplementary data:
Total net return(2) 7.06% 4.96% 16.85% 10.69% 8.96% 20.16% 12.28% 1.61% (3) 0.93% 4.20% 18.21% (1.98)% 12.91% 16.95%
Net
position, end of year ($'000s) $ 2,153,384 1,789,105 2,493,303
2,785,135 1,728,894 576,945 363,553 191,425 10,593,605 3,192,779 546,724
583,405 2,317,750 243,906
Units outstanding, end of year ('000s) 10,445 7,276 12,323 22,389 15,256 4,107 3,379 1,884 11,828 7,856 1,483 7,671 12,021 1,725
Ratios to average net assets:
Ratio of expenses, including indirect
management fees 0.89% 0.89% 1.33% 1.42% 2.70% 4.78% 2.48% 0.25% (3) 0.51% 0.32% 0.05% 1.19% 0.98% 0.67%
Ratio of expenses, excluding indirect
management fees 0.16% 0.20% 0.04% 0.04% 0.05% 0.08% 0.33% 0.16% (3) 0.08% 0.10% 0.05% 0.04% 0.13% 0.67%
Note:
Financial Highlights include only the Capital Fund and does not include
the Cash Fund which maintains a stable net asset value of $1.00 per
unit.
Based on weighted average units outstanding.
Total net
return calculation is based on the value of a single unit of
participation outstanding throughout the period. It represents the
percentage change in the net asset value per unit between the beginning
and end of the period.
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total net return and ratios not annualized.
(2)
(1)
(3)
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios
For the years ended June 30, 2024-2016
ANNUAL COMPREHENSIVE FINANCIAL REPORT 101 FISCAL YEAR 2025
Emerging Public Vintage Vintage Vintage Vintage Vintage
General Domestic International Markets Core Fixed Value-Added Private Hedge Liquidating Private Year Year Year Year Year
Allocation Equity Equity Equity Income Fixed Income Debt Funds Portfolios Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
Ratios and supplementary data:
Total net return (1) 9.54% 22.26% 9.69% 17.09% (0.12)% 10.10% 7.69% 12.59% (7.29)% 7.14% (18.60)% 8.74% (34.22)% 3.59% (32.26)%
Net
position, end of year ($'000s) 101,904,936 26,612,847 11,262,474
4,591,326 14,586,664 4,867,991 911,268 8,043,162 25,465 292,352 7,534
13,647 497 11,390 3,204
Units outstanding, end of year ('000s) 176,306 35,900 25,204 6,490 50,316 12,619 3,647 67,689 413 584 45 12 1 25 22
Total net return (1) 5.73% 18.90% 17.23% 8.47% (2.82)% 8.51% 4.64% 4.39% (13.18)% 3.52% (7.83)% 0.84% 8.50% (12.46)% (19.35)%
Net
position, end of year ($'000s) 93,545,001 22,207,923 11,310,381
4,272,717 12,831,262 4,302,824 1,167,341 7,356,681 37,246 159,802 10,901
15,687 1,511 12,314 4,730
Units outstanding, end of year ('000s) 177,276 36,627 27,765 7,072 44,208 12,280 5,031 69,708 560 342 53 15 2 28 22
Total
net return (1) (3.75)% (12.59)% (20.00)% (24.92)% (11.54)% (11.39)%
18.13% (1.28)% 39.70% 0.15% (5.22)% 23.10% 150.08% 1.39% 18.43%
Net
position, end of year ($'000s) 89,306,605 18,697,417 10,576,654
4,105,161 13,347,999 3,958,023 1,328,505 7,088,137 55,009 168,818 12,273
16,594 2,089 14,066 6,665
Units outstanding, end of year ('000s) 178,945 36,666 30,436 7,370 44,691 12,257 5,991 70,133 718 374 55 16 3 28 25
Total net return (1) 29.43% 45.07% 36.68% 47.71% (0.83)% 13.30% 29.76% 17.27% 36.89% (0.34)% 32.19% 9.32% 72.59% (5.50)% 25.28%
Net
position, end of year ($'000s) 93,212,189 22,011,373 12,437,174
5,273,588 14,605,575 4,395,888 1,317,931 7,081,240 72,548 213,642 18,835
20,221 2,506 13,873 8,104
Units outstanding, end of year ('000s) 179,774 37,728 28,631 7,108 43,258 12,062 7,021 69,146 1,323 474 80 24 9 28 36
Total
net return (1) 1.99% 5.49% (3.51)% (3.23)% 13.82% (2.50)% (7.70)%
(5.51)% (45.46)% 1.34% (29.66)% 0.89% (29.91)% (12.07)% 20.89%
Net
position, end of year ($'000s) 73,216,082 12,066,835 10,383,531
4,461,293 11,759,338 3,873,573 1,201,948 6,419,650 70,224 88,643 17,099
21,579 2,420 16,254 7,187
Units outstanding, end of year ('000s) 182,766 30,004 32,671 8,882 34,539 12,042 8,309 73,511 1,753 196 96 28 15 31 40
Total net return (1) 5.68% 8.66% (0.13)% 1.42% 8.22% 6.44% 4.08% 2.79% (18.07)% 3.53% (13.15)% 0.06% 19.20% 20.65% 26.18%
Net
position, end of year ($'000s) 73,116,815 11,763,882 11,264,739
4,652,110 10,162,275 4,376,086 1,249,573 6,029,787 162,686 160,219
26,334 26,737 4,373 20,869 22,889
Units outstanding, end of year ('000s) 186,154 30,858 34,200 8,963 33,974 13,264 7,973 65,240 2,215 359 104 35 19 35 154
Total net return (1) 9.55% 15.50% 8.47% 8.62% 1.29% 1.47% 9.27% 6.06% 4.04% 6.02% (0.51)% 3.54% (10.09)% 27.26% (2.24)%
Net
position, end of year ($'000s) 70,145,449 13,695,898 11,831,052
4,537,474 9,153,731 4,441,960 1,153,692 5,999,629 203,319 137,947 35,279
46,571 4,827 42,008 22,851
Units outstanding, end of year ('000s) 188,731 39,037 35,873 8,867 33,118 14,331 7,661 66,727 2,268 320 121 61 25 85 194
Total net return (1) 12.80% 18.49% 19.98% 27.49% (4.48)% 7.67% 15.40% 9.32% 16.35% 2.00% 2.08% 18.17% (7.69)% 2.31% 25.85%
Net
position, end of year ($'000s) 65,460,073 13,216,006 12,038,165
5,243,481 7,984,311 4,176,825 1,225,906 5,579,937 250,843 67,900 43,665
60,463 9,019 55,921 41,088
Units outstanding, end of year ('000s) 192,948 43,507 39,591 11,130 29,261 13,674 8,895 65,823 2,911 167 149 82 42 144 341
Total
net return (1) 1.87% 1.51% (7.86)% (9.91)% 14.58% 2.79% (6.84)% (5.43)%
(20.30)% (0.94)% (6.12)% (3.72)% 6.54% (4.22)% (4.63)%
Net position,
end of year ($'000s) 59,382,003 11,359,746 10,018,446 4,264,286
8,404,125 3,868,726 1,251,421 5,192,238 195,445 66,569 56,265 77,994
13,493 69,465 80,997
Units outstanding, end of year ('000s) 197,436 44,312 39,533 11,540 29,419 13,636 10,478 66,965 2,639 167 196 125 58 183 846
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 0.51% 0.10% 0.32% 0.85%
0.10% 0.42% 1.10% 1.09% 0.69% 0.04% 0.04% 0.04% 0.05% 0.04% 0.04%
Ratio
of expenses, excluding indirect management fees 0.20% 0.10% 0.32% 0.85%
0.10% 0.19% 0.09% 0.19% 0.69% 0.04% 0.04% 0.04% 0.05% 0.04% 0.04%
Ratio
of expenses, including indirect management fees 0.46% 0.14% 0.28% 0.61%
0.10% 0.42% 1.20% 1.08% 0.06% 0.03% 0.04% 0.04% 0.04% 0.04% 0.04%
Ratio
of expenses, excluding indirect management fees 0.15% 0.14% 0.28% 0.61%
0.10% 0.19% 0.12% 0.03% 0.06% 0.03% 0.04% 0.04% 0.04% 0.04% 0.04%
Ratio
of expenses, including indirect management fees 0.52% 0.16% 0.24% 0.63%
0.09% 0.33% 1.20% 1.05% 0.11% 0.08% 0.04% 0.03% 0.03% 0.03% (0.02)%
Ratio
of expenses, excluding indirect management fees 0.24% 0.16% 0.24% 0.63%
0.09% 0.14% 0.10% 0.19% 0.11% 0.08% 0.04% 0.04% 0.03% 0.03% 0.04%
Ratio
of expenses, including indirect management fees 0.49% 0.14% 0.23% 0.69%
0.08% 0.37% 2.94% 1.06% 0.37% 0.03% 0.04% 0.07% 0.04% 0.04% 0.38%
Ratio
of expenses, excluding indirect management fees 0.20% 0.14% 0.23% 0.69%
0.08% 0.15% 0.07% 0.18% 0.03% 0.03% 0.04% 0.04% 0.04% 0.04% 0.03%
Ratio
of expenses, including indirect management fees 0.51% 0.11% 0.24% 0.58%
0.08% 0.43% 1.57% 1.11% 0.75% 0.04% 0.04% —% 0.05% 0.04% 0.24%
Ratio
of expenses, excluding indirect management fees 0.20% 0.11% 0.24% 0.58%
0.08% 0.19% 0.04% 0.13% 0.04% 0.04% 0.04% 0.04% 0.05% 0.04% 0.05%
2024
2024
2020
2020
2018
2023
2017
2022
2022
2021
2021
2019
2016
2023
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2024-2016
ANNUAL COMPREHENSIVE FINANCIAL REPORT 102 FISCAL YEAR 2025
Emerging Public Vintage Vintage Vintage Vintage Vintage
General Domestic International Markets Core Fixed Value-Added Private Hedge Liquidating Private Year Year Year Year Year
Allocation Equity Equity Equity Income Fixed Income Debt Funds Portfolios Equity 2000 2001 2002 2003 2004
Account Account Account Account Account Account Account Account Account (2) Account Account Account Account Account Account
2019
Ratio
of expenses, including indirect management fees 0.52% 0.11% 0.23% 0.57%
0.11% 0.44% 1.59% 1.11% 0.89% 0.06% 0.04% 0.03% 0.09% 0.04% 0.31%
Ratio
of expenses, excluding indirect management fees 0.20% 0.11% 0.23% 0.57%
0.11% 0.22% 0.04% 0.12% 0.03% 0.06% 0.04% 0.04% 0.04% 0.04% 0.04%
2018
Ratio
of expenses, including indirect management fees 0.52% 0.11% 0.23% 0.47%
0.10% 0.44% 1.76% 1.17% 0.92% 0.05% 0.04% 0.01% 0.68% 0.04% 0.21%
Ratio
of expenses, excluding indirect management fees 0.18% 0.11% 0.23% 0.47%
0.10% 0.23% 0.04% 0.09% 0.03% 0.05% 0.04% 0.04% 0.05% 0.04% 0.04%
2017
Ratio
of expenses, including indirect management fees 0.54% 0.10% 0.20% 0.58%
0.10% 0.47% 1.91% 1.25% 1.02% 0.06% 0.04% 0.15% 0.77% 0.15% 0.20%
Ratio
of expenses, excluding indirect management fees 0.18% 0.10% 0.20% 0.58%
0.09% 0.29% 0.04% 0.09% 1.02% 0.06% 0.04% 0.09% 0.04% 0.04% 0.04%
2016
Ratio
of expenses, including indirect management fees 0.53% 0.13% 0.19% 0.44%
0.09% 0.47% 1.76% 1.42% 1.41% 0.08% 0.18% 0.17% 0.79% 0.28% 0.43%
Ratio
of expenses, excluding indirect management fees 0.14% 0.13% 0.19% 0.44%
0.08% 0.30% 0.04% 0.06% 1.40% 0.08% 0.04% 0.07% 0.04% 0.04% 0.06%
(1)
(2)
Includes Portable Alpha Wind Down, Hedge Funds closed portfolios, and
Natural Resources Private Wind Down. Prior to January 31, 2016, Natural
Resources Private assets were reflected in the Timberland portfolio.
Total
net return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit between the beginning
and end of the year.
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2024-2016
ANNUAL COMPREHENSIVE FINANCIAL REPORT 103 FISCAL YEAR 2025
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage
Year Year Year Year Year Year Year Year Year Year Year Year Year Year Year
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Total
net return (1) (11.79)% (0.27)% (12.05)% 15.99% 1.11% (10.01)% (1.77)%
5.13% (2.02)% 1.91% 9.22% 11.83% 10.50% 10.91% 4.87%
Net position,
end of year ($'000s) 9,862 104,201 88,238 443,478 61,731 329,163 453,985
394,855 593,998 1,232,145 1,601,244 718,757 1,810,487 2,197,139
1,852,665
Units outstanding, end of year ('000s) 45 526 1,469 994 121 1,140 1,491 9,829 1,612 4,409 4,262 4,826 6,692 11,410 7,908
Total
net return (1) (4.95)% 1.94% (14.49)% 9.10% (24.83)% (24.53)% (6.40)%
(12.74)% (11.31)% (3.23)% (5.79)% (12.83)% 1.58% (0.68)% (1.36)%
Net
position, end of year ($'000s) 12,671 114,608 114,876 437,324 94,860
410,052 519,834 470,703 696,916 1,469,533 1,784,350 705,837 1,808,809
2,094,784 1,733,955
Units outstanding, end of year ('000s) 51 577 1,682 1,137 188 1,278 1,677 12,319 1,853 5,359 5,187 5,300 7,388 12,065 7,762
Total net return (1) 2.76% 13.73% 4.71% 27.45% 41.02% 6.30% 40.25% (5.01)% 20.50% 31.36% 17.39% 29.31% 32.31% 35.45% 47.13%
Net
position, end of year ($'000s) 18,819 130,548 198,489 431,504 188,619
595,619 666,661 588,923 1,008,811 1,674,473 2,132,407 940,692 1,867,792
2,007,542 1,659,513
Units outstanding, end of year ('000s) 72 670 2,485 1,224 281 1,401 2,013 13,449 2,379 5,909 5,840 6,157 7,750 11,485 7,328
Total net return (1) 37.60% 52.84% 51.17% 49.24% 139.68% 108.80% 79.58% 79.10% 109.95% 57.44% 75.06% 64.51% 64.17% 65.15% 68.00%
Net
position, end of year ($'000s) 39,678 138,429 305,643 524,998 276,548
705,125 638,740 869,212 1,025,485 1,557,125 2,359,373 872,298 1,332,666
1,398,299 994,786
Units outstanding, end of year ('000s) 156 808 4,007 1,898 581 1,763 2,705 18,855 2,914 7,218 7,585 7,383 7,316 10,835 6,463
Total
net return (1) (14.41)% (7.06)% 0.20% (12.99)% 1.22% (7.30)% (1.55)%
6.80% 15.47% 5.34% 13.21% 7.87% (1.83)% (6.56)% (7.67)%
Net position,
end of year ($'000s) 48,247 146,274 249,451 431,299 192,827 482,128
628,788 607,363 675,522 1,175,774 1,539,669 562,258 680,492 572,418
354,096
Units outstanding, end of year ('000s) 261 1,305 4,944 2,327 971 2,517 4,782 23,595 4,030 8,581 8,665 7,829 6,133 7,326 3,865
Total net return (1) 8.66% 9.35% 14.14% 13.88% 26.97% 18.09% 20.06% 12.46% 16.72% 23.83% 23.40% 4.10% 7.47% (15.53)% (0.77)% (2)
Net
position, end of year ($'000s) 84,655 236,036 443,048 574,946 262,119
611,034 759,937 645,784 711,849 1,214,210 1,467,994 503,055 389,158
245,699 57,257
Units outstanding, end of year ('000s) 392 1,957 8,798 2,699 1,336 2,957 5,690 26,792 4,904 9,335 9,353 7,556 3,443 2,938 577
Total net return (1) 10.58% 4.94% 16.60% 24.15% 20.66% 24.74% 18.83% 19.25% 14.10% 25.68% 29.69% 7.73% 5.21% (0.99)% (2) N/A
Net
position, end of year ($'000s) 135,744 306,512 538,342 726,311 343,201
701,188 866,997 739,683 623,594 1,087,916 941,586 290,614 127,993 15,842
N/A
Units outstanding, end of year ('000s) 683 2,779 12,203 3,883 2,221 4,007 7,794 34,520 5,014 10,357 7,403 4,544 1,217 160 N/A
Total net return (1) 19.15% 9.31% 23.14% 28.78% 16.27% 16.58% 23.76% 21.34% 19.87% 17.62% 15.25% (28.04)% (0.04)% (2) N/A N/A
Net
position, end of year ($'000s) 196,987 440,532 769,225 882,880 379,849
791,761 919,627 623,043 493,966 659,809 520,540 108,285 27,388 N/A N/A
Units outstanding, end of year ('000s) 1,096 4,191 20,328 5,860 2,966 5,644 9,824 34,669 4,532 7,894 5,308 1,824 274 N/A N/A
Total net return (1) 8.56% 2.52% 9.87% 12.84% 20.05% 15.08% 22.91% 8.34% 5.06% 5.15% (9.23)% (17.50)% (2) N/A N/A N/A
Net
position, end of year ($'000s) 430,797 612,037 912,296 904,434 443,570
806,666 796,339 542,987 308,790 399,073 184,978 165 N/A N/A N/A
Units outstanding, end of year ('000s) 2,856 6,365 29,691 7,731 4,027 6,704 10,528 36,668 3,396 5,616 2,174 2 N/A N/A N/A
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 0.12% 0.05% 0.13% 0.08%
0.04% 0.28% 0.76% 0.72% 0.63% 0.67% 0.83% 1.30% 0.86% 0.93% 0.97%
Ratio
of expenses, excluding indirect management fees 0.04% 0.04% 0.04% 0.04%
0.04% 0.05% 0.07% 0.04% 0.04% 0.12% 0.16% 0.04% 0.07% 0.12% 0.25%
Ratio
of expenses, including indirect management fees 0.16% 0.05% 0.35% 0.11%
0.22% 0.25% 0.70% 1.04% 0.72% 0.68% 0.87% 1.25% 1.06% 1.21% 1.03%
Ratio
of expenses, excluding indirect management fees 0.04% 0.04% 0.04% 0.04%
0.04% 0.08% 0.07% 0.04% 0.04% 0.11% 0.20% 0.04% 0.19% 0.14% 0.26%
Ratio
of expenses, including indirect management fees 0.29% (0.11)% 0.44%
0.16% 0.20% 0.37% 0.76% 0.84% 0.64% 0.59% 0.73% 1.10% 1.03% 1.24% 1.23%
Ratio
of expenses, excluding indirect management fees 0.04% (0.14)% 0.14%
0.06% 0.03% 0.06% 0.08% 0.04% 0.04% 0.07% 0.13% 0.03% 0.12% 0.03% 0.29%
Ratio
of expenses, including indirect management fees 0.54% (0.01)% 0.45%
0.35% 0.66% 0.61% 1.07% 0.99% 0.94% 0.97% 1.05% 1.69% 2.23% 2.66% 3.00%
Ratio
of expenses, excluding indirect management fees 0.04% (0.04)% 0.04%
0.08% 0.03% 0.03% 0.09% 0.04% 0.03% 0.03% 0.16% 0.03% 0.03% 0.03% 0.50%
Ratio
of expenses, including indirect management fees 0.67% 0.42% 0.50% 0.46%
1.57% 0.93% 1.04% 1.28% 1.15% 1.02% 1.35% 2.37% 3.95% 6.23% 3.86%
Ratio
of expenses, excluding indirect management fees 0.04% 0.07% 0.05% 0.09%
0.04% 0.04% 0.06% 0.04% 0.04% 0.04% 0.24% 0.08% 0.05% 0.08% 0.12%
2024
2024
2023
2023
2021
2018
2016
2020
2020
2019
2017
2022
2022
Ratios and supplementary data:
2021
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2024-2016
ANNUAL COMPREHENSIVE FINANCIAL REPORT 104 FISCAL YEAR 2025
Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage Vintage
Year Year Year Year Year Year Year Year Year Year Year Year Year Year Year
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Account Account Account Account Account Account Account Account Account Account Account Account Account Account Account
Ratio
of expenses, including indirect management fees 0.56% 0.55% 0.45% 0.56%
1.63% 0.79% 1.08% 1.39% 1.45% 1.58% 1.89% 3.33% 8.34% 4.39% 0.14% (2)
Ratio
of expenses, excluding indirect management fees 0.04% 0.07% 0.04% 0.09%
0.04% 0.04% 0.09% 0.04% 0.04% 0.04% 0.32% 0.04% 0.04% 0.17% 0.14% (2)
Ratio
of expenses, including indirect management fees 0.53% 0.62% 0.92% 0.70%
1.59% 1.25% 1.35% 1.59% 1.77% 2.19% 3.16% 6.59% 10.13% 0.14% (2) N/A
Ratio
of expenses, excluding indirect management fees 0.06% 0.08% 0.04% 0.09%
0.04% 0.04% 0.07% 0.04% 0.04% 0.04% 0.51% 0.04% 0.04% 0.14% (2) N/A
Ratio
of expenses, including indirect management fees 0.65% 0.74% 0.98% 0.75%
1.47% 1.15% 1.53% 1.82% 2.82% 3.69% 5.87% 10.75% 0.01% (2) N/A N/A
Ratio
of expenses, excluding indirect management fees 0.06% 0.03% 0.04% 0.08%
0.04% 0.04% 0.15% 0.04% 0.04% 0.04% 0.74% 0.30% 0.01% (2) N/A N/A
Ratio
of expenses, including indirect management fees 0.73% 0.77% 1.00% 0.98%
1.29% 1.30% 1.74% 2.28% 4.91% 4.71% 9.50% (21.53)% (2) N/A N/A N/A
Ratio
of expenses, excluding indirect management fees 0.04% 0.03% 0.04% 0.14%
0.04% 0.04% 0.16% 0.04% 0.04% 0.05% 0.04% (21.53)% (2) N/A N/A N/A
(1)
(2)
2019
between the beginning and end of the year.
2016
2017
2018
Denotes account commenced operations subsequent to the beginning of the fiscal year. Total net return and ratios not annualized.
Total
return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2024-2016
ANNUAL COMPREHENSIVE FINANCIAL REPORT 105 FISCAL YEAR 2025
Global
Vintage Vintage Vintage Vintage Vintage Portfolio Other Equity
Year Year Year Year Year Real Cash Completion Risk Real Enhanced Credit Emerging
2020 2021 2022 2023 2024 Estate Timberland Overlay Strategies Premia Assets Equity Opportunities Diverse
Account Account Account Account Account Account Account Account Account (3) Account (3) Account (3) Account Account Account
Total net return (1) 10.70% 10.44% 9.85% 17.50% (4.18)% (2) (6.79)% 10.35% 14.05% N/A N/A (9.20)% N/A 14.24% 12.61%
Net
position, end of year ($'000s) 1,995,951 2,200,145 1,156,599 279,875
32,675 10,059,375 3,205,735 317,795 N/A N/A 692,521 N/A 1,896,877
207,230
Units outstanding, end of year ('000s) 11,527 19,576 11,120 2,394 341 11,336 8,219 1,019 N/A N/A 8,925 N/A 11,108 1,714
Total net return (1) (3.92)% (5.23)% 0.07% (0.50)% (2) N/A (3.13)% 5.91% 13.77% N/A N/A (6.06)% (100.00)% 4.82% 14.60%
Net
position, end of year ($'000s) 1,641,438 1,705,904 691,556 63,678 N/A
10,523,221 2,995,979 452,538 N/A N/A 736,761 — 1,420,265 108,004
Units outstanding, end of year ('000s) 10,494 16,763 7,304 640 N/A 11,054 8,476 1,655 N/A N/A 8,622 — 9,501 1,006
Total net return (1) 24.09% 9.87% (5.39)% (2) N/A N/A 24.24% 10.92% (18.11)% N/A N/A 1.63% (9.56)% 6.19% (6.32)% (2)
Net
position, end of year ($'000s) 1,303,273 1,138,431 163,587 N/A N/A
9,819,201 2,919,996 539,337 N/A N/A 857,795 985,503 951,732 93,678
Units outstanding, end of year ('000s) 8,005 10,601 1,729 N/A N/A 9,992 8,749 2,244 N/A N/A 9,430 6,887 6,673 1,000
Total net return (1) 40.10% (2.26)% (2) N/A N/A N/A 16.44% 7.49% 30.45% N/A (100.00)% 1.07% 35.36% 24.40% N/A
Net position, end of year ($'000s) 333,380 174,180 N/A N/A N/A 7,945,278 2,833,009 941,595 N/A — 837,883 1,083,781 897,070 N/A
Units outstanding, end of year ('000s) 2,541 1,782 N/A N/A N/A 10,045 9,415 3,208 N/A — 9,362 6,850 6,679 N/A
Total net return (1) (6.35)% (2) N/A N/A N/A N/A 0.56% (1.74)% 15.21% N/A 2.94% (2.90)% (0.34)% (1.01)% N/A
Net position, end of year ($'000s) 51,697 N/A N/A N/A N/A 6,921,152 2,766,226 444,807 N/A 2 832,035 4,589,770 574,855 N/A
Units outstanding, end of year ('000s) 552 N/A N/A N/A N/A 10,189 9,882 1,977 N/A — 9,396 39,267 5,324 N/A
Total net return (1) N/A N/A N/A N/A N/A 5.56% 1.57% 1.34% N/A (0.60)% (14.97)% 6.17% 5.95% N/A
Net position, end of year ($'000s) N/A N/A N/A N/A N/A 6,992,131 2,888,192 465,349 N/A 615,528 804,725 4,586,863 257,835 N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A N/A 10,351 10,138 2,383 N/A 6,005 8,825 39,107 2,364 N/A
Total net return (1) N/A N/A N/A N/A N/A 8.86% 7.38% 2.64% N/A 5.49% 5.95% 10.47% 2.94% (2) N/A
Net position, end of year ($'000s) N/A N/A N/A N/A N/A 6,454,777 2,433,762 304,443 N/A 618,533 631,406 2,372,889 164,184 N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A N/A 10,087 8,677 1,580 N/A 5,998 5,888 21,480 1,595 N/A
Total net return (1) N/A N/A N/A N/A N/A 6.27% 7.65% 14.55% N/A (5.06)% 1.22% N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A N/A N/A 6,047,656 2,483,085 682,197 N/A 585,639 153,348 N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A N/A 10,288 9,506 3,634 N/A 5,991 1,515 N/A N/A N/A
Total net return (1) N/A N/A N/A N/A N/A 11.70% (3.31)% 5.65% 8.62% N/A N/A N/A N/A N/A
Net position, end of year ($'000s) N/A N/A N/A N/A N/A 6,302,436 2,012,000 286,627 736,581 N/A N/A N/A N/A N/A
Units outstanding, end of year ('000s) N/A N/A N/A N/A N/A 11,394 8,292 1,749 7,154 N/A N/A N/A N/A N/A
Ratios to average net assets:
Ratio
of expenses, including indirect management fees 1.65% 1.97% 3.49% 1.90%
4.19% (2) 0.57% 0.20% 0.07% N/A N/A 1.21% N/A 1.02% 0.70%
Ratio of
expenses, excluding indirect management fees 0.04% 0.04% 0.07% 0.32%
3.85% (2) 0.24% (0.05)% 0.07% N/A N/A 0.04% N/A 0.32% 0.70%
Ratio of
expenses, including indirect management fees 1.92% 3.00% 3.57% 1.82% (2)
N/A 0.33% 0.04% 0.07% N/A N/A 1.03% 0.36% 1.16% 0.61%
Ratio of
expenses, excluding indirect management fees 0.04% 0.12% 0.18% 1.82% (2)
N/A (0.01)% (0.22)% 0.07% N/A N/A 0.04% 0.36% 0.16% 0.61%
Ratio of
expenses, including indirect management fees 2.98% 3.16% 0.31% (2) N/A
N/A 1.06% 0.45% 0.06% N/A N/A 1.04% 0.43% 1.33% 0.21% (2)
Ratio of
expenses, excluding indirect management fees 0.04% 0.06% 0.31% (2) N/A
N/A 0.72% 0.19% 0.06% N/A N/A 0.03% 0.43% 1.33% 0.21% (2)
Ratio of expenses, including indirect management fees 5.65% 0.09% (2) N/A N/A N/A 0.52% 0.46% 0.07% N/A —% 1.04% 0.42% 1.14% N/A
Ratio of expenses, excluding indirect management fees 0.04% 0.09% (2) N/A N/A N/A 0.17% 0.19% 0.07% N/A —% 0.04% 0.42% 1.14% N/A
Ratio
of expenses, including indirect management fees 4.22% (2) N/A N/A N/A
N/A 0.49% 0.09% 0.07% N/A 0.52% 1.23% 0.37% 1.14% N/A
Ratio of
expenses, excluding indirect management fees 1.91% (2) N/A N/A N/A N/A
0.15% 0.30% 0.07% N/A 0.14% 0.05% 0.37% 1.14% N/A
2024
Ratios and supplementary data:
2021
2016
2017
2019
2021
2020
2024
2023
2023
2022
2022
2020
2018
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
Financial Highlights Ratios, continued
For the years ended June 30, 2024-2016
ANNUAL COMPREHENSIVE FINANCIAL REPORT 106 FISCAL YEAR 2025
Portfolio Other
Real Cash Completion Risk Real Enhanced Credit
Estate Timberland Overlay Strategies Premia Assets Equity Opportunities
Account Account Account Account (3) Account (3) Account (3) Account Account
Ratio of expenses, including indirect management fees 0.49% 0.26% 0.08% N/A 0.89% 1.48% 0.43% 0.92%
Ratio of expenses, excluding indirect management fees 0.15% 0.26% 0.08% N/A 0.12% 0.07% 0.43% 0.92%
Ratio of expenses, including indirect management fees 0.50% 0.55% 0.06% N/A 0.90% 1.37% 0.42% 0.62% (2)
Ratio of expenses, excluding indirect management fees 0.14% 0.21% 0.06% N/A 0.11% 0.03% 0.03% 0.62% (2)
Ratio of expenses, including indirect management fees 0.46% 0.67% 0.07% N/A 1.27% 0.04% N/A N/A
Ratio of expenses, excluding indirect management fees 0.09% 0.34% 0.07% N/A 0.15% 0.04% N/A N/A
Ratio of expenses, including indirect management fees 0.47% 0.23% 0.07% 0.90% N/A N/A N/A N/A
Ratio of expenses, excluding indirect management fees 0.09% (0.11)% 0.07% 0.16% N/A N/A N/A N/A
(1)
Total return calculation is based on the value of a single unit of
participation outstanding throughout the year. It represents the
percentage change in the net asset value per unit
between the beginning and end of the year.
(2)
Denotes account commenced operations subsequent to the beginning of the
fiscal year. Total net return and ratios not annualized.
(3) Prior to July 2016, Risk Premia and Real Assets were reflected in the Portfolio Completion Strategies account.
2019
2017
2016
2018
PENSION RESERVES INVESTMENT TRUST FUND Statistical Section
PRIT Fund Asset Allocation
As of June 30:
ANNUAL COMPREHENSIVE FINANCIAL REPORT 107 FISCAL YEAR 2025
The
following table is intended to provide readers of this ACFR with
further information regarding the financial position of the PRIT Fund
over the
past ten years. This table provides the change in assets
during this time period. This table should be read in conjunction with
the discussion on asset
allocation in the Investment Section of this ACFR.
(1) The Global Equity Emerging-Diverse Manager Program was established in May 2022.
(2)
At the February 14, 2017 Board meeting, the PRIM Board voted to combine
the Hedge Funds and Portfolio Completion Strategies portfolios into a
single portfolio
(Portfolio Completion Strategies).
(3) Includes
Portable Alpha Wind Down, Hedge Funds closed portfolios, and Natural
Resources Private Wind Down. Prior to January 31, 2016, Natural
Resources Private
assets were reflected in the Timberland portfolio.
2025 2024 2023 2022 2021 2020 2019 2018 2017 2016
Domestic Equity 24.8% 25.3% 23.0% 21.3% 24.2% 22.2% 21.9% 19.1% 19.8% 18.7%
International Equity 10.5% 10.7% 11.7% 11.5% 13.0% 13.9% 15.1% 16.5% 18.0% 16.5%
Emerging Markets Equity 4.2% 4.4% 4.4% 4.4% 5.5% 6.0% 6.2% 6.3% 7.9% 7.0%
Global Equity Emerging-Diverse
Manager Program (1) 0.2% 0.2% 0.1% 0.1% - - - - - -
Core Fixed Income 14.8% 13.9% 13.3% 14.5% 15.3% 15.7% 13.6% 12.8% 12.0% 13.9%
Value-Added Fixed Income 7.9% 7.3% 7.1% 6.8% 6.9% 7.5% 7.9% 8.0% 8.1% 8.4%
Private Equity 16.6% 17.0% 17.4% 18.4% 14.5% 11.4% 11.3% 10.8% 10.6% 11.1%
Real Estate 9.2% 9.6% 10.9% 10.6% 8.3% 9.2% 9.4% 9.0% 9.1% 10.4%
Timberland 2.8% 3.0% 3.1% 3.2% 3.0% 3.7% 3.9% 3.4% 3.7% 3.3%
Hedge Funds (2) - - - - - - - - - 8.6%
Liquidating Portfolios (3) 0.0% 0.0% 0.0% 0.1% 0.1% 0.1% 0.2% 0.3% 0.4% 0.3%
Overlay 0.5% 0.3% 0.5% 0.6% 1.0% 0.6% 0.6% 0.4% 1.0% 0.5%
Portfolio Completion Strategies (2) 8.6% 8.3% 8.4% 8.6% 8.3% 9.7% 10.0% 13.4% 9.5% 1.2%
Totals may not add due to rounding.
53 State Street, Boston, MA 02109
www.mapension.com
Asset Allocation* Target Asset Allocation (as of 2/15/24)
$115.4 billion AUM
Source: BNY.
Total Capital Fund Benchmark includes private equity benchmark.
*Asset Allocation does not include Cash Overlay of 0.5%
PRIT Fund Total Returns (Annualized, Net of Fees) PRIT Fund Vs Stocks and Bonds (Net of Fees)
PRIT Fund Performance Summary
June 30, 2025
9.6%
8.2%
9.7%
8.0%
10.9%
10.1%
8.9%
7.6%
-1.3% -1.8%
0.8% 0.4%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
1 Year 3 Year 5 Year 10 Year
Fund Return Capital Fund Benchmark Value Added
9.6% 9.6%
8.2%
9.7%
8.0%
6.1% 6.1%
2.5%
-0.7%
1.8%
16.2% 16.2%
17.3%
13.7%
10.0%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
FYTD 1 Year 3 Year 5 Year 10 Year
Fund Return Bloomberg US Aggregate MSCI ACWI (Net Dividends)
Global Equities 31% - 41%
Core Fixed Income 12% - 18%
Private Equity 13% - 19%
Portfolio Completion Strategies 7% - 13%
Real Estate 7% - 13%
Value-Added Fixed Income 6% - 12%
Timberland 1% - 7%
39.6%
14.8%
16.6%
8.6%
9.2%
7.9%2.8%
Performance by Asset Class (Net of Fees)
8.20 9.63 7.93 8.46
4.76 2.90 2.11 2.55
2.45 5.41 5.56 9.62
4.77 2.90 2.12 3.54
0.36 1.12 2.22 4.84
10.05 8.86 7.59
11.73
100% 100% 2.46 5.42 5.57 9.63
8.14
0.39 1.07 2.16 4.77
8.21 9.65 7.95 8.50
2.59 5.57 6.40 10.93
0.0% 0.5% 5.13 9.86 12.16 17.91 15.20 10.30 9.05
7.44
7 - 13% 8.6% 1.87 4.03 3.33 11.64 8.45 7.82 4.41 4.71
1 - 7% 2.8% 1.57 1.99 2.52 4.20 6.79 7.74 5.33
14.75
7 - 13% 9.2% 0.12 0.66 1.34 0.93 -3.04 5.68 6.11 8.87
13 - 19% 16.6% 0.42 2.24 3.80 7.28 3.29 18.80 16.18
31,096
57,269
115,458,493
PARTICIPANTS CASH
TEACHERS' AND EMPLOYEES' CASH
TOTAL FUND
45,743,537
17,085,935
9,060,601
19,162,158
10,593,605
3,192,779
9,969,469
REAL ESTATE
TIMBERLAND
PORTFOLIO COMPLETION STRATEGIES
OVERLAY
TOTAL CAPITAL FUND
TOTAL CAPITAL FUND BENCHMARK
546,724
115,370,128
PRIVATE EQUITY
31 - 41% 39.6% 4.57 11.50
QTD Calendar
YTD 1 Year 3 Year
9.44 15.22 16.82
7.9% 1.24 2.65 3.61 9.47
12 - 18% 14.8% 1.82 -0.08 3.24
PRIT Fund Performance Summary
June 30, 2025
Target
Allocation
Range
NAV $ (000) Actual
Allocation % Month Since
Inception
GLOBAL EQUITY
CORE FIXED INCOME
VALUE ADDED FIXED INCOME
5 Year 10 Year
13.64 9.82 7.21
-2.45 1.90 4.993.78
9.09 8.07 5.43 6.97
0.24
6 - 12%
1Investment Consulting ServicesKnowledge. Experience. Integrity.
6.7%
4.6%
7.8% 7.8%
5.9%
6.7%
3.4%
6.9% 6.9%
5.8%
0.0%
1.2% 1.0% 0.8%
0.1%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
CYTD 1 Year 3 Years 5 Years 10 Years
Total Fund Return Total Fund Return Interim Benchmark* Value Added
* Excludes Private Equity Benchmark
Total PRIT Fund Performance ($62.3 Billion in Assets)
Gross of Fees as of July 31, 2016
2Investment Consulting ServicesKnowledge. Experience. Integrity.
Total PRIT Fund Performance
Gross of Fees compared to Bonds and Stocks as of July 31, 2016
6.7%
4.6%
7.8% 7.8%
5.9%6.0% 5.9%
4.2%
3.6%
5.1%
5.6%
-0.4%
5.9%
6.6%
4.6%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
CYTD 1 Year 3 Years 5 Years 10 Years
Total Fund Return Barclays Aggregate MSCI ACWI (Net Dividends)*
*Source: Callan Associates
3Investment Consulting ServicesKnowledge. Experience. Integrity.
Global Equity
40.0%
Core Fixed Income
13.0%
Value-Added Fixed
Income
10.0%
Private Equity
10.0%
Real Estate
10.0%
Timberland
4.0%
Hedge Funds
9.0%
Portfolio Completion
Strategies*
4.0%
PRIT Fund Asset Allocation
Long-Term Asset Allocation Targets
*Portfolio
Completion Strategies (PCS) to be funded from Global Equities and Hedge
Funds as new PCS investment strategies are recommended by PRIM Staff
and approved by the Board.
4Investment Consulting ServicesKnowledge. Experience. Integrity.
3.1%
0.8%
-1.7%
0.6%
0.3%
-0.8%
-0.6%
-2.8%
0.7%
-5.0% -3.0% -1.0% 1.0% 3.0% 5.0%
Global Equity
Core Fixed Income
Value-Added Fixed Income
Private Equity
Real Estate
Timber
Hedge Funds
Portfolio Completion Strategies*
Overlay
Global Equity
43.1%
Core Fixed
Income
13.8%
Value Added
Fixed Income
8.3%
Private Equity
10.6%
Real Estate
10.3%
Timberland
3.2%
Hedge Funds
8.4%
Portfolio
Completion
Strategies
1.2% Overlay
0.7%
PRIT Fund Asset Allocation
Global Equity Breakdown
Domestic Equity 19.0%
International Equity 16.9%
Emerging Markets Equity 7.2%
Actual Allocation as of July 31, 2016
Actual Allocation vs. Target Allocation
*Portfolio Completion Strategies (PCS) to be funded from Global Equities
and Hedge Funds as new PCS investment strategies are recommended
by PRIM Staff and approved by the Board.
3
NAV $ (000)
Target
Allocation %
Actual
Allocation % Month FY '17
Calendar
YTD 1 Year 3 Year 5 Year 10 Year
Since
Inception
GLOBAL EQUITY 26,873,957 41.8% 43.1% 4.82 4.82 6.07 0.42 6.10 7.18 5.03 5.32
CORE FIXED INCOME 8,581,803 13.0% 13.8% 2.09 2.09 14.30 13.87 8.93 6.56 6.25 7.91
VALUE-ADDED FIXED INCOME 5,157,495 10.0% 8.3% 1.07 1.07 7.34 2.71 2.84 3.96 7.08 8.31
PRIVATE EQUITY 6,630,818 10.0% 10.6% -0.11 -0.11 5.07 12.57 17.89 15.93 14.36 14.45
REAL ESTATE 6,388,177 10.0% 10.3% 1.58 1.58 7.14 12.90 12.88 12.33 7.54 6.64
TIMBERLAND 2,013,626 4.0% 3.2% 0.76 0.76 3.26 1.67 7.43 5.33 6.82 9.18
HEDGE FUNDS (NET OF FEES) 5,226,275 10.0% 8.4% 1.33 1.33 0.18 -4.55 2.95 4.00 3.33 4.21
PORTFOLIO COMPLETION STRATEGIES 743,118 1.2% 1.2% -0.80 -0.80 3.10 4.26 1.48
OVERLAY 459,633 0.0% 0.7% 2.72 2.72 7.46 3.99 5.64
TOTAL CORE 62,309,812 100% 100% 2.74 2.74 6.68 4.59 7.83 7.76 5.94 9.40
INTERIM BENCHMARK (target allocation without private equity benchmark) 1 2.65 2.65 6.67 3.40 6.86 6.94 5.80 9.86
TOTAL CORE BENCHMARK (target allocation with private equity benchmark) 2 2.79 2.79 7.22 3.83 6.32 6.40 5.51 9.77
PARTICIPANTS CASH 165,232 0.04 0.04 0.28 0.37 0.21 0.19 1.13 3.89
TEACHERS' AND EMPLOYEES' CASH 68,616 0.04 0.04 0.27 0.36 0.20 0.18 0.88 2.66
TOTAL FUND 62,543,660 2.73 2.73 6.65 4.58 7.80 7.73 5.92 9.45
PENSION RESERVES INVESTMENT TRUST
Periods Ending July 31, 2016
RATES OF RETURN (GROSS OF FEES)
SUMMARY OF PLAN PERFORMANCE
1Investment Consulting ServicesKnowledge. Experience. Integrity.
2.8%
5.5%
6.1%
8.5%
5.4%
3.1%
5.5% 5.4%
7.7%
5.2%
-0.3% -0.1%
0.7% 0.8%
0.1%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
FYTD** 1 Year 3 Years 5 Years 10 Years
Total Fund Return Total Fund Return Interim Benchmark* Value Added
Total PRIT Fund Performance ($62.2 Billion in Assets)
Gross of Fees as of October 31, 2016
*Excludes Private Equity Benchmark
**As of October 31, 2016
2Investment Consulting ServicesKnowledge. Experience. Integrity.
Total PRIT Fund Performance
Gross of Fees compared to Bonds and Stocks as of October 31, 2016
2.8%
5.5%
6.1%
8.5%
5.4%
-0.3%
4.4%
3.5%
2.9%
4.6%
3.5%
2.1%
3.2%
8.0%
3.8%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
FYTD 1 Year 3 Years 5 Years 10 Years
Total Fund Return Bloomberg Barclays Aggregate MSCI ACWI (Net Dividends)*
*Source: Callan Associates
3Investment Consulting ServicesKnowledge. Experience. Integrity.
Global Equity
40.0%
Core Fixed Income
13.0%
Value-Added Fixed
Income
10.0%
Private Equity
10.0%
Real Estate
10.0%
Timberland
4.0%
Hedge Funds
9.0%
Portfolio Completion
Strategies*
4.0%
PRIT Fund Asset Allocation
Long-Term Asset Allocation Targets
*Portfolio
Completion Strategies (PCS) to be funded from Global Equities and Hedge
Funds as new PCS investment strategies are recommended by PRIM Staff
and approved by the Board.
4Investment Consulting ServicesKnowledge. Experience. Integrity.
3.0%
0.3%
-1.6%
0.8%
0.1%
-0.8%
0.1%
-2.9%
0.6%
-5.0% -3.0% -1.0% 1.0% 3.0% 5.0%
Global Equity
Core Fixed Income
Value-Added Fixed Income
Private Equity
Real Estate
Timber
Hedge Funds
Portfolio Completion Strategies*
Overlay
Global Equity
43.0%Core Fixed
Income
13.3%
Value Added
Fixed Income
8.4%
Private Equity
10.8%
Real Estate
10.1%
Timberland
3.2%
Hedge Funds
9.1%
Portfolio
Completion
Strategies
1.1%
Overlay
0.6%
PRIT Fund Asset Allocation
Global Equity Breakdown
Domestic Equity 18.7%
International Equity 16.8%
Emerging Markets Equity 7.5%
Actual Allocation as of October 31, 2016
Actual Allocation vs. Target Allocation
*Portfolio Completion Strategies (PCS) to be funded from Global Equities
and Hedge Funds as new PCS investment strategies are recommended
by PRIM Staff and approved by the Board.
3
NAV $ (000)
Target
Allocation %
Actual
Allocation % Month FY '17
Calendar
YTD 1 Year 3 Year 5 Year 10 Year
Since
Inception
GLOBAL EQUITY 26,723,221 41.9% 43.0% -2.03 4.25 5.49 2.97 3.40 8.66 4.19 5.19
CORE FIXED INCOME 8,251,012 13.0% 13.3% -2.77 -1.82 9.92 9.10 7.04 5.37 5.65 7.71
VALUE-ADDED FIXED INCOME 5,215,088 10.0% 8.4% -0.16 3.44 9.85 6.27 2.72 4.63 6.78 8.33
PRIVATE EQUITY 6,707,289 10.0% 10.8% -0.51 3.84 9.23 10.45 17.48 15.76 14.28 14.47
REAL ESTATE 6,269,294 10.0% 10.1% -1.07 1.53 7.09 9.65 11.63 12.17 6.98 6.58
TIMBERLAND 2,011,926 4.0% 3.2% -0.05 1.00 3.51 1.06 6.69 5.22 7.07 9.03
HEDGE FUNDS (NET OF FEES) 5,664,645 10.0% 9.1% 0.80 3.83 2.65 2.31 2.96 5.26 3.46 4.33
PORTFOLIO COMPLETION STRATEGIES 707,488 1.1% 1.1% -0.65 -2.27 1.57 2.17 0.45
OVERLAY 346,437 0.0% 0.6% -1.64 1.60 6.29 4.58 3.96 4.80
TOTAL CORE 62,151,919 100% 100% -1.38 2.80 6.74 5.48 6.11 8.49 5.37 9.32
INTERIM BENCHMARK (target allocation without private equity benchmark) 1 -1.13 3.11 7.16 5.53 5.39 7.74 5.24 9.80
TOTAL CORE BENCHMARK (target allocation with private equity benchmark) 2 -0.96 3.25 7.70 6.24 4.96 7.26 4.95 9.71
PARTICIPANTS CASH 19,751 0.06 0.21 0.45 0.49 0.25 0.21 1.02 3.87
TEACHERS' AND EMPLOYEES' CASH 60,502 0.06 0.21 0.44 0.48 0.25 0.21 0.75 2.63
TOTAL FUND 62,232,172 -1.38 2.79 6.72 5.46 6.09 8.46 5.36 9.37
PENSION RESERVES INVESTMENT TRUST
Periods Ending October 31, 2016
RATES OF RETURN (GROSS OF FEES)
SUMMARY OF PLAN PERFORMANCE
Asset Allocation* Target Asset Allocation (as of 2/15/24)
$122.3 billion AUM
Source: BNY.
Total Capital Fund Benchmark includes private equity benchmark.
*Asset Allocation does not include Cash Overlay of 0.5%
PRIT Fund Total Returns (Annualized, Net of Fees) PRIT Fund Vs Stocks and Bonds (Net of Fees)
PRIT Fund Performance Summary
October 31, 2025
12.4%
11.2%
9.7%
8.6%
13.6%
12.4%
9.5%
8.4%
-1.2% -1.2%
0.2% 0.2%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
1 Year 3 Year 5 Year 10 Year
Fund Return Capital Fund Benchmark Value Added
5.6%
12.4% 11.2%
9.7% 8.6%
2.7%
6.2% 5.6%
-0.2%
1.9%
10.0%
22.6% 21.6%
14.6%
11.3%
-5%
0%
5%
10%
15%
20%
25%
FYTD 1 Year 3 Year 5 Year 10 Year
Fund Return Bloomberg US Aggregate MSCI ACWI (Net Dividends)
Global Equities 31% - 41%
Core Fixed Income 12% - 18%
Private Equity 13% - 19%
Portfolio Completion Strategies 7% - 13%
Real Estate 7% - 13%
Value-Added Fixed Income 6% - 12%
Timberland 1% - 7%
41.1%
14.8%
15.8%
8.8%
8.9%
7.6%2.6%
Performance by Asset Class (Net of Fees)
*
Certain Value-Added Fixed Income investments, Private Equity, certain
Real Estate investments, Timberland, and certain Portfolio Completion
Strategy investments are valued only at calendar quarter ends
March 31, June 30, September 30, December 31).
PRIT Fund Performance Summary
October 31, 2025
Target
Allocation
Range
NAV $ (000) Actual
Allocation % Month Since
Inception
GLOBAL EQUITY
CORE FIXED INCOME
VALUE ADDED FIXED INCOME *
5 Year 10 Year
14.43 11.17 7.51
-1.89 1.88 5.044.46
10.40 7.73 6.01 7.03
4.19
6 - 12% 7.6% 0.94 3.68 7.43 8.96
12 - 18% 14.8% 0.89 3.06 6.41
31 - 41% 41.1% 1.92 9.79
FY'26 Calendar
YTD 1 Year 3 Year
20.16 21.57 20.96
92,148
23,088
122,376,249
PARTICIPANTS CASH
TEACHERS' AND EMPLOYEES' CASH
TOTAL FUND
50,242,684
18,081,656
9,350,282
19,295,412
10,823,925
3,130,545
10,734,713
REAL ESTATE *
TIMBERLAND *
PORTFOLIO COMPLETION STRATEGIES *
OVERLAY
TOTAL CAPITAL FUND
TOTAL CAPITAL FUND BENCHMARK
591,680
122,261,013
PRIVATE EQUITY * 14.68
7 - 13% 8.9% 0.12 1.03 2.39 1.54 -2.81 5.71 5.82 8.81
13 - 19% 15.8% -0.16 2.79 6.69 8.91 6.38 15.96 15.92
7.36
7 - 13% 8.8% 1.01 3.55 7.00 10.53 9.84 7.97 5.16 4.81
1 - 7% 2.6% -0.19 0.72 3.26 5.02 7.02 7.80 5.35
0.0% 0.5% 2.05 8.98 22.23 20.49 21.30 12.00 10.23
8.38
12.18
100% 100% 1.06 5.55 11.43 12.41
8.25
0.34 1.42 3.61 4.41
11.21 9.74 8.58 8.59
0.36 1.47 3.73 4.54
12.40 9.501.33 6.01 12.79 13.62
11.19 9.72 8.56 8.56
4.99 3.19 2.25 2.57
1.06 5.54 11.42 12.39
4.98 3.18 2.26 3.55
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