The Massachusetts pension reserves investment trust fund returned 15.2% in calendar 2013, marking an investment gain of $7.9 billion, according to the Pension Reserves Investment Management board.
The performance drove the net asset value of the PRIT fund to $57.9 billion - the highest since its inception in 1984, the board said in a statement Tuesday afternoon. The fund also outperformed the its benchmark index by 264 basis points, or 2.64%, equating to $1.4 billion in added value above the benchmark.
"PRIM's outstanding performance in 2013 will enable us to reduce our unfunded pension liability and is likely to increase the attractiveness of the commonwealth's bonds to investors," said state Treasurer Steven Grossman, who chairs the PRIM board.
Global equities led all asset classes with a 24.1% return — exceeding the portfolio benchmark by 154 basis points, while the PRIT fund's private equity portfolio returned 21.1%, the statement said. PRIM investment managers either met or exceeded their portfolio benchmarks in five of the seven PRIT Fund asset classes.
"I'm very pleased with the performance of our investment team in 2013 and what it means for our investing clients," said Michael Trotsky, PRIM's executive director and chief investment officer. "PRIM has successfully modified its risk exposure to equities while still capturing very strong returns from the global equity markets. Additionally, the decisions we've made on how we invest in hedge funds and alternatives have allowed us to improve performance while reducing risk and also dramatically reducing management fees."
PRIM's hedge fund portfolio was up 12.6% in 2013, while total real estate increased 10.8%.
The PRIM board has roughly $57.9 billion of assets under management. Its three-year return is 9.54%, while its five- and 10-year returns are 11.94% and 7.65%, all of which exceed the benchmark index, according to the statement.
Fitch Ratings and Standard & Poor's rate the commonwealth's general obligation bonds AA-plus, while Moody's Investors Service rates them Aa1.
The commonwealth will hold its next investor call at 2 p.m. Friday, featuring a review of fiscal 2013 statements with comptroller Martin Benison.
