Investments

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).

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.

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 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).

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 in high yield bonds, bank loans, emerging markets debt, other credit opportunities, and private debt.

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.

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.

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.

As of June 30, 2024, the PCS portfolio had approximately $8.7 billion in net position, representing 8.3% 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.