NEW JERSEY DIVISION OF INVESTMENT
[Pages:23]NEW JERSEY DIVISION OF INVESTMENT
INVESTMENT REPORTING PACKAGE
_____________________________________________________________________ Period Ending May 31, 2019
"The mission of the New Jersey Division of Investment is to achieve the best possible return at an acceptable level of risk using the highest fiduciary standards"
Limited Access 03/02/2020 02:12:12 PM
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NJ Division of Investment Actual Allocation vs Target Allocation
As of May 31, 2019
Total Risk Mitigation Cash Equivalants 1 U.S. Treasuries
Total Liquidity Investment Grade Credit Public High Yield Global Diversified Credit Credit-Oriented Hedge Funds Debt-Related Private Equity Debt Related Real Estate
Total Income Real Assets Equity Related Real Estate
Total Real Return US Equity Non-US Equity Developed Markets Equity Emerging Markets Equity Buyouts-Venture Capital Equity Oriented Hedge Funds
Total Global Growth Opportunistic Investments Police & Fire Mortgage Program 2 Other Cash and Receivable Total Pension Fund
Actual Allocation %
4.32 4.27 2.03 6.29 10.62 1.44 6.05 1.08 1.16 0.53 20.87 2.98 5.82 8.80 30.00 10.78 6.38 9.99 0.15 57.30 0.54 1.67 0.21 100.00
Target % 5.00 5.50 3.00 8.50
10.00 2.50 5.00 1.00 2.00 1.00
21.50 2.50 6.25 8.75
30.00 11.50
6.50 8.25 0.00 56.25 0.00 0.00 0.00 100.00
Difference % -0.68 -1.23 -0.97 -2.21 0.62 -1.06 1.05 0.08 -0.84 -0.47 -0.63 0.48 -0.43 0.05 -0.00 -0.72 -0.12 1.74 0.15 1.05 0.54 1.67 0.21 0.00
Allocation (in millions $) 3,283.06 3,242.46 1,539.63 4,782.09 8,071.19 1,091.73 4,595.41 822.47 879.45 406.08
15,866.32 2,263.75 4,424.92 6,688.68
22,802.56 8,195.92 4,851.43 7,590.39 111.26
43,551.56 407.91
1,270.92 160.72
76,011.25
Other Cash + Rec 0.21%
Police + Fire Mtg Program
1.67%
Opportun Invest 0.54%
Global Growth 57.30%
CCuurrrreenntt AAsssseett AAllllooccaattiioonn
RRisiskk MMiittiiggaattiioonn SSttrraatteeggieiess
44..3322%%
LLiiqquuiiddiittyy 66..2299%%
IInnccoommee 2200..8877%%
RReeaal l RReettuurrnn 88..8800%%
Global Growth 56.25%
TTaarrggeett AAsssseett AAllllooccaattiioonn
RRisiskk MMiittiiggaattiioonn SSttrraatteeggieiess
55..0000%%
LLiiqquuiiddiittyy 88..5500%%
IInnccoommee 2211..5500%%
RReeaal l RReettuurrnn 88..7755%%
Limited Access 03/02/2020 02:12:12 PM Sum of component allocation may not equal total due to rounding 1 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 2 For financial reporting Police and Fire Mortgage Program is considered a receivable under GASB 72.
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NJ Division of Investment Performance vs Policy Benchmark
Periods Ending May 31, 2019 Total Pension Fund Returns are Net of All Fees
9.00 8.00 7.00 6.00 5.00 4.00 3.00 2.00 1.00 0.00 -1.00 -2.00 -3.00
1 Month
YTD
FYTD
11 YYeeaarr
33 YYeeaarr
55 YYeeaarr
TToottaall PPeennssiioonn FFuunndd PPoolliiccyy IInnddeexx
1100 YYeeaarr
2200 yyeeaarr
2255 yyeeaarr
Total Pension Fund 1 Policy Index 2
Limited Access 03/02/2020 02:12:12 PM 1 Returns Exclude Police & Fire Mortgage Program 2 Benchmark return not available for 25-year period.
1 Month -2.51 -2.68
YTD 6.49 5.75
FYTD 2.06 2.87
1 Year 3.03 3.10
3 Year 8.17 8.35
5 Year 5.82 5.79
10 Year 8.90 8.51
20 year 5.65 5.27
25 year 8.04
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NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks
Periods Ending May 31, 2019 Returns are Net of All Fees
Risk Mitigation Strategies T-Bill + 300 BP
Total Short Term and Cash 1 ICE BofA US 3-Month Treasury Bill
U.S. Treasuries Custom Government Benchmark Total Liquidity Liquidity Benchmark
Investment Grade Credit Custom Investment Grade Credit Benchmark
Public High Yield Bloomberg Barclays Corp HY
Global Diversified Credit Bloomberg Barclays Corp HY
Credit-Oriented Hedge Funds 50 HFRI DR 50 HFRI CA (1M Lag)
Debt-Related Private Equity Bloomberg Barclays Corp HY + 300 bps (1 Qtr lag)
Debt Related Real Estate Bloomberg Barclays CMBS 2.0 Baa + 100 bps(1 Qtr lag) Total Income Income Benchmark
Real Return Real Assets and Commodities Custom Cambridge Real Asset Index 2
Equity Related Real Estate Real Estate Index 2 Total Real Return Real Return Benchmark
Limited Access 03/02/2020 02:12:12 PM 1 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 2 Real Return and Real Estate Benchmarks are only reported on a quarterly basis, non quarter-end months are reported as 0% 3 Custom index calculated by MSCI based on screening criteria defined by New Jersey Division of Investment. Please see disclosure on page 22. 4 Returns Exclude Police & Fire Mortgage Program
1 Month 1.27 0.49 0.27 0.23 2.25 2.35 0.85 0.97 1.70 1.71 -1.25 -1.19 1.44 -1.19 1.61 1.30 1.28 1.93 1.18 1.21 1.38 0.66 1.48 0.00 1.02 0.00 1.16 0.00
YTD 3.93 2.27 1.38 1.02 4.01 4.22 2.27 2.14 6.00 6.01 7.17 7.49 3.44 7.49 0.34 3.40 0.81 2.70 3.51 3.50 4.62 5.94 1.04 -7.23 5.96 1.52 4.24 -0.98
FYTD 3.64 4.90 2.82 2.09 5.86 6.26 3.91 3.55 7.88 7.38 4.37 5.08 4.32 5.08 -0.02 3.46 1.28 7.84 4.48 9.68 5.61 6.49 1.37 -1.37 5.99 5.29 4.38 3.43
1 Year 4.51 5.35 2.99 2.26 5.87 6.28 4.00 3.67 7.52 6.96 4.43 5.51 6.06 5.51 0.81 3.89 5.23 7.47 6.65
11.79 6.32 6.55 6.79 -0.52 8.16 7.36 7.71 5.14
Annualized 3 Year 4.02 4.39 1.94 1.32 1.36 1.89 1.35 1.55 3.22 3.27 6.62 7.04 10.60 7.04 6.37 7.75 9.09 13.13 4.74 11.06 6.22 6.08 9.42 8.03 10.17 7.27 9.92 7.48
5 Year 2.91 3.89 1.51 0.83 1.14 1.89 1.13 1.26 3.31 3.18 4.39 4.40 8.27 4.40 3.85 3.16 7.98 7.71 6.02 7.64 4.94 3.99
11.55 9.41 8.04 5.31
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NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks
Periods Ending May 31, 2019 Returns are Net of All Fees
US Equity S&P 1500 SUPER COMPOSITE (DAILY)
Non-US Equity Developed Markets Equity Custom International Developed Markets Benchmark 3
Emerging Markets Equity Custom International Emerging Markets Benchmark 3
Equity Oriented Hedge Funds 50 HFRI EH 50 HFRI ED ACTIVIST (1M Lag)
Buyouts-Venture Capital Custom Cambridge Blend Total Global Growth Global Growth Benchmark
Opportunistic Investments Total Pension Fund 4
NJDOI Policy Index
1 Month -7.04 -6.52 -4.55 -4.70 -6.72 -7.28 3.05 1.48 2.41 0.00 -4.97 -5.15 -7.29 -2.51 -2.68
YTD 11.46 10.52
8.78 8.26 4.58 4.13 5.74 4.06 2.37 -0.79 8.40 7.56 -6.39 6.49 5.75
FYTD 0.67 2.07 -4.30 -4.26 -3.52 -4.70 -1.01 -0.50 5.82 6.99 0.10 0.94 -5.65 2.06 2.87
1 Year 1.48 2.70 -5.33 -5.30 -7.64 -8.64 -1.51 0.98
12.82 9.87 0.86 0.98 -2.26 3.03 3.10
Annualized 3 Year 10.60 11.44 6.17 5.85 9.09 9.94 5.49 5.85 12.82 13.91 9.77 10.62 7.04 8.17 8.35
5 Year 8.13 9.45 1.66 1.26 1.07 1.97 2.46 4.30
13.80 11.74
6.65 7.22 7.05 5.82 5.79
Limited Access 03/02/2020 02:12:12 PM 1 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 2 Real Return and Real Estate Benchmarks are only reported on a quarterly basis, non quarter-end months are reported as 0% 3 Custom index calculated by MSCI based on screening criteria defined by New Jersey Division of Investment. Please see disclosure on page 22. 4 Returns Exclude Police & Fire Mortgage Program
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NJ Division of Investment Domestic Equity
As of May 31, 2019
Top Holdings *
Security Name MICROSOFT CORP INC ALPHABET INC CL C APPLE INC VANGUARD TOTAL STOCK MARKET ET AT+T INC JPMORGAN CHASE + CO FACEBOOK INC CLASS A BANK OF AMERICA CORP VISA INC CLASS A SHARES
% of Portfolio
4.25 3.98 2.97 2.89 2.47 2.03 1.98 1.95 1.52 1.48
25.00 22.50 20.00 17.50 15.00 12.50 10.00
7.50 5.00 2.50 0.00
20.60 19.53
13.92 13.55
INFORMATION TECHNOLOGY
FINANCIALS
Limited Access 03/02/2020 02:12:12 PM
*Top 10 Holdings include accruals.
Select Portfolio Sector Weightings
13.85 13.26
11.69 9.68
10.16 9.98
10.40 9.45
7.01 6.40
HEALTH CARE
COMMUNICATIO N SERVICES
INDUSTRIALS
Domestic Equity Portfolio
CONSUMER DISCRETIONARY
CONSUMER STAPLES
S&P Composite 1500
5.46 4.79
ENERGY
3.48 2.79
UTILITIES
2.72
3.78
REAL ESTATE
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NJ Division of Investment International Equity As of May 31, 2019
Top Holdings *
Security Name ISHARES MSCI INDIA ETF ISHARES MSCI TAIWAN ETF TENCENT HOLDINGS LTD ALIBABA GROUP HOLDING SP ADR SAMSUNG ELECTRONICS CO LTD NESTLE SA REG TAIWAN SEMICONDUCTOR SP ADR ROCHE HOLDING AG GENUSSCHEIN NOVARTIS AG REG HDFC BANK LTD ADR
% of Portfolio
2.27 2.19 1.67 1.35 1.27 1.19 0.97 0.92 0.79 0.69
27.00 24.00 21.00 18.00 15.00 12.00
9.00 6.00 3.00 0.00
22.24 21.35
10.94 11.04
FINANCIALS
CONSUMER DISCRETIONARY
Limited Access 03/02/2020 02:12:12 PM
* Top 10 holdings include accruals.
Select Portfolio Sector Weightings
11.07 10.01
10.22 9.07
8.68 8.53
7.08 7.10
7.08
8.33
INDUSTRIALS
CONSUMER STAPLES
INFORMATION TECHNOLOGY
COMMUNICATIO N SERVICES
HEALTH CARE
International Equity Portfolio Custom ACWI ex US Benchmark
6.60
0.00 COMMINGLED
FUND
6.34
7.56
MATERIALS
6.96 6.02
ENERGY
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NJ Division of Investment Domestic Fixed Income Composite
As of May 31, 2019
Security Name US TREASURY N/B US TREASURY N/B INTEL CORP US TREASURY N/B HYDRO QUEBEC US TREASURY N/B US TREASURY N/B INTL BK RECON + DEVELOP BANK OF AMERICA CORP
Top Holdings *
Coupon % 1.13 2.50 2.35 1.88 8.50 1.38 1.25 3.00 3.97
Maturity Date 03/31/2020 05/15/2046 05/11/2022 05/31/2022 12/01/2029 09/30/2019 07/31/2023 09/27/2023 03/05/2029
---High Grade Portfolio Sector Weights---
% of Portfolio
1.71 1.21 1.12 1.09 0.99 0.99 0.98 0.98 0.98
Others 10.38%
ELECTRIC/GAS 8.59%
OTHER YANKEE 12.82%
FINANCE 34.96%
INDUSTRIAL 33.24%
Limited Access 03/02/2020 02:12:12 PM
* Top holdings include accruals.
ELECTRIC/GAS FINANCE INDUSTRIAL OTHER YANKEE Others
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