NEW JERSEY DIVISION OF INVESTMENT
NEW JERSEY DIVISION OF INVESTMENT
INVESTMENT REPORTING PACKAGE
_____________________________________________________________________ Period Ending April 30, 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 08/16/2019 10:21:10 AM
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NJ Division of Investment Actual Allocation vs Target Allocation
As of April 30, 2019
Total Risk Mitigation Total Cash and Short Term 1 Governments
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 5.77 1.95 7.73 9.73 1.39 5.72 1.02 1.10 0.51 19.46 2.79 5.56 8.35 30.88 10.86 6.54 9.45 0.15 57.88 0.56 1.60 0.10 100.00
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 0.27 -1.05 -0.77 -0.27 -1.11 0.72 0.02 -0.90 -0.49 -2.04 0.29 -0.69 -0.40 0.88 -0.64 0.04 1.20 0.15 1.63 0.56 1.60 0.10 0.00
Allocation (in millions $) 3,437.62 4,592.03 1,552.87 6,144.90 7,735.24 1,101.42 4,548.84 808.69 876.09 403.39
15,473.65 2,218.07 4,424.67 6,642.74
24,558.59 8,634.96 5,200.75 7,510.79 120.39
46,025.48 446.54
1,269.44 77.35
79,517.73
Other Cash + Rec 0.10%
Police + Fire Mtg Program
1.60%
Opportun Invest 0.56%
Global Growth 57.88%
CCuurrrreenntt AAsssseett AAllllooccaattiioonn
RRisiskk MMititigigaattioionn
44..3322%%
LLiqiquuididitiyty 77..7733%%
IInnccoommee 1199..4466%%
RReeaal l RReettuurrnn 88..3355%%
Global Growth 56.25%
TTaarrggeett AAsssseett AAllllooccaattiioonn
RRisiskk MMititigigaattioionn
55..0000%%
LLiqiquuididitiyty 88..5500%%
IInnccoommee 2211..5500%%
RReeaal l RReettuurrnn 88..7755%%
Limited Access 08/16/2019 10:21:10 AM 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 April 30, 2019 Total Pension Fund Returns are Net of All Fees
10.00
9.00
8.00
7.00
6.00
5.00
4.00
3.00
2.00
1.00
0.00
1 Month
YTD
FYTD
11 YYeeaarr
33 YYeeaarr
55 YYeeaarr
1100 YYeeaarr
2200 yyeeaarr
2255yyeeaarr
TToottaall PPeennssiioonn FFuunndd NNJJDDOOII PPoolliiccyy IInnddeexx
Total Pension Fund 1 NJDOI Policy Index 2
Limited Access 08/16/2019 10:21:10 AM 1 Returns Exclude Police & Fire Mortgage Program 2 Benchmark return not available for 20 and 25-year period.
1 Month 1.96 1.89
YTD 9.23 8.66
FYTD 4.68 5.70
1 Year 6.68 6.37
3 Year 9.34 9.47
5 Year 6.68 6.68
10 Year 9.71 9.39
20 year 5.69 5.31
25 year 8.17
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NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks
Periods Ending April 30, 2019 Returns are Net of All Fees
Risk Mitigation T-Bill + 300 BP Total Short Term and Cash 1 91 DAY TREASURY BILL (DAILY) Governments 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 Equity Related Real Estate Real Estate Index 2 Total Real Return Real Return Benchmark
Limited Access 08/16/2019 10:21:10 AM 1 The cash aggregate comprises the two common pension fund cash accounts, in addition to the seven plan cash accounts. 2 Private Equity, 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 23. 4 Returns Exclude Police & Fire Mortgage Program
1 Month 1.36 0.44 0.24 0.19 -0.28 -0.28 0.06 0.02 0.07 0.17 1.43 1.42 0.91 1.42 -0.59 0.17 1.84 4.78 0.08 2.13 0.48 1.13 -1.53 0.00 0.58 0.00 -0.13 0.00
YTD 2.63 1.77 1.10 0.79 1.72 1.83 1.40 1.16 4.22 4.23 8.52 8.78 1.97 8.78 -1.25 2.08 -0.46 0.76 2.31 2.26 3.20 5.24 -0.43 -7.04 4.89 1.52 3.04 -0.93
FYTD 2.34 4.39 2.54 1.85 3.53 3.82 3.03 2.55 6.07 5.58 5.69 6.35 2.84 6.35 -1.60 2.14 -0.00 5.80 3.26 8.36 4.17 5.79 -0.10 -1.37 4.92 5.29 3.18 3.43
1 Year 4.38 5.27 2.88 2.18 4.40 4.77 3.44 3.10 6.53 5.82 5.60 6.74 5.68 6.74 0.24 3.11 4.95 4.81 6.36 9.10 5.74 6.05 7.39 -0.60 9.31 7.36 8.69 5.11
Annualized 3 Year 3.40 4.31 1.91 1.25 0.47 0.97 1.04 1.18 2.61 2.67 7.28 7.69 11.07 7.69 6.54 8.25 8.59 12.72 4.77 10.30 6.07 6.08 8.85 8.08 10.41 7.27 9.90 7.49
5 Year 2.60 3.84 1.47 0.78 0.94 2.00 1.04 1.51 3.29 3.06 4.85 4.84 8.39 4.84 3.10 2.95 8.00 7.78 5.76 7.86 4.87 4.09
11.85 9.41 8.07 5.30
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NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks
Periods Ending April 30, 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 4.40 4.04 2.83 2.75 2.33 2.14 0.44 0.12 -0.22 0.00 3.08 2.89 -0.15 1.96 1.89
YTD 19.89 18.24 13.97 13.59 12.11 12.30
2.60 2.54 -0.04 -0.79 14.07 13.40 0.97 9.23 8.66
FYTD 8.29 9.20 0.27 0.47 3.42 2.78 -3.94 -1.95 3.33 6.99 5.33 6.42 1.77 4.68 5.70
1 Year 12.01 12.78 -2.26 -2.47 -5.04 -5.07 -3.69 -0.26 12.42
9.87 7.04 7.06 8.68 6.68 6.37
Annualized 3 Year 14.09 14.67 7.63 7.17 10.51 11.37 4.83 5.82 12.02 13.91 11.92 12.68 9.72 9.34 9.47
5 Year 10.19 11.43
2.93 2.56 3.19 4.20 1.54 3.79 13.93 11.73 8.18 8.72
6.68 6.68
Limited Access 08/16/2019 10:21:10 AM 1 The cash aggregate comprises the two common pension fund cash accounts, in addition to the seven plan cash accounts. 2 Private Equity, 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 23. 4 Returns Exclude Police & Fire Mortgage Program
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