The New Jersey Pension Fund, Trenton, reported a net return of 14.96% for the calendar year ended Dec. 31, falling below the benchmark of 15.25%.
The return data was presented Thursday to the State Investment Council in a report by the Division of Investment, a unit of the state Department of Treasury, that manages investments for the $77.6 billion pension fund. The council formulates policies governing investments by the division.
The best-performing asset classes for the calendar year were emerging markets equity (a return of 35.38%), non-U.S. developed markets equity (25.42%) and U.S. equity (21%).
The return for the six months ended Dec. 31 — the first half of the current fiscal year — was 6.6%, which was below the benchmark of 7.31%.
Also, the pension fund said it will divest its $16 million holding in Danske Bank because the bank violated terms of a New Jersey law that prohibits investing in companies that boycott "the goods, products or business of Israel," according to a division report to the council. The state law, enacted in 2016, also covers investments in a company that boycotts "those doing business with Israel or boycotts companies operating in Israel or Israeli-controlled territory," the division report said.
The report said Danske Bank was notified by letter dated Nov. 27 that the division had determined the bank "is engaging in actions that are intended to penalize, inflict economic harm on, or otherwise limit commercial relations with Israel." The report did not describe specific actions by Danske Bank.
Christopher McDonough, director of the division of investment, said the division will look for a "suitable replacement" for its investment in Danske Bank, but he didn't provide a timetable for action.
Separately, the division reported it will submit in March to council members an initial asset-liability study prepared with Aon Hewitt Investment Consulting. "The primary objective … is to provide analysis for the asset allocation decision that is informed by the liability of the (pension) fund," said a division report describing the study. "The output of the study provides for the analysis of probability-weighted outcomes to better inform asset allocation decision-making."