The New Jersey Pension Fund posted a return of 3.03% for the year ended May 31, just short of its benchmark.
The New Jersey Pension Fund, Trenton, posted a return of 3.03% net of fees for the year ended May 31, just short of the benchmark of 3.09%.
The return data was contained in a report issued Wednesday by the Division of Investment, a unit of the state treasury department that handles investments for the $76 billion pension fund.
The three-year annualized return as of May 31 was 8.17% vs. a benchmark of 8.37%, the report said. For the five-year period, the annualized return was 5.82% vs. a benchmark of 5.81%; for 10 years, the annualized return was 8.9% vs. a benchmark of 8.52%.
All of the data is preliminary, the report said, and full fiscal year figures were not available. For the fiscal year's first 11 months, the preliminary return, net of fees, was 2.06% vs. a benchmark of 2.87%.
The data was presented at a meeting of the State Investment Council, which formulates policies for the Division of Investment's efforts on behalf of the New Jersey fund.
The council voted to approved a division recommendation that the fund's U.S. equity benchmark be changed to the MSCI USA IMI index from the S&P 1500 Index.
"From the division's perspective, the new benchmark would better reflect the investment opportunity set, would be more consistent with a progression toward a global equity allocation and would provide longer term benefits in terms of risk analysis," the division's report said.
U.S. equity accounted for $22.8 billion of total pension assets as of May 31.
