The New Jersey Pension Fund, Trenton, posted a net return of 10.7% for the fiscal year ended June 30, just shy of its benchmark of 10.8%.
The unaudited results were presented Oct. 30 by the Division of Investment, which manages the fund’s investments, at the quarterly meeting of the State Investment Council, which formulates policies for the division.
A division report showed that the pension fund fell short of benchmarks during several June 30 fiscal-year reporting periods of net returns.
The three-year annualized return of 3.6% was below the benchmark of 4.7%. The five-year return of 7.7% trailed the benchmark of 8.6%, and the 10-year annualized return of 6.9% lagged the benchmark of 7.5%.
However, the 20-year return of 7.2% exceeded the benchmark of 7%, while the 25-year return of 6.1% beat the benchmark of 6%.
The pension fund reported assets of $69.5 billion for the fiscal year ended June 30 vs $91.4 billion for the fiscal year ended June 30, 2023. The difference is due primarily to the transfer of approximately $20 billion in assets to the Police and Firemen’s Retirement System of New Jersey, Trenton, in April, which was spun off as a separate pension system.
The New Jersey Pension Fund’s largest asset allocations for the fiscal year ended June 30 were U.S. equity (29%), international equity-developed markets (11.6%), cash equivalents (11.4%) and private equity (11%).
Cash equivalents was well above the pension fund's 2% target, reflecting a “cautious” portfolio, Shoaib Khan, the pension fund’s CIO and director of the division, told members of the State Investment Council.
Cash equivalents, U.S. Treasuries and risk mitigation strategies combined to represent 18.1% of pension fund assets under the broad category of defensive investments.
The best performing asset categories were U.S. equity (23.3%), international equity-developed markets (11.7%) and risk mitigation strategies (10.8%).
The weakest categories were real estate (-0.1%) and U.S. Treasuries (1.9%), although both outperformed their respective benchmarks.
Separately, the pension fund reported first-quarter results for the three months ended Sept. 30. Assets were $71.7 billion and the unaudited net return was 4.2%, below the benchmark of 4.9%.
