Although Mr. Amon offered the brief comment about preliminary data, the division of investment provided more detailed information about the pension fund during the first two months of 2020 as well as for the fiscal year through Feb. 29.
For the first two months of the year, the pension fund's return, net of fees, was -3.81% vs. a benchmark of -3.55%.
For the eight months of the current fiscal year, the return was 0.93% vs. a benchmark of 1.95%. Given Mr. Amon's comments about preliminary results through Monday, these figures illustrate the extreme volatility over just a few weeks.
For periods ended Feb. 29, the pension fund posted a 12-month return of 5.5% vs. a benchmark of 6.1%; three years, 6.78% vs. benchmark's 7.31%; five years, 5.9% vs. 6.09%; 10 years, 7.97% vs. 7.64%.
The report said pension fund's assets totaled $74.2 billion at the end of February. At year-end 2019, assets were $79.7 billion.
Also at the meeting, Assistant Treasurer Dini Ajmani said the state remains committed to making its fiscal third-quarter and fourth-quarter contributions to the pension fund despite the economic and investment uncertainty caused by COVID-19.
"Nothing has changed" for fiscal 2020, Ms. Ajmani said.
Gov. Phil Murphy's budget for the fiscal year ending June 30 calls for a $3.75 billion state contribution. The third-quarter contribution is due March 31.
Ms. Ajmani repeated the comments issued late Monday by Treasurer Elizabeth Maher Muoio in a notice to bondholders that the economic fallout from the COVID-19 will be significant, but still hard to accurately measure for the current fiscal year and the next fiscal year. For the 2021 fiscal year, Mr. Murphy has proposed a $4.6 billion state contribution to the pension fund.
The letter noted among other things that New Jersey will experience "precipitous declines in revenues" for the current fiscal year ending June 30 as well as the next fiscal year affecting revenue collections.
The letter said the state expects state lottery revenue to decline. This revenue has represented about $1 billion a year in the state's contribution to the pension fund. According to a state revenue report covering the first eight months of the current fiscal year, lottery proceeds were $629.5 million, or 9.8% below the same period for the previous fiscal year.
Also at the state investment council meeting Wednesday, the division of investment announced a commitment of up to €100 million ($107 million) to CVC Capital Partners VIII, which will pursue leveraged buyouts of medium to large businesses in Europe and North America, according to the division. CVC Capital is an existing relationship with the New Jersey Pension Fund.
The state investment council members also voted to allow the division of investment to temporarily exceed the regulatory allocation cap of 12% for private equity assets in the pension fund. The allocation was 12.8% as of March 20 due to the decline in equities' values. A formal proposal to raise this cap to 15% is still subject to public comment through April 6.
In addition, Mr. Amon said the division has hired an executive search firm to seek candidates for the jobs of deputy director of the division and head of alternative investments.
