NEW JERSEY DIVISION OF INVESTMENT

[Pages:23]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 03/02/2020 01:15:56 PM

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NJ Division of Investment Actual Allocation vs Target Allocation

As of April 30, 2019

Total Risk Mitigation Cash Equivalants 1 U.S. Treasuries

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 MMiittiiggaattiioonn SSttrraatteeggieiess

44..3322%%

LLiiqquuiiddiittyy 77..7733%%

IInnccoommee 1199..4466%%

RReeaal l RReettuurrnn 88..3355%%

Global Growth 56.25%

TTaarrggeett AAsssseett AAllllooccaattiioonn

RRisiskk MMiittiiggaattiioonn SSttrraatteeggieiess

55..0000%%

LLiiqquuiiddiittyy 88..5500%%

IInnccoommee 2211..5500%%

RReeaal l RReettuurrnn 88..7755%%

Limited Access 03/02/2020 01:15:56 PM 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

TToottaall PPeennssiioonn FFuunndd PPoolliiccyy IInnddeexx

1100 YYeeaarr

2200 yyeeaarr

2255 yyeeaarr

Total Pension Fund 1 Policy Index 2

Limited Access 03/02/2020 01:15:56 PM 1 Returns Exclude Police & Fire Mortgage Program 2 Benchmark return not available for 25-year period.

1 Month 1.96 1.89

YTD 9.23 8.66

FYTD 4.68 5.70

1 Year 6.68 6.38

3 Year 9.34 9.44

5 Year 6.68 6.66

10 Year 9.71 9.38

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 Strategies T-Bill + 300 BP

Total Short Term and Cash 1 ICE BofA US 3-Month Treasury Bill

U.S. Treasuries 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 2

Equity Related Real Estate Real Estate Index 2 Total Real Return Real Return Benchmark

Limited Access 03/02/2020 01:15:56 PM 1 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 2 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 22. 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 -7.23 4.89 1.52 3.04 -0.98

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 -0.52 9.31 7.36 8.69 5.14

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 8.03 10.41 7.27 9.90 7.48

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 5.29

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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 6.38

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 9.44

5 Year 10.19 11.43

2.93 2.56 3.19 4.20 1.54 3.79 13.93 11.74 8.18 8.72

6.68 6.66

Limited Access 03/02/2020 01:15:56 PM 1 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 2 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 22. 4 Returns Exclude Police & Fire Mortgage Program

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NJ Division of Investment Domestic Equity

As of April 30, 2019

Top Holdings *

Security Name MICROSOFT CORP INC APPLE INC ALPHABET INC CL C VANGUARD TOTAL STOCK MARKET ET JPMORGAN CHASE + CO FACEBOOK INC CLASS A AT+T INC BANK OF AMERICA CORP VISA INC CLASS A SHARES

% of Portfolio

4.15 4.01 3.06 2.96 2.45 2.01 1.97 1.92 1.62 1.40

25.00 22.50 20.00 17.50 15.00 12.50 10.00

7.50 5.00 2.50 0.00

21.15 19.68

14.09 13.63

INFORMATION TECHNOLOGY

FINANCIALS

Limited Access 03/02/2020 01:15:56 PM

*Top 10 Holdings include accruals.

Select Portfolio Sector Weightings

12.72 13.27

11.60 9.60

10.42 10.15

10.53 9.58

6.82 6.24

HEALTH CARE

COMMUNICATIO N SERVICES

INDUSTRIALS

Domestic Equity Portfolio

CONSUMER DISCRETIONARY

CONSUMER STAPLES

S&P Composite 1500

5.58 5.09 ENERGY

3.28 2.67

UTILITIES

3.52 2.58

REAL ESTATE

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NJ Division of Investment International Equity As of April 30, 2019

Top Holdings *

Security Name ISHARES MSCI TAIWAN ETF ISHARES MSCI INDIA ETF TENCENT HOLDINGS LTD ALIBABA GROUP HOLDING SP ADR SAMSUNG ELECTRONICS CO LTD NESTLE SA REG TAIWAN SEMICONDUCTOR SP ADR ROCHE HOLDING AG GENUSSCHEIN NOVARTIS AG REG CHINA CONSTRUCTION BANK H

% of Portfolio

2.38 2.17 1.93 1.55 1.35 1.09 0.99 0.87 0.71 0.64

27.00 24.00 21.00 18.00 15.00 12.00

9.00 6.00 3.00 0.00

22.15 21.27

11.37 11.37

FINANCIALS

CONSUMER DISCRETIONARY

Limited Access 03/02/2020 01:15:56 PM

* Top 10 holdings include accruals.

Select Portfolio Sector Weightings

11.14 10.01

8.93 8.74

9.92 8.83

7.36 7.19

6.85

8.14

INDUSTRIALS

INFORMATION TECHNOLOGY

CONSUMER STAPLES

International Equity Portfolio

COMMUNICATIO N SERVICES

HEALTH CARE

Custom ACWI ex US Benchmark

7.53 6.52

6.12

MATERIALS

0.00

COMMINGLED FUND

7.00 6.00

ENERGY

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NJ Division of Investment Domestic Fixed Income Composite

As of April 30, 2019

Security Name US TREASURY N/B US TREASURY N/B INTEL CORP US TREASURY N/B US TREASURY N/B US TREASURY N/B INTL BK RECON + DEVELOP HYDRO QUEBEC BANK OF AMERICA CORP

Top Holdings *

Coupon % 1.13 1.38 2.35 2.50 1.88 1.25 3.00 8.50 3.97

Maturity Date 03/31/2020 09/30/2019 05/11/2022 05/15/2046 05/31/2022 07/31/2023 09/27/2023 12/01/2029 03/05/2029

---High Grade Portfolio Sector Weights---

% of Portfolio

1.73 1.38 1.24 1.16 1.10 0.98 0.98 0.98 0.98

Others 11.65%

ELECTRIC/GAS 8.65%

OTHER YANKEE 12.99%

FINANCE 34.68%

INDUSTRIAL 32.04%

Limited Access 03/02/2020 01:15:56 PM

* Top holdings include accruals.

ELECTRIC/GAS FINANCE INDUSTRIAL OTHER YANKEE Others

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