New Jersey Pension Fund returns -7.9% for fiscal year

The New Jersey Pension Fund, Trenton, recorded a net return of -7.9% for the fiscal year ended June 30 as most equity and fixed income investments suffered.

"There were few hiding places," Shoaib Khan, the pension fund's chief investment officer and director of the state's division of investment, said Wednesday.

"New Jersey is not alone," said Mr. Khan during a meeting of the State Investment Council, which governs investment policies for the division of investment.

The unaudited results exceeded the fiscal year benchmark return of -4.67%. The net return for the fiscal year ended June 30, 2021, was 28.6%.

The latest fiscal year's assets of $86.04 billion dropped 9% vs. the year-ago fiscal year's assets of $94.4 billion.

Many of the pension fund's net annualized returns fell below respective benchmarks. The three-year return of 6.24% trailed the benchmark of 7.87%, and the five-year-return of 6.80% lagged the benchmark of 7.86%.

Also, the 10-year return of 7.77% trailed the benchmark of 8.16%. However, the 20-year return of 7.09% exceeded the benchmark of 6.86%.

Most of the pension fund's asset allocations for the fiscal year fell slightly below their targets. The prominent exception was cash equivalents whose allocation was 9.22% vs. a target of 4%.

Division of investment officials explained that the cash cache reflects part of a defensive investing strategy, which continues today as cash equivalents now represent an allocation of over 8%.