New Jersey Pension Fund Loses 7.9% in Fiscal 2022

The New Jersey public pension fund’s investment portfolio lost 7.9% for the fiscal year ended June 30, underperforming its policy benchmark, which lost 4.67%.

Both equities and fixed income weighed down the portfolio, which lost nearly $10 billion in value as it ended the fiscal year at $87.49 billion from $95.71 billion at the end of fiscal 2021. Like many other public pension funds reporting for the fiscal year ended June 30, the results were a sharp reversal from last year when the investment portfolio returned 28.63%.

“Given the tough environment overall, with very few hiding places, New Jersey was not alone in experiencing volatility last year,” New Jersey Division of Investment Director Shoaib Khan told the State Investment Council during at its most recent board meeting, according to NJ.com. “Unfortunately, it now seems more and more likely that the economy is going to see some collateral damage,” he said, adding “that is, unfortunately, the backdrop we find ourselves in.”

Real assets were the top-performing asset class, returning 16.22% for the year, followed by real return, real estate, and private equity, which returned 12.79%, 11.43%, and 6.15% respectively. Non-U.S. developed market equities lost 17.37%., while U.S. equities lost 13.65%. Investment grade fixed income and high-yield fixed-income lost 12.68% and 12.55% respectively, while U.S. Treasuries declined 8.68%.

The pension fund reported three-, five-, 10-, 20-, and 25-year annualized returns of 6.24%, 6.80%, 7.77%, 7.09%, and 6.79% respectively. This is compared with its benchmark, which had three-, five-, 10-, and 20-year annualized returns of 7.87%, 7.86%, 8.15%, and 6.86% respectively. The benchmark’s annualized return for the past 25 years was not available.

The pension fund’s asset allocation as of June 30 was 54.88% in global growth, 17.54% in income, 16.77% in defensive, 8.99% in real return, while 1.67% was invested in its police and fire management program, with remaining 0.15% categorized as “other.”