The New Jersey Pension Fund’s investment portfolio lost 1.4% in September, bringing its total return for the first three quarters of the year to just 0.82%, well below its benchmark’s return of 2.83% over the same time period, while raising its total asset value to $78.35 billion.
For the fiscal year to date, the fund has returned 4.51%, just edging out its benchmark’s fiscal year-to-date return of 4.5%.
The fund underperformed over the one-, three-, and five-year time periods, returning 5.58%, 6.01%, and 7.64%, respectively, compared with its benchmark’s returns of 7.58%, 6.95%, and 8.49%, respectively, over the same time periods.
But the fund outperformed over the past 10 and 20 years, returning 7.66% and 5.45%, respectively, compared with the benchmark’s returns of 7.44% and 5.35% over the past 10 and 20 years, respectively.
The top performing asset class for the pension fund during both the first three quarters of the year and the fiscal year to date was US equities, which returned 5.49% and 9.16%, respectively, but fell short of the equities benchmark, which returned 5.58% and 9.23%, respectively, during the same time periods.
However, US equities dragged the portfolio down during September, losing 3.71% for the month. The portfolio’s US equity holdings are heavily tilted toward tech stocks as its five largest holdings are in Apple, Microsoft, Amazon, Google parent Alphabet, and Facebook.
Non-US developed market equities and emerging market equities struggled in September, and are down 5.76% and 2.49%, respectively, for the first three quarters of the year. However, both are in positive territory for the fiscal year to date—up 5.41% and 9.67%, respectively.
The worst performing asset class during the first nine months of the year has been real return, which is down 9.8% year to date, well below its benchmark performance, which is down only 3.4% during that time. It is also the worst performing asset class for the fiscal year to date, gaining only 0.63%, but still beating its benchmark, which is down 0.69% during the same time.
The fund’s target asset allocation is 59% in global growth, 18% in income, 13% in defensive, and 10% in real return.