Agenda Item 3a
NEW JERSEY DIVISION OF INVESTMENT
Director’s Report July 27, 2017 State Investment Council Meeting
“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.” 2
Total Fund(1) Performance as of May 31, 2017 14.00 12.83 12.62 12.18 11.97 12.00
10.00 9.04 8.93 8.10 8.00 6.80 6.96 6.49 5.69 6.00 5.53 5.38 4.61 * * 4.00
2.00 1.32 1.17 0.77 0.15 0.31 0.16 0.11 (0.21) (0.21) - 1 Month CYTD FYTD 1 Year 3 Year 5 Year 10 Year 20 Year 25 Year
(2.00) Total Fund Benchmark* Difference
*Benchmark return not available for 20 and 25-Year period (1) Excluding Police and Fire Mortgage Program Asset Class Returns through May 31, 2017 3
Risk Mitigation Liquidity
5.00 4.11 1.50 1.22 3.18 3.49 0.86 4.00 3.26 3.19 1.00 0.71 3.04 2.58 0.47 0.56 3.00 2.20 0.50 0.26 0.08 0.15 2.00 1.45 1.23 0.00 1.00 YTD FYTD 1 Year 3 Year 5 Year (0.50) 0.00 (0.37) YTD FYTD 1 Year 3 Year 5 Year (1.00) (0.81) Portfolio Benchmark Portfolio Benchmark
Income Real Return 11.34 12.00 12.00 9.74 9.27 10.40 10.00 8.60 10.00 8.14 7.67 7.27 7.35 8.00 6.86 8.00 6.67 4.26 5.78 6.00 4.87 4.69 6.00 4.62 4.78 4.01 3.79 4.00 4.00 3.65 2.00 2.00 0.00 0.00 YTD FYTD 1 Year 3 Year 5 Year YTD FYTD 1 Year 3 Year 5 Year
Portfolio Benchmark Portfolio Benchmark
Global Growth 20.00 17.14 16.78 17.12 17.05 15.00 12.35 12.15 9.28 9.22 10.00 7.01 6.81 5.00
0.00 YTD FYTD 1 Year 3 Year 5 Year
Portfolio Benchmark 4
ASSET ALLOCATION (1) PERFORMANCE (for periods ending May 31, 2017)(2) As of May 31, 2017 Calendar YTD FYTD Trailing Twelve Months Trailing Three Years
Asset Class Mkt Value Actual (%) Target (%) Difference NJ Bench NJ Bench NJ Bench NJ Bench Long Term CMA
RISK MITIGATION Absolute Return HFs 2,889 3.91% 5.00% -1.09% 1.23% 1.45% 3.04% 3.18% 4.11% 3.49% 2.20% 3.26% 5.39% Risk Mitigation Hedging 196 0.27% 0.00% 0.27% TOTAL RISK MITIGATION 3,085 4.18% 5.00% -0.82% 1.23% 1.45% 3.04% 3.18% 4.11% 3.49% 2.20% 3.26%
LIQUIDITY Cash Eqv 3,714 5.03% 5.50% -0.47% 0.44% 0.22% 1.00% 0.40% 1.10% 0.44% 1.05% 0.21% 1.00% Short Term 476 0.65% 0.00% 0.65% 0.52% 0.22% 1.02% 0.40% 1.17% 0.44% 0.63% 0.21% TIPS 361 0.49% 0.00% 0.49% 2.38% 1.94% -0.24% 0.31% 1.56% 2.50% 0.42% 1.15% US Treasuries 1,323 1.79% 3.00% -1.21% 2.73% 2.04% -3.62% -2.16% -1.70% 0.00% 1.23% 2.01% 1.73% TOTAL LIQUIDITY 5,874 7.96% 8.50% -0.54% 1.22% 0.86% -0.81% -0.37% 0.08% 0.47% 0.56% 0.71%
INCOME Investment Grade Credit 7,147 9.68% 10.00% -0.32% 2.89% 2.87% 0.87% 0.80% 2.84% 3.09% 3.24% 3.06% 3.54% Public High Yield 1,538 2.08% 2.50% -0.42% 5.05% 4.79% 12.38% 12.55% 13.12% 13.58% 4.99% 4.73% 6.49% Global Diversified Credit 3,521 4.77% 5.00% -0.23% 6.20% 4.79% 14.27% 12.55% 16.24% 13.58% 8.52% 4.73% 6.80% Credit-Oriented HFs 1,871 2.54% 1.00% 1.54% 4.51% 5.39% 10.61% 13.53% 13.13% 15.17% 4.32% 2.45% 6.38% Debt-Related PE 724 0.98% 2.00% -1.02% 4.38% 6.02% 8.78% 19.88% 10.32% 25.53% 7.64% 7.91% 9.29% Debt Related Real Estate 447 0.61% 1.00% -0.39% 4.86% 1.47% 2.06% 6.06% -0.47% 14.35% 5.08% 6.45% 6.00% TOTAL INCOME 15,249 20.66% 21.50% -0.84% 4.26% 4.01% 6.86% 7.67% 8.60% 9.75% 4.87% 3.79%
REAL RETURN Commodities 187 0.25% 0.00% 0.25% 0.24% -5.07% -3.25% -6.32% 0.98% -2.45% 4.28% Private Real Assets 1,883 2.55% 2.50% 0.05% 3.04% 8.06% 10.03% 20.26% 19.09% 17.65% 9.56% Equity Related Real Estate 3,997 5.42% 6.25% -0.83% 5.48% 1.88% 5.94% 5.72% 9.10% 7.79% 12.12% 11.04% 8.09% TOTAL REAL RETURN 6,067 8.22% 8.75% -0.53% 4.62% 3.65% 6.67% 9.27% 11.34% 10.40% 7.27% 4.78%
GLOBAL GROWTH US Equity 21,376 28.97% 30.00% -1.03% 8.07% 8.04% 18.56% 17.19% 17.93% 17.52% 8.82% 10.07% 6.80% Non-US Dev Market Eq 8,936 12.11% 11.50% 0.61% 13.50% 12.82% 18.88% 19.40% 15.43% 15.73% 1.55% 1.28% 7.28% Emerging Market Eq 4,825 6.54% 6.50% 0.04% 17.03% 17.60% 21.76% 22.68% 26.69% 27.66% 0.96% 1.93% 8.60% Buyouts/Venture Cap 6,869 9.31% 8.25% 1.06% 3.83% 2.59% 7.97% 9.39% 9.96% 9.46% 13.48% 8.72% 10.08% Equity-Oriented HFs 1,101 1.49% 0.00% 1.49% 7.44% 5.81% 16.40% 12.56% 14.96% 12.66% 3.41% 5.45% 7.79% TOTAL GLOBAL GROWTH 43,107 58.41% 56.25% 2.16% 9.28% 9.22% 17.14% 17.12% 16.78% 17.05% 6.81% 7.01%
OTHER OPPORTUNISTIC PE 314 0.43% 11.08% 14.35% 15.39% 9.77% OTHER 99 0.13% TOTAL FUND(3) 73,795 100.00% 6.80% 6.49% 11.97% 12.18% 12.62% 12.83% 5.69% 5.53%
S&P 500 8.66% 17.16% 17.46% 10.13% Russell 2000 1.48% 20.41% 20.34% 7.99% MSCI EAFE 14.01% 20.48% 16.44% 1.53% MSCI EMF 17.25% 22.51% 27.41% 1.62% Barclays Agg 2.38% -0.21% 1.58% 2.53% Barclays HY 4.79% 12.54% 13.58% 4.73% Bloomberg Commodities -5.35% -6.77% -2.94% -14.78% Bloomberg REIT 3.20% -0.72% 5.89% 8.80% HFRI Fund Weighted Composite 3.26% 7.58% 8.02% 2.87% 1 Current assets do no include receivables of $251 million related to Real Estate secondary sale 2 Unaudited returns 3 Total Fund Performance excludes Police & Fire Mortgage Program 5 Pension Fund Attribution vs. Benchmark Fiscal Year through May 31st, 2017
Contribution 3.04 Risk to Pension Fund Risk Mitigation Mitigation, -1 Excess Return By 3.18 Asset Class
Liquidity , -1 (0.80) Liquidity (0.37)
Income, -13
6.86 Income 7.67 Real Return, - 21
6.67 Real Return Global 9.27 Growth, 18
17.14 Other, 3 Global Growth 17.12
Allocation Effect, -6 11.97 Total Fund ex P&F The Pension Fund 12.18 underperformed the Policy Benchmark return Basis Points (5.00) 0.00 5.00 10.00 15.00 20.00 by -21 bps -40 -35 -30 -25 -20 -15 -10 -5 0 5 10 15 20 25 30 35 40 Portfolio Benchmark Allocation Effect indicates the effect of asset allocation bets, i.e. overweights or underweights vs. the target allocations 6 Pension Fund Update: Change in Sector Allocation from April 30, 2017 – June 30, 2017
Allocation to cash The allocation to Non-U.S. increased following $1.86 Developed Market (DM) Equities billion state pension increased by 0.45% as a result appropriation. of strong returns and net purchases of $281 million. The DM portfolio returned +3.6% Allocation to US over the two month period. Govt increased 1.40% following net purchases of Notwithstanding favorable returns (up 1.14% 1.20% $479 million +1.9%), the allocation to U.S. Equities 1.00% declined as a result of net sales of 0.80% $300 million in conjunction with higher 0.59% valuations. 0.60% 0.55% 0.45% 0.40% 0.20% 0.15% 0.05% 0.00% -0.01% -0.04% -0.07% -0.05% -0.04% -0.05% -0.20% -0.14% -0.14% -0.14% -0.12% -0.10% -0.19% -0.40% -0.34% -0.40% -0.60% -0.65% -0.80% US Govt INCOME US Equity LIQUIDITY REAL RETURN Debt-Related PE Cash Equivalents RISK MITIGATION Private Real Assets GLOBAL GROWTH Credit-Oriented HFs Equity-Oriented HFs Emerging Market Eq AbsoluteReturn HFs Buyouts/Venture Cap Non-US Dev Market Eq Global Diversified Credit High Yield Fixed Income Investment Grade Credit DebtRelated Real Estate Equity Related Real Estate Risk Mitigation Liquidity Income Real Return Global Growth
Allocation to Allocation to Liquidity moved Modestly lower allocation to IG, Maintained underweight allocation Global Growth (57.3% vs 56.25%), Absolute Return higher and above Policy HY and Credit-Oriented HF to Real Return (8.1% vs 8.75%) moved closer in line with targeted HF remains Benchmark (9.3% vs 8.5%). moved the overall allocation to over the two month period allocation following reduction in below target following state pension Income lower allocation to U.S. equities (4.1% vs 5.0%). appropriation and increased (20.3% vs 21.5% target) commitment to Treasuries Assets were modestly reallocated out of U.S. Equities and into non-U.S. Developed Markets. The Liquidity bucket allocation increased primarily as a result of the State’s pension appropriation. The allocation to hedge fund strategies declined consistent with the asset allocation plan. 7
Capital Markets Update (through June 30, 2017)
CalendarFiscal Year Year 2017 2014 Equity Equity Market Market Returns Returns CalendarFiscal Year Year 2017 2014 U.S. U.S. Treasury Treasury Yields Yields
2.84
2.29 2.31
1.89 1.47
1.38 1.00
0.58
June 30, 2017 MTD % CYTD% FYTD % 3 Yrs % 5 Yrs % 10 Yrs % Domestic S&P 500 0.62 9.34 17.89 9.61 14.62 7.18 1 Equity Russell 2000 3.45 4.98 24.57 7.35 13.70 6.90 2 International MSCI EAFE -0.18 13.81 20.27 1.15 8.69 1.03 3 Equity MSCI EMF 1.01 18.43 23.74 1.07 3.96 1.91 4 Barclays Agg -0.10 2.27 -0.31 2.48 2.21 4.48 5 Bond Barclays HY 0.14 4.93 12.70 4.48 6.89 7.67 6 Barclays US Tips -0.95 0.85 -0.63 0.63 0.27 4.27 7 Commodity Bloomberg -0.27 -5.61 -7.02 -15.03 -9.41 -6.95 8 Real Estate Bloomberg REIT 2.05 5.31 1.31 9.15 10.05 6.23 9 Hedge Funds HFRI Composite Index 0.39 3.68 8.02 2.57 4.89 2.98 10
Source: Bloomberg 7 8
FY17 Capital Markets Review By Quarter: Multi-Asset Class Returns
Fiscal Year 2017 Select Capital Market Returns (1) (Returns in US$) 3Q16 4Q16 1Q17 2Q17 FY17 25 Global Stocks U.S. Dollar Global Stocks Global Stocks Global Stocks 5.30 7.15 6.90 4.27 18.78 20 18.78 Hedge Funds Private Equity Private Equity Private Equity Private Equity
14.86 2.98 3.89 3.23 4.06 14.86 15 Private Equity Commodities Hedge Funds Real Estate Hedge Funds 2.94 2.55 2.51 1.55 8.00 10 8.00 7.27 Real Estate Real Estate Real Estate Fixed Income Real Estate 2.03 1.77 1.73 1.45 7.27
Total Return (%) Return Total 5 Fixed Income Global Stocks Fixed Income Hedge Funds U.S. Dollar 0.46 1.19 0.82 1.14 -0.14 0 -0.31 -0.14 U.S. Dollar Hedge Funds Commodities U.S. Dollar Fixed Income -0.23 1.19 -2.47 -3.21 -0.31 -5 Commodities Fixed Income U.S. Dollar Commodities Commodities
-7.02 -3.94 -2.98 -3.50 -3.22 -7.02 -10 Global Stocks Fixed Income Commodities U.S. Dollar Private Equity Real Estate Hedge Funds During FY17, a strengthening global economic In this environment, the broader Fixed Income environment and a pronounced rebound in corporate (-0.31%) market realized modestly negative returns earnings led Global Stocks (+18.78%) to higher as yields rose across the curve in anticipation of valuations. There was somewhat less differentiation higher inflation and less policy accommodation. Real of returns across the global equity market, while the Estate (+7.27%) proved resilient versus higher U.S Dollar (-0.14%) was roughly unchanged, on interest rates. Commodities were the worst performer average, against major currencies versus the start of asset class for the third consecutive fiscal year, as the fiscal year. Private Equity (+14.86%) benefited energy prices moved lower. Hedge Fund strategies from the global stock rally in conjunction with low (+8.00%) rebounded with attractive returns across borrowing costs and narrowing credit spreads. both equity and credit mandates.
During FY17, risky assets outperformed, led by Global Equities, and proved resilient to persistent weakness in Commodities. Private markets benefitted from the investment and economic environment, while higher quality fixed income underperformed as yields increased. (1) FY17 Private Equity and Real Estate returns are presented with a one quarter lag; Private Equity and Hedge Fund returns are preliminary as of July 20, 2017 Source: Barclays Capital, Bloomberg, Cambridge Associates, Hedge Fund Research, Inc., and National Council of Real Estate Investment Fiduciaries 9 FY17 Capital Markets Review By Quarter: US Equity Sector Returns
Fiscal Year 2017 Select Capital Market Returns 3Q16 4Q16 1Q17 2Q17 FY17 40 Technology Financial Services Technology Healthcare Technology 13.49 13.01 12.74 7.27 34.79 34.79 35 Financial Services Producer Durables Healthcare Producer Durables Financial Services 5.43 8.22 8.90 4.54 27.54 30 27.54 Materials and Proc Energy Consumer Disc Financial Services Producer Durables 4.97 7.31 7.65 3.90 23.15 25 23.15 20.79 Producer Durables Materials and Proc Materials and Proc Technology Materials and Proc 20 18.50 4.61 5.95 5.96 3.74 20.79 17.32 Consumer Disc Utilities Consumer Staples Consumer Disc Consumer Disc 14.57 15 3.50 2.87 5.90 2.97 17.32 10 Energy Consumer Disc Producer Durables Materials and Proc Healthcare 2.87 2.25 4.05 2.50 14.57 Total Return (%) Return Total 5 Healthcare Technology Financial Services Consumer Staples Consumer Staples 2.43 2.40 1.55 3.02 0.96 2.43 0 Consumer Staples Consumer Staples Utilities Utilities Utilities -1.97 -2.67 -1.57 1.99 -1.33 -1.97 -5 -4.66 Utilities Healthcare Energy Energy Energy -10 -5.31 -4.22 -6.77 -7.36 -4.66 Russell Consumer Consumer Energy Financial Healthcare Materials Producer Technology Utilities 3000 Disc Staples Services and Proc Durables During FY17, the broad US Equity Market returned From a capitalization standpoint, small cap stocks +18.50%, led by outsized returns in Technology (+24.57%) outperformed large cap stocks (+34.79%) and Financial Services (+27.54%). (+18.02%) for the first time since FY13. The U.S. Following a strong FY16, higher yielding defensive equity market was buoyed by strong earnings sectors were among the worst performing sectors in growth in early 2017, as well as expectations for FY17, with Consumer Staples (+2.43%) and Utilities lower corporate tax rates, deregulation and (-1.97%) sharply lagging the broader market. increased infrastructure spending. Expectations for Energy (-4.66%) realized negative returns for a third higher interest rates adversely impacted higher straight fiscal year as oil prices declined. dividend sectors including utilities and real estate.
During FY17, U.S. equities realized strong returns on the heels of favorable earnings growth and expectations for deregulation and fiscal stimulus. In a reversal from the prior year, higher yielding defensive sectors underperformed in anticipation of rising interest rates. Source: Bloomberg 10 FY17 Capital Markets Review By Quarter: International Developed Market Equity Returns
(Returns in US$) Fiscal Year 2017 Select Capital Market Returns 3Q16 4Q16 1Q17 2Q17 FY17 45 GERMANY CANADA SPAIN FRANCE SPAIN 40 38.39 10.01 3.26 14.76 9.11 38.39 35 SPAIN FRANCE AUSTRALIA SWITZERLAND GERMANY 9.32 2.93 10.98 8.96 28.71 30 28.14 28.71 JAPAN SPAIN GERMANY SPAIN FRANCE 25 20.27 8.60 2.24 8.36 7.89 28.14 20 18.33 19.18 16.47 AUSTRALIA GERMANY SWITZERLAND GERMANY JAPAN 15 13.35 7.91 1.45 8.34 6.42 19.18 11.68 10 FRANCE AUSTRALIA FRANCE JAPAN AUSTRALIA
Total Return (%) Return Total 6.36 0.69 7.28 5.19 18.33 5 CANADA JAPAN UNITED KINGDOM UNITED KINGDOM SWITZERLAND 0 4.85 -0.16 5.04 4.72 16.47 UNITED KINGDOM UNITED KINGDOM JAPAN CANADA UNITED KINGDOM 3.98 -0.90 4.49 0.64 13.35 SWITZERLAND SWITZERLAND CANADA AUSTRALIA CANADA 2.62 -3.86 2.51 -1.87 11.68
During FY17, International Developed Markets (EAFE) Outcomes in key elections spurred strong returns, realized strong returns (+20.27%), led by France particularly in France, as uncertainty regarding the (+28.14%), Germany (+28.71%) and Spain (+38.39%). stability of the European Union eased somewhat. Notwithstanding favorable returns in Canada (+11.68%) Spain was the best performing major DM country, and the U.K. (+13.35%), relative returns lagged as largely reflecting a sharp reversal in its financial Canada was adversely impacted by weak energy prices sector as markets discounted an improving and the U.K. faced an uncertain future following its outlook for credit quality and improving profitability formal declaration of an exit from the European Union. within the banking sector.
Strong International DM returns during FY17 marked a sharp reversal from the prior year and the first fiscal year since FY08 that the EAFE index outperformed the Russell 3000 index, supported by more attractive valuations, renewed optimism regarding economic growth prospects, and a tapering of political risk Source: Bloomberg 11 FY17 Capital Markets Review By Quarter: International Emerging Market Equity Returns
(Returns in US$) Fiscal Year 2017 Select Capital Market Returns 3Q16 4Q16 1Q17 2Q17 FY17
60 CHINA RUSSIA INDIA GREECE GREECE 13.92 18.56 17.12 33.82 50.39
50.39 TAIWAN GREECE KOREA CHINA KOREA 50 11.71 15.33 16.85 10.57 34.88 BRAZIL BRAZIL MEXICO KOREA TAIWAN 11.31 2.05 16.03 10.21 32.85 40 KOREA TAIWAN CHINA TAIWAN CHINA 34.88 32.19 32.85 10.98 -2.18 12.93 8.77 32.19 30 RUSSIA SOUTH AFRICA TAIWAN MEXICO INDIA 8.43 -4.05 11.78 7.19 17.47 23.75 SOUTH AFRICA KOREA BRAZIL SOUTH AFRICA BRAZIL Total Return (%) Return Total 20 6.27 -5.62 10.37 3.53 17.00 17.00 17.47 INDIA CHINA SOUTH AFRICA INDIA MEXICO 11.99 10.33 10.16 5.92 -7.07 4.36 2.91 11.99 10 GREECE MEXICO GREECE BRAZIL RUSSIA 0.96 -7.88 -3.49 -6.67 10.33 MEXICO INDIA RUSSIA RUSSIA SOUTH AFRICA 0 MSCI EM BRAZIL CHINA GREECE INDIA KOREA MEXICO RUSSIA SOUTH AFRICATAIWAN -2.24 -7.99 -4.61 -10.03 10.16
During FY17, International Emerging Markets (EM) Outcomes in key European elections and easing realized strong returns (+23.75%), led by China financial sector concerns spurred strong returns in (+32.19%), Korea (+34.88%) and Taiwan (+32.85%). peripheral Europe, with Greece returning +50.39%. EM proved resilient in the midst of weak commodity Renewed optimism in global economic growth prices and heightened geopolitical events, including prospects enabled China to realize strong returns a failed coup attempt in Turkey and presidential despite a downgrade of its sovereign ratings impeachments in Brazil and Korea. Notwithstanding spurred by concerns related to increased leverage. favorable returns in Russia (+10.33%), relative Brazil (+17.00%) underperformed, realizing returns lagged as Russia was adversely impacted by negative returns during 2Q17 in the midst of weak energy prices. another government corruption scandal.
Strong Emerging Market (EM) returns during FY17 marked a sharp reversal from the prior year and the first fiscal year since FY08 that EM outperformed the EAFE index, led by a strong rebound in China, Korea and Taiwan
Source: Bloomberg 12 FY17 Capital Markets Review By Quarter: Fixed Income Returns 3Q16 4Q16 1Q17 2Q17 FY17 Fiscal Year 2017 Select Capital Market Returns CCC Corp CCC Corp CCC Corp Long Treasuries CCC Corp 25 8.20 4.70 4.66 3.96 20.77
20.77 High Yield Corp High Yield Corp High Yield Corp BB Corp High Yield Corp 20 5.55 1.75 2.70 2.68 12.70 BB Corp BB Corp BB Corp Inv Grade Credit BB Corp 15 4.36 0.43 2.06 2.35 9.83 12.70 Inv Grade Credit Intermediate Treas Long Treasuries High Yield Corp Inv Grade Credit 9.83 10 1.23 -2.25 1.40 2.17 1.84 TIPS TIPS Inv Grade Credit CCC Corp TIPS 0.97 -2.41 1.30 1.85 -0.63 5 Intermediate Treas Inv Grade Credit TIPS Treasuries Intermediate Treas 1.84 Total Return (%) Return Total -0.26 -2.97 1.26 1.19 -1.33 0 -0.31 -0.63 Treasuries Treasuries Treasuries Intermediate Treas Treasuries -1.33 -2.32 -0.28 -3.84 0.67 0.66 -2.32 -5 Long Treasuries Long Treasuries Intermediate Treas TIPS Long Treasuries -7.22 -0.36 -11.67 0.54 -0.40 -7.22 -10 U.S. Treasuries TIPS Intermediate Long Inv Grade High Yield BB Corp CCC Corp Aggregate Treas Treasuries Credit Corp During FY17, Fixed Income (US Aggregate) realized Intermediate duration fixed income securities negative returns (-0.31%) as interest rates moved outperformed long duration securities in a rising higher in conjunction with tighter monetary policy. interest rate environment. Long Treasuries Investment grade credit (+1.84%) fared modestly (-7.22%) underperformed, with a return of -11.67% better than Treasuries (-2.32%) as spreads during 4Q16 as the benchmark thirty-year yield rose narrowed. Lower quality securities significantly 75 basis points (from 2.32% to 3.07%). CCC rated outperformed, rebounding from a challenging FY16, corporates (+20.77%) were the best performing as High Yield (+12.70%) spreads tightened by 230 quality sector of the credit markets, outperforming basis points (from 594 to 364 basis points). duration-matched Treasuries by 2,156 basis points.
During FY17, U.S. Treasuries realized negative returns in a rising interest rate environment. Lower quality securities significantly outperformed as high yield credit spreads tightened sharply.
Source: Barclays Capital 13 FY17 Capital Markets Review By Quarter: Commodities Returns 3Q16 4Q16 1Q17 2Q17 FY17 Fiscal Year 2017 Select Capital Market Returns Soft Commodities Livestock Precious Metals Wheat Industrial Metals 20 17.48 6.78 20.84 9.77 16.21 17.48 Industrial Metals Energy Gold Livestock Livestock 15 4.09 10.46 8.22 11.21 5.85 10 Precious Metals Brent Crude Industrial Metals Grains Wheat 5.85 0.24 7.55 7.62 4.22 -0.93 5 Gold Industrial Metals Wheat Gold Gold 0 -0.74 6.14 1.78 -0.77 -6.94 -0.93 Brent Crude Grains Livestock Industrial Metals Precious Metals -5 -2.15 1.32 0.14 -1.19 -8.43 -7.02 -6.94 -10 -8.43 Energy Wheat Grains Precious Metals Grains -10.26 Total Return (%) Return Total -3.74 -2.63 -1.58 -3.18 -10.26 -15 -12.79 -15.24 Grains Soft Commodities Soft Commodities Energy Brent Crude -20 -13.65 -11.32 -4.98 -9.88 -12.79 Wheat Gold Brent Crude Brent Crude Energy -23.03 -25 -13.98 -12.70 -7.71 -10.20 -15.24 -30 Livestock Precious Metals Energy Soft Commodities Soft Commodities Bloomberg Energy Brent Crude Grains Wheat Industrial Precious Gold Livestock Soft Commodity Metals Metals Commodities -21.34 -14.05 -11.54 -14.45 -23.03
FY17 marked the third consecutive year of Industrial metals (copper, aluminum, zinc and nickel) negative commodity returns driven by declining were the best performing commodities during FY17, energy prices. Brent crude oil and natural gas fortified by supply disruptions, accelerating industrial returned -13% and -10%, respectively. Surplus activity and an improving Chinese economic outlook. oil inventories, an insufficient response from Soft commodities, in contrast, remained weak for OPEC, and a quick ramp up in production three consecutive quarters as cotton was pressured following a temporary price rebound led to a by higher supply yields, coffee suffered from global -24% peak-to-trough return for crude oil from a economic growth concerns and the weak Brazilian January high to the low in June 2017. real, and supply concerns pushed sugar much lower during the first half of 2017 (down 37%).
The weak energy sector pushed commodities lower for a third consecutive fiscal year, partially offset by a strong recovery in industrial metals as global industrial production accelerated. Source: Bloomberg 14 FY17 Capital Markets Review By Quarter: Currency Returns 3Q16 4Q16 1Q17 2Q17 FY17 Fiscal Year 2017 Select Capital Market Returns Korean Won Brazil Real Mexican Peso Euro Australian $ 4 3.19 4.62 0.23 10.72 7.27 3.19 2.88 Australian $ Canadian $ Korean Won Swiss Franc Euro 1.85 2 1.60 2.86 -2.32 8.08 4.65 2.88 0.65 Japanese Yen Swiss Franc Australian $ British Pound Swiss Franc 0 1.82 -4.66 5.84 3.78 1.85 -0.14 -0.30 Euro British Pound Japanese Yen Mexican Peso Mexican Peso -2 1.16 -4.87 5.03 3.28 1.60 -2.15 -2.86 Swiss Franc Australian $ Brazil Real Canadian $ Korean Won -4 0.49 -5.95 4.20 2.73 0.65 Brazil Real Euro British Pound Australian $ Canadian $ -6 -1.45 -6.39 1.70 0.79 -0.30 Canadian $ Mexican Peso Swiss Franc Japanese Yen British Pound Total Return (%) vs US $ (%) Return Total -8 -1.54 -6.48 1.59 -0.85 -2.15 -8.16 British Pound Korean Won Euro Korean Won Brazil Real -10 -2.55 -8.78 1.28 -2.43 -2.86 Trade Euro Japanese Canadian $ Mexican British Australian $Swiss Franc Korean Brazil Real Weighted Yen Peso Pound Won Mexican Peso Japanese Yen Canadian $ Brazil Real Japanese Yen US$ -4.99 -13.39 0.91 -5.62 -8.16 The U.S. dollar reached a 14-year high versus major The U.S. Dollar ended FY17 largely unchanged currencies in late 2016, in response to expectations for versus a basket of major currencies, strengthening fiscal stimulus, including deregulation and tax reform. In against the Japanese yen while weakening versus contrast, the first half of 2017 proved to be the U.S. the Euro. Yen weakness is partly attributable to the dollar’s weakest stretch since 2011. The dollar Bank of Japan’s continued extraordinary monetary weakened by more than 6% versus a trade-weighted policy accommodation as well as 4Q16 concerns of basket of currencies in response to strengthening global weakening trade and economic growth prospects. economic growth prospects that outpaced U.S. growth The Mexican peso also weakened in 4Q16, but expectations and investor speculation that the Fed’s path managed a strong rebound during 2017, at the to tighter monetary policy may slow at the same time that same time that Emerging Markets broadly realized global central banks signaled a directional bias toward strong returns. more restrictive monetary policy.
The U.S. dollar was mixed during FY17, as dollar strength in late 2016 was offset by expectations for accelerating global growth, less accommodative global monetary policy and dollar weakness during 1H17. Source: Bloomberg 15
FY17 Capital Markets Review By Quarter: Private Equity Returns
(Returns in US$) Fiscal Year 2017 Select Capital Market Returns(1) 25 2Q16 3Q16 4Q16 1Q17 FY17 (Q lag)
21.19 Natural Resources Distressed Debt Natural Resources Buyouts Natural Resources 20 6.36 4.25 7.74 4.34 21.19 Mezzanine Buyouts Distressed Debt Growth Equity Distressed Debt 3.18 3.93 3.75 4.16 14.72 14.86 15 14.55 14.72 Buyouts Natural Resources Buyouts Distressed Debt Buyouts
12.02 2.84 3.82 2.76 3.37 14.55 11.48
Total Return (%) Return Total Distressed Debt Growth Equity Mezzanine Venture Capital Growth Equity 10 2.63 3.81 2.55 3.17 12.02 6.77 Growth Equity Venture Capital Growth Equity Mezzanine Mezzanine
5 1.55 3.37 2.03 2.51 11.48 Venture Capital Mezzanine Venture Capital Natural Resources Venture Capital 0.20 2.77 -0.06 1.93 6.77 0 Global Private Equity Buyouts Growth Equity Mezzanine Venture Capital Distressed Debt Natural Resources During the twelve months ended March 31, 2017, Returns for Venture Capital (+6.77%), while Global Private Equity (+14.86%) exhibited strong respectable, were somewhat dampened by performance led by a sharp rebound in Natural stretched valuations and spurts of Resources (+21.19%) as energy prices recovered weakness within the IPO market. during 2H16. Buyout strategies (+14.55%) Mezzanine (+11.48%) enjoyed consistent benefited from strong valuations, an active M&A returns throughout FY17. Overall, strong environment, and low borrowing costs while public equity returns provided a favorable Distressed Debt (+14.72%) strategies moved higher backdrop for the private markets, in conjunction with a supportive high yield market. particularly within Growth Equity (+12.02%).
Global Private Equity realized favorable performance over the last year, led by Buyouts and a sharp rebound in Natural Resources. The investment environment characterized by high equity valuations, outsized high yield returns and low interest rates provided additional support for the private markets.
(1) FY17 Private Equity returns are presented with a one quarter lag; returns are preliminary as of July 20, 2017 Source: Cambridge Associates 16 FY17 Capital Markets Review By Quarter: Real Estate Returns 2Q16 3Q16 4Q16 1Q17 FY17 (Q lag) Fiscal Year 2017 Select Capital Market Returns(1) Industrial Industrial Industrial Industrial Industrial 14 2.90 2.89 3.04 2.83 12.18 West West West West West 12.18 12 2.46 2.19 2.22 1.96 9.13 Retail Retail Apartment South Retail 2.17 1.98 1.67 1.83 7.56 10 9.13 Midwest Apartment Retail Retail South 1.99 1.72 1.65 1.56 6.96 8 7.56 7.27 6.96 Apartment South South Midwest Apartment 6.73 6.25 1.88 1.56 1.62 1.36 6.73
Total Return (%) Return Total 6 5.73 5.65 South East East Apartment Midwest 1.77 1.49 1.36 1.30 6.25 4 3.34 Office Midwest Office Office Office 1.74 1.46 1.35 1.26 5.73 2 East Hotel Midwest East East 1.73 1.35 1.29 0.95 5.65 0 Hotel Office Hotel Hotel Hotel NCREIF Office Industrial Retail Apartment Hotel East Midwest South West 1.46 1.26 0.67 -0.16 3.34 Notwithstanding low cap rates and pressure from Industrial properties were the best performing rising global bond yields, Real Estate (+7.27%) sector for each quarter, supported by broad earned favorable returns for the twelve months patterns of changes in distribution channels and ending March 31, 2017, marking the eighth logistics as the e-commerce sector continues to consecutive year of positive returns. Continued expand. Similarly, the West was the best favorable demand for high quality real estate and performing region of the real estate market for each relatively low levels of construction kept supply in quarter, buoyed by strength in the technology check as income producing assets remained sector. The fundamental outlook remained attractive in a moderate growth economy and a low constructive, with positive net absorption and interest rate environment. limited new supply in most property sectors. Real Estate continued to realize favorable returns over the last year supported by a constructive fundamental backdrop. Industrial property types and the western region of the U.S. were the best performers throughout the year, benefitting from strength in the technology sector. (1) FY17 Real Estate returns are presented with a one quarter lag Source: National Council of Real Estate Investment Fiduciaries 17
FY17 Capital Markets Review By Quarter: Hedge Fund Returns
Fiscal Year 2017 Select Capital Market Returns (1) 3Q16 4Q16 1Q17 2Q17 FY17
Activist Distressed/Restruct Equity Hedge Activist Activist 20 6.31 5.59 3.87 2.57 16.53 16.53 Distressed/Restruct Activist Credit Arbitrage Equity Hedge Distressed/Restruct 15.21 15 5.39 5.13 2.73 2.29 15.21 12.32 12.68 Credit Arbitrage Event Driven Distressed/Restruct Event Driven Event Driven 11.66 4.93 3.55 2.57 1.78 12.68 10 8.00 7.71 Equity Hedge Credit Arbitrage Event Driven Credit Arbitrage Equity Hedge 4.59 2.55 2.44 0.93 12.32 5 Event Driven Relative Value Relative Value Relative Value Credit Arbitrage
Total Return (%) Return Total 4.50 1.85 2.22 0.63 11.66 Relative Value Equity Hedge Activist Distressed/Restruct Relative Value 0 2.95 1.25 1.61 0.60 7.71 Macro Macro Macro Macro Macro -2.39 -1.03 -0.65 -0.10 -0.71 -2.39 -5 Systematic Div Systematic Div Systematic Div Systematic Div Systematic Div
-7.35 -2.72 -2.43 -1.20 -1.58 -7.35 -10 Hedge Funds Equity Hedge Event Driven Distressed/Restruct Credit Arbitrage Activist Macro Systematic Div Relative Value During FY17, Hedge Funds (+8.00%) rebounded Systematic strategies (-7.35%) realized from disappointing returns in FY16. Distressed negative returns, as trend following managers strategies (+15.21%) outperformed on the heels of experienced losses, particularly during 4Q16 outsized high yield returns and as energy markets and 2Q17. Macro strategy returns (-2.39%) recovered during 2H16. Strong returns in the were muted as volatility declined sharply. public markets benefited Equity Hedge (+12.32%), Reversals in currency and commodity Activist (+16.53%), and Credit (+11.66%) markets also adversely impacted macro and strategies. A recovery in M&A activity led to systematic strategies. favorable returns for Event Driven (+12.68%).
Most Hedge Fund strategies posted favorable returns during FY17 led by Distressed, Equity and Credit strategies, as financial markets recovered and strengthened. Declining volatility adversely impacted Macro and Systematic strategies. (1) FY17 Hedge Fund returns are preliminary as of July 20, 2017 Source: Hedge Fund Research, Inc. 18
Impact of Economic Growth, Earnings and Valuations on Equity Returns
S&P 500 Returns and U.S. GDP Growth S&P 500 Returns and Earnings Growth March 1954 to present March 1954 to present
30 30 There is little historical correlation
25 between U.S. economic growth 25 and coincident stock returns over rolling five year periods (R2=0.003) 20 20
15 15
10 10
5 5 5 Year Return (% Annualized) Annualized) Return (% Year 5 5 Year Return (% Annualized) Annualized) Return (% Year 5 There is somewhat more explanatory power in earnings 0 0 versus economic growth (R2=0.08) -5 -5 2 3 4 5 6 7 8 9 10 11 12 -7 -2 3 8 13 18 5 Year Nominal GDP Growth (% Annualized) 5 Year EPS Growth (% Annualized) S&P 500 Returns and Valuations Bloomberg Barclays Agg Returns and Valuations March 1990 to present March 1976 to present
30 20
There is a higher 18 25 correlation between beginning valuations and 16 20 subsequent stock returns 14 (R2=0.34) 12 15
10
10 For comparison purposes, 8 valuations provide much
6 more predictive power for 5 5 Year Return (% Annualized) Annualized) Return (% Year 5
5 Year Return (% Annualized) Annualized) Return (% Year 5 returns in fixed income 4 versus equities (R2= 0.87) 0 2
0 -5 1.00 3.00 5.00 7.00 9.00 11.00 13.00 15.00 27 25 23 21 19 17 15 13 11 Beginning Yield (%) Forward P/E Beginning valuations have historically provided more predictive power in determining stock returns versus coincident economic growth and earnings Source: Bloomberg Private Equity Portfolio Cash Flows 19
The Private Equity portfolio continues to generate significant distributions as the second quarter of 2017 marked the 19th consecutive quarter in which distributions exceeded $200 million. The portfolio also generated positive net cash flow for the 17th time in the last 19 quarters. Total distributions for the fiscal year were $1.5 billion and the portfolio was cash flow positive by $443 million. Over the past 5 fiscal years, the portfolio is cash flow positive by $2.6 billion.
Private Equity Cash Flows Since Inception 2,500,000,000
2,000,000,000
1,500,000,000
1,000,000,000
500,000,000
-
(500,000,000)
(1,000,000,000)
(1,500,000,000)
(2,000,000,000)
Net CF Contributions Distributions Real Estate Portfolio Cash Flows 20 During the second quarter of 2017, the Real Estate portfolio was cash flow positive by $73 million with $126 million of contributions and $198 million of distributions. Total distributions for the fiscal year were $863 million and the portfolio was cash flow positive by $142 million. Over the past 5 fiscal years, the portfolio is cash flow positive by $1 billion.
Real Estate Cash Flows Since Inception 1,500,000,000
1,000,000,000
500,000,000
-
(500,000,000)
(1,000,000,000)
(1,500,000,000)
Net CF Contributions Distributions 21 Fiscal Year 2017 State Appropriation
On June 30, 2017, the State made the following contributions to the retirement system:
Public Employees’ Retirement System $ 507,178,000 Teachers’ Pension and Annuity Fund $ 1,087,919,000 Police and Firemen’s Retirement System $ 195,221,000 State Police Retirement System $ 51,038,000 Judicial Retirement System $ 19,677,000 Consolidated Police and Fire Retirement System $ 575,000 Total $1,861,608,000
The above contributions represent approximately 4/10th of the full actuarially recommended contributions determined on the basis of the July 1, 2015 actuarial valuations. 22 Lottery
The Legislature has enacted P.L. 2017, c. 98 (the “Act”) pursuant to which the Treasurer has contributed the State Lottery Enterprise for a period of 30 years for the benefit of the Police and Firemen's Retirement System, the Public Employees' Retirement System and the Teachers’ Pension and Annuity Fund and deposited the same in Common Pension Fund L, which was created within the Division of Investment by the Act.
Net proceeds of the Lottery Enterprise are now for the exclusive benefit of the three pension funds list above in the percentages shown below:
Public Employees Retirement System 21.02% Teachers Pension and Annuity Fund 77.78% Police and Fire Retirement System 1.20%
Impact on Division of Investment: • DOI is tasked with managing the Lottery Revenue on behalf of the three pension funds. • Net proceeds of the Lottery Enterprise will be transferred to an account managed by Division of Investment on a monthly basis with the first transfer expected to take place in August 2017 • DOI will then transfer the cash to the three pension funds on a pro-rata basis based on the percentages shown above. To the degree any of the three funds have excess cash available, DOI will invest the proceeds as we normally do • Lottery will continue to be operated by the Division of Lottery • The Director of the Division of Investment is now a member of the Lottery Commission 23 Lottery Projected Lottery revenues for FY18 are $1,000,977,000 resulting in an expected average monthly contribution of $83.4 million. The State has indicated it will contribute $1.5 billion ($377 million quarterly) for Fiscal Year 2018.
Net Cash Flow Projections - Fiscal Year 2018 3,000,000,000 -
2,000,000,000 (500,000,000)
(1,000,000,000) 1,000,000,000
(1,500,000,000) - (2,000,000,000) (1,000,000,000) (2,500,000,000)
(2,000,000,000) (3,000,000,000)
(3,000,000,000) (3,500,000,000)
(4,000,000,000) (4,000,000,000) 3Q17 4Q17 1Q18 2Q1
Inflows Outflows Net Cashflow Rolling Net (RHS)
In total, the DOI projects inflows of $4.1 billion in Fiscal Year 2018 from the State contributions, Lottery revenue, and Local Employer contributions. Expected transfers to the Pension Funds for benefit payments are $9 billion for Fiscal Year 2018. Positive cash flows from the alternative investment portfolio are expected to be approximately $1.5 billion in Fiscal Year 2018. 24 Lottery 25 Noteworthy Developments
• Betty Carr, Senior Equity Portfolio Manager, retired effective July 1, 2017 after a 45 year career with DOI. Betty was responsible companies in the energy and utilities sectors. Coverage for these sectors has been transferred to other members of the public equity team. 26 Alternative Investment Notifications CVC Capital Partners VII, L.P.
Background: In March 2017, the Division presented an investment of up to €100 million in CVC Capital Partners VII, L.P. (the “Fund”), a fund managed by CVC Capital Partners VII Limited (“CVC”). At the March meeting, staff reported, based on information provided by CVC, that the Fund had not engaged a third-party solicitor in connection with New Jersey’s investment.
Modification: During the negotiation of final documents, CVC informed the Division that it had engaged an affiliated broker- dealer entity, CVC Funding LLC (“CVC Funding”), as its representative for marketing the Fund to investors. CVC apparently did not disclose CVC Funding as a “third party” solicitor during the initial due diligence because of its affiliation with CVC (the majority of CVC’s investor relations team is employed by CVC Funding). No fee was charged to the Fund or its investors (including Common Pension Fund E) for the services provided by CVC Funding. Prior to closing the investment at the end of May, staff determined that CVC Funding complied with the SIC’s Placement Agent Policy.
Impact on New Jersey: The use of an affiliated placement agent will have no impact on the investment.
Purpose of Notification: The Division is notifying the SIC of these transactions under its Modification Procedures. 27
Performance Appendix U.S. Equity Portfolio – As of May 31st 2017 28
The 18.56% return for the US equities portfolio outpaced the S&P 1500 benchmark by 137 basis points during the fiscal year-to-date time period. Large 25 Returns % cap growth stocks have led the markets higher, as investors wait for progress on 20 18.56 17.93 corporate tax reform, deregulation, and increased infrastructure spending. First 17.19 17.52 14.93 15.40 quarter corporate earnings increased 14.7% year-over-year on revenue growth of 15 US Equity 7.8%. Information technology was the best performing sector, increasing 37.26% 10.07 Portfolio fiscal year-to-date, ahead of the financials 29.34% return. Telecom services, 10 8.07 8.04 8.82 energy, and real estate were the laggards on higher interest rate expectations and S&P 1500 5 lower oil prices. Stock selection for the fund was strongest among information Benchmark technology, and financials, while healthcare and consumer staples lagged the benchmark. An overweight allocation to technology also benefited performance. 0 CYTD FYTD 1Yr 3Yr 5Yr
Portfolio +18.56% Benchmark +17.19% Excess +1.37% Portfolio Sector Attribution FYTD% - Breakdown of Excess Return: Return: Return: Return:
Allocation Effect Selection Effect % 1.00 0.88 0.80 0.53 0.60 0.39 0.40 0.14 0.16 0.20 0.06 0.09 0.01 0.00 0.01 0.00 0.03 0.06 0.02 0.00 0.03 -- -0.01 -0.20 -0.08 -0.04 -0.15 -0.40 -0.19 -0.21 Con. Disc. Staples Energy Fin. HC. Indus. Tech. Mat. Real Est. Tel. Utils. 30 Sector Performance % Sector Ending Weights % 24.66 50 42.11 25 22.57 40 34.03 37.26 20 29.34 30 13.97 13.99 20.94 20.24 15 13.78 13.51 17.72 20.19 17.77 12.51 11.52 20 17.31 9.97 10.74 8.57 8.37 5.61 10 8.82 10 3.18 5.04 6.54 6.99 5.69 3.42 2.59 5.66 3.25 3.49 5 3.60 3.26 2.24 0 2.03 2.13 -1.66 0 -10 -3.88 -4.70 -8.92 -9.11 Con. Staples Energy Fin. HC. Indus. Tech. Mat. RE Tel. Utils. -20 Disc. Con. Staples Energy Fin. HC. Indus. Tech. Mat. Real Tel. Utils. US Equity Portfolio S&P 1500 US Equity Portfolio S&P 1500 Disc. Est.
Source: State Street, Factset Non-US Developed Markets Equity Portfolio – As of May 31st 2017 29
For the fiscal year through May 31st, the Non-US Developed Markets Equity Portfolio returned 25.00 18.88% versus the Benchmark return of 19.40%. Renewed optimism regarding the global 19.40 growth outlook spurred a strong rally in markets starting at the end of 2016, especially in Non-US 20.00 18.88 Europe, as strong macroeconomic data and favorable outcomes in the Dutch and French 15.73 Developed elections eased some of the uncertainty over the stability of the European Monetary Union. Markets 13.50 15.43 Yet, political and economic instability rose in the UK with the formal declaration to exit the 15.00 Equity 12.82 European Union and the unexpected results of the early Parliamentary elections. Portfolio 9.71 Portfolio performance benefited from a low exposure to oil which was reflected as an underweight 10.00 9.64 allocation to both the Energy sector and to Canada. Strong stock selection in Canada also Return% EAFE+Canada added to returns. Detracting from performance was the underweight to and stock selection in ex Prohibited Benchmark Financials (up +32%), as this battered sector experienced a turnaround in sentiment due to a 5.00 1.55 rising perception its bad loan and profitability issues are improving. The overweight allocation 1.28 to Health Care adversely impacted returns, as this sector underperformed. Stock selection in 0.00 France and Japan also hurt performance. CYTD FYTD 1Yr 3Yr 5Yr Portfolio +14.91% Benchmark +15.53% Excess (0.62%) Portfolio Sector Attribution FYTD% - Breakdown of Excess Return: Return: Return: Return: ) % Allocation Effect 0.17 Selection Effect 0.20 0.13 0.08 0.07 0.04 0.05 0.04 0.04 0.10 0.02 0.03 0.04 0.00 0.00 -0.10 -0.04 -0.03 -0.01 -0.02 -0.02 -0.03 -0.01 -0.20 -0.08 -0.09 -0.09 -0.30 -0.19 -0.21 Financials Con. Staples Materials Utilities Con. Tele. Services Energy Real Estate Industrials Info. Technology Health Care Funds Discretionary
Portfolio +14.91% Benchmark +15.53% Excess (0.62%) Portfolio Country Attribution FYTD% - Breakdown of Excess Return: Return: Return: Return: Top 3 best and 3 worst Top 3 best and 3 worst contributors to 0.06 0.04 contributors to return from 0.15 0.12 return from investment decisions 0.04 0.03 investment decisions regarding 0.08 regarding Stock Selection 0.02 0.10 0.07 0.02 Country Allocation 0.05 0.00 0.00
-0.02 Effect % -0.05 -0.04 -0.02 -0.03 -0.10 -0.06 -0.10 -0.15 Allocation Allocation Effect % -0.08 Selection -0.08 -0.20 -0.10 -0.19 -0.25 -0.20 Canada Israel Italy France Mexico Spain Canada Switzerland United Australia France Japan Kingdom Source: State Street, Factset Emerging Markets Equity Portfolio – As of May 31st 2017 30 In USD
For the fiscal year through May 31st, the Emerging Markets Equity Portfolio returned 21.76% versus the 30.00 27.66 Benchmark return of 22.68%. Emerging market equities advanced 2.5% in May, marking the fifth 26.69 Emerging consecutive month of outperformance versus the developed markets and pushing FYTD returns to 23% 25.00 22.68 Markets vs. 20% for developed markets. Emerging Markets continued to show resiliency amidst concerns of 21.76 Equity economic instability, weak global commodity prices, and geopolitical events – in particular, a failed Portfolio 20.00 17.60 coup attempt in Turkey and presidential impeachments in South Korea and Brazil. During the month of 17.03 May, China rose 5.3% despite a downgrade by Moody’s of its sovereign debt. The MSCI Brazil Index EM declined -5.7%, as a government corruption crisis spiraled and appeared to implicate President Temer. 15.00 Benchmark
Emmanuel Macron’s presidential election victory in France strengthened the euro and aided returns in Return% ex European peripheral countries like Hungary and Greece. The Russian market continued it’s decline, 10.00 Prohibited pressured by weak oil prices as well as news over possible ties to Trump’s administration. Portfolio 4.92 performance benefited the most from strong stock selection in South Korea and an underweight to 5.00 1.93 4.13 Malaysia. An underweight to China hurt performance, as did poor stock selection in Brazil. In terms of 0.96 sectors, Consumer Staples led performance as a result of being underweight combined with strong 0.00 stock selection, while Energy detracted as a result of poor stock selection. CYTD FYTD 1Yr 3Yr 5Yr
% Portfolio Country Attribution FYTD% - Breakdown of Excess Return: Portfolio +21.76% Benchmark +22.68% Excess (0.92%) Return: Return: Return:
0.80 Allocation Effect Selection Effect 0.45 0.34 0.32 0.32 0.40 0.14 0.26 0.23 0.25 0.20 0.30 0.06 --
-0.20 -0.01 -0.01 -0.06 -0.03-0.17 -0.04 -0.03 -0.07 -0.07 -0.70 -0.30 -0.55 -0.43
Portfolio Country Attribution FYTD% - Breakdown of Excess Return: Portfolio +21.76% Benchmark +22.68% Excess (0.92%) Return: Return: Return:
0.60 0.54 0.40 0.36 0.28 0.50 0.30 0.35 0.21 0.40 0.20 0.30 0.23 0.10 0.20 Effect Effect % 0.00 0.10 -0.10 0.00 -0.20 -0.12 -0.10 -0.20 -0.10 -0.11 -0.30 Selection
Allocation Allocation Effect % -0.27 -0.30 -0.40 -0.40 -0.50 -0.39 -0.34 Korea South Mexico Poland China Brazil Malaysia Argentina Panama Philippines Turkey China Africa Source: State Street, Factset Domestic Fixed Income Portfolio – As of May 31, 2017 31
For F17 year-to-date performance, the US Fixed Income portfolio Returns % returned 2.13% versus the benchmark return of 2.10%. Relative 3.50 3.24 returns were positively impacted by a short duration bias across 3.03 3.00 the portfolio, outperformance within High Yield and an overweight allocation to TIPS. Through May 31st, the Barclays 2.50 High Yield Index, Custom IG Credit and US Government 2.13 2.10 Fixed Income Portfolio Benchmarks returned 12.55%, 0.80% and -1.81%, respectively. As 2.00 interest rates have broadly risen since the start of the fiscal year Fixed Income Policy the portfolio has benefited from its short duration position. 1.50 Benchmark However, as credit spreads have tightened the portfolio’s 0.89 defensive positioning has offset much of those gains. Fiscal-year- 1.00 0.76 to-date, TIPS have outperformed nominal Treasuries by 0.50 approximately 248 basis points. The Portfolio’s allocation to TIPS within the US Government sector has helped boost performance 0.00 versus its index and the broader composite benchmark. MTD CYTD FYTD
Portfolio Sector Attribution – Weights and Performance
Source: State Street and FactSet "HFOEB*UFNC
NEW JERSEY DIVISION OF INVESTMENT
INVESTMENT REPORTING PACKAGE
May 2017
“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.” New Jersey Division of Investment Actual Allocation vs FY 2017 Investment Plan Target 05/31/2017 Actual Allocation % Target % Difference % Allocation $ Absolute Return/Risk Mitigation 4.11% 5.00% -0.89% 3,084.53 Risk Mitigation 4.11% 5.00% -0.89% 3,084.53 Cash Equivalents (1) 4.96% 5.50% -0.54% 3,718.23 Short Term Cash Equivalents 0.63% 0.00% 0.63% 476.17 TIPS 0.48% 0.00% 0.48% 360.72 US Treasuries 1.77% 3.00% -1.23% 1,324.78 Total Liquidity 7.84% 8.50% -0.66% 5,879.90 Investment Grade Credit 9.51% 10.00% -0.49% 7,136.78 Public High Yield 2.05% 2.50% -0.45% 1,538.83 Global Diversified Credit 4.70% 5.00% -0.30% 3,523.68 Credit Oriented Hedge Funds 2.49% 1.00% 1.49% 1,871.04 Debt Related Private Equity 0.96% 2.00% -1.04% 723.81 Debt Related Real Estate 0.60% 1.00% -0.40% 447.46 Total Income 20.32% 21.50% -1.18% 15,241.60 Commodities 0.25% 0.00% 0.25% 186.94 Private Real Assets 2.51% 2.50% 0.01% 1,883.40 Equity Related Real Estate 5.33% 6.25% -0.92% 3,996.98 Total Real Return 8.09% 8.75% -0.66% 6,067.32 US Equity 28.50% 30.00% -1.50% 21,377.73 Non-US Developed Markets Equity 11.61% 11.50% 0.11% 8,709.02 Emerging Markets Equity 6.42% 6.50% -0.08% 4,815.90 Equity Oriented Hedge Funds 1.45% 0.00% 1.45% 1,084.51 Buyouts/Venture Capital 9.15% 8.25% 0.90% 6,865.35 Total Global Growth 57.12% 56.25% 0.87% 42,852.51 Opportunistic Investments 0.44% 0.00% 0.44% 314.17 Police and Fire Mortgage Program (2) 1.52% 0.00% 0.21% 1,156.11 Other Cash and Receivables 0.57% 0.00% 0.57% 426.05 Total Pension Fund 100.00% 100.00% 0.00% 75,022.19 1 The cash aggregate comprises the two common 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.
Asset Allocation Current Asset Allocation Target Risk Risk Mitigation Mitigation Liquidity 4.11% 5.00% Liquidity, 7.84% 8.50%
Income Income, 20.32% 21.50% Global Global Growth, Growth 56.25%, 57.12% Real Return 8.09% Real Return, 8.75%
1 New Jersey Division of Investment Performance Charts 05/31/17
Total Fund as of 05/31/17 (1)
14.00
12.00
10.00
8.00
6.00
4.00
2.00
0.00 1 Month YTD FYTD 1 Year 3 Year 5 Year 10 Year 20 Year 25 Year Total Fund 1.32 6.80 11.97 12.62 5.69 9.04 5.38 6.96 8.10 Benchmark 1.17 6.49 12.18 12.83 5.53 8.93 4.61
(1) Excludes Police & Fire Mortgage Program
2 New Jersey Division of Investment Performance Charts 05/31/17
FYTD Performance by Asset Class as of 05/31/17 25.00
20.00 17.14 17.12
15.00 11.97 12.18 9.27 10.00 7.67 6.86 6.67 Portfolio 5.00 3.04 3.18 Benchmark 0.00 -0.81 -0.37 -5.00 Total Fund (1) Risk Mitigation Liquidity Income Real Return Global Growth
FYTD Risk Mitigation Performance as of 05/31/17 4.00 3.50 3.04 3.18 3.00 2.50 Portfolio 2.00 1.50 Benchmark 1.00 0.50 0.00 Portfolio Benchmark (1) Excludes Police & Fire Mortgage Program
3 New Jersey Division of Investment Performance Charts 05/31/17 FYTD Liquidity Performance as of 05/31/17
4.00 3.00 2.00 0.99 1.00 0.40 0.31 0.00 Portfolio -1.00 -0.37 -0.24 -0.81 Benchmark -2.00 -3.00 -2.16 -4.00 -3.62 -5.00 Liquidity Total Cash & Short Term Treasuries TIPS
FYTD Income Performance as of 05/31/17 25.00 19.88 20.00 14.27 15.00 12.55 12.38 12.55 13.51 10.61 8.78 10.00 7.67 Portfolio 6.86 6.06 Benchmark 5.00 2.06 0.87 0.80 0.00 Income Investment Global Public High Credit Debt Related Debt Related Grade Credit Diversified Yield Oriented PE RE Credit Hedge Funds
4 New Jersey Division of Investment Performance Charts 05/31/17
FYTD Real Return Performance as of 05/31/17 25.00 20.26 20.00 15.00 9.27 10.03 10.00 6.67 5.94 5.72 Portfolio 5.00 Benchmark 0.00 -5.00 -3.25 -10.00 -6.32 Real Return Private Real Assests Commodities Real Estate
FYTD Global Growth Performance as of 05/31/17 30.00
25.00 21.76 22.68 19.40 20.00 18.56 18.88 17.1417.12 17.19 16.40
15.00 12.55 Portfolio 9.39 10.00 7.97 Benchmark
5.00
0.00 Global US Equity Non US Emerging Equity Hedge Buyouts Growth Developed Equity Markets Funds* Venture Capital
*Reported on a 1 month lag
5 New Jersey Division of Investment Pension Fund Performance Versus Benchmark 05/31/17 1 month YTD FYTD 1 Year 3 Years 5 Years 10 Years Domestic Equity with Cash, Hedges, Miscellaneous 0.79 8.00 18.42 17.80 8.80 14.73 7.48 S&P 1500 Composite 1.16 8.04 17.19 17.52 10.07 15.40 7.07 Equity Only (Ex Cash) 0.80 8.07 18.56 17.93 8.82 14.93 Equity Only-Diversified Fund 1.32 8.35 18.20 18.16 9.49 14.85 Equity Only-Concentrated Fund 0.29 7.81 19.15 17.96 8.35 15.45 Domestic Fixed Income with Cash, Hedges, Miscellaneous 0.76 3.84 4.84 6.60 4.05 4.14 7.35 Fixed Income Blended Benchmark 0.88 3.48 4.76 6.58 3.47 3.63 6.43 Investment Grade 0.73 2.84 0.17 2.10 2.56 2.45 6.40 Investment Grade Blended Benchmark 0.89 2.66 0.11 2.37 2.61 2.27 6.46 High Yield 0.85 5.83 13.79 15.27 7.18 9.95 Barclays High Yield Index 0.87 4.79 12.55 13.58 4.73 7.31 International Equity with Cash, Hedges, Miscellaneous 3.02 14.32 19.85 18.59 1.35 7.57 0.47 MSCI All World Country Index (ex US) 3.24 13.74 20.08 18.24 1.26 8.39 1.18 Custom International Equity Markets Index 3.26 14.56 20.59 19.67 1.64 8.06 Developed Markets Equity 3.45 13.50 18.88 15.43 1.55 9.71 Custom International Equity Developed Markets Index 3.35 12.82 19.40 15.73 1.28 9.64 Emerging Markets Equity 2.60 17.03 21.76 26.69 0.96 4.12 Custom International Equity Emerging Markets Index 3.06 17.60 22.68 27.66 1.93 4.92 Alternative Investments 1.29 3.87 7.26 9.23 6.85 8.72 4.41 Hedge Funds 0.35 3.45 8.20 9.03 3.00 5.51 3.06 HFRI Fund of Funds Composite (one month lag) 0.51 3.82 5.68 6.21 2.19 3.38 1.12 Private Equity 2.16 3.87 8.02 9.95 12.76 14.47 8.34 Cambridge Associates (Data only available quarterly) 1 0.00 2.59 9.39 9.46 8.72 12.06 9.57 Real Estate 1.95 5.08 5.18 7.49 10.30 11.85 (1.74) Real Estate Index (Data only available quarterly) 1 0.00 1.88 5.72 7.79 11.04 11.40 7.06 Real Assets/Commodities (0.42) 3.38 6.86 14.66 (1.64) (0.42) Bloomberg Commodity Index (1.33) (5.07) (6.32) (2.45) (14.58) (8.24) Plan Cash 2 0.10 0.52 1.23 1.34 1.31 0.89 US Treasury Bills (3 month) 0.06 0.23 0.38 0.41 0.18 0.13 Total Pension Fund 1.31 6.72 11.82 12.45 5.64 8.95 Total Pension Fund ex Police and Fire Mortgages 1.32 6.80 11.97 12.62 5.69 9.04 5.38 Total Fund Benchmark 1.17 6.49 12.18 12.83 5.53 8.93 4.61 1 Cambridge Associates & NCREIF (NPI) Benchmarks are only reported on an quarterly basis, non quarter-end months are reported as 0% 2The cash aggregate comprises the seven plan cash accounts
6 New Jersey Division of Investment Domestic Equity May 31, 2017
Top Holdings % of Company Portfolio APPLE INC 3.80 ALPHABET INC 3.07 MICROSOFT CORP 2.98 FACEBOOK INC 2.43 AMAZON.COM 2.23 JOHNSON & JOHNSON 1.86 EXXON MOBIL CORP 1.75 JP MORGAN CHASE 1.66 WALT DISNEY CO 1.44 BANK OF AMERICA 1.36
Portfolio Sector Weightings
25.00 20.00 15.00 10.00 5.00 0.00
Domestic Equity Portfolio Benchmark
7 New Jersey Division of Investment Investment Grade Portfolio May 31, 2017
Portfolio Benchmark(1) Difference Issuer Name (2) Market Value [%] S & P's Quality Rating AA-3 A+ N/A T U.S Treasury 15.93% Coupon (%) 3.31 4.70 1.37 TII U.S. Tips 4.02% Yield to Maturity 2.58 3.77 -1.19 MP Prov of Manitoba 3.83% Duration 6.10 6.17 -0.07 ONT Prov of Ontario 3.81% Option Adjusted Spread 64.00 109.00 -45.00 AID Aid to Israel 3.06% Convexity 0.27 1.64 -1.37 Q Prov of Quebec 3.03% Maturity (yrs) 7.12 8.71 -1.59 BRCOL Prov of Brit Columbia 2.36% *This is a custom benchmark AAPL Apple 2.24% QHEL Hydro Quebec 2.17% INTC Intel 2.17%
(3) Maturities Portfolio Benchmark(1) Sectors By % 0-5yr 38.15 0.00 ASSET BACKED CMO 5-10yr 50.29 0.53 AGENCY 0.0% 0.0% 10-15yr 4.14 9.40 6.6% 15-20yr 1.03 12.38 YANKEE 33.4% 20-25yr 0.59 25.36 25-30yr 3.74 48.17 MUNICIPAL CORPORATE >30yr 0.18 4.16 4.8% Unclassified 1.88 0.00 52.7% MORTGAGE (1) Custom Benchmark PASS- (2) Includes all affiliated entities THROUGH (3) Excluding US Treasuries and Tips 0.3% FOREIGN 1.1%
8 New Jersey Division of Investment International Equity 05/31/17
Top Holdings % of Company Portfolio ISHARES MSCI EAFE ETF 2.14 ISHARES MSCI TAIWAN 1.49 SAMSUNG ELECTRONICS 1.37 ISHARES MSCI INDIA 1.37 TENCENT HOLDINGS 1.22 TAIWAN SEMICONDUCTOR 1.09 ROCHE HOLDING AG 1.06 NESTLE SA REG 1.04 NOVARTIS AG REG 0.93 SSC GOVERNMENT MM GVMXX 0.84
Portfolio Sector Weightings
25.00 20.00 15.00 10.00 5.00 --
International Equity Portfolio Benchmark
9 New Jersey Division of Investment International Equity Exposure by Country 05/31/17
Custom Net Foreign Custom Net Foreign International Currency International Currency Equity % Equity Index Hedge Exposure Equity % Equity Index Hedge Exposure Developed Markets: Emerging Markets: Developed - Euro EM - Global 0.0 0.0% 0.0% 0.0 Austria 12.4 0.1% 0.1% 12.4 EM - Europe/Middle East/Africa Belgium 108.2 0.8% 0.7% 108.2 Bahrain 1.9 0.0% 0.0% 1.9 Finland 63.4 0.5% 0.6% 63.4 Cyprus 0.3 0.0% 0.0% 0.3 France 753.8 5.6% 5.6% 753.8 Czech Republic 27.4 0.2% 0.1% 27.4 Germany 793.6 5.9% 5.7% 793.6 Egypt 18.5 0.1% 0.1% 18.5 Ireland 38.0 0.3% 0.3% 38.0 Greece 15.8 0.1% 0.1% 15.8 Italy 177.1 1.3% 1.1% 177.1 Hungary 52.9 0.4% 0.1% 52.9 Netherlands 260.2 1.9% 2.1% 260.2 Kazakhstan 1.8 0.0% 0.0% 1.8 Portugal 18.4 0.1% 0.1% 18.4 Morocco 2.6 0.0% 0.0% 2.6 Spain 256.4 1.9% 2.1% 256.4 Poland 76.9 0.6% 0.5% 76.9 Euro Currency -477.9 -477.9 Qatar 14.3 0.1% 0.3% 14.3 Developed - Non-Euro Russia 203.3 1.5% 1.1% 203.3 Australia 541.9 4.0% 4.1% 541.9 South Africa 328.3 2.4% 2.5% 328.3 Canada 718.1 5.3% 5.4% 718.1 Turkey 106.8 0.8% 0.4% 106.8 Denmark 150.4 1.1% 1.1% 150.4 United Arab Emirates 25.5 0.2% 0.3% 25.5 Hong Kong 277.3 2.0% 2.1% 277.3 EM - Latam Israel 48.7 0.4% 0.4% 48.7 Argentina 55.6 0.4% 0.0% 55.6 Japan 1,905.9 14.1% 13.7% -271.3 1,634.6 Brazil 402.6 3.0% 2.5% 402.6 New Zealand 7.3 0.1% 0.1% 7.3 Chile 35.0 0.3% 0.4% 35.0 Norway 58.6 0.4% 0.4% 58.6 Colombia 4.4 0.0% 0.2% 4.4 Singapore 83.1 0.6% 0.8% 83.1 Mexico 183.3 1.4% 1.3% 183.3 Sweden 239.9 1.8% 1.7% 239.9 Panama 8.5 0.1% 0.0% 8.51 Switzerland 782.6 5.8% 5.3% 782.6 Peru 27.5 0.2% 0.1% 27.5 United Kingdom 1,496.2 11.0% 10.7% -129.1 1,367.1 EM - Asia ex Japan China 1,126.5 8.3% 9.9% 1,126.5 India 380.0 2.8% 3.2% 380.0 Indonesia 176.4 1.3% 0.9% 176.4 Korea 720.5 5.3% 5.7% 720.5 Malaysia 82.9 0.6% 0.9% 82.9 Pakistan 35.5 0.3% 0.0% 35.5 Philippines 64.2 0.5% 0.4% 64.2 Taiwan 483.5 3.6% 4.5% 483.5 Thailand 106.7 0.8% 0.8% 106.7
10 New Jersey Division of Investment Cash Management Fund 05/31/17 PARTICIPATION VALUE PERCENTAGE STATE $12,789 74.14% NON-STATE $4,462 25.86%
TOTAL* $17,251 100.00% *Total is at market. Dollar amounts in millions **Total is at base market value.
PORTFOLIO ANNUALIZED INTEREST RATES DATE STATE NON-STATE AVG. DAYS Percentage 31-May-17 5/31/2017 0.82% 0.76% 65 UST NOTES 33.51% $ 5,785,838,274 UST BILLS 30.60% $ 5,284,052,863 0.01% UST NOTES 4.09% 3.87% UST BILLS COMM PAPER 18.20% $ 3,141,816,563 9.73% 33.51% COMM PAPER CERT. OF DEPOSIT 9.73% $ 1,679,974,596
CERT OF DEPOSIT 18.20% CORPORATE BONDS 4.09% $ 705,904,820 30.60% CORPORATE BONDS GOVT AGENCY 3.87% $ 667,459,618 GOVT AGENCY STATE STREET STIF 0.01% $ 2,413,072 STATE STREET STIF TOTAL** 100.00% $ 17,267,459,806
11 State Investment Council Regulation Violations and Other Reportable Matters May 31, 2017
Newly Reported Violations Date of Regulation Description of Violation Date Corrected Violation Violated No reportable violations.
Status of Outstanding Violations Previously Reported Date of Regulation Description of Violation Date Corrected Violation Violated There are no outstanding matters.
Other Reportable Matters Description There are no other reportable matters.
Page 12 New Jersey Division of Investment Alternative Investments 05/31/2017
Alternative Investments as of May 31 2017 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date. May-17 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value 2 Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Private Equity Co-Investments 1,675,000,000 939,591,315 742,344,310 978,774,706 602,267,009 1,581,041,715 1.68 NB/NJ Custom Investment Fund II Apr-12 Mar-17 200,000,000 177,195,859 22,804,141 190,213,254 164,092,000 354,305,255 2.00 NJ Roark Co-Invest Fund III LLC Jan-14 Mar-17 75,000,000 15,102,418 59,897,582 13,525,786 3,574,038 17,099,824 1.13 SONJ Private Opportunities Fund II, L.P. Nov-07 Mar-17 1,300,000,000 650,633,828 656,301,797 756,772,964 332,961,950 1,089,734,914 1.67 SONJ Private Opportunities Fund, L.P. Sep-06 Mar-17 100,000,000 96,659,210 3,340,790 18,262,701 101,639,021 119,901,722 1.24
Distressed Debt 1,827,807,307 1,228,645,903 769,881,015 523,812,341 1,152,108,070 1,675,920,411 1.36 Avenue Asia Special Situations Fund IV Aug-06 Mar-17 30,000,000 26,283,722 0 390,659 26,871,813 27,262,472 1.04 Avenue Special Situations Fund V, LP May-07 Mar-17 200,000,000 200,000,000 0 253,668 266,102,691 266,356,359 1.33 Avenue Special Situations IV Nov-05 Mar-17 20,000,000 20,000,000 0 73,907 28,074,295 28,148,202 1.41 BSP Special Situations Fund L.P. Jan-17 Mar-17 150,000,000 32,375,877 117,624,123 36,921,742 0 36,921,742 1.14 Catalyst Fund LP V Nov-15 May-17 100,000,000 22,500,000 81,900,034 20,766,996 8,274,492 29,041,488 1.29 Centerbridge Capital Partners II, L.P. May-11 Mar-17 100,000,000 138,423,088 15,033,380 75,351,811 76,367,904 151,719,715 1.10 Centerbridge Capital Partners, L.P. Jun-06 Mar-17 80,000,000 125,175,829 5,843,348 19,456,546 207,102,750 226,559,296 1.81 GoldenTree NJ Distressed Fund 2015 GP LLC Feb-16 Mar-17 300,000,000 97,000,000 203,000,000 111,228,057 0 111,228,057 1.15 HIG Bayside Debt & LBO II May-08 Mar-17 100,000,000 100,033,335 16,236,064 73,870,132 81,684,434 155,554,567 1.56 KPS Special Situations Fund III, LP May-07 Mar-17 25,000,000 24,729,656 10,998,661 7,976,199 36,674,668 44,650,867 1.81 KPS Special Situations Fund IV, LP Apr-13 Mar-17 200,000,000 32,486,966 177,888,769 16,885,818 29,142,832 46,028,650 1.42 MatlinPatterson Global Opps. Ptnrs. III Jun-07 Mar-17 100,000,000 104,278,178 3,436,976 61,609,842 70,326,018 131,935,860 1.27 MHR Institutional Partners III, L.P. May-07 May-17 75,000,000 79,500,000 26,153,979 32,873,343 79,698,345 112,571,688 1.42 MHR Institutional Partners IV, L.P. Jul-14 May-17 100,000,000 29,000,000 78,012,012 20,094,822 7,348,723 27,443,545 0.95 TPG Financial Partners, L.P. May-08 Mar-17 47,807,307 35,285,615 104,477 1,088,968 35,178,485 36,267,453 1.03 TPG Opportunities Partners II, L.P. Mar-12 Mar-17 100,000,000 69,794,467 30,205,533 31,192,679 85,966,104 117,158,783 1.68 WLR Recovery Fund IV, LP Oct-07 Mar-17 100,000,000 91,779,170 3,443,659 13,777,150 113,294,516 127,071,666 1.38
Domestic Midmarket Buyout 3,729,660,000 3,197,269,195 931,139,354 2,207,290,692 2,536,086,450 4,743,377,142 1.48 American Industrial Partners Capital Fund V Dec-11 Mar-17 50,000,000 57,915,133 3,233,738 60,423,074 19,172,083 79,595,157 1.37 American Industrial Partners Capital Fund VI, L.P. Sep-15 Mar-17 75,000,000 32,039,502 45,550,205 29,105,890 2,589,707 31,695,597 0.99 Court Square Capital Partners II, L.P. May-07 Mar-17 100,000,000 91,528,705 10,025,168 25,301,938 143,569,879 168,871,817 1.85 Excellere Capital Fund III, L.P. Jul-15 Mar-17 40,000,000 251,175 39,748,825 0 0 0 0.00 InterMedia Partners VII, L.P. Dec-05 Mar-17 75,000,000 96,473,202 969,625 7,023,234 92,415,909 99,439,143 1.03 JLL Partners Fund VI, LP Jun-08 Mar-17 150,000,000 191,210,126 27,271,361 159,406,332 172,385,258 331,791,590 1.74 JLL Partners VII, LP Mar-16 Mar-17 150,000,000 23,711,964 126,288,036 23,707,364 0 23,707,364 1.00 Lindsay Goldberg III, L.P. Jul-08 Mar-17 200,000,000 192,289,692 12,523,294 104,347,997 154,427,249 258,775,246 1.35 Lindsay, Goldberg & Bessemer II, L.P. Jul-06 Mar-17 100,000,000 93,157,698 6,842,302 19,988,317 112,381,384 132,369,701 1.42 Marlin Equity Partners IV Jun-13 Mar-17 75,000,000 50,162,709 24,840,085 53,191,408 717,746 53,909,154 1.07 New Mountain Partners III, L.P. May-07 Mar-17 100,000,000 109,431,553 7,473,728 70,535,531 119,321,968 189,857,499 1.73 Oak Hill Capital Partners II, L.P. Jul-05 Mar-17 75,000,000 83,565,086 136,931 5,917,759 127,688,435 133,606,193 1.60 Oak Hill Capital Partners III, L.P. Oct-07 Mar-17 250,000,000 306,921,508 12,316,308 152,446,812 312,487,441 464,934,253 1.51 Onex Partners II, LP Aug-06 Mar-17 100,000,000 88,781,604 11,218,396 9,918,755 162,282,743 172,201,498 1.94 Onex Partners III, LP Dec-08 Mar-17 100,000,000 108,661,114 10,218,605 61,336,436 124,405,616 185,742,052 1.71 Onex Partners IV, LP May-14 Mar-17 166,490,000 114,403,897 52,086,103 110,059,418 7,076,079 117,135,497 1.02 Quadrangle Capital Partners II Aug-05 Mar-17 50,000,000 47,087,713 2,610,121 7,068,517 62,138,347 69,206,864 1.47 Roark Capital Partners III L.P. Sep-12 Mar-17 100,000,000 94,886,601 13,588,383 106,999,402 21,508,441 128,507,843 1.35 Sterling Capital Partners IV, L.P. Apr-12 Mar-17 100,000,000 97,949,870 8,046,819 65,630,366 28,165,968 93,796,334 0.96 Tenex Capital Partners II, LP Mar-16 Mar-17 78,170,000 20,914,332 57,255,668 19,067,199 237,127 19,304,326 0.92 Tenex Capital Partners, L.P. Jan-11 Mar-17 50,000,000 61,250,542 9,166,983 42,996,450 46,207,972 89,204,422 1.46 13 New Jersey Division of Investment Alternative Investments 05/31/2017 May-17 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value 2 Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Tenex Capital Partners LP - Secondary Feb-13 Mar-17 20,000,000 22,196,161 3,666,793 17,238,000 17,034,528 34,272,528 1.54 The Resolute Fund II, L.P. Dec-07 Mar-17 100,000,000 99,566,929 10,461,782 54,428,052 90,029,614 144,457,666 1.45 TPG [STAR], LP Mar-07 Mar-17 100,000,000 110,111,123 1,958,414 55,072,636 119,344,262 174,416,898 1.58 TPG Growth II, L.P. Jun-12 Mar-17 100,000,000 91,479,735 15,281,781 166,031,592 31,717,233 197,748,825 2.16 TPG Growth III(A), L.P. Jan-15 Mar-17 150,000,000 74,774,898 82,604,568 70,353,400 10,305,418 80,658,818 1.08 TSG 7 A L.P. Nov-15 Mar-17 80,000,000 27,040,147 52,959,853 25,454,242 0 25,454,242 0.94 TSG 7 B L.P. Nov-15 Mar-17 20,000,000 2,028,061 17,971,939 1,463,810 0 1,463,810 0.72 Vista Equity Partners Fund III, L.P. Jul-07 Mar-17 100,000,000 106,136,846 6,214,090 43,307,153 227,066,675 270,373,828 2.55 Vista Equity Partners Fund IV, L.P. Oct-11 Mar-17 200,000,000 209,628,444 27,293,071 187,307,119 195,561,735 382,868,854 1.83 Vista Equity Partners Fund V, L.P. Mar-14 Mar-17 200,000,000 210,649,845 37,379,658 195,764,361 48,103,211 243,867,572 1.16 Vista Equity Partners Fund VI, L.P. Nov-16 Mar-17 200,000,000 96,992,749 103,007,251 93,830,494 134,741 93,965,235 0.97 Vista Foundation Fund II, L.P. Nov-13 Mar-17 75,000,000 67,539,996 7,460,004 77,834,240 0 77,834,240 1.15 Vista Foundation Fund III, L.P. Nov-16 Dec-16 100,000,000 17,285,271 82,714,729 15,869,106 18,362 15,887,468 0.92 Welsh, Carson, Anderson & Stowe XI, L.P. Oct-08 Mar-17 100,000,000 99,245,264 754,736 68,864,288 87,591,319 156,455,608 1.58
Emerging Managers 400,000,000 434,085,397 27,907,369 275,440,958 444,066,593 719,507,551 1.66 Grosvenor/NJDI Emerging Opp 200,000,000 239,125,026 16,374,353 88,714,069 270,060,908 358,774,976 1.50 Grosvenor/NJDI Emerging Opp (2007) Apr-07 Dec-16 100,000,000 121,162,974 2,628,059 41,008,806 134,330,325 175,339,132 1.45 Grosvenor/NJDI Emerging Opp (2008) Jun-08 Dec-16 100,000,000 117,962,052 13,746,294 47,705,262 135,730,582 183,435,844 1.56 Fairview Capstone Partners II, LP Sep-08 Mar-17 100,000,000 104,248,549 2,244,838 89,279,948 77,326,517 166,606,465 1.60 Fairview Capstone Partners, LP May-07 Mar-17 100,000,000 90,711,822 9,288,178 97,446,942 96,679,168 194,126,110 2.14
International 2,579,052,916 1,880,592,559 879,273,137 1,162,960,915 1,340,404,658 2,503,365,573 1.33 AIMS/NJ Euro Small and Mid Fund I, L.P. Feb-06 Dec-16 200,000,000 192,042,765 17,794,435 23,038,602 199,040,713 222,079,316 1.16 AIMS/NJ Euro Small and Mid Fund II, L.P. Jul-07 Dec-16 200,472,028 192,128,900 28,747,716 84,362,592 143,906,034 228,268,625 1.19 Anacap Credit Opportunities II, LP Dec-11 Mar-17 78,154,723 106,002,682 17,180,645 22,720,924 96,802,411 119,523,335 1.13 Anacap Financial Partners II May-08 Mar-17 127,095,052 183,402,665 9,840,368 96,718,636 114,515,749 211,234,386 1.15 AnaCap Financial Partners III, L.P. Jul-14 Mar-17 141,462,676 36,232,230 105,230,447 30,467,534 36,084 30,503,618 0.84 AnaCap Financial Prtns GP Nov-09 Mar-17 9,868,438 9,868,438 0 11,121,553 557,937 11,679,490 1.18 MBK Partners Fund IV, L.P. Dec-16 Mar-17 85,000,000 9,953,202 75,046,798 9,701,296 0 9,701,296 0.97 New Jersey Asia Investors II, L.P. Jul-11 Mar-17 200,000,000 213,547,488 12,790,073 207,496,827 80,218,180 287,715,007 1.35 New Jersey Asia Investors III, L.P. Aug-16 Mar-17 300,000,000 24,223,282 275,776,718 24,487,364 0 24,487,364 1.01 New Jersey Asia Investors, L.P. Jan-08 Mar-17 100,000,000 98,345,084 14,309,924 196,273,111 109,861,529 306,134,640 3.11 NJHL European BO Investment II Series B Apr-07 Dec-16 200,000,000 151,582,526 12,598,379 33,915,307 181,287,070 215,202,377 1.42 NJHL European Buyout Investment Series A Feb-06 Dec-16 200,000,000 195,635,125 12,909,868 45,485,883 208,809,240 254,295,123 1.30 NJHL European Buyout Investment Series C Mar-08 Dec-16 200,000,000 208,227,851 15,585,739 66,525,851 201,027,359 267,553,210 1.28 RRJ Capital Master Fund III, L.P. Sep-15 Mar-17 150,000,000 48,090,322 102,031,028 48,112,229 601,351 48,713,580 1.01 Siguler Guff NJ Developing Mkt Fund, LP Dec-13 Mar-17 300,000,000 195,650,000 104,350,000 251,160,014 0 251,160,014 1.28 Warburg Pincus China, L.P. Dec-16 Mar-17 87,000,000 15,660,000 75,081,000 11,373,193 3,741,000 15,114,193 0.97
Large Buyout 2,542,133,734 2,390,276,792 544,259,174 1,266,947,312 2,178,011,567 3,444,958,880 1.44 Apollo Investment Fund VI, L.P. Nov-05 Mar-17 50,000,000 132,027,729 2,090,014 15,241,203 156,674,368 171,915,571 1.30 Blackstone Capital Partners V, L.P. Oct-05 Mar-17 100,000,000 98,909,096 5,552,074 12,662,070 152,163,478 164,825,547 1.67 Blackstone Capital Partners VI, L.P. Mar-12 Mar-17 50,000,000 44,348,511 10,213,744 47,601,362 17,699,706 65,301,069 1.47
14 New Jersey Division of Investment Alternative Investments 05/31/2017 May-17 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value 2 Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Blackstone Capital Partners VII, L.P. May-15 Mar-17 50,000,000 5,711,015 44,296,022 5,815,828 15,945 5,831,773 1.02 Carlyle Partners VI, L.P. Nov-13 Mar-17 300,000,000 218,378,521 101,301,905 195,886,167 54,322,944 250,209,111 1.15 CVC Capital Partners VI, LP Jul-13 Mar-17 84,828,732 48,616,807 38,372,329 51,954,795 2,591,975 54,546,770 1.12 CVC Capital Partners VII (A), LP May-17 Mar-17 114,055,002 0 114,055,002 0 0 0 0.00 Hellman & Friedman Capital Partners VI Apr-07 Mar-17 100,000,000 96,641,002 3,193,850 21,853,232 156,683,373 178,536,604 1.85 Hellman & Friedman Capital Partners VIII, L.P. Nov-14 Mar-17 100,000,000 6,238,036 94,963,954 5,668,848 1,328,790 6,997,638 1.12 Silver Lake Partners III, LP Jan-07 Mar-17 100,000,000 104,416,535 10,675,428 57,387,297 140,161,399 197,548,696 1.89 Silver Lake Partners IV Mar-13 Mar-17 200,000,000 156,117,321 71,659,617 161,292,682 66,923,958 228,216,640 1.46 TPG Partners V, L.P. Sep-06 Mar-17 187,500,000 256,833,971 16,636,663 55,411,744 264,038,083 319,449,826 1.24 TPG Partners VI, L.P. May-08 Mar-17 180,000,000 294,705,248 11,448,571 96,075,213 294,615,093 390,690,306 1.33 Warburg Pincus Private Equity IX, LP Aug-05 Mar-17 200,000,000 200,000,000 0 24,809,301 329,871,528 354,680,830 1.77 Warburg Pincus Private Equity VIII Jun-06 Mar-17 25,750,000 26,883,000 0 2,851,645 57,564,061 60,415,707 2.25 Warburg Pincus Private Equity X, LP Oct-07 Mar-17 400,000,000 400,000,000 0 206,095,923 391,347,767 597,443,690 1.49 Warburg Pincus Private Equity XI, LP May-12 Mar-17 300,000,000 300,450,000 19,800,000 306,340,002 92,009,100 398,349,102 1.33
Mezzanine Debt 535,000,000 571,663,693 79,197,355 145,583,469 644,157,961 789,741,430 1.38 Audax Mezzanine Partners II Nov-06 Mar-17 50,000,000 56,053,460 2,113,231 1,230,788 69,220,723 70,451,512 1.26 Blackstone Mezzanine Partners II, LP Apr-06 Mar-17 45,000,000 40,017,311 7,804,361 441,493 58,164,409 58,605,902 1.46 Gleacher Mezzanine Fund II, LP Nov-06 Mar-17 40,000,000 36,823,869 3,251,218 266,104 48,781,342 49,047,446 1.33 GSO Capital Opportunities Fund II, LP Nov-11 Mar-17 150,000,000 138,530,091 50,463,489 94,517,124 86,249,102 180,766,226 1.30 GSO Capital Opportunities Fund, L.P. Jul-08 Mar-17 100,000,000 120,218,859 6,281,096 3,110,584 202,701,997 205,812,581 1.71 Newstone Capital Partners II, L.P. May-11 Mar-17 100,000,000 116,678,161 7,250,191 41,675,848 100,266,032 141,941,880 1.22 Newstone Capital Partners, L.P. Feb-07 Mar-17 50,000,000 63,341,942 2,033,769 4,341,528 78,774,356 83,115,884 1.31
Secondaries 280,024,175 275,292,009 28,092,900 63,201,346 333,492,869 396,694,215 1.44 Lexington Capital Partners VI-B Jun-06 Mar-17 50,000,000 50,705,969 817,356 10,755,220 61,311,776 72,066,996 1.42 NB Sec Opps Offshore Fund II LP Jul-08 Mar-17 100,000,000 104,044,815 15,217,344 25,514,339 131,356,760 156,871,099 1.51 Partners Group Secondary 2006 LP Sep-06 Mar-17 54,251,086 53,008,507 3,415,926 10,455,459 55,137,203 65,592,662 1.24 Partners Group Secondary 2008, L.P. Sep-08 Mar-17 75,773,090 67,532,719 8,642,275 16,476,329 85,687,130 102,163,458 1.51
Small/Midsize Buyout 650,000,000 721,864,523 46,174,449 366,090,409 776,581,485 1,142,671,894 1.58 Grosvenor/NJDI Investment Fund Dec-16 650,000,000 721,864,523 46,174,449 366,090,409 776,581,485 1,142,671,894 1.58 Grosvenor/NJDI Investment Fund 2005 Nov-05 Dec-16 200,000,000 224,175,328 1,693,779 89,991,583 264,956,655 354,948,238 1.58 Grosvenor/NJDI Investment Fund 2006 Sep-06 Dec-16 250,000,000 287,156,393 12,062,604 132,221,154 338,136,576 470,357,730 1.64 Grosvenor/NJDI Investment Fund 2008 Jun-08 Dec-16 200,000,000 210,532,801 32,418,067 143,877,672 173,488,254 317,365,926 1.51
Special Situations 330,000,000 412,180,086 178,354,238 315,942,783 304,866,801 620,809,585 1.51 Blackstone TOP Fund - A (PE) L.P. Jan-12 Mar-17 330,000,000 412,180,086 178,354,238 315,942,783 304,866,801 620,809,585 1.51
Venture Capital 365,000,000 322,123,664 76,420,988 289,002,137 196,109,082 485,111,219 1.51 JP Morgan Direct/Pooled VC Instit III 50,000,000 49,624,643 170,007 41,237,788 40,014,641 81,252,429 1.64 JP Morgan Direct VC Institutional III Jul-06 Dec-15 600,000 394,650 0 0 324,423 324,423 0.82 JP Morgan Pooled VC Institutional III Jul-06 Mar-17 49,400,000 49,229,993 170,007 41,237,788 39,690,218 80,928,006 1.64 Khosla Venutres IV, L.P. Jan-12 Mar-17 25,000,000 24,175,000 825,000 35,335,436 2,389,780 37,725,216 1.56 NB Crossroads Fund XVIII Nov-06 Mar-17 50,000,000 42,000,000 41,750,002 28,826,366 45,075,562 73,901,928 1.76 NB/NJ Custom Investment Fund Aug-07 Mar-17 100,000,000 91,596,190 8,403,810 59,230,534 103,902,240 163,132,774 1.78 15 New Jersey Division of Investment Alternative Investments 05/31/2017 Last May-17 A B C =(B+C) =(B+C)/A Inception Valuation Amount Unfunded Current Market Total Total Value 2 Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple TCV VIII, L.P. Jan-14 Mar-17 100,000,000 80,221,370 19,778,630 89,390,950 4,726,859 94,117,809 1.17 Tenaya Capital VI, L.P. Jul-12 Mar-17 40,000,000 34,506,460 5,493,540 34,981,062 0 34,981,062 1.01
Private Equity Subtotal 14,913,678,132 12,373,585,136 4,303,044,290 7,595,047,068 10,508,152,545 18,103,199,614 1.46
Debt 1,557,738,818 1,205,006,524 429,300,074 438,570,940 1,232,270,267 1,670,841,207 1.39 Blackstone RE Debt Strategies III, L.P. Jun-16 Mar-17 100,000,000 20,567,100 80,765,491 19,593,002 1,661,057 21,254,060 1.03 CT High Grade Partners II, LLC May-08 Mar-17 664,065,200 572,861,303 108,661,385 169,862,503 643,401,648 813,264,150 1.42 Lone Star Fund VII (U.S.) LP May-11 Mar-17 300,000,000 283,944,335 18,490,651 20,771,214 484,270,335 505,041,549 1.78 M&G Real Estate Debt Fund II, LP Jul-13 Mar-17 109,277,681 81,394,215 39,791,187 48,049,434 33,994,424 82,043,859 1.01 M&G Real Estate Debt Fund III, LP Jul-13 Mar-17 184,395,937 161,408,088 56,069,744 97,964,391 56,608,218 154,572,609 0.96 Och-Ziff RE Credit Parallel Fund B, L.P May-16 Mar-17 100,000,000 19,140,961 84,968,930 16,083,353 4,109,891 20,193,244 1.05 True North Real Estate Fund III, LP Sep-14 Mar-17 100,000,000 65,690,522 40,552,686 66,247,043 8,224,693 74,471,736 1.13
Equity 5,583,178,020 4,369,711,118 1,854,250,062 3,033,414,585 3,077,352,667 6,110,767,252 1.40 ARA Asia Dragon Limited Sep-07 Mar-17 100,000,000 92,842,000 7,158,000 423,094 118,865,731 119,288,825 1.28 Blackstone Property Global - NJ Oct-15 Mar-17 150,000,000 142,435,598 7,564,402 140,900,142 4,794,289 145,694,431 1.02 Blackstone Property Partners L.P. Jun-15 Mar-17 50,000,000 50,000,000 0 55,778,450 3,614,324 59,392,774 1.19 Blackstone Real Estate Partners Asia LP Jun-13 Mar-17 500,000,000 357,020,139 284,953,277 270,213,177 229,198,001 499,411,178 1.40 Blackstone Real Estate V Feb-06 Mar-17 75,000,000 78,353,336 3,130,539 25,106,035 134,150,148 159,256,183 2.03 Blackstone Real Estate VI Feb-07 Mar-17 100,000,000 99,401,438 4,907,906 21,866,795 197,154,413 219,021,207 2.20 Blackstone Real Estate Partners VI, Sec Nov-11 Mar-17 43,624,688 40,000,081 2,141,059 4,772,662 82,924,844 87,697,506 2.19 Blackstone Real Estate VII Dec-11 Mar-17 300,000,000 337,484,419 49,979,050 257,888,159 288,334,103 546,222,262 1.62 Blackstone Real Estate VIII Jan-15 Mar-17 100,000,000 48,211,143 62,555,691 45,042,209 13,804,649 58,846,858 1.22 Blackstone TOP Fund - A (RE) L.P. Jan-15 Mar-17 75,000,000 3,655,315 71,344,685 3,828,405 0 3,828,405 1.05 Carlyle Realty Partners V LP Feb-07 Mar-17 100,000,000 122,742,600 22,102,319 31,486,984 141,743,784 173,230,768 1.41 Exeter - Core Industrial Venture Fund Apr-12 Mar-17 200,000,000 182,630,250 17,369,750 527,952 276,726,522 277,254,474 1.52 Exeter Core Industrial Club Fund II, L.P. Aug-16 Mar-17 100,000,000 34,100,000 65,900,000 34,273,944 1,650,000 35,923,944 1.05 Focus Senior Housing Fund I LP Apr-17 Mar-17 50,000,000 340,000 49,660,000 340,000 0 340,000 1.00 Hammes Partners II, L.P. Mar-14 Mar-17 100,000,000 65,759,347 35,848,348 56,794,847 14,009,463 70,804,310 1.08 Heitman America Real Estate Trust, L.P. Jan-07 Mar-17 100,000,000 100,000,000 0 139,529,310 41,901,799 181,431,109 1.81 KSL Capital Partners IV-A, L.P. Jul-15 Mar-17 100,000,000 20,009,560 79,990,440 17,678,506 0 17,678,506 0.88 Lone Star Real Estate Fund II (U.S.) LP May-11 Mar-17 100,000,000 88,609,832 11,390,168 16,128,172 121,171,198 137,299,370 1.55 Lubert Adler Real Estate Fund VI-B Feb-11 Mar-17 100,000,000 95,000,000 16,614,909 32,444,794 136,486,758 168,931,552 1.78 Meyer Bergman Euro Retail Partners II-TE Jul-14 Mar-17 59,017,743 54,405,076 6,574,639 54,031,935 9,769,504 63,801,440 1.17 NJDOI Core Plus Real Estate L.P. May-08 Mar-17 81,500,000 70,582,173 19,788,473 21,474,127 95,636,974 117,111,101 1.66 NJDOI Opp Real Estate L.P. May-08 Mar-17 25,000,000 17,170,335 7,829,665 9,968,452 20,173,973 30,142,425 1.76 Northwood Real Estate Co-Invest Dec-12 Mar-17 75,000,000 52,644,965 50,997,746 38,808,252 28,642,711 67,450,963 1.28 Northwood RE Partners L.P., (Series III) Dec-12 Mar-17 75,000,000 80,729,855 23,220,757 77,039,287 28,958,888 105,998,175 1.31 Northwood RE Partners L.P., (Series IV) Nov-13 Mar-17 200,000,000 194,364,703 72,879,475 169,840,183 67,244,178 237,084,361 1.22 OZNJ Real Estate Opportunities, LP Mar-13 May-17 200,000,000 131,686,043 95,656,784 126,367,313 27,342,827 153,710,140 1.17 Och-Ziff Real Estate Fund III, LP Aug-14 Mar-17 100,000,000 40,871,923 62,622,814 39,471,563 7,595,080 47,066,643 1.15 Perella Weinberg Real Estate Fund II LP Jul-13 Mar-17 89,105,120 59,000,036 30,105,084 54,366,000 13,933,550 68,299,549 1.16 Perella Weinberg Real Estate Fund III LP Nov-15 Mar-17 101,601,118 28,944,664 72,656,454 27,965,217 0 27,965,217 0.97 Prime Property Fund Aug-07 Mar-17 130,000,000 150,000,000 0 116,906,224 75,764,247 192,670,470 1.28 PRISA II Jun-07 Mar-17 60,000,000 100,000,000 0 64,899,787 56,672,476 121,572,263 1.22 PRISA Real Estate Separate Account Dec-06 Mar-17 265,000,000 300,000,000 0 224,991,666 151,140,193 376,131,859 1.25 Prologis European Properties Fund II Sep-13 Mar-17 183,329,350 183,329,350 0 209,771,126 40,376,121 250,147,247 1.36 RE Capital Asia Partners III, L.P. Aug-12 Mar-17 80,000,000 66,283,559 19,326,328 23,699,553 59,687,332 83,386,885 1.26 RE Capital Asia Partners IV, L.P. Dec-14 Mar-17 100,000,000 51,205,306 48,794,694 52,676,825 1,776,173 54,452,998 1.06 TGM Apartment Partners Aug-15 Mar-17 300,000,000 123,147,240 176,852,760 133,025,742 2,804,230 135,829,972 1.10
16 New Jersey Division of Investment Alternative Investments 05/31/2017 May-17 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value 2 Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple TPG Real Estate Partners II, L.P. Sep-15 Mar-17 125,000,000 63,155,320 66,938,805 62,760,513 21,449,407 84,209,920 1.33 TPG/NJ (RE) Partnership, LP Feb-13 Mar-17 225,000,000 167,621,600 85,137,747 164,699,707 90,192,340 254,892,047 1.52 Tucker Development/Acquisition Fund Oct-07 Mar-17 50,000,000 50,000,000 0 43,211,000 0 43,211,000 0.86 Warburg Pincus Real Estate Fund I Sep-06 Mar-17 100,000,000 95,833,333 0 26,658,920 121,510,167 148,169,086 1.55 Westbrook Real Estate Fund VIII Feb-08 Mar-17 100,000,000 110,980,414 0 20,102,549 135,616,521 155,719,070 1.40 Westbrook VII Jan-07 Mar-17 40,000,000 40,000,000 0 14,279,584 38,472,731 52,752,315 1.32 Wheelock SREF NJ CO-Invest Feeder, LP Nov-12 N/A 50,000,000 26,305 49,973,695 0 0 0 0.00 Wheelock Street Real Estate Fund, L.P. Dec-11 Mar-17 100,000,000 96,274,787 18,620,096 24,181,928 148,455,721 172,637,649 1.79 Wheelock Street Real Estate Fund II, L.P. Apr-14 Mar-17 125,000,000 82,859,074 53,663,502 73,117,271 27,607,299 100,724,570 1.22 Wheelock Street Real Estate Fund V, L.P Aug-16 Mar-17 100,000,000 0 100,000,000 4,076,227 0 4,076,227 0.00
Real Estate Subtotal 7,140,916,838 5,574,717,642 2,283,550,136 3,471,985,524 4,309,622,934 7,781,608,458 1.40
Absolute Return 810,000,000 765,000,000 45,000,000 521,063,152 295,815,222 816,878,374 1.07 Brevan Howard Fund Limited Nov-11 May-17 300,000,000 300,000,000 0 37,872,182 270,815,222 308,687,404 1.03 Iguazu Partners, L.P. Dec-13 May-17 150,000,000 105,000,000 45,000,000 126,536,235 0 126,536,235 1.21 MKP Opportunity Partners, L.P. Sep-12 May-17 360,000,000 360,000,000 0 356,654,735 25,000,000 381,654,735 1.06
Credit 2,050,000,000 1,925,000,000 125,000,000 1,689,333,985 762,103,748 2,451,437,733 1.27 Canyon Value Realization Fund Jun-07 May-17 75,000,000 75,000,000 0 36,252,513 103,159,283 139,411,796 1.86 Canyon Balanced Fund Jul-11 May-17 125,000,000 125,000,000 0 49,382,985 140,222,657 189,605,642 1.52 Claren Road Credit Master Fund, Ltd. Jun-12 May-17 250,000,000 250,000,000 0 18,997,309 202,134,211 221,131,521 0.88 Chatham Fund, LP Dec-14 May-17 300,000,000 300,000,000 0 421,290,000 0 421,290,000 1.40 GSO Credit Partners - A, L.P. Mar-12 Apr-17 600,000,000 475,000,000 125,000,000 688,277,850 0 688,277,850 1.45 GSO Special Situations Fund, L.P. Feb-12 Apr-17 100,000,000 100,000,000 0 105,232,585 24,211,318 129,443,903 1.29 Lazard Rathmore Fund, Ltd. Aug-12 Jun-16 150,000,000 150,000,000 0 0 164,757,924 164,757,924 1.10 Regiment Capital Ltd. Fund Dec-11 May-17 150,000,000 150,000,000 0 6,359,543 127,618,354 133,977,898 0.89 Solus Opportunities Fund 3, LP Apr-14 May-17 300,000,000 300,000,000 0 363,541,200 0 363,541,200 1.21
Distressed 350,000,000 450,000,000 0 186,657,645 480,191,074 666,848,719 1.48 Centerbridge Credit Partners Oct-07 May-17 200,000,000 200,000,000 0 166,678,889 150,115,972 316,794,861 1.58 King Street Capital Feb-07 May-17 150,000,000 150,000,000 0 18,262,388 227,765,519 246,027,907 1.64 Marathon Special Opp Fund, LTD Jul-08 May-17 0 100,000,000 0 1,716,368 102,309,583 104,025,951 1.04
Equity Long/ Short 1,275,000,000 1,000,314,183 275,123,621 391,367,993 914,155,451 1,305,523,445 1.31 Bay Pond Partners, L.P. Apr-12 May-17 200,000,000 200,000,000 0 0 243,858,549 243,858,549 1.22 Cadian Fund, L.P. May-12 May-17 100,000,000 100,000,000 0 114,493,283 30,738,706 145,231,989 1.45 Omega Overseas Partners Ltd. Class-B Jan-07 Apr-17 225,000,000 150,000,000 75,000,000 0 214,459,319 214,459,319 1.43 Scopia PX, LLC Jan-13 May-17 250,000,000 250,000,000 0 270,668,750 0 270,668,750 1.08 ValueAct Capital Partners II, L.P. Nov-11 Dec-16 150,000,000 150,000,000 0 0 272,834,499 272,834,499 1.82 ValueAct Co-Invest International LP Jun-13 Dec-16 200,000,000 50,314,183 150,123,621 0 36,230,431 36,230,431 0.72 Visium Balanced Offshore Fund, Ltd Aug-12 Mar-17 150,000,000 100,000,000 50,000,000 6,205,960 116,033,948 122,239,909 1.22
Event Driven 1,400,000,000 1,793,458,419 137,458,410 1,136,597,106 1,156,780,447 2,293,377,553 1.28 Cevian Capital II, L.P. Apr-12 May-17 150,000,000 150,000,000 0 199,417,392 28,627,680 228,045,072 1.52 Davidson Kempner Institutional Partners, L.P Dec-06 May-17 150,000,000 150,000,000 0 258,985,350 0 258,985,350 1.73 Elliott Associates, L.P. Apr-12 Mar-17 200,000,000 200,000,000 0 252,619,400 0 252,619,400 1.26 JANA Strategic Investment Fund II, LP Jun-13 May-17 300,000,000 693,458,419 137,458,410 173,057,480 550,552,937 723,610,417 1.04 Pershing Square LP Apr-10 May-17 200,000,000 200,000,000 0 54,409,043 234,710,123 289,119,166 1.45 17 New Jersey Division of Investment Alternative Investments 05/31/2017 May-17 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value 2 Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Starboard Leaders Fund LP Mar-14 May-17 125,000,000 125,000,000 0 105,556,791 28,421,000 133,977,791 1.07 Starboard Value and Opportunity LP Mar-14 May-17 75,000,000 75,000,000 0 92,551,650 0 92,551,650 1.23 Third Point Offshore Fund, LTD. Apr-11 Nov-16 100,000,000 100,000,000 0 0 153,652,162 153,652,162 1.54 York Capital Management, LP Feb-07 Feb-17 100,000,000 100,000,000 0 0 160,816,546 160,816,546 1.61
Fund of Funds 2,210,000,000 2,151,258,928 58,741,072 1,363,392,311 1,438,446,101 2,801,838,411 1.30 AIMS/NJ Multi-Strategy Portfolio, LLC Aug-06 May-17 550,000,000 550,000,000 0 422,048,739 277,756,475 699,805,214 1.27 Arden Garden State NJ Fund LP. Jun-06 May-17 500,000,000 500,000,000 0 6,946,839 553,685,853 560,632,693 1.12 Protege Partners, LP Jun-07 Apr-17 150,000,000 150,000,000 0 31,017,696 157,100,000 188,117,696 1.25 Woodley Park NJ, L.P. Aug-06 Apr-17 810,000,000 751,258,928 58,741,072 827,100,906 329,590,586 1,156,691,492 1.54 Reservoir Strategic Partners Fund, LP Jul-11 May-17 200,000,000 200,000,000 0 76,278,131 120,313,186 196,591,317 0.98
Global Macro 550,000,000 550,000,000 0 568,753,150 25,000,000 593,753,150 1.08 Lynx Common (Bermuda) Ltd. Mar-11 May-17 200,000,000 200,000,000 0 175,386,750 25,000,000 200,386,750 1.00 Winton Futures Fund Jan-11 May-17 350,000,000 350,000,000 0 393,366,400 0 393,366,400 1.12
Multi-Strategy 500,000,000 650,000,000 0 119,308,839 691,909,038 811,217,877 1.25 AG Garden Partners, LP Mar-06 May-17 0 150,000,000 0 2,559,370 158,771,000 161,330,370 1.08 Farallon Capital Inst. Partners, L.P. Jun-07 May-17 150,000,000 150,000,000 0 3,914,033 168,095,146 172,009,179 1.15 Laurion Capital Global Markets Fund Sep-15 Jun-16 100,000,000 100,000,000 0 0 93,736,127 93,736,127 0.94 Laurion Capital Ltd. Jul-15 May-17 100,000,000 100,000,000 0 103,836,000 0 103,836,000 1.04 OZ Domestic Partners II, Ltd. Jun-06 May-17 150,000,000 150,000,000 0 8,999,436 271,306,765 280,306,201 1.87
Hedge Fund Subtotal 9,145,000,000 9,285,031,530 641,323,103 5,976,474,181 5,764,401,080 11,740,875,261 1.26
Aether Real Assets III Surplus, LP Nov-13 Mar-17 100,000,000 77,046,599 24,122,173 104,883,133 1,168,772 106,051,905 1.38 Aether Real Assets III, LP Nov-13 Mar-17 30,000,000 19,960,904 10,676,563 25,309,819 637,467 25,947,286 1.30 Blackstone Energy Partners, L.P. Mar-12 Mar-17 150,000,000 181,256,083 14,559,992 158,513,668 91,547,251 250,060,918 1.38 Blackstone Energy Partners II, L.P. May-15 Mar-17 80,000,000 26,011,332 53,988,668 29,273,777 58,219 29,331,996 1.13 Blackstone Resources Select Fund Aug-11 May-17 250,000,000 250,000,000 0 140,920,250 0 140,920,250 0.56 Blackstone TOP Fund - A, L.P. Jul-12 Mar-17 620,093,499 741,061,295 80,869,357 535,630,008 307,587,455 843,217,463 1.14 Brookfield Capital Partners IV, L.P. May-16 Mar-17 150,000,000 51,017,726 107,233,741 51,090,365 11,784,855 62,875,220 1.23 BX NJ Co-Invest, L.P. Aug-12 Mar-17 21,163,690 21,163,690 0 59,216,744 18,588,036 77,804,780 3.68 Gresham Commodity Fund (ETAP) Feb-08 Jan-17 200,000,000 200,000,000 0 0 98,949,810 98,949,810 0.49 Gresham Commodity Fund (TAP) Nov-07 Jan-17 200,000,000 200,000,000 0 0 134,421,962 134,421,962 0.67 GSO Energy Partners - A, L.P. Mar-12 Mar-17 650,000,000 562,207,686 318,726,330 394,401,472 230,934,016 625,335,488 1.11 Hitecvision VII, L.P. Apr-14 Mar-17 100,000,000 38,576,814 61,423,186 36,009,180 0 36,009,180 0.93 NJ/HV Resource Opportunities, L.P. Jun-15 Dec-16 150,000,000 38,179,044 114,456,851 34,762,974 2,635,895 37,398,870 0.98 OZ Energy Partners Parallel B, L.P. May-16 Mar-17 100,000,000 14,930,049 97,563,870 10,369,088 12,493,919 22,863,007 1.53 OZNJ Real Asset Opportunities, LP Mar-13 May-17 200,000,000 141,823,079 102,088,519 122,831,060 43,911,598 166,742,657 1.18 Woodley Park NJ, L.P. May-11 Dec-16 135,000,000 135,000,000 0 0 89,569,359 89,569,359 0.66 Sheridan Production Partners I Aug-07 Mar-17 50,000,000 60,525,000 0 32,882,001 43,625,000 76,507,001 1.26 Sheridan Production Partners II-B, L.P Nov-10 Mar-17 100,000,000 100,000,000 0 66,365,000 7,000,000 73,365,000 0.73 Tenaska Power Fund II, L.P. Sep-08 Mar-17 100,000,000 88,400,862 11,599,138 3,660,044 79,534,400 83,194,444 0.94 Warburg Pincus Energy, L.P. May-14 Mar-17 100,000,000 41,400,000 58,600,000 37,380,753 3,288,500 40,669,253 0.98
18 New Jersey Division of Investment Alternative Investments 05/31/2017 May-17 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value 2 Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Real Assets Subtotal 3,486,257,189 2,988,560,164 1,055,908,387 1,843,499,336 1,177,736,515 3,021,235,850 1.01
Grand Total 34,685,852,158 30,221,894,472 8,283,825,916 18,887,006,110 21,759,913,074 40,646,919,184 1.34
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Total distributed include recallable portion of proceeds.
19 New Jersey Division of Investment Global Diversified Credit 05/31/17 Global Diversified Credit as of May 31, 2017 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date. May-17 A B C =(B+C) =(B+C)/A Last Valuation Amount Unfunded Current Market Total Total Value 2 Inception Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple BlackRock Credit Investors Oct-07 Jun-16 400,000,000 400,000,000 0 0 383,224,897 383,224,897 0.96 BlackRock Credit Investors Co-Invest Oct-09 Jun-16 144,000,000 144,000,000 0 0 262,082,589 262,082,589 1.82 Blackstone TORO Fund - A L.P. Apr-16 Mar-17 250,000,000 168,066,531 81,933,469 170,747,864 0 170,747,864 1.02 Cerberus NJ Credit Opportunities Fund, L.P. Apr-12 May-17 300,000,000 321,268,657 86,194,030 340,187,525 107,462,687 447,650,211 1.39 Crayhill NJ Fund, LP May-17 Mar-17 150,000,000 8,730,034 141,269,966 8,730,034 0 8,730,034 1.00 Golden Tree Opportunities LP-Class D Sep-07 Apr-17 250,000,000 249,500,000 500,000 508,768,666 4,676,086 513,444,752 2.06 Knight TAO, L.P. Oct-14 Mar-17 700,000,000 336,662,027 363,337,973 343,966,577 35,150,699 379,117,276 1.13 Knight/TPG NPL - C, L.P. Mar-12 Mar-17 70,382,674 78,556,376 5,000,000 24,546,753 94,763,249 119,310,002 1.52 Knight/TPG NPL - R, L.P. Mar-12 Mar-17 59,054,236 55,554,236 3,500,000 6,352,429 77,134,323 83,486,752 1.50 NJ/TCW Direct Lending LLC Feb-16 Mar-17 150,000,000 54,549,000 95,451,000 54,651,989 990,000 55,641,989 1.02 Owl Rock Capital Corporation Sep-16 Mar-17 400,000,000 128,521,083 271,478,917 130,364,204 13 130,364,216 1.01 Owl Rock Capital Holdings LLC Sep-16 Sep-16 1,299,670 1,299,670 0 1,267,170 32,500 1,299,670 1.00 OZSC, LP Apr-10 May-17 350,000,000 291,031,826 449,650,290 573,382,982 390,682,116 964,065,098 3.31 OZSC II, LP Mar-13 May-17 650,000,000 557,425,240 125,823,675 655,856,756 33,248,915 689,105,671 1.24 OZNJ Private Opportunities LP Mar-13 May-17 400,000,000 725,571,965 50,665,445 424,605,600 376,237,410 800,843,010 1.10 TCW Direct Lending LLC Mar-15 Mar-17 150,000,000 108,420,635 49,094,379 85,601,800 27,258,858 112,860,658 1.04 TPG Opportunities Partners III (A), LP Apr-14 Mar-17 100,000,000 46,999,241 54,305,095 53,091,128 1,318,644 54,409,772 1.16
Total 4,524,736,580 3,676,156,520 1,778,204,239 3,382,121,476 1,794,262,985 5,176,384,461 1.41
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Total distributed include recallable portion of proceeds.
20 New Jersey Division of Investment Opportunistic Investments Opportunistic Investments as of May 31, 2017 05/31/17 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.
May-17 A B C =(B+C) =(B+C)/A Last Valuation Amount Unfunded Current Market Total Total Value 2 Inception Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Dyal NJ Investors, L.P. Oct-12 Dec-16 200,000,000 200,533,952 26,041,188 153,807,902 95,043,380 248,851,283 1.24 Dyal II NJ Investors, L.P. Jul-14 Mar-17 250,000,000 122,664,167 135,589,962 107,015,701 22,947,534 129,963,235 1.06 Dyal III US Investors LP Dec-15 Mar-17 200,000,000 70,578,152 136,683,807 80,323,231 12,359,312 92,682,543 1.31
Total 650,000,000 393,776,272 298,314,956 341,146,834 130,350,227 471,497,060 1.20
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Total distributed include recallable portion of proceeds.
21 New Jersey Division of Investment
Transfers between Common and Pension Funds May, 2017
Contributions to Common Funds from Pension Funds for the Month
From To Date Withdrawal Amount Contribution Amount Pension Fund(s) Common Fund(s)
Not Applicable
$0.00 $0.00
Withdrawals from Common Funds to Pension Funds for the Month
From To Date Withdrawal Amount Contribution Amount Common Fund(s) Pension Fund(s)
5/30/2017 $ 500,000,000.00 E $ 3,000,000.00 JRS 15,000,000.00 P&F 173,500,000.00 PERS 16,500,000.00 SPRS 292,000,000.00 TPA $ 500,000,000.00 $ 500,000,000.00
Transfers between Common and Pension Funds, Summarized
May, 2017 Fiscal Year to Date 2017
Net Amount Net Amount Pension Fund Into (Out of) Pension Fund Into (Out of) Pension Funds Pension Funds
JRS $ 3,000,000.00 JRS $ 40,860,000.00 P&F $ 15,000,000.00 P&F $ 1,057,510,000.00 PERS $ 173,500,000.00 PERS $ 1,751,270,000.00 SPRS $ 16,500,000.00 SPRS $ 174,960,000.00 TPA $ 292,000,000.00 TPA $ 3,190,400,000.00 $ 500,000,000.00 $ 6,215,000,000.00
22