NJPension-EndOfAugust

New Jersey State Investment Council Agenda Date: Thursday, October 13, 2011 10:00 AM: Regular Meeting, Open to Public Location: N.J. State Museum Auditorium 205 West State Street, Trenton, NJ 08608

AGENDA FOR REGULAR MEETING

Roll Call and Notice of Meeting 1. Approval of Minutes for Regular Meeting held July 21, 2011

2. Election of Chair and Vice Chair

3. Appointment of members to Executive Committee, Audit Committee and IPC Committee

4. Directors Report/Update 5. Private Equity/Bank Loan Fund Investments

a. Sterling Capital Partners b. AnaCap c. TPG d. Tenaya VI

6. Real Estate Investments

a. Wheelock 7. Hedge Fund Investments

a. Value Act Capital Partners II b. Brevan Howard Master Fund c. Elliott Associates d. Winton Futures Fund (add-on) e. Centerbridge (add-on) f. Asian Century Quest Fund (add-on)

8. Fiscal 2011 Proxy Voting Summary

9. Report from Audit Committee on fiscal 2011 audit

10. Report from the State Treasurer

11. Opportunity for Public Comment

ADJOURNMENT

New Jersey State Investment Council July 21, 2011 Regular Meeting Minutes

1 | P a g e

Minutes of the Regular Meeting

Held July 21, 2011 at 2:00 PM at 50 West State Street, 1st floor conference room.

Council Members in Attendance:

Robert Grady, Chair (Telephonic)

Marty Barrett

Brendan T. Byrne, Jr.

James Hanson, II (Telephonic)

Guy Haselmann (Telephonic)

James Joyner

James Kellogg (Joined telephonically at 2:15 during discussion of the minutes)

James Marketti

Peter Maurer

Timothy McGuckin

Jeffrey Oram (Telephonic)

The Regular Meeting was called to order by Chair Grady at 2:02 PM.

Roll Call and Meeting Notice

Ms. Christine Eckel performed roll call and reported that notice of the Regular Meeting scheduled for July 21, 2011 was

posted on the Division’s website and faxed to the Times of Trenton, the Star-Ledger, the Bergen Record, the Courier Post

and the Secretary of State on July 13, 2011. A copy of the notice was posted at the Division and is on file.

Chair Grady motioned to appoint Ms. Eckel as Council Secretary. Council Member Barrett seconded the motion and all

were in favor. Chair Grady also welcomed new Council Members, Mr. James Joyner ( representing TPAF) and Mr. Peter

Maurer(representing PERS), as well as returning Council Member Marty Barrett (representing PFRS).

Chair Grady also announced the upcoming resignation of Council Member Kellogg, effective July 31, 2011. He thanked

Mr. Kellogg for his extraordinary service to the Council, with his many contributions, insight and wisdom.

Approval of Minutes for Special Meeting held June 30, 2011

Chair Grady and Council Members Kellogg and Byrne noted some changes to the Minutes for the special meeting held

on June 30, 2011. A motion was made by Chair Grady to approve the minutes as amended and Council Member Bryne

seconded the motion. Council Members Barrett, Joyner and Maurer abstained from the vote since they were not

present at the meeting. All Council Members voted in favor.

Directors Report for June 2011

The Director’s report for June 2011 was not available due to the additional time required to affect the fiscal year end

accounting close.


2 | P a g e

Approval of amendments to the State Investment Council By-Laws

Chair Grady noted that the proposed amendments to the State Investment Council By-Laws reflected the changes to the

Council membership based upon a statute enacted at the end of June. Council Member Marketti pointed out an

incorrect cross-reference between sections in the document. Chair Grady motioned to approve the By-Laws as

amended by Council Member Marketti. The motion was seconded by Council Member Oram. All Council Members

voted in favor of the motion.

Approval of adopted amendments to N.J.A.C. 17:16-22 and 45

Director Walsh stated that the Division had not received any comments on the proposed amendments to N.J.A.C. 17:16-

22 and 45 and the Council Members were presented with the notices of adoption and a resolution for approval. Council

Member Haselmann motioned to approve the resolution adopting amendments to N.J.A.C. 17:16-22 and 45. The

motion was seconded by Council Member Byrne. All Council members voted in favor of the motion. [See attached

resolution]

High Yield allocation

Director Walsh gave a brief overview of the high yield fixed income asset class. In 2008, the Division recommended to

the Council that $2 billion be allocated to this class, and the Division engaged several external investment advisors to

provide non-discretionary investment advice. At the time the initial portfolios were established, the amount allocated

to the portfolio advised by Logan Circle, one of the external advisors, was limited to $100 million based upon the firm’s

assets under management. Director Walsh informed the Council Members that the portfolio account for which Logan

Circle will be providing investment advice may be increased up to $300 million due to the growth of their assets under

management and performance to date.

Commission Soft Dollar Expenditures

Director Walsh gave a brief overview on the Division’s Commission Soft Dollar expenditures. Director Walsh stated that

this is money that is used to fund mainly Information research and brokerage services. As part of its effort to reduce

overall expenditures, the Division anticipates that it will reduce the value of services paid through soft dollars by

approximately 10% for fiscal year 2012.

Real Asset Investment

Blackstone Resources Select John Nicolini of SIS, the Division’s consultant, presented the proposed $250 million

investment in Blackstone Resources Select Fund (“BRSF”) to the Council. He advised the Council that this fund is a

means to increase commodities exposure through a customized, long-biased portfolio which trades across energy,

metals and agriculture. BRSF has an annualized return since inception of May 2007 through May 2011 of 10.65% net vs.

2.39% for the BXCI, -2.33% for the GSCI and 0.19% for the DJ-UBS. Chairman Grady commented that the 0.80%

management fee with no carry was better than market for fund of fund products, and is a reasonable fee structure. In

response to Chair Grady’s question, Director Walsh stated that the Division’s target allocation for real assets is 4% or

$1.5 billion for fiscal year 2012. Chair Grady noted that BSRF would be investing in Astenbeck Commodities Fund, and

the Pension Fund was investing in that fund directly as well. Mr. Nicolini responded that 22% of BRSF will be invested in

Astenbeck active management portfolio custom strategy, which is different from the stand alone investment in


3 | P a g e

Astenbeck Commodities Fund, which is a Hedge Fund. Chair Grady informed the Council that the Investment Policy

committee had discussed this investment and found the Division’s due diligence to be adequate and appropriate.

Council Member Marketti went on record as opposing the Investment and made a motion to reject the investment.

Council Member Maurer seconded the motion. The motion was rejected by a vote of 2-9, with Council Members

Marketti and Maurer voting in favor of the motion.

Real Estate Investment

Blackstone Real Estate Partners VII

Kevin Lynch of The Townsend Group presented the proposed $300 million investment in Blackstone Real Estate Partners

VII (“BREP VII”). BREP VII will seek to invest in distressed portfolios or assets where either the capital structure is

broken, the real estate is undermanaged or the current owner is a motivated seller. BREP VII is a follow on to Funds V

and VI which are both in the top quartile of fund performance. Participants in the first closing will receive a

management fee reduction of 25 basis points to 1.25%, in addition to a management fee waiver for 4 months which

equates to a savings of about $1.25 million. Chair Grady informed the Council that the Investment Policy committee had

discussed this investment and found the Division’s due diligence to be adequate and appropriate. Council Member

Marketti went on record as opposed to the Investment and made a motion to reject the investment. Council Member

Maurer seconded the motion. The motion was rejected by a vote of 2-9, with Council Members Marketti and Maurer

voting in favor of the motion.

Election of Nominating Committee Members

Chair Grady nominated Council Members Oram, Haselmann and McGuckin as members of the nominating committee.

All Council Members voted in favor of the nominated slate. Chair Grady requested that the committee present its

nominations for Chair and Vice Chair at the September 2011 meeting.

Treasurer’s Report

Steve Harris stated that there was no report from the Treasurer.

Opportunity for Public Comment Mr. Miskowski made a comment that he would like to discuss the issue of International FX Rates and Custodial Banks at

the September Council meeting.

Chair Grady motioned to adjourn the meeting, with Council Member Oram seconding the motion. All voted in favor. The meeting was adjourned at 3:50 pm.

DIVISION OF INVESTMENT Market Update/Diversification Benefits

Tim Walsh, Director

New Jersey Division of Investment

October 13, 2011

New Jersey Division of Investment 2

June 30, 2011 & FYTD Performance

1 month QTD CYTD FYTD

Common Fund A (Domestic Equity) with Cash, Hedges, Miscellaneous -1.96 -0.19 6.20 32.47

vs. S&P 1500 Composite -1.70 0.02 6.30 31.65

Equity Only (Ex Cash) -1.93 -0.06 6.61 33.40

Equity Only-Diversified Fund -1.95 0.04 6.51 32.47

Equity Only-Concentrated Fund -1.93 -0.26 6.93 35.68

Common Fund B (Domestic Fixed Income) with Cash, Hedges, Miscellaneous -0.73 3.29 4.34 5.98

vs. Barclays Long Gov/Credit -1.86 3.30 3.28 3.20

vs. Common B Custom Benchmark (2) -1.42 3.38 3.71 3.98

Corporates, Treasuries, Agencies -1.23 3.42 3.91 4.68

TIPS 1.14 5.12 6.63 8.35

Barclays US Infl-Linked Bond Index 0.83 3.71 5.84 7.78

High Yield 0.89 2.40 10.19 21.27

Barclays High Yield Index -0.97 1.05 4.97 15.63

Common Fund D (International Equity) with Cash, Hedges, Miscellaneous -1.50 0.22 2.38 25.58

vs. Custom International Equity Markets Index -1.50 -4.11

vs. MSCI All World Country Index (ex US) -1.45 0.38 3.80 29.73

Developed Markets Equity -1.24 0.64 4.34 27.04

Custom International Equity Developed Markets Index (ex Canada) -1.45 -4.20

MSCI EAFE -1.25 1.56 4.98 30.36

Emerging Markets Equity -1.37 -0.55 -0.07 27.99

Custom International Equity Emerging Markets Index -1.68 -3.84

MSCI Emerging Markets -1.54 -1.15 0.88 27.80

Common Fund E (Alternative Investments) with Cash, Hedges, Miscellaneous 4.34 4.79 10.25 17.69

Hedge Funds (May & June) -0.65 -0.65 3.54 10.69

HFRI Fund of Funds Composite (May & June) -1.08 0.03 3.24 7.13

Private Equity 7.45 10.67 16.61 21.68

Cambridge Associates (Data only available quarterly) (4) 5.39 5.39 13.43 21.33

Real Estate 11.33 7.89 12.42 17.55

NCREIF(NPI) (Data only available quarterly) (4) 3.94 3.94 7.43 16.73

Real Assets/Commodities -5.36 -5.41 4.79 28.25

DJUBS TR Index -5.04 -6.73 -2.58 25.91

Mortgage-Backed Securities 0.28 1.37 2.13 4.23

vs. Barclays MBS 0.09 2.28 2.87 3.77

Police & Fire Mortgage Program 0.96 1.81 3.84 5.90

Cash Mgt. Fund (3) 0.02 0.06 0.14 0.33

vs. US Treasury Bills (3 month) 0.01 0.02 0.06 0.14

Total Pension Fund -0.31 1.86 5.31 17.79

Total Pension Fund ex Police and Fire Mortgages -0.33 1.86 5.34 18.03

Total Fund Benchmark (4)-1.00 1.58 4.619 17.03

(1) Figures are unaudited and are subject to change(2) 83.5% BC Gov/Credit Long and 16.5% BC US Inflation Link Bond Index (TIPS)(3)The cash aggregate comprises the seven plan cash accounts

Pension Fund Performance (1) Versus Benchmark

Fiscal Year 2011 Summary •Total Fund ex Police and Fire Mortgages returned 18.03%, outperforming benchmark by 100 bps.

•Total assets at the end of the Fiscal Year were $73.7 billion, up $6.9 billion from the start of the fiscal year net of pension payments.

•Domestic Equity, Fixed Income, Commodity, Private Equity, Real Estate and Hedge Fund portfolios all outperformed benchmarks, while International Equity underperformed.

•An overweight to Domestic Equity and an underweight to fixed income benefited performance for the fiscal year

New Jersey Division of Investment Risk vs. Total Returns of Master Trusts - Public Plans > $10 Billion

5 Years Ending June 30, 2011

Risk Value Risk Rank Return Value Return Rank Total Pension Fund ex Police 11.15 80* 5.23 37* Median 12.93 4.89

*100th Risk Rank is best, 1st Risk Rank is worst; 1st return rank is best, 100th return rank is worst.

3


Portfolio update – 9/30/11

** SEPTEMBER AND FISCAL YEAR TO DATE PERFORMANCE AND ASSET VALUE DATA IN THIS UPDATE IS ESTIMATED AND SUBJECT TO CHANGE.

Key Portfolio Developments Environment has been challenging for all internally managed portfolios Added approximately $750 million of equity exposure through ETFs during September as part of rebalancing ($425

million of Developed Markets non-US, $200 million of Emerging Markets, and $125 of Domestic equity exposure.) As part of the International Equity Portfolio rebalance, we initiated a number of option trades that have worked in

our favor. We have collected approximately $10 million on these trades and would collect approximately $6 million more if we closed out the remaining positions.

Added $182 million of commodity exposure through ETFs. Hedged a majority of $100 million of gold exposure at opportune levels. Transitioned $500 million from actively managed international equity to passively managed international equity Realized $21 million in profits on futures positions in fixed income portfolio Redeemed a total of $50 million from two core real estate portfolios

Total Pension Fund

July Aug Sept Est FYTD Est

Total Fund ex P&F Mortgage 0.17% -2.88% -4.24% -6.89%

Benchmark 0.30% -4.66% -6.40% -10.49% The Total Pension Fund performance does not reflect full FYTD returns for segments of the portfolio that are

reported on a lag (hedge funds, private equity, real estate, some components of real assets/commodities). Once these returns are incorporated, we would expect Total Fund performance to decline and the alpha over the benchmark to decrease.

The Fund has benefited FYTD from a number of asset allocation decisions, including sizable overweights to Treasuries, Cash, and Investment Grade Fixed Income. Within the equity portfolio overweighting US vs. Non-US has also been beneficial.

Total estimated assets as of September 30, 2011 were $66.4 billion, down $7.3 billion since June 30th. Since July 1, net withdraws from the Fund for benefit payments were approximately $1.8 billion.


Domestic Equity


Domestic Equity -2.00% -6.46% -8.24% -15.88%

S&P 1500 -2.21% -5.66% -7.45% -14.61% The Domestic equity portfolio has underperformed the benchmark by 127bps FYTD as both the concentrated

portfolio (approx. $5.2 billion) and the index like portfolio ($10.9 billion) lost more than the benchmark. The underperformance has been driven by small overweights and poor stock selection in industrials and materials.

Stock selection in Consumer Discretionary and Telecom has also detracted from performance. Stock selection in IT has partially offset the areas of underperformance.

The domestic equity allocation began the year as a 2% overweight. The overweight was reduced in August and stood at 66 bps at the end of September.

International Equity


International Equity -1.68% -9.73% -12.97% -22.76%

ACWI ex US ex Prohibited -1.22% -8.60% -10.95% -19.60% ` The developed markets portfolio has underperformed the benchmarks by 394 bps FYTD. The Emerging Markets

portfolio has underperformed by 89 bps FYTD. Within the developed markets portfolio, the actively managed portfolio was the primary source of the

underperformance. Within the emerging markets portfolio, three of the four advisors have outperformed the benchmark FYTD. We have taken several actions in response to the under relative performance of the active developed markets

portfolio: o We have increased the passive exposure within the developed markets portfolio to 21%. The allocation to

passive strategies will continue to increase in the coming months. o We have reduced a portfolio’s over and under weights relative the benchmark by both geography and sector

in an effort to reduce tracking error. The Fund was underweight Non-US Equity by approximately 135 bps at the end of September. The portfolio had a

small overweight to Emerging Markets vs. Developed Markets at quarter end.


Fixed Income


Fixed Income 3.39% 2.56% 2.75% 8.95%

Benchmark* 3.18% 3.07% 3.53% 10.10%

* 50/50 blend of BC Gov/Credit Long and the BC Gov/Credit Fixed Income has been the best performing segment of the portfolio on an absolute basis FYTD, producing positive

returns in each month. Investment Grade Credit, Treasuries, and TIPS have all produced strong performance FYTD while high yield sold off

in August and September. The Fund’s overweight to Treasuries and Investment Grade Credit has benefited the overall Pension Fund

performance for the Fiscal Year. As of October 3rd, duration was 10.13, compared to 10.17 for the benchmark. TIPS are substantially underweight (over $1.0 billion) due to valuations. The underweight has been beneficial as

they have underperformed Treasuries and Investment Grade Credit. Hedge Fund


Hedge Funds* 0.00% 0.76% -3.76% -3.01%

HFRI Fund of Funds* -1.29% 0.41% -2.62% -3.52%

* Monthly returns are on a one month lag with July portfolio

performance reported 0%

Hedge Funds performed well relatively, declining significantly less than the S&P 500 As would be expected in a volatile, down trending market, short biased and Macro managers produced the best

returns in the first three months of the fiscal year. Our two systematic macro (CTA) investments, Lynx and Winton were up 11.7% and 6.3%, respectively, based on estimated performance through September 30. Long-biased long/short equity managers have generally produced the worst performance fiscal year to date.


Commodities


Commodities/RA 1.16% 0.25% -6.30% -4.99%

DJ-UBS Commodity Index 2.96% 1.00% -14.75% -11.33%

The performance of the Commodity/RA portfolio for September does not include the impact of investments that are not

priced daily.

We have added to commodity exposure through internal management via ETFs. We have approximately $100 million of exposure to Gold and Gold Miners and added to broad commodity and agriculture ETFs. We are tactically hedging the positions. The portfolio has outperformed the DJ-UBS Commodity Index for the fiscal year by over 500 bps.


WHAT’S GOING ON IN THE WORLD First Fiscal Quarter Review:

Global markets were severely challenged from July 1 through June 30. Continued political and debt problems in Europe,

particularly Greece, together with Standard & Poor’s downgrade of US Treasury debt from AAA, led to declines worldwide in

equities.

The Dow Jones had its worst quarter since the first quarter of 2009

Of Dow 30 stocks, the best performer was McDonald’s, up 4.15%. Worst performer was Bank of America, down 44.16%

The S&P 1500 was down 14%

The EAFE (the international benchmark) was down 18.95%

Germany down 30.9%, UK down 16.7%, Italy down 31.2%

The MSCI Emerging Market Fund (benchmark for emerging markets) was down 22.49%

Brazil down 27.2%, Russia down 28.5%, India down 19.6%, China 26.1%, (BRIC’s)

The DJ UBS Commodity Index was down 13.62%

The S&P Financial index was down 25.16%

The yield on the 10 and 30 year treasury dropped 120 and 150 bps respectively

US Treasuries had their best quarter returns since first quarter of 2008

30 Year Freddie Mac Mortgage rate 4.01%

Shades of hope?

There seems to be progress in the Euro Markets, which performed well with the possible resolution of the Greek Debt

Crisis.

FDIC announces closure of two satellite offices in CA and IL, Worst of banking crisis over?


Asset Allocation September 30, 2011

Estimated As of September 30, 2011

Current Lower FY 2012 Long Term Upper Current Assets FY 2012 Over/Under Weight

Asset Class Sub-Category Allocation Limit Target Target Limit Target $ $

CAP PRES 0.6% 0.0% 2.0% 3.5% 4.5% -1.39% 400,619,022 1,304,383,183 (903,764,161)

Absolute Return HFs 0.6% 2.0% 3.5% -1.39% 400,619,022 1,304,383,183 (903,764,161)LIQUIDITY 5.7% 1.0% 4.5% 3.7% 9.5% 1.20% 3,717,183,515 2,934,210,028 782,973,487

Cash Equivalents 1.6% 2.0% 2.0% -0.40% 1,042,000,000 1,303,731,049 (261,731,049)US Treasuries 4.1% 2.5% 1.7% 1.60% 2,675,183,515 1,630,478,979 1,044,704,536

INCOME 31.9% 22.0% 27.0% 28.0% 32.0% 4.92% 20,816,082,757 17,609,172,973 3,206,909,784

Investment Grade Credit 25.4% 20.0% 20.5% 5.37% 16,544,481,237 13,043,831,832 3,500,649,405High Yield Fixed Income 3.0% 2.5% 2.5% 0.51% 1,963,152,583 1,630,478,979 332,673,604Credit-Oriented HFs 2.2% 3.0% 3.5% -0.80% 1,435,951,889 1,956,574,775 (520,622,886)Debt-Related PE 1.3% 1.5% 1.6% -0.16% 872,497,048 978,287,387 (105,790,339)

REAL RETURN 8.8% 7.5% 12.5% 14.1% 17.5% -3.70% 5,736,061,762 8,152,394,895 (2,416,333,133)

Commodities/RA 2.6% 4.0% 4.2% -1.43% 1,675,135,821 2,608,766,366 (933,630,545)TIPS 1.9% 3.5% 2.8% -1.59% 1,247,196,550 2,282,670,571 (1,035,474,021)Real Estate 4.3% 5.0% 7.1% -0.69% 2,813,729,391 3,260,957,958 (447,228,567)

GLOBAL GROWTH 53.0% 49.0% 54.0% 50.6% 59.0% -1.03% 34,549,212,103 35,218,345,946 (669,133,843)

US Equity 24.2% 23.5% 18.3% 0.66% 15,755,440,506 15,326,502,402 428,938,104Non-US Dev Market Eq 14.1% 15.0% 14.2% -0.88% 9,210,246,697 9,782,873,874 (572,627,177)Emerging Market Eq 4.5% 5.0% 4.8% -0.47% 2,953,696,511 3,260,957,958 (307,261,447)Equity-Oriented HFs 3.2% 5.0% 7.0% -1.82% 2,076,006,898 3,260,957,958 (1,184,951,060)Buyouts/Venture Cap 7.0% 5.5% 6.3% 1.48% 4,553,821,491 3,587,053,754 966,767,737

Total 65,219,159,159P+F 1,140,509,154 Total Inc P&F 66,359,668,313

Over/Under

Weight


Fixed Income 9-30 Update

Description

Est. Market Value

(09/30 EOD)

Avg Yield To

Maturity Avg Mty

Income

Generated

IG Corp YTM of 2.5% or less 765,179,786.35 2.084 5.1 yrs 15,946,602.26

IG Corp YTM of 2.5% to 4% 4,193,849,101.92 3.259 10.4 yrs 136,689,300.63

IG Corp YTM 4% and over 6,298,910,775.08 4.743 20.9 yrs 298,772,951.50

Municipals (Taxable, BABs) 1,503,072,512.95 5.228 27.7 yrs 78,575,142.40

Sov & Agcy 2,545,142,603.89 3.696 9.9 yrs 94,070,194.21

Other IG Credit (MBS, etc.) 1,246,110,945.92 4.025 5.75 yrs 50,155,965.57

HY Corporates 761,438,345.88 9.630 7 yrs 72,259,954.36

HY Loans/ Alternative Inv. 1,193,929,748.00 11.000 4 yrs 131,332,272.28

Total without UST 18,507,633,820.00 877,802,383.21

US Treas YTM of 2.5% or less 1,397,624,142.00 2.345 13.6 yrs 32,777,361.22

US Treas YTM of 2.5% to 4% 2,513,050,191.63 3.286 13.9 yrs 82,580,257.52

Total including UST 22,418,308,153.63 993,160,001.94


11

050

100150200

Jan-9

0

Jan-9

2

Jan-9

4

Jan-9

6

Jan-9

8

Jan-0

0

Jan-0

2

Jan-0

4

Jan-0

6

Jan-0

8

Jan-1

0

Source: MSCI AC Asia Index (MXAS), Morgan Stanley and ACQ. 1/1/1990 through 8/31/2011.

Cumulative Return: -20.2%

Annualized Volatility: 21.2%

MSCI ALL COUNTRY ASIA INDEX (1990-

2011)

Source: ACQ


Source: UBS Investment Bank

Leverage In The Real Economy:

Total Debt as Percent of GDP

(Year End 2010)

0%

100%

200%

300%

400%

500%

600%

Indo

nesi

aR

ussi

aM

exic

oTu

rkey

Phi

lippi

nes

Bra

zil

Sou

th A

frica

Pol

and

Indi

aH

ong

Kon

gTh

aila

ndIs

rael

Hun

gary

Chi

naA

ustra

liaM

alay

sia

Taiw

anG

erm

any

Kor

eaS

inga

pore UK

Gre

ece

Italy

Bel

gium U

SP

ortu

gal

Irela

ndFr

ance

Spa

inJa

pan

Global average 208%

0%

50%

100%

150%

200%

250%

Hon

g K

ong

Rus

sia

Indo

nesi

aA

ustra

liaTh

aila

ndK

orea

Mex

ico

Bra

zil

Sou

th A

frica

Taiw

anTu

rkey

Pol

and

Mal

aysi

aC

hina

Phi

lippi

nes

Spa

inG

erm

any

UK

Isra

elIn

dia

Hun

gary

Fran

ceP

ortu

gal

Irela

ndB

elgi

umS

inga

pore

Italy

US

Gre

ece

Japa

n

Sovereign Health: Government Debt

as Percent of GDP

(Year End 2010)

Global average 68%

In Asia, only Japan, and modestly India, have sovereign health ratios

above the global average.

12

Ticking Time Bomb?

Source: ACQ


Source: IMF, World Federation of Exchanges, MSCI, Goldman Sachs Global ECS Research estimates.

MSCI AC World Composition

2010-2030

44% 42% 38%

4% 13%11%

22%

48% 43%27%

2%6%

0%

20%

40%

60%

80%

100%

2010 2020 2030

US China BRICs Rest of World

China28%

N. America26%

Russia4%

Europe14%

Other EM9%

India5%

DM Asia6%

Other EM Asia5%

Brazil3%

Global Market Capitalization Composition

in 2030 (Projected1)

Asia = 45%

13

Source: ACQ

Tremendous Expected Long Term Growth in Asia

History of Why do we invest in Alternatives?

14

New Jersey Treasurer John McCormac, a McGreevey appointee, said the council has been unresponsive to calls to re-evaluate its strategy even as the pension funds and other investments lost $26 billion over the last 24 months. -excerpt from Bloomberg article from September 2002


1. Diversification,

Diversification, Diversification

2. Many investment opportunities can only be

accessed through alternative investments.

Examples include venture capital, buyouts,

bankruptcy

3. Often the best investment talent work at

alternative investment firms(incentives work)

Why do we invest in

Alternatives?

Types of Alternative Investments We invest in the following types of alternative

investments: Private Equity

Buyouts, Venture Capital, Private Debt

Hedge Funds Long Short Equity, Global Macro, Event Driven, Credit

Real Estate Core, Value-Add, Opportunistic

Commodities Precious Metals (Gold), Agriculture, Energy, Industrial

Metals

16

Alternative Performance FY To Date Through 6/30/11

June 30, 2010 June 30, 2011

Allocation $ Allocation % Allocation $ Allocation %

Hedge Funds $3,377 5.05% $3,911 5.30%

Private Equity 4,219 6.31 5,384 7.30

Real Estate 1,876 2.81 2,732 3.71

Commodities & Other Real Assets 997 1.49 1,192 1.62

Total $10,469 15.67% $13,219 17.93%

Alternatives Portfolio has appreciated by approximately

$2.4 billion in 12 months

Total Contribution $2,882,418,837

Total Distribution $2,518,836,169

Net Contribution $363,582,668

17

S&P 500 vs. Hedge Funds

18

Year S&P 500 HFRI Fund Weighted

Composite Index1

2000 -9.03 4.98

2001 -11.85 4.62

2002 -21.97 -1.45

2003 28.36 19.55

2004 10.74 9.03

2005 4.83 9.30

2006 15.61 12.89

2007 5.48 9.96

2008 -36.55 -19.03

2009 25.93 19.98

2010 14.82 10.25

Total Return 4.61 105.05

Annualized Return 0.41 6.74

1 HFRI Fund Weighted Composite Index measures performance of over 2000 hedge fund managers.

Yields Across US Treasuries as of September 30, 2011

•TIPS does not include inflation rate

Yield is approximate for informational purposes

0.01% 0.24%0.90%

1.80%

0.08%

2.90%

0%

2%

4%

6%

8%

10%

12%

14%

3-Month Treas Bills

2-Yr Notes

5-Yr Notes

10-Yr Notes

10-Yr TIPS*

30-Yr Notes

Yield

NJ Pension

Target

Actuarial

Rate

8.25%

19

Yields Across Various Equities/Asset Classes as of September 30, 2011

* Apple’s Stock Dividend is 0%

** Mezzanines’ range is between 9.50% and 14.00%

Yield is approximate for informational purposes

-2%

0%

2%

4%

6%

8%

10%

12%

Yield

NJ Pension

Target

Actuarial

Rate

8.25%

20

What is the Difference?

21

Portfolio A Industry Portfolio B

American Tire Distributors Automobiles & Components Goodyear Tire & Rubber Co.

Armstrong World Industries, Inc. Capital Goods Texas Industries, Inc.

Bausch & Lomb Incorporated Health Care Equipment & Services Boston Scientific Corp.

Biomet, Inc. Health Care Equipment & Services Medtronic Inc.

David's Bridal, Inc. Retailing Destination Maternity Corp.

Dave and Buster's, Inc. Consumer Services Darden Restaurants Inc.

Duane Reade, Inc. Food & Staples Retailing Walgreen Company

EverBank Financial Corp. Banks U.S. Bancorp

Lear Corporation Automobiles & Components TRW Automotive Holdings Corp.

Petco Animal Supplies, Inc. Retailing PetSmart Inc.

The Lion Brewery, Inc. Food, Beverage, and Tobacco Boston Beer Co.

The Neiman Marcus Group, Inc. Retailing Saks Inc.

The Weather Channel Media Westwood One Inc.

Univision Communications Inc. Media Time Warner

Portfolio A contains private companies we own through Private Equity Funds; Portfolio B is public

companies

22

Private Equity Industry Public Equity

American Tire Distributors Automobiles & Components Goodyear Tire & Rubber Co.

Armstrong World Industries, Inc. Capital Goods Texas Industries, Inc.

Bausch & Lomb Incorporated Health Care Equipment & Services Boston Scientific Corp.

Biomet, Inc. Health Care Equipment & Services Medtronic Inc.

David's Bridal, Inc. Retailing Destination Maternity Corp.

Dave and Buster's, Inc. Consumer Services Darden Restaurants Inc.

Duane Reade, Inc. Food & Staples Retailing Walgreen Company

EverBank Financial Corp. Banks U.S. Bancorp

Lear Corporation Automobiles & Components TRW Automotive Holdings Corp.

Petco Animal Supplies, Inc. Retailing PetSmart Inc.

The Lion Brewery, Inc. Food, Beverage, and Tobacco Boston Beer Co.

The Neiman Marcus Group, Inc. Retailing Saks Inc.

The Weather Channel Media Westwood One Inc.

Univision Communications Inc. Media Time Warner

What is the difference?

23 521 5th Avenue 666 5th Avenue

24

521 5th Avenue is owned by SL Green, a publically traded REIT. SL Green has declined by 51% since the start of 2007.

666 5th Avenue is owned by Carlyle Realty V, a real estate partnership we are invested in which has returned 1.6% since 2007.

REITs rated on their executive compensation

25

Green Street Advisors has ranked most REIT executive compensation and corporate governance practices favorably, however: June 23, 2011

The Wall Street Journal cites a recent review by Green Street Advisors, which gave the nation’s real estate investment trusts (REITs) generally high marks for their executive compensation and corporate governance practices. Some, though, were taken to task. For instance, Green Street wrote that SL Green Realty’s top executives have been paid more than $100 million over the last three years — an amount that is “inexplicably high amidst lagging total returns *vs. office peers+ over that same three-year period.” In addition, researchers faulted Westfield Group’s executive team for being in the “$100 million-over-three-years club.” The retail property giant defended itself by noting that it lacks comparable firms for performance benchmarks. An SL Green spokesman, meanwhile, noted that total return to shareholders has been strong over the last decade, adding: “SL Green’s executive compensation program is deeply rooted in a long-term pay-for-performance philosophy.”

BDC Investments Business development companies (BDCs) raise capital

from investors to loan to small and medium sized private comp.

They can be either publicly traded or private investment vehicles.

After evaluating both publically traded and private BDCs, NJDOI chose to invest in a private BDC in May 2011.

The private BDC has a 0.75% management fee and 15% performance fee compared to a 2% management fee and 20% performance fee for the average public BDC.

Since NJDOI made its investment, most of the public BDCs are down 10-15%.

26

Skype Owner Silver Lake Made $5 Billion In Microsoft Deal, Sources Say

By Megan Davies

NEW YORK (Reuters) - Skype's owners, led by private equity firm Silver Lake, will make more than three times their investment - a total capital gain of more than $5 billion - on sale of the company to Microsoft Corp, a source familiar with the deal said on Tuesday. Private equity firms can make spectacular returns on investments if timed and executed right.….

27

New Jersey is an investor in Silver Lake, a Private Equity Fund Silver Lake led an investor group in 2009 to buy Skype from eBay. Skype was acquired for $3.1 billion in November 2009 and sold to Microsoft for $8.5

billion in May 2011. Silver Lake earned 3x its invested capital and produced $2.9 billion in proceeds. The Skype equity gain of over $5 billion is one of the largest in private equity history.

As of 7/6/11, NJDOI owned $380 million of Microsoft stock

Buffett Said to Join Bid for Citigroup’s Consumer Lending Unit From: Bloomberg By Donal Griffin - Jul 6, 2011

Billionaire Warren Buffett has joined a group seeking to buy Citigroup Inc. (C)’s consumer-lending unit, said two people with knowledge of the talks. Buffett’s Berkshire Hathaway Inc. (BRK/A) has teamed with Centerbridge Partners LLC* and Leucadia National Corp. (LUK) to bid for the business formerly known as CitiFinancial, said the people, who spoke on condition of anonymity because the talks with New York-based Citigroup are private. Buffett has said he’s looking for acquisitions and has $41.2 billion in cash to back his offer….

* We are currently invested in three funds with Centerbridge Partners LLC

28

http://topics.bloomberg.com/warren-buffett/

http://www.bloomberg.com/apps/quote?ticker=C:US

http://www.bloomberg.com/apps/quote?ticker=C:US

http://www.bloomberg.com/apps/quote?ticker=BRK/A:US

http://www.bloomberg.com/apps/quote?ticker=BRK/A:US

http://www.bloomberg.com/apps/quote?ticker=LUK:US

D I V I S I O N O F I N V E S T M E N T

I N V E S T M E N T R E P O R T I N G PA C K A G E

A U G U S T 2 0 1 1

Page 1

Actual

Allocation % Target % Difference% Allocation$

Absolute Return Hedge Funds(3) & Hedges 0.6% 2.0% -1.4% 438.05

Total Capital Preservation 0.6% 2.0% -1.4% 438.05

Cash Equivalents (4)3.1% 2.0% 1.1% 2,181.43

US Treasuries 4.5% 2.5% 2.0% 3,154.00

Total Liquidity 7.6% 4.5% 3.1% 5,335.43

Investment Grade Credit 22.6% 20.0% 2.6% 15,925.03High Yield Fixed Income 2.6% 2.5% 0.1% 1,867.51

Credit Orient Hedge Funds (3)2.1% 3.0% -0.9% 1,447.92

Debt Related Private Equity (2)1.2% 1.5% -0.3% 874.20

Total Income 28.5% 27.0% 1.5% 20,114.66

Commodities and Other Real Assets (2)2.2% 4.0% -1.8% 1,537.11

TIPS 2.2% 3.5% -1.3% 1,577.55Real Estate 4.0% 5.0% -1.0% 2,819.66

Total Real Return 8.4% 12.5% -4.1% 5,934.32

US Equity 24.5% 23.5% 1.0% 17,287.30

Non-US Developed Markets Equity 14.6% 15.0% -0.4% 10,319.24

Emerging Markets Equity 4.7% 5.0% -0.3% 3,302.22

Equity Oriented Hedge Funds (3)3.1% 5.0% -1.9% 2,155.40

Buyouts/Venture Capital(2)6.4% 5.5% 0.9% 4,486.13

Total Global Growth 53.2% 54.0% -0.8% 37,550.29

Police and Fire Mortgage Program (2, 5)1.6% 0.0% 1.6% 1,135.64

Other Cash and Receivables 0.1% 0.0% 0.1% 85.24

Total Pension Fund 100.0% 100.0% 0.0% 70,593.63(1) Figures are unaudited and are subject to change(2) Reflects the most recent market values available (3) Values of July 31(4) The cash aggregate comprises the four common fund cash accounts, in addition to the seven plan cash accounts

Totals may not add equal sum of components due to rounding

Actual Allocation vs FY 2012 Investment Plan Target (1)

8/31/2011

(5) Police & Fire Mortgage Program is not included in target asset allocation, assets are private mortgages that cannot be sold

State of New Jersey Division of Investment

August 31, 2011

-2.93

2.42

-2.77

10.81

3.53 4.11 5.22

-4.66

0.04

-4.37

7.56

3.47 4.26

6.56

-8.00

-4.00

0.00

4.00

8.00

12.00

One Month

CYTD FYTD 1 Year 3 Year 5 Year 10 Year

Total Fund as of August 31, 2011

Total Fund ex P&F Mtg Benchmark

1.73

2.38

1.60

3.25

0.06

-0.16

-1.34 -2.00

-1.00

0.00

1.00

2.00

3.00

4.00

One Month

CYTD FYTD 1 Year 3 Year 5 Year 10 Year

Total Fund Excess Returns as of 8/31/11

2.69 3.443

1.767

-6.658

0.527 0.269 1.565

0.359

-7.526

-1.549

-11.00

-8.00

-5.00

-2.00

1.00

4.00

7.00

10.00

Cap Pres* Liquidity Income Global Growth

Real Return

August 2011 Perfomance

Return Benchmark

2.421

1.878

1.408

0.868

2.076

0

0.5

1

1.5

2

2.5

3

Cap Pres* Liquidity Income Global Growth

Real Return

August Excess Returns

* Capital Preservation performance includes Absolute Return Hedge Funds. The impact of portoflio hedges is reflected in Fund Performance.

Page 2

1 month FYTD CYTD 1 Year 3 Years 5 Years 10 Year

Common Fund A (Domestic Equity) with Cash, Hedges, Miscellaneous -6.46 -8.32 -2.64 19.04 2.00 2.67 3.67 vs. S&P 1500 Composite -5.66 -7.74 -1.93 19.09 0.87 1.16 3.22

Equity Only (Ex Cash) -6.47 -8.37 -2.31 19.75 2.22 2.81 3.72Equity Only-Diversified Fund -6.37 -8.32 -2.35 18.74Equity Only-Concentrated Fund -6.66 -8.34 -1.99 22.41

Common Fund B (Domestic Fixed Income) with Cash, Hedges, Miscellaneous (6) 2.56 6.04 10.63 6.36 11.47 9.29 7.28

vs. Common B Blended Benchmark (2)

3.07 6.35 9.83 2.94 10.07 7.94 7.30Investment Grade 3.07 6.93 11.56 6.29 11.04 9.04 7.15 vs. Barclays Long Gov/Credit 4.46 9.06 12.63 5.57 11.00 8.48 7.57 High Yield -1.79 -1.37 8.68 15.57 17.65

Barclays High Yield Index -4.00 -2.89 1.94 8.39 11.95Common Fund D (International Equity) with Cash, Hedges, Miscellaneous -9.73 -11.24 -9.13 6.56 -1.89 0.13 5.17vs. Custom International Equity Markets Index -8.60 -9.72vs. MSCI All World Country Index (ex US) -8.57 -9.82 -6.39 10.34 -0.97 0.79 6.89 Developed Markets Equity -10.37 -11.93 -8.05 7.69

Custom International Equity Developed Markets Index (ex Canada) -8.53 -9.88MSCI EAFE -9.03 -10.48 -6.02 10.01

Emerging Markets Equity -8.19 -8.61 -8.67 8.74Custom International Equity Emerging Markets Index -8.80 -9.21MSCI Emerging Markets -8.94 -9.34 -8.55 9.07

Common Fund E (Alternative Investments) with Cash, Hedges, Miscellaneous 0.12 0.20 10.47 17.38 -0.80 2.08

Hedge Funds (July)(5) (6)

0.78 0.78 4.35 10.45 0.29 1.97HFRI Fund of Funds Composite (July) 0.40 -0.92 2.29 6.28 -0.80 1.67

Private Equity 0.01 -0.03 16.58 21.67 4.00 5.48

Cambridge Associates (Data only available quarterly) (4) 0.00 0.00 13.43 21.33 4.29 10.40 Real Estate -0.78 -0.82 11.51 17.03 -12.29 -4.30

NCREIF(NPI) (Data only available quarterly) (4) 0.00 0.00 7.43 16.73 -2.57 3.44 7.64 Real Assets/Commodities 0.25 1.40 6.26 25.63 -5.71

DJUBS TR Index 1.00 3.99 1.31 25.83 -4.50 0.84 6.90Mortgage-Backed Securities 0.79 1.27 3.43 5.18 7.29 6.99 5.81 vs. Barclays MBS 1.25 2.19 5.12 4.98 7.23 6.80 5.75

Police & Fire Mortgage Program(5)

0.38 0.38 4.24 5.86

Cash Mgt. Fund (3)

0.01 0.03 0.17 0.30 0.66 2.05 2.18 vs. US Treasury Bills (3 month) 0.01 0.01 0.07 0.25 1.70 1.95Total Pension Fund -2.88 -2.72 2.45 10.72Total Pension Fund ex Police and Fire Mortgages -2.93 -2.77 2.42 10.81 3.53 4.11 5.22 Total Fund Benchmark -4.66 -4.37 0.04 7.56 3.50 4.26 6.56

(1) Figures are unaudited and are subject to change(2)

Common Fund B Blended Benchmark from 7/1/11 forward is a 50/50 blend of BC Gov/Credit Long and the BC Gov/Credit. Prior to 7/1/11 it was 100% BC Gov/Credit Long.(3)The cash aggregate comprises the seven plan cash accounts(4)Cambridge Associates & NCREIF (NPI) Benchmarks are only reported on a quarterly basis, non quarter-end months are reported as 0%(5) Hedge funds and the Police and Fire Mortgage Program are recorded on one month lag; July performance will be reflected in August

Pension Fund Performance (1)

Versus Benchmark

August 31, 2011

(6) Common Fund B and Hedge Fund performance include the effect of transferring a number of bank loan funds from Common Fund E to Common Fund B in Fiscal Year 2009. Trailing Hedge Fund

Performance including bank loans funds as of June 30, 2011 as calculated by Hedge Fund Consultant Cliffwater is: 1 Year: 12.88%, 3 Year: 4.27%; 5 Year 5.14%.

Page 3

% ofPortfolio

4.292.732.011.791.611.451.421.241.221.21CONOCOPHILLIPS

CompanyAPPLE INC

EXXON MOBIL CORPMICROSOFT CORP

JPMORGAN CHASE & CO

Portfolio Sector Weightings

GENERAL ELECTRIC CO

8/31/2011Common Fund A (Domestic Equity)

Top Holdings

MERCK & CO. INC.PFIZER INC

INTL BUSINESS MACHINES CORPPROCTOR & GAMBLE

0.00 2.00 4.00 6.00 8.00

10.00 12.00 14.00 16.00 18.00 20.00

A Fund S&P 1500

Page 4

Portfolio Benchmark Difference Issuer Name Market Value [%]

Total Return 6.18 8.49 -2.31 US/T US TREASURY N/B 13.09

Quality Rating AA-3 AA-2 N/A US/S STRIPS 3.47

Coupon 5.28 5.94 -0.66 FHLMC FEDERAL HOME LN MTG CORP 2.83

Yield 4.39 4.97 -0.58 AID GOV'T OF ISRAEL 1.69

Duration 9.74 13.35 -3.61 VZ VERIZON COMMUNICATIONS INC 1.42

OAS 130.31 125.76 4.55 QHEL HYDRO QUEBEC 1.37

Convexity 0.67 1.20 -0.53 T AT&T INC 1.35

Maturity 14.71 23.47 -8.76 ONT ONTARIO (PROVINCE OF) 1.29

RFC RFCSP STRIP PRINCIPAL 1.20

Maturities Portfolio Benchmark JNJ JOHNSON & JOHNSON 1.16

0-5yr 8.23 1.23

5-10yr 34.03 0.87

10-15yr 18.23 11.96 Sectors By %15-20yr 12.66 16.31

20-25yr 9.47 13.99

25-30yr 15.39 54.08

>30yr 0.99 1.56

Unclassified 1.00 0.00

Ratings Portfolio Benchmark

Total 100.00 100.00

AAA 32.03 48.25

AA+ to AA 8.92 5.34

AA- to A 23.23 14.12

A- to BBB 28.70 25.63

BBB- to BB 3.42 6.20

Less than BB 1.06 0.47

Unclassified 2.56 0.00

Benchmark: Barclays US Long Gov/Credit

Investment Grade Portfolio (Common Fund B)

8/31/2011

AGENCY, 4.0

ASSET BACKED, 0.5

CMO, 0.7

CORPORATE, 54.4

MORTGAGE PASS-THROUGH, 2.5

MUNICIPAL, 4.7

PRIVATE PLACEMENT,

0.2

US TREASURY, 23.0 YANKEE, 10.0

Page 5

% ofCompany Portfolio

ISHARES MSCI EAFE INDEX FUND 6.57VANGUARD EMERGING MARKETS ETF 5.36ISHARES MSCE EMERGING MARKETS 4.57HSBC HOLDINGS PLC 2.09BHP BILLITON PLC 1.60RIO TINTO PLC 1.39ROCHE HOLDING AG GENUSSCHEIN 1.20GIVAUDAN AG 1.07XSTRATA PLC 0.99JAPAN TOBACCO INC 0.95

Top Holdings

Common Fund D (International Equity)

Portfolio Sector Weightings

8/31/2011

0

5

10

15

20

25

30

D Fund Benchmark

Page 6

Common Fund D (International Equity)08/31/2011

Custom Net Foreign Custom Net Foreign

International Currency International Currency

Equity % Equity Index Hedge Exposure Equity % Equity Index Hedge Exposure

Developed Markets: Emerging Markets:

Australia 554.0 4.1% 6.7% 554.0 EM - Global 0.8 0.0% 0.8Austria 153.2 1.1% 0.2% 153.2 EM - Europe/Middle East/Africa 0.0Belgium 92.5 0.7% 0.7% 92.5 Czech Republic 25.0 0.2% 0.1% 25.0Canada 1225.0 9.1% 9.3% 1225.0 Egypt 29.1 0.2% 0.1% 29.1Denmark 130.9 1.0% 0.7% 130.9 Guernsey 0.5 0.0% 0.5Finland 199.2 1.5% 0.5% 199.2 Hungary 18.2 0.1% 0.1% 18.2France 954.9 7.1% 5.7% 954.9 Jersey 0.8 0.0% 0.8Germany 481.4 3.6% 5.3% 481.4 Lebanon 1.3 0.0% 1.3Greece 21.6 0.2% 0.1% 21.6 Luxembourg 2.4 0.0% 2.4Hong Kong 388.1 2.9% 2.1% 388.1 Maruitius 0.1 0.0% 0.1Ireland 6.2 0.0% 0.2% 6.2 Morocco 0.2 0.0% 0.0% 0.2Israel 26.3 0.2% 0.5% 26.3 Poland 38.7 0.3% 0.4% 38.7Italy 216.7 1.6% 1.3% 216.7 Russia 209.3 1.5% 1.3% 209.3Japan 1731.1 12.8% 15.5% 631.2 1099.9 South Africa 260.0 1.9% 1.6% 260.0Netherlands 208.6 1.5% 1.8% 208.6 Turkey 69.6 0.5% 0.3% 69.6New Zealand 1.2 0.0% 0.1% 1.2 Ukraine 0.4 0.0% 0.4Norway 122.5 0.9% 0.6% 122.5 EM - Latam Portugal 177.4 1.3% 0.2% 177.4 Argentina 13.4 0.1% 13.4Singapore 267.9 2.0% 1.4% 267.9 Brazil 533.1 3.9% 3.3% 533.1Spain 184.5 1.4% 2.5% 184.5 Chile 43.0 0.3% 0.5% 43.0Sweden 522.0 3.9% 1.7% 522.0 Colombia 10.5 0.1% 0.2% 10.5Switzerland 837.3 6.2% 4.2% 837.3 Mexico 148.7 1.1% 1.2% 148.7United Kingdom 1855.1 13.7% 14.6% 1855.1 Peru 18.0 0.1% 0.2% 18.0

EM - Asia ex JapanEuro Currency 181.2 -181.2 China 454.5 3.4% 4.4% 454.5

India 178.8 1.3% 1.7% 178.8 Indonesia 135.3 1.0% 0.7% 135.3 Kazakhstan 0.0% 0.0 Korea 480.1 3.5% 3.7% 480.1 Malaysia 86.2 0.6% 0.8% 86.2 Pakistan 7.2 0.1% 7.2 Philippines 52.0 0.4% 0.2% 52.0

Exposure By Country

Page 7

PARTICIPATION

VALUE PERCENTAGE

STATE $7,526 67.63%

NON-STATE $3,602 32.37%

TOTAL* $11,128 100.00%

Dollar amounts in millions

PORTFOLIO ANNUALIZED INTEREST RATES

STATE NON-STATE AVG.DAYS

8/31/2011 0.19% 0.04% 129

Percentage August 31, 2011

CERT. OF DEPOSIT 3.74% $415,000,000

COMM PAPER 12.03% $1,333,501,000

GOVT OF CANADA C P 0.81% $90,000,000

GOVT AGENCY 1.93% $214,130,000

UST BILLS 37.54% $4,161,234,000

UST NOTES 42.71% $4,733,731,000

INDUSTRIAL BONDS 1.24% $137,000,000

TOTALS* 100.00% $11,084,596,000

Total US Treas/Agency 82.18%

*Total is at market.

**Total is at par.

Cash Management Fund8/31/2011

4%

12% 1% 2%

37%

43%

1%

CERT. OF DEPOSIT

COMM PAPER

GOVT OF CANADA C P

GOVT AGENCY

UST BILLS

UST NOTES

INDUSTRIAL BONDS

Page 8

COMMON PENSION FUND B

Total Purchases for Fixed Income Required to be Reported by State Investment Council Regulations

8/1/11 through 8/31/11

057224BA4 BAKER HUGHES INC 08/21 FIXED 3.20 20,000,000 19,959,20012189TAZ7 BURLINGTON NORTHN SANTA FE COR DEB 10,000,000 11,686,708126408GK3 CSX CORP NT 7,525,000 8,976,81714912L4X6 CATERPILLAR FINANCIAL SE 08/16 FIXED 2.05 10,000,000 10,122,336166754AJ0 CHEVRON PHILLIPS CHEM CO 02/21 FIXED 4.75 2,000,000 2,121,701186108CF1 CLEVELAND ELEC ILLUM CO 04/17 FIXED 5.7 7,350,000 8,432,300191216AS9 COCA COLA CO/THE 09/16 FIXED 1.8 25,000,000 24,995,000191216AT7 COCA COLA CO/THE 09/21 FIXED 3.3 20,000,000 19,982,60020030NAR2 COMCAST CORP NEW NT 10,000,000 11,795,332202795HZ6 COMMONWEALTH EDISON CO 09/21 FIXED 3.4 15,000,000 14,995,050249030AB3 DENTSPLY INTERNATIONAL 8/16 FIXED 2.75 10,000,000 9,985,70025468PCN4 WALT DISNEY COMPANY/THE 08/21 FIXED 2.75 35,000,000 34,550,95025746UBM0 DOMINION RESOURCES INC 08/41 FIXED 4.9 7,000,000 6,892,9704581X0BR8 INTER AMERICAN DEVEL BK 08/18 FIXED 1.75 75,000,000 74,892,000459058BS1 INTL BANK RECON + DEVELOP 09/16 FIXED 1 30,000,000 29,725,200465139DG5 AID ISRAEL US GOVT GUAR 09/18 0.00000 39,000,000 32,885,970465139DR1 AID ISRAEL US GOVT GUAR 03/23 0.00000 19,000,000 12,807,33046513EGV8 AID ISRAEL US GOVT GUAR 12/23 5.5 50,000,000 61,583,44446513EJX1 AID ISRAEL US GOVT GUAR 04/24 5.5 64,000,000 81,144,036494550BJ4 KINDER MORGAN ENER PART 03/22 FIXED 4.15 15,000,000 14,987,10055907RAA6 MAGELLAN MIDSTREAM PARTN 02/21 FIXED 4.25 7,000,000 7,305,587665859AM6 NORTHERN TRUST CORP 08/21 FIXED 3.375 15,000,000 14,934,450674599CC7 OCCIDENTAL PETE CORP 2/22 FIXED 3.125 15,000,000 14,713,95069351UAP8 PPL ELECTRIC UTILITIES 09/21 FIXED 3 10,000,000 9,919,100713448BW7 PEPSICO INC 08/21 FIXED 3 35,000,000 34,787,55074005PAZ7 PRAXAIR INC 09/21 FIXED 3 15,000,000 14,875,950742718DV8 PROCTER + GAMBLE CO 08/16 FIXED 1.45 35,000,000 34,718,600744448CE9 PUBLIC SERVICE COLORADO 08/41 FIXED 4.75 4,000,000 3,984,720748149AF8 PROVINCE OF QUEBEC NOTES 08/21 2.75 80,000,000 79,635,201796269VA3 SAN ANTONIO TX INDEP SCH DIST SANSCD 08/28 FIXED 4.006 5,000,000 5,000,000797440BN3 SAN DIEGO G + E 08/21 FIXED 3.0 5,000,000 4,974,350842587CH8 SOUTHERN CO 09/16 FIXED 1.95 10,000,000 9,984,800883556AZ5 THERMO FISHER SCIENTIFIC 08/21 FIXED 3.6 15,000,000 14,971,350883556BA9 THERMO FISHER SCIENTIFIC 08/16 FIXED 2.25 15,000,000 14,973,900907818CF3 UNION PAC CORP DEB 4,000,000 5,007,826907818DJ4 UNION PAC CORP 09/41 FIXED 4.75 25,000,000 24,507,750911308AB0 UNITED PARCEL SVC AMER INC DEB INT RATE FRN 5,000,000 7,353,318913017BA6 UNITED TECHNOLOGIES CORP DEB 7,000,000 10,247,183918204AV0 V F CORP 09/21 FIXED 3.5 10,000,000 9,969,00094106LAX7 WASTE MANAGEMENT INC 09/16 FIXED 2.6 10,000,000 9,999,100

Cusip Company Name Par Value

$ Amount

Purchased

Page 9

HIGH YIELD


8/1/11 through 8/31/11

00088JAA1 ACL I CORP 02/16 FIXED 10.625 16,716 16,71600130HBR5 AES CORPORATION 07/21 FIXED 7.375 75,000 74,09500165AAD0 AMC ENTERTAINMENT INC 12/20 FIXED 9.75 675,000 690,73400828DAN1 AFFINION GROUP INC 12/18 FIXED 7.875 300,000 302,412008294AB6 AFFINION GROUP HLDGS INC 11/15 FIXED 11.625 725,000 739,896014477AL7 ALERIS INTL INC 02/18 FIXED 7.625 250,000 240,37102076XAC6 ALPHA NATURAL RESOURCES 06/21 FIXED 6.25 50,000 50,543021332AC5 ALTA MESA HLDGS/FINANC S 10/18 FIXED 9.625 350,000 358,611028865AB9 AMERICAN PETROLIUM TAN 05/15 FIXED 10.25 625,000 640,24303070QAM3 AMERICAN CASINOS INC 04/21 FIXED 7.50 1,000,000 1,036,042031652BD1 AMKOR TECHNOLOGIES INC 06/21 FIXED 6.625 225,000 212,12003674PAD5 ANTERO RESOURCES FINANCE 08/19 FIXED 7.25 SER 144A 100,000 101,581039380AF7 ARCH COAL INC 06/21 FIXED 7.25 SER 144A 375,000 376,686043436AK0 ASBURY AUTOMOTIVE GROUP 11/20 FIXED 8.375 125,000 127,530053810AB3 AVIV HLTH PROP/AVIV HLTH 02/19 FIXED 7.75 175,000 177,924060505DR2 BANK OF AMERICA CORP 12/49 FRN 300,000 267,98106647FAA0 BANKRATE INC 07/15 FIXED 11.75 797,000 795,846085789AD7 BERRY PETROLEUM CO 06/14 FIXED 10.25 90,000 102,426085790AW3 BERRY PLASTICS CORP 01/21 FIXED 9.75 850,000 817,505090613AD2 BIOMET INC SR TOGGLE NT 250,000 270,115090613AE0 BIOMET INC SR SUB NT 125,000 136,91009664PAA0 BOART LONGYEAR MANAGEMENT 04/21 FIXED 7.00 160,000 168,351117777AA0 SYNIVERSE HOLDINGS INC 01/19 FIXED 9.125 75,000 75,574121579AF3 BURLINGTON COAT FACTORY 02/19 FIXED 10 144A 250,000 240,58012429WAB3 BWAY PARENT COMANY INC 11/15 FIXED 10.125 343,162 345,72812513NAA2 CDW ESCROW CORP 4/19 FIXED 8.5 75,000 74,24812527GAB9 CF INDUSTRIES HOLDINGS I 05/20 FIXED 7.125 195,000 225,46712618MAC4 CPI INTERNATIONAL INC 02/18 FIXED 8 450,000 450,30012768RAA5 CAESARS ENTMT OPER CO INC 04/18 FIXED 12.75 300,000 296,265131347BY1 CALPINE CORP 1/23 FIXED 7.875 144A 150,000 145,886147446AR9 CASE NEW HOLLAND INC 12/17 FIXED 7.875 490,000 508,62915672WAA2 CEQUEL COM HLDG I/CAP CP 11/17 FIXED 8.625 250,000 248,11717121EAC1 CHRYSLER GP CG CO ISSUER 06/21 FIXED 8.25 1,400,000 1,235,963184496AF4 CLEAN HARBORS INC 8/16 FIXED 7.625 650,000 680,619184502BG6 CLEAR CHANNEL COMMUNICAT 03/21 FIXED 9 1,700,000 1,760,17418451QAC2 CLEAR CHANNEL WORLDWIDE 12/17 FIXED 9.25 330,000 358,99018538TAA7 CLEARWIRE COMM/FINANCE 12/15 FIXED 12 650,000 600,59219190AAB3 COFFEYVILLE RESOURCES 04/17 FIXED 10.875 45,000 51,867197677AD9 COLUMBIA /HCA HEALTHCARE CORP 11/15 FIXED 7.19 175,000 173,025203372AH0 COMMSCOPE INC 01/19 FIXED 8.25 250,000 252,745226566AM9 CRICKET COMMUNICATIONS I 10/20 FIXED 7.75 225,000 208,64723833NAG9 DAVE + BUSTERS INC SR NT 06/18 FIXED 11 600,000 645,737242370AA2 DEAN FOODS CO NEW SR NT 25,000 23,302

Cusip Company Name Par Value

$ Amount

Purchased

10

HIGH YIELD


8/1/11 through 8/31/11

242370AC8 DEAN FOODS CO 12/18 FIXED 9.75 225,000 227,92525272PAC6 DIAMOND RESORTS CORP 08/18 FIXED 12.0 1,000,000 1,066,59125470XAD7 DISH DBS CORP 6/21 FIXED 6.75 175,000 175,983268520AA1 EH HOLDING CORP 06/19 FIXED 6.5 100,000 100,371268520AC7 EH HOLDING CORP 06/21 FIXED 7.625 100,000 100,258269246AT1 E TRADE FINL CORP SPRING LIEN NT EXCELSIOR CORP 350,000 419,757281023AU5 EDISON MISSION ENERGY 05/17 FIXED 7.0 125,000 88,51029444UAJ5 EQUINIX INC 03/18 FIXED 8.125 250,000 270,33330040PAA1 EVERTEC INC 10/18 FIXED 11 150,000 167,683302203AA2 EXPRO FINANCE LUXEMBOURG 12/16 FIXED 8.5 500,000 489,563319963AT1 FIRST DATA CORPORATION 09/15 FIXED 10.55 300,000 282,000319963AV6 FIRST DATA CORP 03/16 FIXED 11.25 100,000 85,250319963BA1 FIRST DATA CORPORATION 01/21 FIXED 12.625 100,000 90,947340627AA6 FLORIDA EAST COAST HLDGS 08/17 FIXED 10.5 SER 144A 26,562 26,562345143AA9 FORBES ENERGY SERVICES 06/19 FIXED 9 800,000 803,741345370CA6 FORD MOTOR COMPANY 07/31 FIXED 7.45 275,000 305,68935687MAQ0 FREESCALE SEMICONDUCTOR 03/18 FIXED 10.125 550,000 607,69236155WAH9 GCI INC 06/21 FIXED 6.75 25,000 25,38436186CBY8 ALLY FINANCIAL INC 11/31 FIXED 8.000 225,000 222,16137045V100 GENERAL MOTORS CO COMMON STOCK USD.01 47 1,22537045V118 GENERAL MOTORS CO WTS CALL EXP 10JUL16 43 74637045V126 GENERAL MOTORS CO WTS CALL EXP 10JUL19 43 52138211PAA7 GOOD SAM ENTERPRISES LLC 12/16 FIXED 11.5 800,000 856,212398433AF9 GRIFFON CORPORATION 04/18 FIXED 7.125 150,000 154,216404121AD7 HCA INC 02/22 FIXED 7.5 375,000 363,307413627BM1 HARRAHS OPERATING CO INC 12/18 FIXED 10 375,000 319,920428040CH0 HERTZ CORP 04/19 FIXED 6.75 250,000 247,82844701QAX0 HUNTSMAN INTERNATIONAL L 03/21 FIXED 8.625 375,000 410,66844984WAA5 INEOS FINANCE PLC 05/15 FIXED 9 100,000 103,92545073HAA7 IVD ACQUISITION CORP 08/19 FIXED 11.125 925,000 918,61245661YAA8 INEOS GROUP HLDGS PLC 02/16 FIXED 8.25 144A 250,000 220,050458204AH7 INTELSAT BERMUDA LTD 02/17 FIXED 11.25 157,000 154,692459745FW0 INTERNATIONAL LEASE FIN CORP 09/15 VAR 325,000 348,71046122EAA3 INVENTIV HEALTH INC 08/18 FIXED 10 625,000 577,48647009XAB5 JAGUAR LAND ROVER PLC 05/21 FIXED 8.125 150,000 146,26348283GAA9 KABEL BW ERSTE BETEILIGU 03/19 FIXED 7.5 144A 550,000 559,500494578AA5 KINDRED HEALTHCARE INC 06/19 FIXED 8.25 100,000 89,321527297AA3 LEVEL 3 ESCROW INC 07/19 FIXED 8.125 50,000 50,728527298AM5 LEVEL 3 FING INC 11/14 FIXED 9.25 400,000 416,408536022AG1 LINN ENERGY LLC/FIN CORP 05/19 FIXED 6.5 175,000 163,375552953BB6 MGM MIRAGE SR NT 250,000 231,800552953BE0 MGM MIRAGE 11/13 FIXED 13.00 150,000 183,74655303QAA8 MGM RESORTS INTERNATIONAL 03/18 FIXED 11.375 350,000 383,60156808RAD8 MARINA DISTRICT FINANCE 08/18 FIXED 9.875 325,000 337,119582411AF1 MCMORAN EXPLORATION CO 11/14 FIXED 11.875 800,000 882,782594073AB4 MICHAEL FOODS INC 07/18 FIXED 9.75 750,000 769,066

11

HIGH YIELD


8/1/11 through 8/31/11

594087AR9 MICHAELS STORES INC 11/18 FIXED 7.75 1,000,000 1,011,900651715AD6 NEWPAGE CORP SR SECD NT 25,000 4,75065409QAY8 NIELSON FINANCE LLC/CO 10/18 FIXED 7.75 300,000 316,96667090FAD8 NUVEEN INVESTMENTS INC 11/15 FIXED 10.5 250,000 248,460682129AE1 OMNOVA SOLUTIONS INC 11/18 FIXED 7.875 125,000 128,035683797AB0 OPPENHEIMER HOLDINGS INC 04/18 FIXED 8.75 1,335,000 1,378,791700677AN7 PARK OHIO INDUSTRIES INC 4/21 FIXED 8.125 75,000 76,96472347QAC7 PINNACLE FOODS FIN LLC SR NT 150,000 157,15572347QAD5 PINNACLE FOODS FIN LLC SR SUB NT 125,000 135,614729416AQ0 PLY GEM INDUSTRIES 02/18 FIXED 8.25 500,000 519,479745310AD4 PUGET ENERGY INC 09/21 FIXED 6 275,000 278,07174959HAA6 REYNOLDS GRP ISS/REYNOLD 08/19 FIXED 7.875 300,000 300,50074965WAA5 ROC FINANCE LLC ROC FIN 09/18 FIXED 12.125 SER 144A 500,000 491,33075040PAK4 RADIO ONE INC 05/16 FIXED 15 18,658 18,65875524DAN0 RBS GLOBAL AND REXNORD COR 05/18 FIXED 8.5 250,000 260,12575605EBU3 REALOGY CORP 02/19 FIXED 7.875 SER 144A 75,000 66,408758766AE9 REGAL ENTERTAINMENT GRP 08/18 FIXED 9.125 225,000 224,495767754BM5 RITE AID CORP SR NT 15/03/01 8.625 25,000 22,363767754BQ6 RITE AID CORP SR NT 50,000 42,919767754BX1 RITE AID CORP 06/16 FIXED 9.75 135,000 150,21881180WAD3 SEAGATE HDD CAYMAN 05/20 FIXED 6.875 775,000 777,18682088KAA6 SHEA HOMES LP/FNDG CP 05/19 FIXED 8.625 100,000 92,204823777AH0 SHERIDAN GROUP INC/THE 04/14 FIXED 12.5 1,050,000 1,031,331852060AD4 SPRINT CAPITAL CORP 11/28 FIXED 6.875 50,000 45,114852060AT9 SPRINT CAP CORP 8.75PCT 15MAR32 315,000 305,990852061AF7 SPRINT NEXTEL CORP 8/17 FIXED 8.375 275,000 301,83385749P9B9 STATE STR INSTL LIQUID RESVS 19,667,670 19,667,670870755AB1 SWIFT SERVICES HLDGS INC 11/18 FIXED 10 225,000 231,25787612BAF9 TARGA RES PARTNERS LP 10/18 FIXED 7.875 250,000 256,56387952VAF3 TELESAT CANADA/TELESAT L 11/17 FIXED 12.5 225,000 268,433883435AJ8 THERMADYNE HOLDINGS CORP 12/17 FIXED 9 350,000 355,68988830MAF9 TITAN INTERNATIONAL INC 10/17 FIXED 7.875 380,000 395,813893647AN7 TRANSDIGM INC 12/18 FIXED 7.75 SER 144A 500,000 516,889911365AW4 UNITED RENTALS NORTH AMER INC 09/20 FIXED 8.375 150,000 146,339914906AH5 UNIVISION COMMUNICATIONS 11/20 FIXED 7.875 144A 250,000 243,406914906AK8 UNIVISION COMMUNICATIONS 05/21 FIXED 8.5 137,000 120,449952355AK1 WEST CORP 01/19 FIXED 7.875 325,000 332,03897314XAE4 WIND ACQUISITION FIN SA 07/17 FIXED 11.75 200,000 212,67298375NAA8 XM SATELLITE RADIO INC 08/14 FIXED 13 SERIES 144A 25,000 28,72198375YAZ9 XM SATELLITE RADIO INC 11/18 FIXED 7.625 SER 144A 125,000 127,674

12

PURCHASES: CASH MANAGEMENT FUND

Cusip Company Name Par Value $ Amount Purchased

68323KYM ONTARIO PROVINCE DISC CP 75,000,000.00 74,983,125.00369550AK GENERAL DYNAMICS CORP 25,000,000.00 26,542,500.0074800KYM QUEBEC PROVINCE DISC CP 15,000,000.00 14,996,625.00693304AD PECO ENERGY CO 10,000,000.00 10,449,500.00

OTHER FUNDS


8/1/11 through 8/31/11

Page 13

Alternative Investments as of August 31, 2011

Provided To: New Jersey Common Pension Fund E - Private Equity Portfolio Provided From: The PrivateEdge GroupPresents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.

A B C =(B+C)

Alternative Category

SIC Presentation

Date

Inception

Date Commitment Amount Contributed1

Unfunded

Commitment Current Market Value 3 Total Distributed 2 Total Value

Private Equity

Co-Investments 500,000,000 223,619,209 276,069,107 245,733,286 1,020,468 246,753,754

SONJ Private Opportunities Fund II, L.P. Buyout Nov-07 Nov-07 400,000,000 126,959,999 272,728,317 144,853,742 770,552 145,624,294 SONJ Private Opportunities Fund, L.P. Buyout Oct-05 Sep-06 100,000,000 96,659,210 3,340,790 100,879,544 249,916 101,129,460

Distressed Debt 1,010,000,000 849,301,026 314,068,310 562,519,704 507,858,948 1,070,378,652

Avenue Asia Special Situations Fund IV Debt related Jul-06 Aug-06 30,000,000 26,283,722 0 19,592,553 9,993,080 29,585,633 Avenue Special Situations Fund V, LP Debt related Apr-07 May-07 200,000,000 200,529,783 0 27,840,164 243,377,293 271,217,457 Avenue Special Situations IV Debt related Oct-05 Nov-05 20,000,000 20,000,000 0 1,707,628 25,739,123 27,446,751 BDCM Opportunity Fund II, L.P. Debt related Dec-05 Feb-06 40,000,000 43,230,909 6,569,684 40,136,345 13,600,211 53,736,556 Centerbridge Capital Partners, L.P. Debt related Jun-06 Jun-06 80,000,000 116,828,958 8,458,634 86,794,318 80,206,524 167,000,842 Centerbridge Capital Partners II, L.P. Debt related Mar-11 May-11 100,000,000 9,223,043 90,776,282 8,099,999 0 8,099,999 HIG Bayside Debt & LBO II Debt related May-08 May-08 100,000,000 38,500,000 61,500,000 35,048,836 8,702,919 43,751,755 KPS Special Situations Fund III, LP Debt related Apr-07 May-07 25,000,000 11,746,005 20,121,003 8,826,387 7,341,592 16,167,978 MatlinPatterson Global Opps. Ptnrs. III Debt related Apr-07 Jun-07 100,000,000 91,360,212 13,000,101 62,947,496 8,253,466 71,200,962 MHR Institutional Partners III, L.P. Debt related Jun-06 May-07 75,000,000 62,806,238 23,299,886 61,100,406 12,281,816 73,382,222 Wayzata Opportunities Fund II, LLC Debt related Nov-07 Dec-07 100,000,000 113,800,000 39,800,000 104,100,801 53,600,000 157,700,801 Wayzata Opportunities Fund, LLC Debt related Dec-05 Feb-06 40,000,000 55,384,000 7,688,000 48,008,544 30,912,000 78,920,544 WLR Recovery Fund IV, LP Debt related Oct-07 Oct-07 100,000,000 59,608,156 42,854,720 58,316,228 13,850,924 72,167,152

Domestic Midmarket Buyout 2,120,000,000 1,329,039,114 949,444,188 1,163,652,769 432,942,688 1,596,595,457

Court Square Capital Partners II, L.P. Buyout Mar-07 May-07 100,000,000 67,653,175 35,275,199 81,929,780 3,745,487 85,675,267 DLJ Merchant Banking Partners IV, LP Buyout Jun-06 Jun-06 50,000,000 50,954,827 3,030,757 26,933,946 8,104,259 35,038,204 GTCR IX, L.P. Buyout Jun-06 Sep-06 70,000,000 63,468,681 6,531,318 61,133,597 5,166,801 66,300,398 InterMedia Partners VII, L.P. Buyout Nov-05 Dec-05 75,000,000 86,153,322 7,872,843 84,207,593 19,863,672 104,071,265 JLL Partners Fund V, L.P. Buyout Nov-05 Dec-05 50,000,000 48,881,541 5,942,737 35,943,452 25,644,307 61,587,759 JLL PARTNERS FUND VI, LP Buyout May-08 Jun-08 150,000,000 73,754,725 120,791,382 16,617,324 90,668,516 107,285,840 Lindsay Goldberg III, L.P. Buyout Jul-08 Jul-08 200,000,000 52,418,108 148,402,667 37,211,248 9,754,493 46,965,741 Lindsay, Goldberg & Bessemer II, L.P. Buyout May-06 Jul-06 100,000,000 88,437,299 11,562,701 82,138,642 13,748,291 95,886,933 New Mountain Partners III, L.P. Buyout May-07 May-07 100,000,000 73,086,972 41,842,939 50,762,365 23,239,383 74,001,748 Oak Hill Capital Partners II, L.P. Buyout Jun-05 Jul-05 75,000,000 79,656,993 3,776,994 75,362,812 40,111,833 115,474,645 Oak Hill Capital Partners III, L.P. Buyout Sep-07 Oct-07 250,000,000 196,507,599 95,903,731 149,324,831 43,123,389 192,448,220 Onex Partners II, LP Buyout Jul-06 Aug-06 100,000,000 88,416,027 11,583,973 72,695,152 61,084,709 133,779,861 Onex Partners III, LP Buyout Nov-08 Dec-08 100,000,000 54,367,059 54,345,507 42,658,945 8,821,540 51,480,485 Quadrangle Capital Partners II Buyout Jun-05 Aug-05 50,000,000 43,205,262 6,548,015 40,625,340 15,677,134 56,302,474 Tenex Capital Partners, L.P. Buyout Nov-10 Jan-11 50,000,000 9,592,302 40,441,809 9,555,811 2,382 9,558,192 The Resolute Fund II, L.P. Buyout Dec-07 Dec-07 100,000,000 47,862,802 53,625,844 40,761,010 7,811,189 48,572,199 TPG [STAR], LP Buyout Feb-07 Mar-07 100,000,000 84,643,122 20,871,393 108,311,207 9,520,191 117,831,398 Vista Equity Partners Fund III, L.P. Buyout May-07 Jul-07 100,000,000 80,068,690 21,004,987 106,066,754 46,855,113 152,921,867 Vista Equity Partners Fund IV, L.P. Buyout Jul-11 TBD 200,000,000 0 200,000,000 0 0 0 Welsh, Carson, Anderson & Stowe XI, L.P. Buyout Sep-08 Oct-08 100,000,000 39,910,607 60,089,393 41,412,962 0 41,412,962

Emerging Managers 400,000,000 239,787,359 198,934,161 191,655,119 53,567,228 245,222,347

CS/NJDI Emerging Opp Buyout Jan-07 Apr-07 200,000,000 143,655,057 95,066,463 105,917,051 51,396,392 157,313,443 Fairview Capstone Partners II, LP Buyout Jun-08 Sep-08 100,000,000 37,659,287 62,340,713 31,879,030 487,552 32,366,582 Fairview Capstone Partners, LP Buyout Jan-07 May-07 100,000,000 58,473,015 41,526,985 53,859,038 1,683,284 55,542,322

International 1,363,431,969 815,422,073 560,266,689 736,499,017 131,582,126 868,081,142

Anacap Financial Partners II Buyout Mar-08 May-08 149,516,413 67,007,735 90,851,845 65,834,966 20,674,590 86,509,557 GS Private Equity Partners (NJ) Buyout Aug-05 Feb-06 200,000,000 169,476,713 33,110,549 140,357,654 24,650,006 165,007,660 GS Private Equity Partners (NJ) II Buyout Mar-07 Jul-07 213,915,556 113,578,512 100,716,387 106,651,306 4,296,913 110,948,219 New Jersey Asia Investors, L.P. Buyout Nov-07 Jan-08 100,000,000 53,001,166 54,317,930 37,030,175 17,152,197 54,182,372

15



A B C =(B+C)


SIC Presentation

Date

Inception


Unfunded


New Jersey Asia Investors II, L.P. Buyout May-11 Jul-11 100,000,000 4,237,268 95,762,732 4,237,268 0 4,237,268 NJHL European BO Investment II Series B Buyout Nov-06 Apr-07 200,000,000 107,258,344 59,076,642 99,148,871 13,923,813 113,072,684 NJHL European Buyout Investment Series A Buyout Aug-05 Feb-06 200,000,000 162,322,948 40,992,036 147,350,344 14,807,882 162,158,226 NJHL European Buyout Investment Series C Buyout Mar-08 Mar-08 200,000,000 138,539,387 85,438,569 135,888,433 36,076,724 171,965,157

Large Buyout 1,835,750,000 1,538,320,459 423,113,121 1,397,392,574 345,070,100 1,742,462,674

Apollo Investment Fund VI, L.P. Buyout Jul-05 Nov-05 100,000,000 126,873,050 12,518,413 112,739,463 50,647,308 163,386,772 Blackstone Capital Partners V, L.P. Buyout Jul-05 Oct-05 100,000,000 95,260,299 1,551,434 87,940,056 8,569,872 96,509,927 Hellman & Friedman Capital Partners VI Buyout Dec-06 Apr-07 100,000,000 87,368,052 12,466,800 87,900,581 14,492,118 102,392,699 Madison Dearborn Capital Partners V, LP Buyout Mar-06 May-06 125,000,000 112,771,791 20,681,051 105,666,004 16,262,414 121,928,418 Silver Lake Partners III, LP Buyout Jan-07 Jan-07 100,000,000 64,859,175 43,622,970 68,487,381 22,112,368 90,599,749 Thomas H. Lee Equity Partners Fund VI Buyout Apr-07 Apr-07 75,000,000 53,125,420 25,104,124 57,197,218 3,989,343 61,186,561 TPG Partners V, L.P. Buyout Mar-06 Sep-06 250,000,000 247,380,674 40,589,540 147,475,419 61,364,803 208,840,222 TPG Partners VI, L.P. Buyout May-08 May-08 360,000,000 207,998,998 170,378,789 177,703,424 30,016,370 207,719,794 Warburg Pincus Private Equity IX, LP Buyout Jun-05 Aug-05 200,000,000 200,000,000 0 206,887,631 86,460,150 293,347,781 Warburg Pincus Private Equity VIII Buyout Jun-06 Jun-06 25,750,000 26,883,000 0 28,017,658 30,547,479 58,565,137 Warburg Pincus Private Equity X, LP Buyout Sep-07 Oct-07 400,000,000 315,800,000 96,200,000 317,377,739 20,607,875 337,985,614

Mezzanine Debt 607,807,307 512,022,906 177,583,871 311,678,924 260,266,490 571,945,414

Audax Mezzanine Partners II Debt related Sep-06 Nov-06 50,000,000 49,839,644 2,239,163 30,810,897 28,424,899 59,235,796 Blackstone Mezzanine Partners II, LP Debt related Apr-06 Apr-06 45,000,000 42,307,819 8,017,004 26,825,418 27,680,113 54,505,531 Carlyle Mezzanine Partners II, L.P. Debt related Dec-07 Dec-07 75,000,000 48,048,550 43,751,158 24,933,493 28,816,836 53,750,329 Carlyle Mezzanine Partners, L.P. Debt related Apr-06 May-06 50,000,000 54,182,600 4,439,980 19,694,707 26,003,906 45,698,613 Gleacher Mezzanine Fund II, LP Debt related Aug-06 Nov-06 40,000,000 21,845,371 18,179,681 16,181,930 6,877,329 23,059,260 GSO Capital Opportunities Fund, LP Debt related May-08 Jul-08 100,000,000 112,930,375 8,281,523 92,601,032 44,021,192 136,622,224 Newstone Capital Partners, L.P. Debt related Dec-06 Feb-07 50,000,000 60,772,689 2,565,266 25,896,487 45,111,488 71,007,975 Newstone Capital Partners II, L.P. Debt related Mar-11 May-11 100,000,000 27,477,812 72,659,787 27,816,616 0 27,816,616 OCM Mezzanine Fund II, L.P. Debt related Feb-06 Mar-06 50,000,000 57,200,000 5,775,000 26,002,515 40,827,404 66,829,919 TPG Financial Partners, L.P. Debt related May-08 May-08 47,807,307 37,418,047 11,675,309 20,915,827 12,503,323 33,419,150

Secondaries 295,233,155 209,103,705 79,401,007 185,220,446 70,195,054 255,415,500

Lexington Capital Partners VI-A Buyout May-06 Jun-06 50,000,000 48,519,288 1,480,712 35,825,543 18,121,009 53,946,552 NB Sec Opps Offshore Fund II LP Buyout Jul-08 Jul-08 100,000,000 50,843,238 50,659,926 49,631,116 21,159,723 70,790,839 Partners Group Secondary 2006 LP Buyout May-06 Sep-06 55,520,311 50,871,928 6,653,663 31,658,401 23,127,853 54,786,254 Partners Group Secondary 2008, L.P. Buyout Sep-08 Sep-08 89,712,844 58,869,251 20,606,707 68,105,387 7,786,469 75,891,855

Small/Midsize Buyout 650,000,000 443,838,024 271,955,377 417,425,235 95,420,855 512,846,089

CSFB/NJDI Investment Fund Buyout Aug-05 Nov-05 650,000,000 443,838,024 271,955,377 417,425,235 95,420,855 512,846,089

Venture Capital 200,000,000 157,430,409 62,592,988 148,551,517 29,750,292 178,301,809

JP Morgan Direct/Pooled VC Instit III Venture Capital Feb-06 Jun-06 50,000,000 36,370,409 16,665,493 34,579,275 3,294,380 37,873,655 JP Morgan Direct VC Institutional III Venture Capital 10,000,000 872,050 203,700 1,036,077 0 1,036,077

JP Morgan Pooled VC Institutional III Venture Capital 40,000,000 35,498,359 16,461,793 33,543,198 3,294,380 36,837,578

NB Crossroads Fund XVIII Venture Capital Aug-06 Nov-06 50,000,000 40,000,000 10,500,000 44,318,637 2,825,560 47,144,197 NB/NJ Custom Investment Fund Venture Capital Mar-07 Aug-07 100,000,000 81,060,000 35,427,495 69,653,605 23,630,352 93,283,957Private Equity Subtotal 8,982,222,431 6,317,884,283 3,313,428,819 5,360,328,590 1,927,674,249 7,288,002,839

Real Estate

AEW Core Property Trust U.S. Inc. Real Estate Apr-07 Oct-07 100,000,000 100,000,000 0 78,085,247 11,807,015 89,892,262 ARA Asia Dragon Limited Real Estate Jul-07 Sep-07 100,000,000 78,246,000 21,754,000 90,432,423 4,924,020 95,356,443 Blackrock Diamond Property Fund Real Estate Nov-05 Jun-06 50,000,000 50,000,000 0 17,695,723 673,370 18,369,093 Blackstone Real Estate V Real Estate Feb-06 Feb-06 75,000,000 81,586,035 3,520,395 82,004,138 25,062,277 107,066,415 Blackstone Real Estate VI Real Estate Feb-07 Feb-07 100,000,000 94,205,004 16,242,358 106,329,565 6,721,781 113,051,346

16



A B C =(B+C)


SIC Presentation

Date

Inception


Unfunded


Blackstone Real Estate VII Real Estate Aug-11 TBD 300,000,000 0 300,000,000 0 0 0 Capri Urban Real Estate Apr-07 Sep-07 50,000,000 39,872,680 10,127,320 22,708,648 0 22,708,648 Carlyle Realty Partners V LP Real Estate Nov-06 Feb-07 100,000,000 108,832,827 40,284,818 60,914,640 47,204,583 108,119,223 CBRE Strategic Partners Europe Fund III Real Estate Feb-07 May-07 54,758,596 53,981,104 777,492 36,660,208 0 36,660,208 CBRE Strategic Partners U.S. Opp V Real Estate Sep-07 Nov-07 75,000,000 69,388,002 6,895,208 51,334,686 2,209,694 53,544,380 CBRE Strategic Partners US Fund IV Real Estate Nov-05 Dec-05 50,000,000 50,000,000 0 11,279,750 0 11,279,750 CIM Fund III, L.P. Real Estate Apr-07 Jul-07 50,000,000 36,599,988 16,952,014 35,657,354 61,143 35,718,497 CIM Urban REIT, LLC Real Estate Apr-06 Jun-06 50,000,000 50,000,000 0 49,153,920 6,693,347 55,847,267 CPI Capital Partners Europe Real Estate Mar-06 Nov-06 84,421,919 61,903,600 24,534,752 27,144,878 4,732,983 31,877,861 Five Mile Capital Partners II, LP Real Estate Oct-07 Dec-07 100,000,000 80,069,211 20,000,000 70,098,880 255,538 70,354,418 Guggenheim Structured Real Estate III Real Estate Sep-07 Sep-07 100,000,000 100,000,000 0 38,256,478 37,195,322 75,451,800 Heitman America Real Estate Trust, L.P. Real Estate Nov-06 Jan-07 100,000,000 101,201,705 0 93,685,285 11,261,933 104,947,218 JP Morgan Alternative Property Fund II Real Estate Dec-05 Mar-06 50,000,000 50,000,000 0 35,086,170 6,440,344 41,526,514 L&B Diversified Strategy Partners, LP Real Estate Sep-07 Mar-08 34,300,000 30,571,845 3,728,156 25,714,117 1,155,518 26,869,635 LaSalle Asia Opportunity Fund III Real Estate Jul-07 Jul-07 100,000,000 57,356,760 47,934,026 40,014,493 7,037,162 47,051,655 Lone Star Real Estate Fund II (U.S.) LP Real Estate May-11 May-11 100,000,000 4,317,041 95,232,959 2,202,144 0 2,202,144 Lone Star Fund VII (U.S.) LP Real Estate May-11 May-11 300,000,000 50,481,282 250,603,704 41,744,492 6,122,458 47,866,949 Lubert Adler Real Estate Fund VI-B Real Estate Nov-10 Feb-11 100,000,000 28,060,342 72,500,000 27,791,193 2,500,000 30,291,193 MacFarlane Urban Real Estate Fund II, LP Real Estate Jul-06 Nov-06 75,000,000 73,045,456 3,613,620 23,651,945 1,652,837 25,304,782 NJDOI/GMAM Core Plus RE Investment Real Estate Sep-07 May-08 81,500,000 52,934,192 31,638,191 52,992,510 14,546,722 67,539,232 NJDOI/GMAM CT High Grade II Real Estate May-08 May-08 500,000,000 413,927,234 83,137,544 452,869,400 38,194,806 491,064,206 NJDOI/GMAM Opp RE Investment Program Real Estate Sep-07 May-08 25,000,000 7,242,397 17,034,894 6,973,103 0 6,973,103 PLA Residential Fund III Real Estate Feb-08 Feb-08 50,000,000 42,314,335 7,685,665 49,250,966 0 49,250,966 Prime Property Fund Real Estate Nov-06 Aug-07 150,000,000 150,000,000 0 114,086,034 7,261,502 121,347,535 PRISA II Real Estate Dec-06 Jun-07 100,000,000 100,000,000 0 75,138,644 3,799,683 78,938,327 PRISA Real Estate Separate Account Real Estate Sep-06 Dec-06 300,000,000 300,000,000 0 210,142,907 41,853,127 251,996,034 Realty Associates Fund IX Real Estate Aug-08 Aug-08 100,000,000 92,000,000 1,000,000 98,547,272 870,988 99,418,260 Realty Associates Fund VIII Real Estate Jul-06 Aug-06 100,000,000 100,000,000 0 66,903,689 4,542,816 71,446,505 RLJ Lodging Trust Real Estate May-11 May-11 0 126,136,968 0 70,999,768 0 70,999,768 RLJ Real Estate Fund III Real Estate Jul-07 Aug-07 75,000,000 1,978,204 0 1,211,592 0 1,211,592 RREEF Global Opportunity Fund II Real Estate Apr-06 Oct-06 100,000,000 100,000,001 0 70,818,301 0 70,818,301 Silverpeak Legacy Pension Partners III, L.P. Real Estate May-08 May-08 100,000,000 44,586,329 55,219,766 22,000,004 403,404 22,403,408 TRECAP Comm Realty Partners II LP Real Estate Feb-06 Mar-06 75,000,000 64,224,413 10,775,587 24,488,576 10,082,935 34,571,511 TRECAP Commercial Realty Partners III Real Estate Jul-07 Aug-07 50,000,000 43,151,328 7,026,069 24,028,831 1,132,841 25,161,672 TRECAP UK Realty Partners, LP Real Estate Dec-06 Mar-07 47,645,145 48,074,394 19,736 11,560,566 0 11,560,566 Tucker Development/Acquisition Fund Real Estate Oct-07 Oct-07 50,000,000 37,128,713 12,871,287 36,139,344 0 36,139,344 Walton Street Mexico Fund I, LP Real Estate Feb-08 Jun-08 25,000,000 13,750,000 11,250,000 10,057,273 0 10,057,273 Walton Street Real Estate Fund Sidecar V Real Estate Nov-06 Dec-06 25,000,000 25,000,000 0 8,232,150 0 8,232,150 Walton Street Real Estate Fund V Real Estate Mar-06 Jun-06 75,000,000 75,000,000 0 42,766,725 0 42,766,725 Walton Street Real Estate Fund VI Real Estate Jul-07 Oct-07 75,000,000 44,735,899 30,264,101 48,717,663 0 48,717,663 Warburg Pincus Real Estate Fund I Real Estate Jul-06 Sep-06 100,000,000 95,833,333 0 98,484,606 21,016,667 119,501,273 Westbrook Real Estate Fund VIII Real Estate Feb-08 Feb-08 100,000,000 46,352,946 63,690,976 30,774,926 18,160,742 48,935,668 Westbrook VII Real Estate Nov-06 Jan-07 40,000,000 42,707,332 0 30,500,007 1,624,243 32,124,250Real Estate Subtotal 4,642,625,660 3,516,796,901 1,266,314,638 2,725,331,232 347,201,799 3,072,533,031

Hedge Fund

Credit 413,000,000 363,000,000 75,000,000 297,112,890 90,083,870 387,196,760

Canyon Value Realization Fund Credit Oriented Fund Mar-07 Jun-07 75,000,000 75,000,000 0 96,846,375 0 96,846,375 Canyon Balanced Fund Credit Oriented Fund Jul-11 Jul-11 125,000,000 75,000,000 75,000,000 75,000,000 0 75,000,000 Golden Tree Mast Fund-L1 Credit Oriented Fund Nov-06 Jan-07 100,000,000 100,000,000 0 8,161,245 62,987,719 71,148,964 Pimco Distressed Mortgage Fund, LP Credit Oriented Fund Oct-07 Oct-07 113,000,000 113,000,000 0 117,105,269 27,096,151 144,201,420

Distressed 390,000,000 390,000,000 0 509,471,910 0 509,471,910

17



A B C =(B+C)


SIC Presentation

Date

Inception


Unfunded


Centerbridge Credit Partners Credit Oriented Fund Oct-07 Oct-07 140,000,000 140,000,000 0 201,622,260 0 201,622,260 King Street Capital Credit Oriented Fund Nov-06 Feb-07 150,000,000 150,000,000 0 200,154,750 0 200,154,750 Marathon Special Opp Fund, LTD Credit Oriented Fund Mar-08 Jul-08 100,000,000 100,000,000 0 107,694,900 0 107,694,900

Equity Long/ Short 600,000,000 550,000,000 50,000,000 566,831,375 56,631,058 623,462,432

Archipelago Partners, LP Equity Oriented Fund Jan-06 Jun-06 150,000,000 150,000,000 0 201,190,500 0 201,190,500 Ascend Partners Fund II, LP Equity Oriented Fund Apr-07 Jul-07 150,000,000 100,000,000 50,000,000 90,124,600 0 90,124,600 Asia Century Quest Capital LCC Equity Oriented Fund May-08 Aug-08 75,000,000 75,000,000 0 87,958,875 0 87,958,875 Glenview Institutional Partners, LP Equity Oriented Fund Jul-07 Aug-07 75,000,000 75,000,000 0 81,721,275 0 81,721,275 Ironbound Partners Overseas LTD. Equity Oriented Fund Jun-08 Aug-08 75,000,000 75,000,000 0 9,088,375 56,631,058 65,719,432 Omega Overseas Partners Ltd. Class-B Equity Oriented Fund Dec-06 Jan-07 75,000,000 75,000,000 0 96,747,750 0 96,747,750

Event Driven 550,000,000 525,000,000 25,000,000 617,391,000 0 617,391,000

Davidson Kempner Credit Oriented Fund Nov-06 Dec-06 150,000,000 150,000,000 0 187,136,400 0 187,136,400 Pershing Square LP Equity Oriented Fund Mar-10 Apr-10 200,000,000 175,000,000 25,000,000 198,410,100 0 198,410,100 Third Point Partners L.P. Equity Oriented Fund Mar-11 Apr-11 100,000,000 100,000,000 0 98,231,900 0 98,231,900 York Capital Management, LP Multi-strategy Fund Jan-07 Feb-07 100,000,000 100,000,000 0 133,612,600 0 133,612,600

Fund of Funds 1,501,258,928 1,346,258,928 155,000,000 1,477,614,803 29,590,586 1,507,205,389

Arden Alternative Advisors Multi-strategy Fund Feb-06 Jun-06 100,000,000 100,000,000 0 99,495,080 0 99,495,080 GS Multi-Strategy Portfolio (NJ) LLC Multi-strategy Fund Feb-06 Aug-06 550,000,000 550,000,000 0 634,312,005 0 634,312,005 Protege Partners, LP Multi-strategy Fund 150,000,000 150,000,000 0 159,288,261 0 159,288,261 Protege Partners QP Fund Ltd. Multi-strategy Fund 50,000,000 50,000,000 0 51,819,187 0 51,819,187 Protege Partners, LP Multi-strategy Fund Apr-07 Jun-07 100,000,000 100,000,000 0 107,469,074 0 107,469,074

RC Woodley Park, LP Multi-strategy Fund Feb-06 Aug-06 501,258,928 501,258,928 0 539,519,457 29,590,586 569,110,043 Reservoir Strategic Partners Fund, LP Multi-strategy Fund Mar-11 Jul-11 200,000,000 45,000,000 155,000,000 45,000,000 0 45,000,000

Global Macro 200,000,000 200,000,000 0 195,566,900 0 195,566,900

Lynx (Bermuda) Ltd. Opportunistic Fund Nov-10 Mar-11 100,000,000 100,000,000 0 96,250,100 0 96,250,100 Winton Futures Fund Opportunistic Fund Nov-10 Jan-11 100,000,000 100,000,000 0 99,316,800 0 99,316,800

Multi-Strategy 550,000,000 550,000,000 0 460,363,050 143,958,598 604,321,648

AG Garden Partners, LP Multi-strategy Fund Jan-06 Mar-06 150,000,000 150,000,000 0 174,301,950 0 174,301,950 Farallon Capital Inst. Partners, L.P. Multi-strategy Fund Apr-07 Jun-07 150,000,000 150,000,000 0 76,149,300 75,000,000 151,149,300 OZ Domestic Partners II, Ltd. Multi-strategy Fund Jan-06 Jun-06 150,000,000 150,000,000 0 209,911,800 0 209,911,800 Satellite Fund II Multi-strategy Fund Feb-07 Apr-07 100,000,000 100,000,000 0 0 68,958,598 68,958,598Hedge Fund Subtotal 4,204,258,928 3,924,258,928 305,000,000 4,124,351,927 320,264,112 4,444,616,039

Real Assets

Astenbeck Commodities Fund II LP Real Assets Jul-11 Jul-11 100,000,000 75,000,000 25,000,000 75,000,000 0 75,000,000 Barclays Bank PLC Real Assets Jun-11 Jun-11 50,000,000 50,000,000 0 49,025,000 0 49,025,000 Blackstone Resources Select Fund Real Assets Jul-11 Aug-11 250,000,000 150,000,000 100,000,000 150,000,000 0 150,000,000 Citigroup Funding Inc Real Assets May-11 May-11 50,000,000 50,000,000 0 50,615,000 0 50,615,000 Gresham Commodity Fund (ETAP) Real Assets Sep-07 Feb-08 200,000,000 200,000,000 0 170,103,600 0 170,103,600 Gresham Commodity Fund (TAP) Real Assets Sep-07 Nov-07 200,000,000 200,000,000 0 183,782,600 0 183,782,600 RC Woodley Park, LP Real Assets May-11 May-11 100,000,000 100,000,000 0 96,297,600 0 96,297,600 Schroders Commodity Portfolio Real Assets Sep-07 Jan-08 500,000,000 450,000,000 50,000,000 451,938,150 0 451,938,150 Sheridan Production Partners I Real Assets Jul-07 Aug-07 50,000,000 47,000,000 5,250,000 60,255,991 13,500,000 73,755,991 Sheridan Production Partners II-B, L.P Real Assets Oct-10 Nov-10 100,000,000 8,504,007 91,500,000 8,653,995 0 8,653,995 Tenaska Power Fund II, L.P. Real Assets Feb-08 Sep-08 100,000,000 66,250,850 40,027,784 55,799,382 11,877,826 67,677,208Real Assets Subtotal 1,700,000,000 1,396,754,857 311,777,784 1,351,471,318 25,377,826 1,376,849,144

18



A B C =(B+C)


SIC Presentation

Date

Inception


Unfunded


Grand Total 19,529,107,019 15,155,694,969 5,196,521,241 13,561,483,066 2,620,517,986 16,182,001,053

1. Amount Contributed do not include adjustment for portion of total distributions that are recallable. Contributions do include return of unused funded capital.2. Total distributed include recallable portion of proceeds.3. Private Equity and Real Estate represent most recently reported quarterly values from the General Partners, adjusted with cash flows through the end of current reported month-end. Hedge Funds reported values are on a one-month lag and Commoditites reported values are as of the current month end. Includes Return of Capital Distributions.

19

High Yield/Bank Loan as of August 31, 2011


A B C =(B+C)

SIC

Presentation

Date

Inception

Date Commitment Amount

Contributed1 Unfunded Commitment Current Market Value 3 Total Distributed 2 Total Value

Common Pension Fund B

BlackRock Credit Investors Sep-07 Oct-07 400,000,000 400,000,000 93,959,367 198,221,509 187,918,733 386,140,242 BlackRock Credit Investors Co-Invest Oct-09 Oct-09 144,000,000 144,000,000 82,774,725 92,301,320 166,207,945 258,509,265 Canyon Special Opportunities (Cayman) 149,500,000 149,500,000 0 5,629,895 169,241,304 174,871,199 Canyon Special Opportunities (Cayman) Sep-07 Sep-07 100,000,000 100,000,000 0 5,629,895 119,741,304 125,371,199 Canyon Special Opportunities (Cayman) II Jan-00 Jan-00 49,500,000 49,500,000 0 0 49,500,000 49,500,000

Golden Tree Opportunities LP-Class D Sep-07 Sep-07 149,500,000 149,500,000 0 252,620,754 4,106,876 256,727,630 Oaktree Loan Fund LP Sep-07 Oct-07 200,000,000 200,013,587 0 10,909 207,619,458 207,630,367 Och Ziff Capital Mar-10 Apr-10 500,000,000 500,000,000 0 566,539,500 0 566,539,500 TAC 2007, LP Sep-07 Oct-07 128,530,670 104,755,112 23,775,558 48,368,456 25,786,710 74,155,166 TPG Specialty Lending, Inc. May-11 May-11 200,000,000 26,509,095 173,490,905 26,509,095 0 26,509,095Common Pension Fund B Subtotal 1,871,530,670 1,674,277,794 374,000,555 1,190,201,438 760,881,026 1,951,082,464

1. Amount Contributed do not include adjustment for portion of total distributions that are recallable. Contributions do include return of unused funded capital.2. Total distributed include recallable portion of proceeds.3. Historical Cost includes the portion of capital contributed from original inception date prior to transfer from Common Pension Fund E in FY2009. 4. High Yield/ Bank Loan Funds reported values are on a one-month lag, adjusted with cash flows through period end date of the current reported month-end.

20

New Jersey Is an Equal Opportunity Employer • Printed on Recycled and Recyclable Paper

Agenda Item 5a

October 7, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Investments in Sterling Capital Partners IV, L.P.

Fund The New Jersey Division of Investment (“Division”) is proposing an investment of $100 million in Sterling Capital Partners IV, L.P. Fund (“SCP IV” or the “Fund”). This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. SCP IV will target 5-6 platform investments per year, in non-cyclical companies with a defensible competitive advantage, strong management & industry fundamentals and a recurring revenue model. Sterling will principally execute a buy and build strategy, investing $24-$200 million in equity over time per investment. The principal areas of focus will be Business Services, Healthcare and Education. The Fund is being led by five of Sterling’s managing directors who have worked together at Sterling since 1986. The Fund’s objective will be to optimize a company’s overall capital structure. In many instances, this approach, which is based upon the prudent use of leverage, will yield a significantly higher return on equity than a company had previously been able to achieve. Sterling conducts proprietary research into attractive market opportunities and proactively targets businesses with compelling value propositions and differentiated product or service offerings. When potential investments are identified, the firm’s rigorous investment due diligence and team-based approach provide for a disciplined review, assessment, and investment process. The Division Staff and its private equity consultant, Strategic Investment Solutions, undertook extensive due diligence on this proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with New Jersey’s potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each

DEPARTMENT OF THE TREASURY DIVISION OF INVESTMENT

P.O. BOX 290 TRENTON, NJ 08625-0290

ANDREW P. SIDAMON-ERISTOFF State Treasurer

CHRIS CHRISTIE Governor KIM GUADAGNO Lt. Governor

Proposed Investment in Sterling Capital IV, L.P. Fund Page 2 of 2

proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 90 of the Council’s regulations. The Sterling Capital Partners IV, L.P. Fund will be considered a “buy-out” investment, as defined under N.J.A.C. 17:16-90.1. Formal written due diligence reports for the proposed investment was sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments

To: State Investment CouncilFrom: Division of InvestmentDate: October 13, 2011Subject: Sterling Capital Partners IV,L.P. Investment Recommendation

Fund FactsFund Name: Sterling Capital Partners IV,L.P. Fund Type: Domestic Buy out Current Fund Size: 1.2 billionPrevious Fund Size/Vintage: $1.03 billion/ 2007Final Close: On or before September 2, 2012

1033 Skokie Boulevard, suite 600Northbrook, IL 60062.

GP Contact InfoName: Steven TaslitzTelephone: (847)480-4000Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Mid-market Buy outGeographic Focus: US/CanadaGP Co-Investment Amount: 3.50%Terms: Term: 10 yrs, 3 (1 yr) extensions

Investment period: 6 years

Management Fee:2 % / 1.5% for commitments over $1 b

Other Fees:

Carry/Performance Fee: 20% / 8% Attorney: Proskauer Rose LLP and Richards Layton and Finger, P.A.Auditor: Ernst & Young, LLPAccounting Firm:

NJ AIP Program:Recommended Allocation: 100,000,000.00

% of Fund: 8.30%

LP Advisory Board Membership: TBDConsultant Recommendation: YesPlacement Agent: NoCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: Yes

State Investment Council Fund Review Memo

Fund Address:

*This review memorandum was prepared in accordance with the State Investment Council rules governing the Alternatives Investment Program and the policies and procedures related thereto.

mailto:[email protected]�


Agenda Item 5b

October 7, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Investment in AnaCap Credit Opportunities II, L.P

Fund The New Jersey Division of Investment is proposing an investment up to £70 million in AnaCap Credit Opportunities II, L.P. This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. AnaCap Financial Partners, with £1 billion of assets under management, is a specialist private equity investment advisor established in 2005 to focus on investments in the European financial services sector. AnaCap Credit Opportunities Fund II, L.P. (“ACOF II” or the ‘Fund”) is the second fund formed under the AnaCap financial platform to invest in portfolios of distressed debt assets in Europe. The Fund will leverage the networks, analytical capabilities and operational skills of the broader AnaCap platform to generate value from credit investment opportunities that arise across Europe. ACOF II is targeting £250 million, with a hard cap of £350 million, to continue its strategy of investing in portfolios of performing, semi-performing and non-performing loans to consumers or small and medium sized enterprises. These portfolios may include unsecured consumer loans, credit card debts, residential and commercial mortgage loans, second lien loans, or other obligations. Fund II targets investments ranging in size between £5 million and £50 million in 12-20 transactions, with expected average holding periods of four to six years. The geographical focus will be Pan-European with a concentration in UK (50%), Ireland (15%), Portugal (15%) and Spain (15%), and the asset sub-sectors are 10% Securities, 35% Residential Performing & Non-Performing, 35% Consumer Performing & Non-Performing, and 20% SMEs. The Division of Investment (“Division”) Staff and its private equity consultant, Strategic Investment Solutions, undertook extensive due diligence on this proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council.





Proposed Investment in AnaCap Credit Opportunities II,L.P. Fund Page 2 of 2

As part of its due diligence process, staff determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with New Jersey’s potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 90 of the Council’s regulations. The AnaCap Credit Opportunities II, L.P will be considered a debt–related investment, as defined under N.J.A.C. 17:16-90.1. Formal written due diligence reports for the proposed investment were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence report, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments

To: State Investment CouncilFrom: Division of InvestmentDate: October 13, 2011Subject: AnaCap Credit Opportunities Fund II Investment Recommendation

Fund FactsFund Name: AnaCap Credit Opportunities Fund IIFund Type: Distress/CreditCurrent Fund Size: £250,000,000.00Previous Fund Size/Vintage: £60.0 million / 2010Final Close: 9/30/2012

25 Bedford St, LondonWC2E 9ES.

GP Contact InfoName: Joe GiannamoreTelephone: 44 (20) 7070 5255Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Invest in performing, semi-performing and non-performing credit assetsGeographic Focus: EuropeGP Co-Investment Amount: 1.5% of Total Commitments up to £250m of total commitmentsTerms: Term: 8 years, 2 (1yr) extension Investment period: 3 years, 1 (1 yr) extension

Management Fee:1.75% during investment period1.5% post investment period of the aggregate acquisition costs of investments which remain unrealised

Other Fees:

Carry/Performance Fee: 20% / 8%Attorney: Simmons & Simmons LLPAuditor: PricewaterhouseCoopersAccounting Firm:

NJ AIP Program:Recommended Allocation: Up to £70,000,000.00

% of Fund: 28.00%

LP Advisory Board Membership: YESConsultant Recommendation: YESPlacement Agent: NOCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: YES


Fund Address:




Agenda Item 5c

October 3, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Investments in TPG Opportunities Partners II, L.P. &

Related Separate Account Vehicles The New Jersey Division of Investment (“Division”) is proposing an investment of $100 million in TPG Opportunities Partners II, L.P. (“TOP”) and $200 million into separate accounts (New Jersey/TPG NPLs – Commercial & New Jersey/TPG NPLs – Residential). This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. TPG formed TOP in 2009 to capitalize on liquid and illiquid credit dislocations and other special situations on a dynamic basis across various economic cycles. TOP began investing in May 2009 through separately audited entities primarily within TPG Partners VI, L.P. and TPG Financial Partners, L.P. The Division’s relationship with TPG Opportunities Partners began in May 2011 with a $200 million investment to TOP’s direct lending vehicle TPG Specialty Lending. TOP is the primary TPG investment platform for credit investing, and is forming TPG Opportunities Partners II to serve as its principal investment vehicle to pursue special situations and distressed investments across the credit cycle in corporate and asset special situations. The proposed separate accounts will take advantage of the opportunity within the Commercial and Residential non-performing loan space. These accounts will participate alongside TOP II. It should also be noted that these vehicles will have a three year investment period with the option for NJ to extend as it sees fit. The Division has also negotiated favorable terms with a management fee of 0.5% on invested capital and 15% carry. The Division of Investment (“Division”) Staff and its private equity consultant, Strategic Investment Solutions, undertook extensive due diligence on these proposed additional investments. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with New Jersey’s potential investment.





Proposed Investment in TPG Opportunities Partners II, L.P. & Related Separate Account Vehicles Fund Page 2 of 2

We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that TPG Opportunities Partners II, L.P. and one of the related separate vehicle investments (New Jersey/TPG NPLs – Residential) are authorized pursuant to Articles 69 and 90 of the Council’s regulations and will be considered debt-related investments, as defined under N.J.A.C. 17:16-90.1. The second related separate vehicle investment (New Jersey/TPG NPLs – Commercial) is authorized pursuant to Articles 23 and 63 of the Council regulations and will be considered a bank loan fund as defined under N.J.A.C. 17:16-23.1. Formal written due diligence reports for the proposed investments were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investments at the Council’s October 13, 2011 meeting. Attachments

To: State Investment CouncilFrom: Division of InvestmentDate: October 13, 2011

Subject:TPG Opportunities Partners II, L.P. & Related Separate Account Vehicles Investment Recommendation

Fund FactsFund Name: TPG Opportunities Partners II Fund/TPG NPL Residential and CommercialFund Type: DistressedCurrent Fund Size: $1.5 billionPrevious Fund Size/Vintage: $1.857 billion/2009Final Close: TBD

345 California St, Suite 3300San Francisco, CA 94104.

GP Contact InfoName: Alex WaxmanTelephone: 415-486-5959Email: [email protected]

Summary of Terms and Investment Strategy

Term:

TOP II – December 31st of the seventh year following the final closing but may be extended by the general partner with the consent of the advisory committee of up to two consecutive additional one-year periods.NPL Separate Accounts - The term of the Partnership shall commence as of the Initial Closing Date and shall continue in full force and effect until the completion of the term of the TOP II Funds. However, the term of the Partnership may be extended by the General Partner with the Consent of a majority in interest of the Limited Partners.


Fund Address:

Investment period:

TOP II – End of three years, after the final closing.NPL Separate Accounts – The commitment period of the NPL vehicles will terminate at the same time as the commitment period of the TOP II funds.

Management Fee:TOP II – Initial closing, 1.25% of committed capital.NPL Separate Accounts- During the term of the NPL vehicle, the fee will be 0.5% of invested capital and, post the commitment period, 0.5% lesser of fair market value or cost.

Other Fees:

TOP II – 100% offset against the management fee of all net proceeds received by the management company for any financial consulting fees, directors’ fees, advisory fees, monitoring fees, origination fees, transaction fees and break-up fees. and break-up fees.Organization Expenses – up to $3 million.NPL Separate Accounts - 100% offset against the management fee of all net proceeds received by the management company for any financial consulting fees, directors’ fees, advisory fees, monitoring fees, origination fees, transaction fees and break-up fees.Organization Expenses – up to $1 million.

Carry/Performance Fee: TOP II – Deal by deal carry structure. 20% general partner carry and a 100% catch-up for any net proceeds attributable to the disposition of a portfolio investment. NPL Separate Accounts – European waterfall carry structure. 15% general partner carry.

Attorney: Cleary Gottlieb Steen & Hamilton LLPAuditor: KPMG LLP Accounting Firm:

NJ AIP Program:Recommended Allocation: 300,000,000.00

% of Fund: 15.00%

LP Advisory Board Membership: TOP II - YES NPL Separate Accounts- YESConsultant Recommendation: YESPlacement Agent: NOCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: YES



Agenda Item 5d

October 3, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Investment in Tenaya Capital VI Fund The New Jersey Division of Investment is proposing an investment of $40 million in Tenaya Capital VI Fund. This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. Tenaya Capital, LLC is a venture capital investment partnership focused on investments in mid- to late-stage venture backed technology companies. Tenaya is the successor to Lehman Brothers Venture Partners, which was spun out of Lehman Brothers as an independent firm in February 2009. The Fund will be managed by the same core investment team and will continue to execute the same investment strategy of Tenaya Capital IV – $300 million of parallel partnerships formed in 2003 (“Fund IV”) and Tenaya Capital V – $365 million of parallel partnerships formed in 2007 (“Fund V”). Tenaya is currently raising Tenaya Capital VI, L.P. (“Fund VI”) targeting $300 million with a hard cap of $400 million. Fund VI targets equity investments ranging from $5 million to $10 million with follow-on financings bringing the total to $10 million to $15 million per company in roughly 30 companies. Tenaya has historically invested in Software, Internet, Communications, IT Infrastructure, Electronics and other emerging technology sectors. The Division of Investment (“Division”) Staff and its private equity consultant, Strategic Investment Solutions, undertook extensive due diligence on this proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund engaged Lazard Frères & Co. LLC (the "placement agent") as third-party solicitor in connection with the potential investment. Staff has determined that the placement agent and its representatives met the registration, licensing and experience requirements set forth in the Division’s Placement Agent Policy dated July 09, 2009 (the "Policy"). Pursuant to the Policy, the fund has disclosed the contract between the fund and the placement agent, specifying the scope of services to be performed by the





Tenaya Capital VI Fund Page 2 of 2

placement agent and the fee arrangement between the placement agent, the general partner and any other third party. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 90 of the Council’s regulations. The Tenaya Capital VI Fund will be considered a venture capital investment, as defined under N.J.A.C. 17:16-90.1. Formal written due diligence reports for the proposed investment were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments

To: State Investment CouncilFrom: Division of InvestmentDate: October 13, 2011Subject: Tenaya Capital VI, LP Investment Recommendation

Fund FactsFund Name: Tenaya Capital VI, LPFund Type: VentureCurrent Fund Size: $300 - $400 millionPrevious Fund Size/Vintage: $365 million / 2007Final Close: First half 2012

2965 Woodside Road, Suite AWoodside, CA 94062

GP Contact InfoName: Dave MarklandTelephone: (650) 687-6577Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Mid- to late-stage venture backed technology companiesIndustry Focus: Technology companies.Geographic Focus: Primarily U.S. with a 20% limit on international investmentGP Co-Investment Amount: 1% of aggregate committed capitalTerms:

Term:10 year initial/ 1 (1 yr) extension by GP, thereafter, additional 1-yr periods, with consent of a majority of LPs

Investment period: 5 years

Management Fee:The management fee will be 2.0% during the Investment Period based on Capital Commitments. Thereafter, the management fee will be 2.0% per annum of the Limited Partners’ committed capital less the cost basis of portfolio securities sold, distributed or written-off.

Other Fees: 100% fee offsetCarry/Performance Fee: 20%Attorney: Cooley LLPAuditor: PricewaterhouseCoopers LLPAccounting Firm: PricewaterhouseCoopers LLP

NJ AIP Program:Recommended Allocation: $40,000,000.00

% of Fund: (depending on total fund raised) 10 - 13%

LP Advisory Board Membership: YESConsultant Recommendation: YESPlacement Agent: YESCompliance with Division Placement Agent Policy: YESCompliance with SIC Political Contribution Reg: YES


Fund Address:




Agenda Item 6a

October 7, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Investment in Wheelock Street Real Estate Fund The New Jersey Division of Investment (“the Division”) is proposing an investment of $150 million in Wheelock Street Real Estate Fund. This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. Of the $150 million commitment, $100 million will be invested directly in the fund and $50 million will be reserved for co-investment alongside future fund deals. Wheelock Street Real Estate Fund (“WSREF”) is a U.S. based opportunistic real estate fund sponsored by Wheelock Street Capital (“Wheelock” or the “Firm”) that is currently targeting approximately $500 million of capital commitments from a limited number of investors. Wheelock is a stand-alone private equity real estate firm founded in 2008 by Merrick “Rick” Kleeman and Jonathan Paul. WSREF is the first commingled fund offered by the Firm. However, Wheelock’s investment activities to date have been funded by Baupost (a $23 billion Boston-based Hedge Fund) and The University of Texas Investment Management Company (“UTIMCO”) ($27 billion AUM) with Wheelock participating alongside those investors in the transactions. We have had positive reference calls with Baupost, UTIMCO and another potential investor regarding Wheelock’s prior investments and current strategy. The Fund will invest in a broad range of real estate and real estate-related assets throughout the United States, including individual assets, portfolios, operating companies, and securities. The Fund will seek opportunistic returns on a portfolio basis by utilizing various capital structures, including distressed or high yielding debt, preferred equity, and equity investments. Wheelock will build a diversified portfolio by investing in multiple asset classes, either directly through its current hospitality and residential platforms or through joint ventures, recapitalizations or corporate transactions in other property types.





Proposed Investment in Wheelock Street Real Estate Fund Page 2 of 2

The Fund will target (i) situations with minimal or no competition; (ii) opportunities in areas that run counter to prevailing market thinking; and (iii) investments with intensive value-add programs such as rebranding or repositioning through capital investment, opportunities to drive operational efficiency, accretive disposition opportunities, and other sources of value that have been overlooked by buyers or sellers. Mr. Kleeman has over 22 years of real estate experience and was a Senior Managing Director and Head of Acquisitions at Starwood Capital Group (“Starwood”) a position he held from 1997-2007. Mr. Kleeman joined Starwood in 1992 shortly after the Firm was founded in 1991 and was one of the senior acquisition partners reporting directly to Barry Sternlicht for his entire tenure. Mr. Paul has over 21 years of real estate experience and was a Managing Member and co-founder of Rockpoint Group L.L.C. (“Rockpoint”), which was formed in 2003 and manages over $5 billion in equity capital through five real estate opportunity funds. From 1994-2003, Mr. Paul was a Managing Member of Westbrook Partners, L.L.C. The Division Staff and its consultant, Callan Associates, undertook extensive due diligence on the proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with New Jersey’s potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that these investments are authorized pursuant to Articles 69 and 71 of the Council’s regulations. The Wheelock Street Real Estate Fund will be considered a non-core real estate investment, as defined under N.J.A.C. 17:16-71.1. Formal written due diligence reports for the proposed investments were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 30, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investments at the Council’s October 13, 2011 meeting. Attachments

To: State Investment CouncilFrom: Division of InvestmentDate: October 13, 2011Subject: Real Estate Investment Recommendation

Fund FactsFund Name: Wheelock Street Real Estate FundFund Type: Co-mingledCurrent Fund Offering: $150 million ($100 million to Fund and $50 million set aside for Co-investments)Current Fund Size/Vintage: $500 millionPrevious Fund Size/Vintage N/AFinal Close: TBA

52 Mason Street Greenwich, CT 06830

GP Contact InfoName: Merrick R KleemanTelephone: (203) 413-7701Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Opportunistic Real Estate

Geographic Focus: US with up to 10% outside of US & Canada

GP Co-Investment Amount: $20 million

Terms: Term: 8 years with two one-year extensions at the GP's election

Investment Period: Earlier of the (i) third anniversary of the Final Close or (ii) the date that all Commitments are fully called, committed, or reserved.

Management Fee: 1.5% on commitments during commitment period; 1.5% on net equity invested thereafter

Preferred Return: 9%

Catch Up: First, 100% to the LPs until they have received, on a cumulative basis, a return of all capital contributedSecond, 100% to the LPs until they have received, on a cumulative basis, a 9% compounded annual return on all capital contributed; Third, 50% to the LPs and 50% to the GP until the GP has received 20% of the cumulative distributions plus a cumulative return of 9% per annum, compounded annually, on any such profits ;Thereafter, 80% to the LP and 20% to the GP.

Back Office/Servicer: n/a

Fund Attorney: Goodwin Procter LLP

Auditor: PricewaterhouseCoopers LLP

NJ AIP Program:Recommended Allocation Current: $100 million to the Fund % of investment in Fund I: 20%

LP Advisory Board Membership: YesConsultant Recommendation: YesPlacement Agent: NoCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: Yes

State Investment Council Investment Committee Fund Review Memo

Fund Address:




Agenda Item 7a

October 7, 2011 MEMORANDUM TO: State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed investment in ValueAct Capital Partners II, LP Fund The New Jersey Division of Investment is proposing an investment of up to $150 million in ValueAct Capital Partners II, LP Fund managed by ValueAct Capital. This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9 ValueAct Capital (“VAC” or the “firm”) was founded in 2000 by Jeffrey Ubben, George Hamel and Peter Kamin (retiring at end of 2011). The firm currently manages $6.0 billion in its flagship activist fund, ValueAct Capital Master Fund, L.P. (“ValueAct” or the “fund”). ValueAct employs a total of 24 people of whom 11 are investment professionals. The firm is headquartered in San Francisco and has a satellite office in Boston. The firm is majority owned by eleven partners. At 8% of NAV, ValueAct’s employees are, collectively, one of the fund’s largest investors. ValueAct registered with the SEC in August 2010. No material departures from best practices were found in the operational review. ValueAct runs a concentrated activist strategy focused on 10 to 18 core investments and 2 to 5 attractive, smaller positions requiring further intensive due. Investments are predominately in U.S. mid-cap equities. The fund acquires significant (typically 5% to 15%) ownership stakes in companies with high cash flow yield and cash flow growth which are trading at considerable discounts to comparable private market valuations. The investment team actively works with management and/or corporate boards to create value for shareholders in a collaborative manner. ValueAct will strive to obtain board seats if they ultimately believe it to be an advantage in the value realization process. In the past, VAC partners have held 31 board seats at 27 companies out of the 60 core investments it has made. The investment team seeks to unlock value through encouraging balance sheet restructurings, management changes, strategy changes, divestitures, and sales of companies. The manager has rarely used shorting or hedging but has legal authority to do so.





Proposed Investment in ValueAct Capital Partners II, LP Fund Page 2

The fund has produced very strong absolute and risk-adjusted returns for over ten years. From its inception in December 2000 through June 2011, the fund generated an annualized return of 17.66% with a standard deviation of 16.35%, resulting in a Sharpe Ratio of 0.93. The returns place the fund in the top quartile among peers. The proposed investment has 3-year lock up (2-year hard lock, 1-year soft lock), a 1.25% management fee (reduced from 1.50% due to our planned investment of $150 million) and a 20% performance fee with 8% preferred return. The Division of Investment (“Division”) Staff and its hedge fund consultant, Cliffwater LLC, undertook extensive due diligence on these proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff has determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with the potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern the investment. In addition, the proposed investment must comply with the State Investment Council’s (the “Council”) regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 100 of the Council’s regulations. ValueAct Capital Partners II, LP Fund will be considered an equity oriented hedge fund, as defined under N.J.A.C. 17:16-100.1. Formal written due diligence reports for the proposed investment were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investments was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments

To: State Investment CouncilFrom: Division of InvestmentDate: October 13, 2011Subject: Hedge Fund Investment Recommendation

Fund FactsFund Name: ValueAct Capital Partners II, L.P.Fund Type: Equity Oriented - Hedge FundCurrent Master Fund Size: $6.0 billionInception: December-2000

435 Pacific Avenue, 4th FloorSan Francisco, CA 94133

GP Contact InfoName: Briana J. ZelayaTelephone: 415-362-3700Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Concentrated activist strategy focused on 10 to 18 core investments and 2 to 5 attractive,

smaller positions, predominately in U.S. equities. The fund acquires significant (typically5% to 15%) ownership stakes in companies with high cash flow yield and cash flowgrowth which are trading at significant discounts to comparable private marketvaluations. The investment team actively works with management and/or corporateboards to create value for shareholders in a non-confrontational manner. The investmentteam seeks to unlock value through encouraging balance sheet restructurings,management changes, strategy changes, divestitures, and sales of companies. Themanager has not used shorting or hedging but has legal authority to do so.

Fee Terms: Management and Performance Fees: Management fee: 1.25% (Tranche 3)

Performance fee: 20% Other Fees: Fund expenses: 13 bps Hurdle Rate: 8% preferred return

Service Providers: Prime Broker(s): BNP Paribas Administrator(s): International Fund Services Auditor(s): Pricewaterhouse Coopers Legal Counsel: Paul, Weiss, Rifkind & Garrison; Dechert

Liquidity/Redemption Terms: Lock-up: 2 year hard and 1 year soft (10% redemption charge) Redemption: Annual, can redeem 5% annually during lock-up period

Side Pocket: Up to 10%

NJ AIP Program:Recommended Allocation: $150 million% of Master Fund: 2.50%% of New Jersey State Pension Plan ($72b): 0.21%% of AIP Hedge Fund Allocation ($4.0b): 3.75%

Consultant Recommendation: Yes*see due diligence memoPlacement Agent: NoneCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: Yes


Fund Address:

* This review memorandum was prepared in accordance with the State Investment Council rules governing the Alternatives Investment Program and the policies and procedures related thereto.


Agenda Item 7b

October7, 2011

MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Investment in Brevan Howard LP The New Jersey Division of Investment is proposing an investment up to $200 million in Brevan Howard LP. This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. Brevan Howard (the “Firm”) was founded in 2002 by five former members of the Credit Suisse First Boston (“CSFB”) Developed Markets Rates trading team. The Firm’s flagship fund, the Brevan Howard Master Fund Limited (“BHMF” or the “Fund”), is a global macro strategy with exposure predominantly to global fixed income and foreign exchange markets. As at 31 August 2011, the Firm is estimated to manage over $34 billion in assets, including $26.1 billion in BHMF. The Firm employees 351 employees (approximately 100 investment professionals) and has offices in London, Geneva, Hong Kong, Tel Aviv, Jersey, Washington D.C, and Dublin. There are approximately 55 traders within the Firm. Alan Howard, one of the five founders of the Firm, runs the largest book of the Fund’s capital. BHMF employs global macro and relative value trading strategies. The investment objective of BHMF is to generate consistent long-term appreciation through active leveraged trading and investment on a global basis. BHMF employs an investment process which primarily uses a combination of macro and relative value strategies. New trading strategies will be added as investment opportunities present themselves. Brevan Howard has established a risk management framework which is intended to identify, measure, monitor, report, and where appropriate, mitigate key risks identified. Amongst other things, the risk management framework addresses portfolio risks (such as market, credit, liquidity, counterparty and funding risks), operational risks and outsourcing risks. Portfolio risks which are monitored by the risk management team include analysis of sensitivity measures, gross and net exposures, value at risk and leverage, as well as stress tests and scenario analyses, with a view to identifying and mitigating the potential impact of extreme market movements. BHMF has produced excellent risk-adjusted returns. From inception through August 2011, the strategy generated an annualized return of 13.63% with volatility of 7.365%, resulting in a





Brevan Howard LP Page 2 of 2

Sharpe ratio of 1.42. The fund’s risk adjusted performance place it in the top quartile among all hedge funds and within the Global Macro universe Brevan Howard charges a 2% management fee and 25% performance fee. All investors pay an additional operational service charge of 0.50% per annum. The fees, while high in comparison to the general hedge fund universe, are in-line with most other global macro funds. The top funds in the space charge a 2% to 4% management fee and a 20% to 30% performance fee. Liquidity for BHMF provides for a one year “soft” lock up and thereafter 5% redemption fee on redemptions in excess of 25% of the investor’s holdings in any consecutive three month period with monthly liquidity upon 90 days redemption notice. Redemptions are subject to investor level and fund level gating mechanisms. The Division of Investment (“Division”) Staff and its hedge fund consultant, Cliffwater LLC, undertook extensive due diligence on the proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund engaged Brevan Howard US LLC (the "placement agent") as third-party solicitor in connection with the potential investment. Staff has determined that the placement agent and its representatives met the registration, licensing and experience requirements set forth in the Division’s Placement Agent Policy dated July 09, 2009 (the "Policy"). Pursuant to the Policy, the fund has disclosed the contract between the fund and the placement agent, specifying the scope of services to be performed by the placement agent and the fee arrangement between the placement agent, the general partner and any other third party. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 100 of the Council’s regulations. Brevan Howard LP will be considered an opportunistic hedge fund investment, as defined under N.J.A.C. 17:16-100.1. Formal written due diligence reports for the proposed investment were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments


Fund FactsFund Name: Brevan Howard LP/Brevan Howard Fund LimitedFund Type: Absolute Return - Hedge FundCurrent Master Fund Size: $25.1 billionInception: February 2004 (Brevan Howard LP)/ April 2003 (Brevan Howard Fund Limited)

Brevan Howard principal office55 Baker Street, London WIU 8EW, United Kingdom

GP Contact InfoName: Bruce TerryTelephone: (212) 418-8200Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: The feeder funds invest all of their assets (to the extent not retained in cash) in the

ordinary shares of Brevan Howard Master Fund Limited (the "Master Fund"). Theinvestment objective of the Master Fund is to generate consistent long-term appreciationthrough active leveraged trading and investment on a global basis. The Master Fundemploys an investement process which primarily uses a combination of macro and relative value strategies. The underlying philosophy is to construct strategies, often contigent innature, with superior risk/return profiles, whose outcome will often be crystallised by anexpected event occuring within a predetermined period of time. New trading strategieswill be added as investment opportunities present themselves.

Fee Terms: Management and Performance Fees: Management fee: 2.00%

Performance fee: 25% Other Fees: Operational Service fee: 0.50%

Other fees of approx 10 -15 bps Hurdle Rate: None

Service Providers: Prime Broker(s):

Credit Suisse Securities (USA) LLC, UBS AG, Deutsche Bank and Credit Suisse Administrator(s): International Fund Services (Ireland) Limited Auditor(s): KPMG Legal Counsel: Simmons & Simmons LLP, Maples & Calder, Sidley Austin LLP

Liquidity/Redemption Terms: Lock-up: None, 5% redemption penalty during first year and thereafter 5% redemption fee on

redemptions in excess of 25% of the investors holdings in any 90 day period. Redemption: Monthly with 90 days notice, 10% fund level gate

Side Pocket: None


Consultant Recommendation: YesPlacement Agent: Yes - Brevan Howard US LLCCompliance with Division Placement Agent Policy: YesCompliance with SIC Political Contribution Reg: TBD


Fund Address:




Agenda Item 7c

October 7, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Investment in Elliott Associates, LP The New Jersey Division of Investment is proposing an investment of $200 million in Elliott Associates, LP, which will be allocated to the credit hedge fund asset allocation category. This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. Elliott Management Corporation (“Elliott” or the “firm”) was founded in 1977 by Paul Singer, who practiced corporate and securities law prior to founding the firm. Elliott is one of the oldest hedge funds in existence. The firm manages more than $17 billion in its hedge fund strategy. Elliott is headquartered in New York City and maintains offices in London, Hong Kong, and Tokyo. The firm has 270 employees, of which 125 are investment professionals. The firm is majority owned by Mr. Singer and three additional principals became equity partners in 2011. Firm principals and other insiders have a substantial portion of their net worth invested in the funds and comprise the largest investor group. Elliott has consistently maintained a “contrarian” view of the risks facing investors in financial assets, and this has historically led Elliott to find areas of investment opportunity that are relatively less crowded. Elliott currently employs a global investment strategy designed to produce high risk adjusted returns while minimizing correlations to equity and bond markets, principally by focusing on process driven situations involving arbitrage and distressed situations, and by managing a substantially hedged book. The capital allocation process among strategies is entirely opportunistic, based on bottom-up fundamental research, rather than adhering to pre-determined ranges, and with the exception of commodities and structured products, the investment analysts are generalists and are able to invest across the capital structure and types of industries. Elliott has produced very strong returns on a risk adjusted basis. Since inception in February 1977 through November 2010, Elliott Associates, L.P. has generated an annualized net return of 14.40% and a standard deviation of 4.13%, resulting in a Sharpe ratio of 1.78. Since January





Elliott Associates LP Page 2 of 2

1990 through July 2011, Elliott has generated a return of 13.10%. In comparison, the HFRI Fund Weighted Composite Index and the HFRI Event Driven (Total) Index have returns of 11.80% and 12.23% respectively. The returns place them in the top quartile among peers on a risk adjusted basis. Year-to-date as of July, Elliott has produced a return of 4.79%, while the aforementioned indices have produced returns of 1.23% and 2.78% respectively. Elliott continued their strong performance in August with a return of 0.8%, bringing the YTD return to 5.7%. It should also be noted that in 2008. Elliott was down only 3.08%. In comparison, the S&P 500 was down 37% during the same year. The Division of Investment (“Division”) Staff and its hedge fund consultant, Cliffwater LLC, undertook extensive due diligence on these proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with New Jersey’s potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 100 of the Council’s regulations. The Elliott Associates, LP investment will be considered a multi-strategy hedge fund, as defined under N.J.A.C. 17:16-100.1. Formal written due diligence reports for the proposed investment were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 30, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments


Fund FactsFund Name: Elliott Associates, L.P.Fund Type: Credit Oriented - Distressed HFCurrent Master Fund Size: $17.8 billionInception: February-1977

712 Fifth AvenueNew York, NY 10019

GP Contact InfoName: Jaime HobbeheydarTelephone: (212) 478-2800Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: The fund employs a global investment strategy principally focused on process driven

situations involving arbitrage and distressed situations. They seek to minimizecorrelations to equity and bond markets by managing a substantially hedged book.Additionally, the fund will invest in equity and portfolio volatility investments. The fund's capital allocation among strategies is contrarian, opportunistic and based on bottom-upfundamental research. A significant portion of the firm's positions include activist orcontrol activities which involve complex situations.


Performance fee: 20% with modified high water mark (10% when recouping 150% of prior losses)

Other Fees: Fund expenses: 18 bpsCapital surcharge of 1.75% on all contributions and distributions

Hurdle Rate: None

Service Providers: Prime Broker(s): Barclays, Credit Suisse, Deutsche Bank, BNP, Citigroup, Goldman Sachs, JP Morgan,

Morgan Stanley, UBS, Pershing Administrator(s): Self-administer, BoNY and JP Morgan Chase external administration Auditor(s): Grant Thornton Legal Counsel: Kleinberg, Kaplan, Wolff & Cohen

Liquidity/Redemption Terms: Lock-up:

2 years on each contribution; fund has a 2 year commitment period after which investors are released from making further capital contributions, investors cannot redeem until the earlier of July 1, 2014 and 6 months after the commitment is fully drawn or terminated

Redemption: Semi-annual subject to 20% fund level gate and 25% investor level gate



Consultant Recommendation: Yes*see due diligence memoPlacement Agent: NoneCompliance with Division Placement Agent Policy: YesCompliance with SIC Political Contribution Reg: Yes


Fund Address:




Agenda Item 7d

October 7, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Add-On investment in Winton Futures Fund The New Jersey Division of Investment is proposing an add-on investment of up to $100 million in Winton Futures Fund. This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. Winton Capital Management (“Winton”) was founded in 1997 by David Harding, previously of AHL, one of the top CTA managers in London. Winton has $23.9 billion under management, of which the Winton Futures Fund (“WFF”) accounts for $8.8 billion. The firm employees 218 people, 94 of which are dedicated to research. WFF is a systematic CTA trading 120 futures markets across equities, fixed income, currencies and commodities. There are few key differentiators for Winton relative to peers. Winton’s volatility target of 7-10% is much lower than many peers which typically target 15-19%. This allows the WFF to take less risk and limits large draw downs. Also, most CTAs rely almost entirely on price trends, while Winton also incorporates non-price driven factors to diversify returns. In the firm’s ongoing commitment to develop new areas of research and furthering its investment universe, Winton started trading single name cash equity this year which added a non-correlated return stream for WFF, (previously all equity investments were through indices). Finally, the holding periods of the trades are typically longer than its peers as its trading system takes into account not only correlation and liquidity, but also transaction costs. In volatile markets when there are sharp reversals, Winton will typically hold positions longer (3-4 months on average). Examples of trades in which this approach has been beneficial are long Gold and the short European bank stock index. WFF has a long performance history extending almost 14 years. The fund’s annualized return of 11.43% over the last 5 years significantly exceeds the 4.79% return of the HFRI Fund Weighted Composite Index and the 5.95% annualized return of the HFRI Macro (Total) Index. This performance places WFF in the top quartile of all hedge funds and of global macro hedge funds.





Winton Futures Fund Page 2 of 2

Winton charges a 1% management fee, which is below the typical 2% fee charged by most hedge funds, and a 20% performance fee. The firm allows for monthly liquidity with no lock up and no gate. The Division of Investment (“Division”) Staff and its hedge fund consultant, Cliffwater LLC, undertook extensive due diligence on these proposed investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with New Jersey’s potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 100 of the Council’s regulations. Winton Futures Fund will be considered opportunistic hedge fund investment, as defined under N.J.A.C. 17:16-100.1. Formal written due diligence reports for the proposed investment were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments


Fund FactsFund Name: Winton Futures FundFund Type: Absolute Return - Hedge FundCurrent Master Fund Size: $8.8 billionInception: October-1997

1-5 St. Mary Abbott's PlaceLondon, UK

Contact InfoName: Andrew FraserTelephone: 44 20 7751 7816Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Systematic commodities trading advisor (CTA) trading over 100 global futures markets

across equities, fixed income, currencies, energies and commodities. The manager'sapproach is predominantly directional seeking to profit from momentum opportunitiesacross a broad range of markets with trend following programs, in addition they arecontinually focusing on research into non-price factors to diversify returns. The fund iscurrently allocated approximately 70% to trend following and 30% to non-price driven,fundamental factors. The fund's strategy is fully systematic, dictated by algorithms thatare continuously executed throughout each trading day.


Performance fee: 20% Other Fees: Fund expenses: approx 14 bps Hurdle Rate: None

Service Providers: Broker(s): Newedge Group, Barclays Bank, Goldman Sachs, BoA; Custodian(s): Bank of New York, Northern Trust

Administrator(s): Custom House Fund Services (Ireland) Auditor(s): KPMG Legal Counsel: Willkie Farr & Gallagher, Simmons & Simmons, Maples & Calder

Liquidity/Redemption Terms: Lock-up: None Redemption: Monthly with 2 days notice

Side Pocket: None

NJ AIP Program:Recommended Allocation: $100 million additional capital bringing total cost basis to $200 million% of Master Fund: 0.90%% of New Jersey State Pension Plan ($66b): 0.30%% of AIP Hedge Fund Allocation ($4.0b): 5.00%

Consultant Recommendation: YesPlacement Agent: NoneCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: Yes


Primary Business Address:




Agenda Item 7e

October 7, 2011 MEMORANDUM TO: State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed Add-On investment in Centerbridge Credit Partners

Fund, L.P. The New Jersey Division of Investment is proposing an additional investment of $60 million in Centerbridge Credit Partners Fund, L.P. (the “Fund”). This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9. NJDOI previously invested $140 million in the Fund in two separate commitments (November 2007 - $100 million & January 2011 - $40 million). The investment has a market value as of 6/30/11 of $201.6 million (1.44x). It should also be noted that in addition to its hedge fund commitments, NJDOI has made commitments to the firm’s private equity funds, Centerbridge Capital Partners I ($80 million) and Centerbridge Capital Partners II ($100 million). Centerbridge Capital Partners I is one of the private equity portfolio’s top performers Centerbridge Partners is a New York based investment management firm founded in early 2006 by Jeffrey Aronson and Mark Gallogly. Previously, Mr. Aronson managed distressed investments at Angelo, Gordon & Co. and Mr. Gallogly headed the Private Equity Group at The Blackstone Group. Centerbridge manages $17.2 billion in investments within both hedge funds and private equity funds, as of August 31, 2011. The firm has 119 employees including 44 investment professionals, as of October 3, 2011. Senior staff has made a significant investment in the fund. The fund is currently only taking in new capital as replacement for redemptions, which have been limited in size. Centerbridge Credit Partners is a distressed securities hedge fund that seeks to capitalize on undervalued credit oriented investment opportunities. The fund’s focus is on two primary areas: non-control distressed securities and undervalued credit investments such as leveraged loans, high yield bonds, specialty financings, structured products and credit related equities. The fund expects to make only modest use of leverage. Investments are mainly in the US with moderate exposure in Europe. Since inception in November of 2007, Centerbridge Credit Partners has generated a return of 12.67 annualized%. In comparison, the HFRI Fund Weighted Composite Index and the HFRI Event Driven (Total) Index have returns of 1.72% and 2.39% respectively. The returns place





Proposed Add-On investment in Centerbridge Credit Partners Fund, L.P. Page 2 of 2

them in the top quartile among peers. Year-to-date as of July, Centerbridge Credit has produced a return of 5.6%, while the aforementioned indices have produced returns of 1.23% and 2.78% respectively. The Division of Investment (“Division”) Staff and its hedge fund consultant, Cliffwater LLC, undertook extensive due diligence on this proposed additional investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund has not engaged a third-party solicitor (a "placement agent") in connection with New Jersey’s potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern each investment. In addition, each proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 100 of the Council’s regulations. The Centerbridge Credit Partners Fund, L.P. will be considered a credit oriented hedge fund, as defined under N.J.A.C. 17:16-100.1. Formal written due diligence reports for the proposed investment was sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 8, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investment was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments


Fund FactsFund Name: Centerbridge Credit Partners Fund, L.P.Fund Type: Credit Oriented - Hedge FundCurrent Master Fund Size: $7.0 billion as of August 31,2011 Inception: November-2007

345 Park Avenue, 15th FloorNew York, NY 10154

GP Contact InfoName: Samuel RiterTelephone: (212) 672-4477Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Credit-Distressed fund that seeks to capitalize on undervalued credit oriented investment

opportunities. The fund pursues a long-biased distressed credit strategy focusedprimarily on two areas: non-control distressed securities and undervalued creditinvestments such as leveraged loans, high yield bonds, specialty financings, real estatedebt, structured products and credit related equities. The fund has not used (andcurrently does not anticipate using) leverage (except for certain nonrecourse asset levelfinancings), Minimal use of short investments and has the majority of its investments inthe US with smaller exposures to Europe and Asia.


Performance fee: 20% Other Fees: Fund expenses: 20 bps Hurdle Rate: None

Service Providers: Prime Broker(s): JP Morgan Clearing , Goldman Sachs, Morgan Stanley Administrator(s): Citi Hedge Fund Administration Auditor(s): PricewaterhouseCoopers Legal Counsel: Schulte Roth & Zabel, Ogier (Caymans)(Centerbridge Credit Partners Offshore, Ltd)

Liquidity/Redemption Terms: Lock-up:

2 year initial lock up with respect to half of the capital account with a 2 year rolling lock-up thereafter; 3 year lock-up with respect to the other half of capital account with a 2 year rolling lock-up thereafter

Redemption: At anniversary with 90 day notice



Consultant Recommendation: YesPlacement Agent: NoCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: Yes


Fund Address:



Agenda Item 7f

October 7, 2011 MEMORANDUM TO: The State Investment Council FROM: Timothy Walsh Director SUBJECT: Proposed add-on investment in Asian Century Quest Fund (QP), LP Fund The New Jersey Division of Investment is proposing an addition of $75 million to our investment in Asian Century Quest Fund (QP), LP (the “Fund”). This memorandum is presented to the State Investment Council (“Council”) pursuant to N.J.A.C. 17:16-69.9. Asian Century Quest Capital, LLC (“ACQ”) was founded in 2005 by Brian Kelly, who was previously the Japan/Asia sector head at Maverick Capital. The firm manages approximately $1.8 billion in two Asian equity long/short strategies: the flagship strategy and a Smaller Companies strategy launched in April 2008. ACQ has 37 employees world-wide, including 28 investment professionals of which 20 are located in the New York headquarters, 5 are in Tokyo, and 3 are in Hong Kong. In addition to Mr. Kelly, who is fluent in Japanese, the team includes nine Japanese, three Korean, five Chinese, and two Indian nationals. The firm is 100% owned by Mr. Kelly and has been registered with the SEC since 2006. Mr. Kelly and other insiders have a substantial portion of their net worth invested in ACQ strategies. ACQ’s flagship strategy has produced solid absolute and risk-adjusted performance since inception from March 2005 through July 2011. Over this period, the strategy has generated an annualized net return of 10.01% and a standard deviation of 8.62%, resulting in a Sharpe Ratio of 1.13. The HFRI Equity Hedge (Total) Index has returned 4.99% over the same period. The fund ranks in the top quartile since inception within the Equity Hedge universe on a risk adjusted basis. The State of New Jersey Division of Investment invested $75 million in two tranches, $37.5 million each in August and September 2008. Our investment has returned 16.99% cumulative over the period August 2008 to August 2011 (annualized 5.22%) based on estimated August performance Comparative returns for MSCI EAFE Indices for Japan, Korea and China for the same periods are -14.10%, 15.64% and 1.67%, respectively. ACQ is a bottom-up fundamentally driven equity long/short fund focused on Asia, with primary emphasis on Japan and China. The fund attempts to identify and forecast key business drivers by





Proposed Investment in Asian Century Quest Fund (QP), LP, Page 2

conducting primary research through continuous interaction with management, consultants, and others and producing detailed proprietary financial models. ACQ aims to have significantly lower volatility than the market by maintaining low sector and country net exposures. Total portfolio net exposure is typically around 35% net long. Shorts are primarily alpha driven individual names, and index shorts are uncommon. The fund is diversified across more than 100 positions and limits individual long positions to 7.5% at cost. Additionally, while the fund can be heavily weighted to specific countries from a gross perspective, it does not make country or sector bets as the sector heads are required to have positions on both the long and short side. The fund’s country allocations have fluctuated since inception; however, Japan has always been the fund’s largest allocation. Recently the fund’s allocations have been 45% Japan, 30% Greater China, 10% Korea, and the remainder to other Asian countries. The fund does not make significant use of leverage with the gross exposure ranging from 150% to 250% (longs are typically between 100% and 150%, and shorts are typically between 60% and 100%). The Division’s original investment carries a 2% management fee, 20% performance fee with a soft lock-up of 18 months. The proposed add-on will have same terms as the original investment. The fund has a high water mark and a 50% fund-level gate. The Division of Investment (“Division”) Staff and its hedge fund consultant, Cliffwater LLC, undertook extensive due diligence on this proposed additional investment. We completed the same due diligence process as with all the other alternative investment opportunities presented to the Council. As part of its due diligence process, staff determined that the fund has not engaged either a third-party solicitor or placement agent in connection with the potential investment. We will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents to govern the investment. In addition, the proposed investment must comply with the Council’s regulation governing political contributions (N.J.A.C. 17:16-4). Please note that this investment is authorized pursuant to Articles 69 and 100 of the Council’s regulations. The investment in the Fund will be considered an equity oriented investment, as defined under N.J.A.C. 17:16-100.1. Formal written due diligence reports for the proposed investments were sent to each member of the Investment Policy Committee and a meeting of the Committee was held on September 30, 2011. In addition to the formal written due diligence reports, all other information obtained by the Division on the investments was made available to the Investment Policy Committee. We look forward to discussing the proposed investment at the Council’s October 13, 2011 meeting. Attachments


Fund FactsFund Name: Asian Century Quest Fund (QP), LPFund Type: Equity Oriented - L/S Equity HFCurrent Master Fund Size: $1.8 billionInception: March-2005

152 West 57th Street, 6th FloorNew York, NY 10019

GP Contact InfoName: Yadey Yawand-WossenTelephone: (212) 328-9304Email: [email protected]

Summary of Terms and Investment StrategyInvestment Strategy: Fundamentally driven equity long/short fund investing in Asia, with a primary emphasis

on Japan and China. The fund seeks to add value on both the long and short side of theportfolio via stock-specific fundamental analysis. The manager forecasts key businessdrivers and develops detailed proprietary financial models in order to identify differencesfrom consensus earnings expectations. ACQ aims to have significantly lower volatilitythan the market by maintaining low sector and country net exposures.


Performance fee: 20% Other Fees: Fund expenses: 15 bps Hurdle Rate: None

Service Providers: Prime Broker(s): Morgan Stanley, Goldman Sachs, UBS, Credit Suisse Administrator(s): Morgan Stanley Fund Services Auditor(s): Rothstein Kass Legal Counsel: Seward & Kissel, Ogier

Liquidity/Redemption Terms: Lock-up: 1.5 year "soft" lock-up - redemption charge of 6%/4%/2% for redemptions during the

first 6/12/18 months of soft lock period. Redemption: Quarterly with 45 day notice

Side Pocket: None


Consultant Recommendation: YesPlacement Agent: NoneCompliance with Division Placement Agent Policy: N/ACompliance with SIC Political Contribution Reg: Yes


Fund Address:



NJPension-EndOfAugust

Documents

nj aip program

gp contact

procedures

destination

gp contact

timothy walsh

director walsh

experience