TCNJ

15 FY 21 ANNUAL FINANCIAL REPORT Short-Duration Fixed Income Strategy Despite the persistently low interest rate environment during the fiscal year, the college's short duration fixed- income portfolio generated positive returns while adhering to the investment policy mandates of safety, liquidity and yield. For fiscal year 2021, the fixed-income portfolio generated a gross return of 0.54%, exceeding its benchmark, Merrill Lynch 0-3 Year U.S. Treasury Index return of 0.10% for the same period. As seen in the table below, the Contingency Cash portfolio has consistently outperformed the benchmark over the long term. e Contingency Cash portfolio, totaling approximately $28 million, is allocated largely towards U.S. government securities, which include U.S. Treasury and federal agency notes and bonds. ese investments accounted for approximately 52.5% of the portfolio at June 30, 2021. e remainder of the portfolio is invested in high quality credit investments, including corporate notes, commercial paper, certificates of deposit, and municipal bonds. 1 Performance on trade-date basis, gross (i.e., before fees) in accordance with the CFA Institute's Global Investment Performance Standards (GIPS). 2 Merrill Lynch indices provided by Bloomberg Financial Markets. 3 On 10/31/14, the benchmark was changed from the BAML 1-3 Yr U.S. Corp/Gov A-rated and above to the BAML 0-3 Yr U.S. Treasury Index. 4 Contingency Cash fund performance inception date as of December 31, 2010.

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