WASHINGTON—Jacob Lew, the nominee for U.S. Treasury Secretary, invested in a Cayman Islands-based fund located in a building President Barack Obama has called an "outrage" and a "tax-scam."

According to his financial-disclosure forms, from 2007 until 2010, Mr. Lew held an investment in CVCI Growth Partnership (Employee) II, a Citigroup Inc. investment fund available to employees. Mr. Lew was a Citigroup employee from 2006 until 2009.

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