Japan’s Government Pension Investment Fund (GPIF) posted a quarterly loss for the first time in six quarters. Its return fell 1.7 percent in the three months to September, a drop of 5,253 billion yen. The fund, one of the world’s largest pension investors, said the decline was driven mainly by falling global bond prices and a stronger yen.
Bond losses drive the decline
Foreign bonds were the weakest part of the portfolio, losing 6.52 percent over the quarter. Foreign equities fell 1.86 percent and domestic government bonds lost 1.80 percent. Japanese equities were the only major holding in positive territory, returning 3.71 percent.
Bond selling picked up in September as renewed Middle East tensions pushed oil prices and inflation fears higher. US Treasury yields rose 81 basis points over the quarter, while the benchmark Japanese government bond yield climbed by about 38 basis points.
Market backdrop and portfolio mix
Equity indexes rose over the period, with the S&P 500 up 2.0 percent and the Topix up 2.9 percent. The MSCI All-Country World Index gained 1.3 percent. The gains in stocks did not offset the bond losses.
The fund ended September with total assets of 314,400 billion yen. Its strategy splits the portfolio into four equal 25 percent parts, and all four asset classes remained inside their permitted deviation band at the end of the quarter.
Source: Government Pension Investment Fund (GPIF)
