World’s top pension fund posts longest losing streak in 20 years

JAPAN’S state pension fund, the largest in the world, on Friday (Feb 3) reported a fourth consecutive quarterly loss, as it slipped into its longest losing streak in two decades.

The Government Pension Investment Fund (GPIF) said it lost 1.9 trillion yen (S$19.4 billion), or about 1 per cent of its assets, during the three months ended Dec 31, 2022. This brought its assets down to 189.9 trillion yen.

The latest string of losses is the longest since the fund similarly posted four consecutive quarters of decline during the fiscal year ended March 2003. Its assets are evenly allocated into four categories, consisting of bonds and stocks in Japan and abroad.

The GPIF’s Japanese stock holdings rose 3.2 per cent in the quarter, but its domestic debt lost 1.7 per cent. Its foreign equities portfolio dipped 0.1 per cent, and its overseas bonds fell 5.3 per cent.

Once a reliable source of support for the fund’s performance, the US dollar had its biggest quarterly drop against the yen since 2008. The value of foreign assets, which make up about half of the GPIF’s portfolio, was dragged down as a result.

Meanwhile, holdings of Japanese debt capped a fifth straight quarterly loss, after the Bank of Japan (BOJ) abruptly revised its yield-curve-control policy in December.

SEE ALSO

Japan credit spreads veer away from global tightening trend

BOJ’s record bond buying highlights challenge for yield control

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From October to December last year, the MSCI All-Country World Index of global stocks and the S&P 500 Index both gained at least 7 per cent, while the Topix index advanced 3 per cent. Yields on 10-year US Treasuries were up almost five basis points (bps) in the period, as rates on the benchmark Japanese government bonds climbed 17 bps – their biggest jump since 2019.

Last month, Masataka Miyazono, president of the GPIF, said that despite the BOJ’s impact on domestic bonds, the fund saw no need to change its portfolio allocation. He added that moves in Japanese yields were in line with simulations. Bonds in the country had their biggest quarterly loss since 2003 at the end of December 2022, according to the Nomura BPI Index. BLOOMBERG