Japan Pension Fund suffers worst quarter in 2 years

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Japan Pension Fund suffers worst quarter in 2 years

The world's largest state pension fund, Bloomberg -- Japan, had its worst quarter in two years, as declines in global stock markets in the three months through June eroded the value of its assets.

The Government Pension Investment Fund lost 1.9% of its assets during the quarter, or 3.75 trillion yen $28 billion, reducing its total assets to 193.01 trillion yen, the fund said in Tokyo Friday. Its Japanese stocks fell 3.7% in the period, while foreign equity prices fell 5.4%. Domestic debt declined by 1.3%, while foreign bonds returned 2.7% thanks to the dollar's gain of almost 12% against the yen.

With about half of the GPIF's assets invested overseas, the rapid depreciation of the yen has helped cushion the fund's losses for two straight quarters. The previous loss during the January-March period was the first under the watch of GPIF President Masataka Miyazono who took the top post in April 2020 in the wake of a pandemic-induced global equity rout.

Major stock indexes fell due to concerns over monetary tightening as major central banks around the world raised rates or unwound quantitative easing with inflation progressing, Miyazono said in a statement.

The MSCI All-Country World Index of global stocks and the S&P 500 Index fell 16% during the April-June period, while the Topix index fell 3.9%. Yields on 10 year US Treasuries increased by 67 basis points in the period, while benchmark Japanese government bond yields were little changed.

Returns will swing largely if these markets do, because 50% of the portfolio is stock sensitive and 50% are currency sensitive, said Takafumi Yamawaki, head of local rates and currencies research at JPMorgan Securities Japan Co.

The GPIF's loss was the steepest since a global equity rout in the first quarter of 2020 and wiped out a record $165 billion from the fund's assets.

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