Japan's GPIF reports 5.6% decline for latest quarter

Japan's Government Pension Investment Fund, Tokyo, on Monday reported a 5.6% drop for its fiscal second quarter ended Sept. 30, leaving its investment portfolio valued at 135.1 trillion yen ($1.1 trillion).

For the quarter, the world's biggest pension fund suffered losses of 4.3 trillion yen on its domestic stock holdings and 3.7 trillion yen on its allocations to international stocks.

Domestic stocks accounted for 21.3% of the portfolio, down from 23.4% at the end of the prior quarter. International stocks slipped to 21.6% from 22.3%.

In a volatile quarter for global markets, the TOPIX benchmark index for Japanese equities dropped just less than 13% while the GPIF's composite index for international equities tumbled 11%.

In a potential sign of the political sensitivities the GPIF faces in its recent shift to a relatively high risk-high reward portfolio, the pension fund — for the first time in its quarterly results — included benchmark index data for the first month of the current quarter, which showed a strong rebound for October that erased the bulk of the prior quarter's losses.

The latest quarter's equity market plunge saw the weight of Japanese government bonds in the GPIF portfolio rise for the first time in more than a year, to 39% of the portfolio from 38% at the end of the prior quarter, while international bonds edged up to 13.6% from 13.1%, and cash rose to 4.5% from 3.2%.

The target allocations the GPIF adopted just more than a year ago remain 35% for Japanese government bonds; 25% apiece for domestic and international equities and 15% for international bonds.

The pension fund's allocations to alternatives — which will be counted, depending on the nature of its investments, as part of its allocations to bonds or equities — remained at a negligible 0.05% of the portfolio as of Sept. 30, little changed from the prior quarter. The GPIF set a ceiling for alternatives at 5%.