Japan’s state pension fund, the world’s largest, experienced its worst quarter in two years, as the slump in global stock markets in the three months to June eroded the value of its assets.

The Tokyo State Pension Investment Fund said Friday that it lost 1.9% in the second quarter, or 3.75 trillion yen ($28 billion), reducing its total assets to 193.01 trillion yen. The value of his Japanese shares declined by 3.7% during the same period, while the value of his foreign stock acquisitions decreased by 5.4%. Domestic debt fell by 1.3%, while foreign bonds rose by 2.7% thanks to the dollar’s gains against the yen by about 12%.

Since nearly half of its assets are foreign investments; The rapid decline in the value of the yen against the dollar since March helped mitigate the fund’s losses for two consecutive quarters. The previous loss during the January-March period was the first under the management of Masataka Miyazono, who took over the fund’s top position in April 2020 in the wake of the global stock market turmoil caused by the pandemic.

“Major stock indices both locally and globally fell amid fears of a slowdown in economies as a result of monetary tightening, with major central banks around the world raising interest rates or canceling monetary easing to curb rising inflation,” Miyazono said in a statement.

During the April-June period, the MSCI Global Index and the S&P 500 Index fell 16%, while the Topix fell 3.9%. Yields on 10-year US Treasuries rose 67 basis points over that period, while benchmark Japanese government bond yields were little changed.

swing returns
“With 50% of the fund’s portfolio sensitive to stocks, and 50% sensitive to currencies, its returns will fluctuate significantly depending on the performance of the markets,” says Takafumi Yamawaki, head of price and local currency research at JPMorgan Securities Japan Co. .

The Japanese pension fund’s loss is the biggest since the first quarter of 2020, when global stock market losses wiped out a record $165 billion in assets from the fund.