Stocks Hurt the World’s Largest Pension Fund Last Quarter

Japan’s GPIF lost a staggering $136 billion due to Q4’s rout in equities.

As 2018’s fourth quarter shockwaves jolted investors worldwide, Japan’s Government Pension Fund Global (GPIF) was no exception, losing 9.06% of its assets, or $136 billion, in just three months.

The world’s biggest pension fund released materials showing the fund’s total assets fell from its record 165 trillion yen in September to December’s 150 trillion yen, its worst slippage since April 2008. The plan was down 4.31% for the fiscal year.

Foreign and domestic equities, which accounted for nearly half of the pension giant’s assets under management, supplied the most damage, declining 15.71% and 17.57%, respectively, in the quarter. For the fiscal year so far, which ends in March, they dropped 5.08% and 11.82%, respectively.

The fund’s benchmarks for the asset classes, the TOPIX and MSCI ACWI indexes, were down 15.58% and 17.60% in the quarter. For the fiscal year ending in March, they lost 4.88% and 11.86%.

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The slide included the fund’s foreign bonds holdings, although the results were less bloody. That asset class took a 2.74% hit for the quarter, and only lost 0.45% over the current fiscal year. Foreign bonds were 17.41% of the Japanese pension fund’s portfolio.

The FTSE World Government Bond index lost 2.49% in the quarter, and shrank 0.38% in the fiscal year.

Domestic bonds, which were 28.20% of the fund’s portfolio, was the outlier with positive results, returning 1.01% for the quarter, and 0.36% in the fiscal year.

The composite benchmark was up 1.02% for the quarter, and 0.35% in the plan’s current fiscal year.

Short-term assets, the remaining 6.38% of the Japanese fund’s portfolio, were flat.

Source: GPIF

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Dutch Pensions Felt Major Pain in Q4

Average funding ratios fell by seven percentage points, amid down December.

The late 2018 market rout created a not-so-merry Christmas for investors, enough to make even the Netherlands’ robustly funded pension funds a little nervous.

These particular plans are generally overfunded, but the market swings still caused the Dutch pensions’ funded ratios to fall seven percentage points, from 110.3% to 103.3%, according to data from De Nederlandsche Bank, the region’s central bank.

Things were looking up for Dutch pensions at the end of 2017, and funded ratios were poised to keep rising. In 2017, Kris Kringle gave the program a present, with the average status at 108.7%. Things improved further into January a year ago, when the funding level peaked at 111%.

Then Santa took a year off.

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The next several months saw ratios decline 3.2 percentage points, when they seemingly bottomed out at 107.5% in March. Dutch funding ratios then rose a bit, staying around 108.5% until July, when they hit 109.7%.

The rally was short lived, as September’s 110.3% marked the beginning of the end. By December, Dutch funding ratios fell to 103.3%.



De Nederlandsche Bank said the funded status “deteriorated” in Q4 because of “significant declines in stock markets and falling interest rates” in Europe.

The policy ratio, an average of funding ratios over 12 months, only fell about 0.6 percentage points, from 109% to 108.4%. The national benchmark is 104.2%. This may seem exceptional, but the Netherlands’ measuring stick ends up helping funds with lower ratios go unchecked. This is because “most members have pension rights in a fund with a considerably lower policy funding ratio,” the bank said in a release.




According to the data, nearly 10 million Dutch retirement plan members are in a fund at or below the 104.2% policy benchmark.

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