ANNUAL REPORT FISCAL YEAR 2022

ANNUAL
ANNUALREPORTREPORTFISCALFISCALYEAR
YEAR2022
2022

Government
Government
PensionPensionInvestment
Investment
Fund
Fund

Government Pension I nve s t m e n t Fu n dInvestment
InvestmentPrinciples
Principles

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1 1

Table of Contents
Investment Result Summary and Topics in Fiscal 2022

3

Message from the Chairperson of the Board of Governors

5

Message from the President

6

Introduction of GPIF

7

Overview of Fiscal 2022

19

Review of Fiscal 2022 Investment Activities

21

Chapter 1

Investment Results in Fiscal 2022

1 | Investment Results ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 23
2 | Overview of the Policy Asset Mix ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 33
3 | Basic Policy of Portfolio Risk Management ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 42
4 | Status of Investment in Each Asset Class ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 47
5 | Investment in Alternative Assets ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 49
6 | Stewardship Responsibilities ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 60
7 | ESG Activities ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 69
8 | Other Major Initiatives ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 75

Chapter 2

Roles and Organizational Operation ofGovernment Pension Investment Fund

1 | GPIF’s Roles in the Public Pension Scheme ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 79
2 | Organization and Internal Control System ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 83
Chapter 3

Reference Data

1 | Investment Assets by Investment Method and by Manager, Etc.・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 89
2 | Portfolio Holdings by Asset Category as of Mar. 31, 2023 ・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・・ 97

▲Investment results of Government Pension Investment Fund,
including this annual report, are available on the website: https://www.gpif.go.jp/en/▲

Please contact the Fund’s Planning and Communication Department(Tel: +81-3-3502-2486) prior to reproduction or reuse(except quotation) of the content
of this annual report for commercial purposes.
Please clearly cite the source when quoting, reproducing, or reusing any content of this report.

2

Investment Result Summaryin Fiscal 2022▲

Fiscal 2022

Rate of return

Returns(Interest and dividend income)+1.50%

Since Fiscal 2001

+3.59%[annual rate](over the compound benchmark)[annual rate]+ ¥2,953.6 billion + ¥108,382.4 billion[annual returns][cumulative returns](+¥3,700.3 billion) [annual returns](+¥47,052.7 billion) [cumulative returns](the beginning of the 4th Medium-term Plan

Since 2020 (FY2020-FY2024)) [cumulative]

Fiscal 2022

The excess rate of return

For details, refer to pages 23-32.

-0.06%+0.18%

As of the end of fiscal 2022

200,132.8 billion

Asset size

Foreign equities

Portfolio allocation(Pension reserves managed by GPIF and
the Pension Special Account)
Inside: policy asset mix (figures inparentheses indicate deviation limits)
Outside: at the end of March 2023

Domestic bonds

24.32%¥49,986.5 billion

25%(±7 %)

25%(±7 %)

26.79%¥55,062.2 billion

50% 50%(±11%) (±11%)

Domestic equities

24.49%¥50,333.7 billion

25%(± 8%)

25%(± 6%)

Foreign bonds

24.39%¥50,122.5 billion(Unit: ¥billion)

Allocation changes for each
asset class due to rebalancing

Total fees
(The average fee rate on the
total investment assets)

3

Domestic bonds

Foreign bonds

Domestic equities

Foreign equities+3,022.4+1,502.1–2,002.9–1,914.5(Note) Each figure shows the net rebalancing amount.

30.2 billion(0.02%)

Topics in Fiscal 2022

1

Managed portfolio stably in response tomarket fluctuations

In order to steadily implement investment management based on the policy asset mix, GPIF purchases and sells(rebalances) assets in a timely and appropriate manner so as not to deviate from the portfolio allocation specified
in the policy asset mix, even when there occur rapid changes in the economic and market environments.
In fiscal 2022, although the market as a whole remained volatile throughout the fiscal year, we managedrisk appropriately. To give one example, foreign stock index futures were newly utilized to reduce pricefluctuation risk in rebalancing activities.
As a result, our rate of investment return in fiscal 2022 was +1.50%.

2

Diversified and sophisticated investment
management to capture excess returns

In addition to steady management based on the policy asset mix, GPIF also aims to capture excess returns.
In fiscal 2022, we made efforts to expand sources of excess returns, including the selection of active funds forNorth American equities by using quantitative assessments based on the latest data science, and investment
in limited partnerships (LPSs) for alternative assets in order to strengthen risk management and improve returns.
As a result, the cumulative excess rate of return for the three years since fiscal 2020, first year of
our 4th Medium-term Plan period (fiscal 2020 to fiscal 2024), was +0.18%.
Since the establishment of GPIF (fiscal 2006 to fiscal 2022), the average excess rate of return has been -0.03%.

3

Started upgrading platform to refine andimprove efficiency of investment management overthe medium to long term

As a universal owner, GPIF accumulates vast amounts of trading and other data on a daily basis. By making
effective use of such data, we expect further improvements in asset management and risk management.
In fiscal 2022, in order to make effective use of such data, we started a study to establish an
information processing platform as a foundation for data management, and appointed a senior IT advisor
to support this platform.

4Message from the Chairpersonof the Board of Governors

The Board of Governors aims at making GPIF trustworthy organization
for the Japanese public by fully utilizing the expertise of
the Governors with a wide range of knowledge and experiences.
The mission of GPIF is to manage pension reserves stably andefficiently from a long-term perspective, solely for the benefit of
the national, thereby contributing to the stability of pension finance.
The Board of Governors comprises ten members: the Presidentof GPIF and nine outside experts with a broad range of pertinent
knowledge and experience. The Board of Governors makes
decisions on important policies related to the management andinvestment of pension reserves including the formulation of thepolicy asset mix, as well as the management of the organization.
In addition, the Board of Governors supervises the Executive
Office’s business executions in cooperation with the Audit Committee.
Looking back on economic and financial conditions over the
past year, financial and capital markets continued to experiencehigh levels of volatility as global inflation progressed andmonetary tightening by major central banks continued. Under thesecircumstances, a major challenge for GPIF was how to minimizerisks and secure stable returns; the Board of Governors has
encouraged the Executive Office to diversify investment target andreduce risks appropriately, while always carefully checking
consistency with laws and regulations. Of course, the Executive
Office has also made every effort to secure stable investment
income by earnestly implementing various reviews andcountermeasures, including improving the efficiency of organizational
management. As a result, the Board of Governors and the
Executive Office have worked hand in hand while maintaining
a relationship that has a healthy degree of tension, and we believethat GPIF is managed in a way that is trusted by the Japanese public.
In Japan, we are recovering our daily routines at the post-COVID-19
era, however the outlook for the economy and the commodity
price remains uncertain. Overseas markets remain unpredictable,
including systemic instability in finance in the U.S. and Europe.
The Board of Governors is committed to devoting all of its
energies for the benefit of the Japanese pubic, while taking
these economic and financial conditions at home and overseas
into consideration. We would sincerely appreciate your continuous
understanding and support.
Chairperson of the Board of Governors

❶

❻

5

❷

❼

❸

❽

❹

❾

❺

❿

❶ ITABA Ken❻ ARAI Tomio❷ UCHIDA Takakazu❼ KOMIYAMA Sakae❸ KATO Yasuyuki❽ YAMAGUCHI Hirohide❹ OHMI Naoto❾ NEMOTO Naoko❺ OZAKI Michiaki❿ MIYAZONO Masataka

YAMAGUCHI Hirohide
Government Pension Investment Fund, Japan

Message fromthe President

We will fulfill our mission tocontribute to the financial stabilityof the pension system and ultimately
to the stability of people's lives throughthe management and investment ofpension reserve funds.

The mandate of Government Pension Investment Fund is tocontribute to the stability of the Employees’ Pension Insuranceand National Pension schemes by managing and investing thepension reserves entrusted to us by the Minister of Health,Labour and Welfare and by disbursing investment returns into thePension Special Account.
The investment result for fiscal 2022 was a positive return of
1.50% due partly to the rise in the Japanese stock market and thedepreciation of the yen.
Interest rate hikes by the Federal Reserve Board (FRB),
the European Central Bank (ECB), and other central banks against
the backdrop of record high inflation led to a significant risein yields on government bonds in major economies, particularlyin the U.S and Europe. On the other hand, in Japan,
policy interest rates remained unchanged and a relatively
accommodative monetary policy was maintained. As a result,interest rate differentials between Japan and overseas economies
widened, and the yen weakened against the dollar and the euro.
In addition, while the U.S. stock market declined, partly owing toconcerns about a recession caused by the FRB's interest rate hike,
European stock markets rose as the energy supply crisis receded.
Domestic stocks rose on expectations of improved corporate
earnings due to the weaker yen.
We also have passed the halfway point of our 4th Medium-term
Objectives period, which began in fiscal 2020. During this period,
the economic and financial environment in the world has seen arapid recovery from the decline caused by the COVID-19 andRussia's invasion of Ukraine followed by the runaway inflation andrapid monetary tightening in response to it in fiscal 2022,with financial markets experiencing a series of major movements.
As a result, when investing pension reserves, we have continued
to face circumstances that make portfolio management difficult.
Through our efforts to manage risks while also ensuring stable
investment, the pension reserves managed by GPIF amounted toapproximately ¥200 trillion at the end of fiscal 2022. There is nocomparable investor in the world that manages assets of this size
as a single portfolio.
Based on the organization we cultivated to generate stable
return, all GPIF executives and staff, together with its Board ofGovernors, will continue our tireless efforts to contribute to thefinancial stability of the pension system and ultimately to thestability of people's lives based on the organization we cultivatedto generate stable return and by upgrading the investment
capabilities commensurate with its size.
I would sincerely appreciate your continued understanding
and support

President

MIYAZONO Masataka
Government Pension Investment Fund, Japan

6

Introduction of GPIF

About GPIF

1

Introduction
Public pension scheme is designed to support the future of Japan.
Here, we would like to explain the activities of GPIF which is managing andinvesting a part of this public pension, in simple and easy manners.

What is a
public pension?

A public pension scheme is a system in which all citizens pay premiums to support
each other in order for each citizen to prepare for potential risks in our lives, such as“becoming unable to work due to age,” “living with disabilities resulting from illness
or injury,” and “losing main income source of a family.” Particularly in Japan, thepublic pension scheme plays a very important role as life-long support for elderly people.
▲

For details of GPIF’s roles in the public pension scheme, refer to pages 79∙80.

(Note) The information is partly simplified for easy understandings. All the images in this section are for illustrative purposes only.

Q

1

Will I get my contributions backas pension benefits in the future?

2

The public pension scheme in Japan adapts
the concept of “intergenerational support,” whereby
pension benefits for elderly generations are paid frompension premiums collected from contemporary working
generations. Therefore, the scheme is not designed tocover your pension benefits by your own premiums
accumulated in advance.

Since there will be fewer contributions from theworking generation to cover the pensions for theelderly generation, it will be necessary to makeup the shortfall. The pension system reflects changes
in the times, such as the growing number of working
elderly people and women, in order to improve its
sustainability. In addition, the system is designed tostabilize pension finance by utilizing pension reserves.

For details, refer to page 8.

For details, refer to page 9.

A

3What does GPIF do?

GPIF is an organization managing and investing
pension reserves to increase the source ofpension benefits for future generations.

A

Q

4

Can the amount of benefits to
be paid in the next year
be affected by this year’s
investment performance?

What GPIF invests is the funds “reserved for
future generations.” Therefore, the amount ofbenefits to be received in the next year will not be affected
regardless of whether the investment performance in thisyear is positive or not.

A

▲

▲

For details, refer to page 10.

A

▲

▲

Q

7

Q

How will the pension system workas the declining birthrate andthe aging population?

For details, refer to page 10.

CHECK

1

First, let’s walk throughJapan’s pension system.

Japan adopts a system where working generations support
the lives of the elderly generations.

Current

recipient
generation

Pension benefits
Pension premiums

Current

working
generation

Contributions
Pension benefits
Pension premiums

Futureworking
generation

Contributions

Under the public pension scheme in Japan, pension benefits for the elderly generations are paid bypension premiums collected from the contemporary working generations. In other words, pension
benefits to be received in the future by the current working generations will be covered by the pension
premiums paid in the future by generations of their children and grandchildren. The scheme is notdesigned to cover your pension benefits by your own premiums accumulated in advance.

What concerns do we have in the age of shrinking population in Japan?
8

CHECK

2

What would happen to the pension
scheme as the population ofJapan decreases?

If the declining birthrate and aging
population continue, the burden on future working
generations would become too heavy.

Working generation

Recipient generation

Pensionpremiums

Pensionbenefits

Government
contribution

Working population decreases

In a society with decreasing
birthrate and aging population...

Recipient population increase

Shortage
supplemented
by pension
reserves

Pensionpremiums

Pensionbenefits

Government
contribution

In recent years, while the population of the working generation has decreased,
our society has changed as people work longer and in more diversified ways: e.g.
the elderly workers have increased as people’s healthy lifespan becomes longer andfemale employment rate has risen. By reflecting on these changes to the design ofthe scheme, the sustainability of the pension scheme has been improved.
In addition, pension reserves are planned to be used to supplement the potential
shortage of pension funds for future benefit payments when necessary, so that
we can ensure the stability of pension finance over a period of time in the future.

We will go into the role of pension reserves in detail.
9

CHECK

3

GPIF manages pension reserves
for future generations.

What are pension reserves?
Out of pension premiums contributed by the working generation, those unused
for current pension payments shall be reserved for future generations as pension
reserves. In the long run, about 10 percent of the total pension funds are
estimated to come from the pension reserves.

Pensionreserve

Role of thepension reserve

Secure funds throughinvestment returns

Covers deficit

Surplus

Covers deficit

Pension payment
sources100%0%Pensionpremiums

Declinein working
generation

Pensionpremiums

Declinein working
generation

Pensionpremiums

Government
contribution

Government
contribution

Government
contribution

Present

50 years later

100 years laterLong-term plan

Will the next year’s pension payment be affected by the investment result of this year?
The pension reserve fund managed by GPIF is used to preventthe burden on future generations from becoming too heavy.
Therefore, even if the investment result of this year is positive,
the amount of pension benefit payment of the next year

will not increase. Likewise, even if the investment result of
this year is negative, the amount of pension benefit paymentof the next year will not be reduced.

10

About investments ofthe pension reserves

2

To ensure stable earnings from its investments,
GPIF keeps in mind as follows.

POINT

1
1

GPIF employs long-term investment
and diversified investment as
our principle investment strategies
GPIF carries out long-term investment.

Although investment performance in the short term can fluctuate
in a large scale in either positive or negative direction, as investment
horizon becomes longer, the range of fluctuation is expected to besmaller, because positive results and negative results would beoffset with each other in the long run.
The pension reserve fund managed by GPIF is projected not to

be used for benefit payments for about the next 50 years or so.
Therefore, GPIF adopts a long-term investment strategy thataims to gain stable returns by holding various types ofassets over the long term without being too concernedwith temporary market fluctuations.

Financial verification results (projections for pension reserves over approximately 100 years)[Trends of pension reserves under each scenario]

Scenario III

Scenario I Peak: FY2095 (¥1,008 trillion)

Peak: FY2079¥479 trillion

Scenario II Peak: FY2088 (¥693 trillion)

Actual as ofMarch 31, 2020

¥151trillion

Scenario III
Scenario IV Peak: FY2074 (¥300 trillion)

Scenario V Peak: FY2045 (¥234 trillion)
2020 2025 2030 2035 2040 2045 2050 2055 2060 2065 2070 2075 2080 2085 2090 2095 2100 2105 2110 (FY)
(Note) For details of Scenario I through Scenario V, refer to page 33.

11

2

GPIF carries out diversified investment.

The amount of pension reserves managed by GPIF is huge, being
about ¥200 trillion. In the asset management industry, there is asaying “Don’t put all your eggs into one basket.” GPIF aims toachieve stable investment returns by diversifying our investments
in multiple types of assets in Japan and overseas, that havedifferent characteristics and price movements.

Put all your eggs into
one basket

All breakDivide them into
multiple baskets

Whensomethinghappens...

to diversify risks

We combine “long-term investment” and“diversified investment” to achieve stable returns.

12

POINT

2

GPIF makes investments based on
the policy asset mix(the principle asset allocation policy)

It is commonly known that, in a long-term investment, maintaining portfolio(a policy asset mix) over the long term yields a better result effectively, rather thanchanging the portfolio in response to short-term market fluctuations.
At GPIF, pension reserves shall be managed in line with the principle asset
allocation policy (the policy asset mix) from a long-term perspective.

Current policy asset mix(Since April 2020)

Foreignequities

Domestic
bonds

25%

25%

（ ± 7%）（ ± 7%）

50% 50%(±11%)(±11%)

Domestic
equities

Foreign
bonds

25%

25%

（ ± 8%）（ ± 6%）(Note) figures in parentheses indicate deviation limits.

However, when it comes to actual investment management,
because of the constant market fluctuation, it is essential toestablish a framework that enables timely and flexible allocation
adjustments within reasonably appropriate ranges,
while principally following the policy asset mix.
Therefore, GPIF defines the ranges of allowable deviations
from the policy asset mix (deviation limits).

13

Since long-term investment results shall be mostly attributable
to a policy asset mix, we believe that the policy asset mix is thecore of our pension reserve fund management and investment.
When the asset allocation ratios of actual investments deviate
from those of the policy asset mix, GPIF timely and flexibly executes
rebalances in order to assure that the actual allocations are within
the deviation limits.

GPIF allocates its investments
appropriately, not only to bonds
but also to equities

POINT

3

In recent years, the interest rate of 10-year Japanese government
bonds has been around 0%. Under the condition that the consumer
price and wages are expected to rise with the changing economic
and investment environment over the long term, it is difficult tosecure the investment returns required for pension finance byinvesting mainlyin domestic bonds.
Equities are exposed to greater price fluctuation risks than bondsin the short term, but could yield a higher return from a longer
perspective. At GPIF, we appropriately incorporate equities in our
portfolio, so that we aim to secure the investment returns requiredfor pension finance with minimal risks by reaping the fruits ofdomestic and foreign corporations’ activities and the resulting
economic growths in the form of “dividends” and “capital gains.”

10-years yields, U.S. & Japan
（%）

8
7

US Government Bond 10-year Yield

6

Japanese Government Bond 10-year Yield

5
4
3
2
1
0
-1
1995

1999

2003

2007

2011

2015

2019

2023

Dividends yields, Japan & Global
（%）

8
7

MSCI-ACWI ex Japan dividends yield

6

TOPIX dividends yield

5
4
3
2
1
0
-1
1995

1999

2003

2007

2011

2015

2019

2023

Would future withdrawals from the pension reserves (which leads to dispositions of its
equity holdings in the portfolio) negatively affect stock prices, given the vast amount of
GPIF’s equity holdings?
The pension reserves managed by GPIF are projected not to bewithdrawn for the next 50 years or so. (However, part of theinvestment gains may be used for the payments of pension benefits).
Even after the withdrawals start in the future, the pension

reserves shall be withdrawn gradually over several decades, rather
than at one time. GPIF shall pay adequately attention to minimize
the potential market impacts of these dispositions associated withthe withdrawals, while carefully assessing global market trends.

14

GPIF invests in various typesof assets not only in Japanbut also in foreign countries.

POINT

4

For instance, a temporary fall in asset prices due to market
fluctuations could be offset by a subsequent rebound, leaving
the value of a portfolio unaffected in the long run. However,in some cases, a downward trend of asset prices could continue
longer than initially assumed. In other cases, on the contrary,
if the portfolio does not hold a specific asset whose price is on
the rise, the portfolio would miss an opportunity of taking profit.

By investing in various types of assets not only in Japanbut also in foreign countries, GPIF has conducted its investment
with an aim to increase opportunities for profits generated fromglobal economic activities, and simultaneously to mitigate therisk of material losses by controlling fluctuations in the overallvalue of assets under management thanks to the diversification.

Investment amount by country / region
Top 15 countries/regions by amount invested as of the end of March 2023 are as follows.
⑧ Canada (¥trillion)
1.1④ United Kingdom (¥trillion)⑩ Netherlands

2.8 4.9⑥ Germany (¥trillion)

1.1

1.7

4.1

0.6

2.9

⑪ China (¥trillion)
0.0
1.7

1.6

(¥trillion)(¥trillion)

0.1

0.1

1.4

1.2

Bonds

1.3

46.6

⑭ Taiwan (¥trillion)
0.0
0.9⑮ India (¥trillion)
0.9
0.0
0.8
0.8

(¥trillion)

0.4

1.7

3.2

6.3
4.6

55.7
31.5

4.3
4.0

Equities

24.2

0.3

③ France (¥trillion)

Total

96.3 49.7② United States (¥trillion)⑤ Italy (¥trillion)⑦ Spain

2.8① Japan (¥trillion)⑫ Switzerland⑬ Belgium

1.0

1.6

1.2

(¥trillion)

2.1

2.6

⑨ Australia (¥trillion)
0.8

1.9

1.0

(Note 1) Equities are compiled mainly based on the company’s country of incorporation and the primary listing of its securities(Country Classification for MSCI indexes), while bonds are compiled mainly based on the country where the issuer or
the parent company of the issuer is headquartered (Country Classification for Bloomberg indexes).
(Note 2) Cash and other assets temporarily remaining in the fund are excluded.
(Note 3) Investment amount includes alternative assets. Infrastructure and PE investments are classified into “countries where the portfolio
company mainly operates,” and real estate investments are classified into “countries where the portfolio property is registered.”(Note 4) Due to rounding off, the sum of each item does not necessarily match the total number.

15

POINT

5

In addition to equities and bonds,
GPIF also invests in alternative assets.

Alternative assets are the generic term for investment assets that are“alternatives” to traditional investment assets including listed equities and bonds.
Among a variety of alternative assets, GPIF invests in infrastructure(investments in infrastructure projects, such as renewable energy),
private equity (investments in equities of private companies),
and real estate (investments in real estate such as logistics).

Since alternative assets have different risk-return profiles
from equities and bonds, holding them alongside these
traditional assets can be expected to reduce the volatility ofthe overall returns on assets. While they have lower liquidity
in terms of buying and selling, they produce higher investment
returns for this reason.
Overseas pension funds have been promoting diversification

by investing in alternative assets for the aforementioned
characteristics and effects. As a super-long-term investor,
GPIF aims to improve investment efficiency by holding equities
and bonds that can be bought and sold quickly, while steadily
accumulating high-quality alternative assets with due attention
to the market environment and investment risks.

Total value of alternative assets up until fiscal 2022(¥billion)

3,000
2,800
2,600
2,400
2,200
2,000
1,800
1,600
1,400
1,200
1,000
800
600
400
200
0

2,834.5■ Infrastructure■ Real estate

2,158.6■ Private equity

1,447.8

1,341.9
944.5

81.4

0.2

5.5

83.3

2014/3

2015/3

2016/3

1.9

96.4

100.6
2017/3432.7

1,078.8

736.2

919.4
773.1

545.1

213.0

544.7
8.1 293.5
380.8 18.5
61.0 306.6
4.2 196.8 8.2 124.9 14.3

2018/3

2019/32020/32021/32022/3467.32023/316

POINT

6

GPIF is undertaking stewardship
activities and ESG investment.

From the perspective of increasing long-term investment returns,
GPIF pursues activities to fulfill our stewardship responsibilities
and promotes ESG initiatives.
In accordance with laws and regulations, GPIF’s ESG investments

Stewardship responsibility refers to the responsibility of
institutional investors to seek to increase long-term
investment returns by adopting a long-term orientation andlooking for sustainable growth among the companies intheir portfolios and markets on the whole. GPIF has been
fully engaged in stewardship activities since adopting
Japan’s Stewardship Code in May 2014.

are not aimed at contributing to the solution of social problems, but
are promoted based on the concept of ensuring the economic benefitsof pension recipients from a long-term perspective by reducing thenegative impact of environmental and social problems on capital markets.

Since GPIF does not directly hold stocks but invests
through external asset managers, as part of its stewardship
activities, GPIF has established the Stewardship Principles
and the Proxy Voting Principles, which require external
asset managers to engage in “constructive dialogue”(engagement) with portfolio companies, in consideration of
ESG factors that contributes to sustainable growth.

ESG is an acronym for Environmental, Social, and Governance.
ESG investment incorporates environmental, social,and corporate governance perspectives into investment
decisions with the expectation of improving
long-term returns.
GPIF, both as a “universal owner” (broadly diversified

17

investor in capital markets worldwide) and a“cross-generational investor” (a super-long-term investor),must ensure the sustainable and stable growth of capital
markets as a whole to earn stable returns over the longterm. Based on this idea, GPIF promotes ESG investment.

POINT

Risks are controlled appropriately toensure a long-term profitability.

7

Future return on equities and bonds is not fixed andcertain. The following diagrams show fluctuations in the returnof both assets, suggesting that the greater the fluctuation,
the higher the risk.

The word “risk” is used in the sense of “danger” or “possibility
that an unfavorable situation will happen.” However, in thefield of investment management, the word “risk” generallymeans “fluctuations in return,” or the “range of change in return.”

Annual return on Japan Equities and Japan Bonds from 1970 to 2022

* The average fee rates against externally managed assets (annual rates)for each asset class are assumed to have been charged throughout
the entire simulation period.
Japan Equities: 0.01%, Japan Bonds: 0.01%* No transaction costs in rebalancing nor taxes are assumed.

Assumes reinvestments of interest income and dividend.
* Past performance is no guarantee of future results.
<Source> Japan Equities: Tokyo Stock Exchange 1st section weighted
average return of market capitalization, Japan Bonds:
Nomura-BPI Overall.

Copyright ©2023 Ibbotson Associates Japan, Inc. All Rights Reserved. This material includes proprietary materials of Ibbotson
Associates Japan. Any use, reproduction, etc., by any means, in whole or in part without prior written consent of Ibbotson Associates
Japan is prohibited and is subject to liabilities for damages and penalties under copyright law.

It is legally prescribed that the pension reserve shall be managed
safely and efficiently from a long-term perspective. The Medium-term
Objectives prescribed by the Minister of Health Labour andWelfare (“MHLW”) stipulate that a pension reserve fund mustachieve a long-term real return (net investment yield on the pension
reserve fund less the nominal wage growth rate) of 1.7% withminimal risks.
A risk emphasized by GPIF is not “short-term fluctuations inreturns due to temporary market fluctuations.” but “a risk of failingto achieve a long-term investment return required for the pension

finance.” In order to manage pension reserve fund safely andefficiently from a long-term perspective, GPIF is conducting its
investment with an aim to mitigate the risk of failing to achieve thelong-term investment return, by professionally analyzing various
indicators, while taking into consideration short-term fluctuations
in returns due to temporary market fluctuations.
(Note) Out of the six long-term real investment yield assumptions stipulated in
the 2019 fiscal verification, the largest value of 1.7% has been set as
the long-term investment target.

Comparison with planned reserves (long-term risk)
Pension reserves (¥trillion)

1,500

1,200
75th percentile

900

MedianPlanned reserves

600
300
0
2020

25th percentile

2025

2030

2035

2040

2045

2050

2055

2060

2065 (FY End)

Above long-term
investment objectives(planned reserves)
Below long-term
investment objectives(planned reserves)= Long-term risks

18Overview of Fiscal 2022▲

Investment Results
Fiscal 2022

Rate of return

For details, refer to pages 23∙24.

Since Fiscal 2001

+1.50%+3.59%(+¥2,953.6 billion)(+¥108,382.4 billion)[annual returns][Cumulative returns][annual rate][annual rate](Returns)

As of the end of fiscal 2022

¥200,132.8 billion

Asset size

(Note) Rate of return and returns are marked to market as of the end of fiscal 2022, and include unrealized gains and losses.

GPIF manages pension reserve fund with a long-term perspective. While short-term portfolio returns are influenced by the current market trends,
investment results should be monitored with a long-term horizon.
Regarding investment of pension reserves, while market fluctuations may cause capital losses (realized and unrealized losses due to pricefluctuations) in the short term, investment income (interest and dividend income) is relatively immune to such volatility and has been generated
steadily since fiscal 2001.

Cumulative returns since fiscal 2001(¥billion)

120,000

108,382.4
105,428.8
95,336.3

100,000

63,441.3

60,00050,733.8

20,00019

53,360.3
45,423.9

57,537.7

13,425.8
537.8 1,189.6 2,021.1-587.4-3,040.5

4,463.8

1,851.1 3,127.0

4,474.9

17,370.3
11,852.5
6,115.5

10,315.7 12,509.4

14,602.6

11,689.3 11,389.4

8,116.4

20,751.8

16,636.7
13,998.6

18,610.7

23,005.0

25,547.4

28,080.8 30,859.7

33,900.6

37,141.2

40,154.0

43,352.3

47,052.7

Investment income (cumulative)

2,504.3

FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

Investment income

25,220.9－20,000

65,820.8

35,441.5

40,0000Capital gains

Cumulative returns

80,000▲Contribution to
Public Pension FinanceFor details, refer to pages 25.

(cumulative)

3.59%

Real return on
investment for the whole
pension reserves[annual rate]

Under the Medium-term Objectives established by the Minister of Health, Labour and Welfare (MHLW), the investment target for the whole pension
reserves(Note1) is to secure a long-term real return (net investment yield on the pension reserve fund less the nominal wage growth rate) of 1.7% withminimal risks. (Please note that this investment target is on a long-term basis, so not required to be achieved each year in the period.)(Note 1) The whole pension reserves include pension reserve fund managed by GPIF and fund managed by the Pension Special Account.
(Note 2) The amount of public pension benefits is designed to increase roughly in tandem with the nominal wage growth rate in the long run. Therefore, investment returnfor the whole pension reserves that exceeds the contribution from the nominal wage growth rate is the real investment return in the sense that it contributes
positively to pension finance. Accordingly, an evaluation of the impact of investment results on pension finance shall be carried out on the basis of “the actual rate ofinvestment return,” which is the rate of investment return (nominal investment return) for the whole pension reserves minus the nominal wage growth rate.
▲

For the roles of pension reserve fund in pension finance, refer to pages 79∙80.

Real return for the whole pension reserves on investment (cumulative) since fiscal 2001
（％）

5.0
4.5
4.0

Investment results for the whole reserve funds(cumulative yield from fiscal 2001 to the end of each fiscal year (annual rate))

3.59%（FY2022）

3.5
3.0
2.5
2.0
1.5
1.0

Long-term investment targets

0.5
0.0
FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY FY2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
(Note 1) Real investment return is calculated as {(1 + nominal investment return / 100) / (1 + nominal wage growth rate / 100)} × 100 - 100.
(Note 2) Nominal investment return, as stated in (Note 1), is the rate of return after deducting investment management fees, etc. (the figures include interest expenses onborrowings in the succeeded fund investment account up to fiscal 2010), calculated by the following formula: the amount of return for the whole pension reserves
divided by the average balance of investment principals for the whole pension reserves “{Assets at the end of the previous fiscal year + (Assets minus return at theend of the current fiscal year)}/2.”(Note 3) Long-term investment targets are +1.1% from fiscal 2006 to fiscal 2009, +1.6% from fiscal 2010 to fiscal 2014, and +1.7% after fiscal 2015, above the nominal
wage growth rate, respectively.
(Note 4) Figures represent the geometric mean of cumulative yield from fiscal 2001 to the end of each fiscal year (annualized).

20

Review of Fiscal 2022 Investment Activities

In fiscal 2022, unlike fiscal 2020 and 2021, market volatility
remained high throughout the year, making it difficult todetermine the direction of the market. In this sense, it was ayear of challenges that the robustness of the management
system for the public pension reserves of Japan based on thepolicy asset mix, and the risk management capabilities of GPIF
were both tested. In such a market environment, we were able
to secure a return of +1.5% (approximately ¥3 trillion) thisfiscal year, equivalent to the policy asset mix return (Composite
Benchmark Return). We regard this as a significant milestone.
Amid acceleration of market volatility, our rate of investment
return remained negative for three consecutive quarters,
at -3.71% over the first to third quarters of fiscal 2022.
Including the fourth quarter of fiscal 2021, we recorded anegative rate of investment return for four consecutive quarters(-4.78%) in 2022 calendar year, for the first time since theestablishment of the GPIF.
These negative numbers may be concerning. However,looking back investment management throughout fiscal 2022,
we believe that the diversification effect of the GPIF policy
asset mix worked well, and the robustness of the policy asset

Table 1

Rates of investment return of the world’s leading
public asset owners(2022 calendar year, in local currency denominated)

GPIF-4.78%GPFG, the Kingdom of Norway-7.93%* Based on ”Annual report 2022”

CalPERS, the United States of America-11.2%* Based on CalPERS Investment Committee(March 13, 2023) Materials

NPS, the Republic of Korea-8.28%* Based on NPS Press Release (March 2, 2023)

Table 2

mix was proven both in a short and long-term perspective.
In a short-term perspective, leading public asset owners
around the world also show negative returns this 2022
calendar year. Although a direct comparison is quite difficult
because the target rates of investment return and portfolios ofeach asset owner are different, and there are differences ininterest rates, foreign exchange rates, and stock market
conditions in each country, it can be inferred that the overall
negative impact was mitigated, partly because the performanceof Japanese equities, which comprise a large proportion of thepolicy asset mix of GPIF, was relatively good, and the impact of
declines in overseas assets was softened by the depreciationof the yen. [Table 1]
In a long-term perspective, looking at the rate of investment
return since October 2014, when the portfolio allocation of
the GPIF policy asset mix was changed to 50% for equities,
our excess return over the 10 year Japanese government
bonds (as of October 2014) is approximately 4%. This excess
return is comparable to CalPERS in the U.S., whose asset
allocation ratio toward stocks and real assets exceeds 70%.
This analysis indicates that GPIF's current policy asset mix,
consisting of 50% foreign assets, is well designed as a long-term
diversified investment portfolio, assessing the return/risk
profile of each asset, including foreign exchange risk. [Table 2]
GPIF has been conducting long-term diversified investment
based on the policy asset mix, in order to secure levels of yieldrequired for pension finance with minimal risk. Over the past
22 years, GPIF has generated more than 100 trillion yen in
cumulative returns, and it is a stable portfolio that has neverexperienced negative cumulative returns over any consecutive
7-year period, and our portfolio achieved a positive return(+1.5%) fiscal 2022.
However, there is a risk that returns turn negative
approximately once every three years, as in the case of 2022

Rate of investment return since October 2014, when the policy asset mix of GPIF was changed
Policy asset mix as of October 2014

A.Return

Real assets(From October 1,
2014 toDecember 31,
2022)

B. Long-term risk-freerate as of October 1, 2014(10-year government bondyield as of October 1, 2014)

Excess returnfrom risk-freerate (A-B)

Equities

Bonds

GPIF

50.0%

50.0%

0.0%

4.43%

0.53%

3.90%

CalPERS

64.0%

25.0%

11.0%

5.91%

2.42%

3.49%

(Alternative assets)(Note 1) All returns are annualized. (Note 2) For CalPERS, the current year target as of June 2014 is shown.
(Note 3) CalPERS returns from October 1, 2014, to December 31, 2022, are calculated by GPIF based on materials from CalPERS Investment Committee, etc.

21Returns during the 4th Medium-term Objectives period (from FY2020)

Table 3Medium-term
Objectives periods

4th(Reference) 3rd

Fiscal year

Returns (billion)<annual>FY202037,798.6

FY2021

10,092.5

FY2022

2,953.6

FY2015-2019-

Returns (billion)<cumulative for the
Medium-term
Objectives period>

Excess rates of return overthe compound benchmark<annual>Excess rates of return overthe compound benchmark<cumulative for
the Medium-term Objectives
period>0.32%
50,844.7-0.06%

0.18%-0.06%
6,803.9

calendar year. In other words, while long-term diversified
investment can stabilize returns, there is a possibility of negative
returns in the short term, and we would highly appreciate if thischaracteristic is fully understood.
Regarding initiatives for sophisticating investment
management, I introduced several risk reduction measures forthe policy asset mix (detail is described in the fiscal 2021 report).
Considering the market instability in the fourth quarter of fiscal
2022, we believe that these measures were quite appropriate.
There is no other asset owner in the world that manages
assets on the scale of ¥200 trillion. The size of our portfolio
makes it quite challenging to secure the level of the policy
asset mix return (Composite Benchmark Return), our target
return which our 4th Medium-term Objectives newly designates.
Over the past three years, we have strengthened our risk
management system and upgraded our asset management,
and we have established systems to achieve the Composite
Benchmark Return. [Table 3]
We have passed the halfway in our 4th Medium-term
Objectives period, leaving only two more years. As mentioned,
we have established systems that enable us to achieve thelevel of the policy asset mix return. Therefore, we will further
strive to improve the risk-return profile of our portfolio in theremaining two years and will focus on how much we can
improve the rate of investment return without highly increasing
risk which is a deviation from the policy asset mix. It is indeed
impossible to exceed the policy asset mix return by 1% or 2%
without increasing risk, however, even an increase of 0.1%
excess returns would amount to approximately ¥200 billion,
based on the asset size of GPIF. Accordingly, efforts to achieve
excess returns are very important.
While GPIF faces difficulties related to our portfolio
management due to the scale of our assets, we have a
distinctive advantage in terms of our ability to acquire diverse
data that can be utilized in the market. In our previous fiscal
year’s report, we reported that we were going to selectactive funds in the North American stock market. We actually
selected 19 funds out of many candidates and entrusted them-

-1.42%

with the management of approximately ¥2 trillion in total.
At the same time, in order to adjust the style risk of the portfolio
constructed by these selected funds, we adopted several newindexes and invested approximately ¥1 trillion as a passive fund.
In the process of selecting active funds, we obtained data fromeach manager and also used extensive simulations to calculate
the returns of alternate scenarios that these managers did
not choose. Based on this information and analysis,
we performed quantitative assessments of these managers’
investment capabilities. In the future, we will extend the same
approach to active equity funds in other regions andother asset class, and our ability to acquire data andour analytical capabilities will lead to improving the risk-return
profile of our portfolio.
In fiscal 2022, we also developed a platform to generate
returns from the data science mentioned above. We appointed
a senior IT advisor to rebuild our IT systems to be cutting-edgeamong global investment peers, and changed the rules on
remuneration to attract highly skilled talent. We will continue todiversify and sophisticate our asset management,
promote ESG investments, and strengthen our organizational
human resources and system infrastructure, as well as ourportfolio risk management technologies, so that we would
achieve the targets set forth in our Medium-term Objectives,by making long-term diversified investment under a consistentpolicy, and thus secure stable returns over the long term.
We would like to sincerely ask the pension beneficiaries and theJapanese public at large for their understanding and support.

Executive Managing Director(Management andInvestment Operations) / CIO

UEDA Eiji
22

Chapter 1 Investment Results in Fiscal 2022
1

Investment Results[1] Rate of investment return / Amount of investment returns, etc.
Rate of investment return / Amount of investment returns
The rate of investment return for fiscal 2022 is

The amount of investment returns for fiscal 2022 is+1.50%+¥2,953.6 billion

.

1Q
Total

Domestic bonds

Foreign bonds

Domestic equities

Foreign equities

.

2Q

3Q

4Q

Total

-1.91%-0.88%-0.97%

5.41%

1.50%

-¥3,750.1 billion-¥1,722.0 billion-¥1,853.0 billion¥10,278.8 billion¥2,953.6 billion-1.31%-0.79%-1.73%

2.12%-1.74%-¥638.2 billion-¥398.2 billion-¥847.5 billion¥1,032.3 billion-¥851.7 billion

2.71%-1.54%-5.33%

4.33%-0.12%¥1,315.0 billion-¥764.4 billion-¥2,665.1 billion¥2,058.2 billion-¥56.2 billion-3.68%-0.84%

3.24%

7.03%

5.54%

-¥1,812.0 billion-¥367.9 billion¥1,567.0 billion¥3,341.7 billion¥2,728.8 billion-5.36%-0.49%-0.05%

8.19%

1.84%

-¥2,614.9 billion-¥191.6 billion¥92.6 billion¥3,846.6 billion¥1,132.7 billion(Note 1) GPIF manages and invests its assets at the market value. The rate of return within total assets and each asset class is time-weighted, and is gross of fees(the same shall apply hereinafter).
(Note 2) Investment returns are gross of fees (the same shall apply hereinafter).
(Note 3) J PY hedged foreign bonds and yen-denominated short-term assets are classified as Domestic bonds, and foreign currency-denominated short-term
assets are classified as Foreign bonds.
(Note 4) A lternative asset funds contain a mixture of asset classes, and the investment returns of such funds are allocated to each asset on a pro-rata basis
according to the targeted asset composition ratio in the investment plan at the start of investment of such funds (the same shall apply hereinafter).
(Note 5) T he rate of time-weighted investment return on total alternative assets for fiscal 2022 is 9.45% (infrastructure at 8.84%, private equity at 14.13%, and realestate at 8.32%).
(Note 6) Due to rounding off, the sum of each item in individual quarters does not necessarily match the total number for the fiscal year.
(Note 7) Fiscal 2022 runs from April 1, 2022 to March 31, 2023.

23

Cumulative returns and asset size since fiscal 2001
Cumulative returns from fiscal 2001 to fiscal 2022 are
Chapter 1+¥108,382.4 billion
and the value of investment assets at the end of fiscal 2022 is¥200,132.8 billion.

Cumulative return(¥billion)

120,000+108,382.4+105,428.8+95,336.3

100,000
80,000+63,441.3 +65,820.8
60,000+50,733.8 +53,360.3+35,441.5

40,000+57,537.7+45,423.9+25,220.9+17,370.3+13,425.8+11,852.5 +11,689.3 +13,998.6+4,463.8+2,504.3+1,851.1+11,389.4

20,0000-20,000-587.4-3,040.5
FY2001 FY2002 FY2003 FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 FY2013 FY2014 FY2015 FY2016 FY2017 FY2018 FY2019 FY2020 FY2021 FY2022

Asset size(¥billion)

250,000
Market investments
FILP bonds

200,000

186,162.4
156,383.2 159,215.4

150,000

102,871.4

100,000

114,527.8

119,886.8 117,628.6 122,842.5 116,317.0

113,611.2

120,465.3

126,577.1

137,476.9 134,747.5

144,903.4

196,592.6

200,132.8

150,633.2

87,227.8
70,341.1

50,000 38,601.4

050,214.3

FY2001 FY2002 FY2003 FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 FY2013 FY2014 FY2015 FY2016 FY2017 FY2018 FY2019 FY2020 FY2021 FY2022(Note) Investments using FILP bonds were terminated during fiscal 2020.

24

Investment Results in Fiscal 2022

1 Investment Results

Comparison to long-term investment targets“The average real investment return (Note2)” for theLong-term investment target

whole pension reserves

after fiscal 2015 is(Note1)

is

3.59%

+1.7%

for the 22 years since fiscal 2001.

above the nominal wage growth rate.

The average real investment return is higher than the long-term investment targets.
For the roles of pension reserve fund in pension finance, refer to pages 79∙80.
(Note 1) The whole pension reserves include pension reserve fund managed by GPIF and fund managed by the Pension Special Account.
(Note 2) T he amount of public pension benefits is designed to increase roughly in tandem with the nominal wage growth rate in the long run. Therefore, investment
return for the whole pension reserves that exceeds the contribution from the nominal wage growth rate is the real investment return in the sense that it
contributes positively to pension finance. The long-term investment objective is +1.1% from fiscal 2006 to fiscal 2009, +1.6% from fiscal 2010 to fiscal
2014, and +1.7% after fiscal 2015, above the nominal wage growth rate, respectively. Note that these are required as long-term investment targets, andare not necessarily required to be fulfilled on an annual or during a specified time period (such as five years for the Medium-term Plan).

Real return for the whole pension reserves on investment (cumulative) since fiscal 2001
(%)

5.0

Investment results for the whole reserve funds

4.5(cumulative yield from fiscal 2001 to the end of each fiscal year (annual rate))

3.59% (FY2022)

4.0
3.5
3.0
2.5
2.0
1.5
1.0

Long-term investment targets

0.5
0.0

FY2001 FY2002 FY2003 FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 FY2013 FY2014 FY2015 FY2016 FY2017 FY2018 FY2019 FY2020 FY2021 FY2022

Investment performance for the whole pension reserves(Unit:%)

Performance

FY2001 FY2002 FY2003 FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 FY2013 FY2014 FY2015 FY2016 FY2017 FY2018 FY2019 FY2020 FY2021 FY2022

Nominal investment return

1.94

Nominal wage growth rate

–0.27 –1.15 –0.27 –0.20 –0.17

0.17

0.01 –0.07 –0.26 –4.06

Real investment return

2.22

3.09 –3.46 –6.62 12.09 –0.93

1.34

4.90

5.18

2.73

2.94

6.83

7.01

3.10 –3.53 –6.86

7.54 –0.26

Last 22 years(annualized)

2.17

9.56

8.23 11.62 –3.64

5.48

6.52

1.43 –5.00 23.98

5.17

1.42

3.60

0.68 –0.21

0.21

0.13

0.50

0.03

0.41

0.95

1.26

1.67

0.01

9.33

8.09 10.53 –4.12

5.45

6.09

0.48 –5.66 24.62

3.86 –0.25

3.59

2.39

0.99

0.70 –0.51(Note 1) Real investment return is calculated as {(1 + nominal investment return / 100) / (1 + nominal wage growth rate / 100)} × 100 - 100.
(Note 2) Nominal investment return is the rate of return after investment management fees, etc. (the figures include interest expenses on borrowings in the
succeeded fund investment account up to fiscal 2010), calculated by the following formula: the amount of return for the whole pension reserves divided by
the average balance of investment principals for the whole pension reserves “{Assets at the end of the previous fiscal year + (Assets minus return at theend of the current fiscal year)}/2.”(Note 3) Long-term investment targets are +1.1% from fiscal 2006 to fiscal 2009, +1.6% from fiscal 2010 to fiscal 2014, and +1.7% after fiscal 2015, above thenominal wage growth rate, respectively.
(Note 4) Long-term investment targets are the geometric means of cumulative yield from fiscal 2001 to the end of each fiscal year (annualized).

25

Investment Results in Fiscal 2022

1 Investment Results

Investment income

Chapter 1

Returns on investment assets are valued at market prices and can be classified into investment income (interest anddividend income) and capital gains and losses (realized and unrealized gains or losses due to price fluctuations).
The breakdown of investment income shows that investment income from domestic and foreign equities has been
increasing while that from domestic bonds has been decreasing in recent years. This is due to the fact in recent years
that (i) the bond yields have fallen significantly, well below the equity dividend yields; and (ii) GPIF has lowered theallocation of bonds and raised the allocation of equities in the policy asset mix since fiscal 2014.
Because long-term investors are allowed to enjoy greater compounding effects over time by reinvesting investment
income, GPIF reinvests investment income from the assets held, instead of holding them in cash.
In fiscal 2022, the total amount of investment income is¥3,700.3 billion (rate of return: +1.85%),and the cumulative amount of investment income for the 22 years since fiscal 2001, when GPIF started managing
pension reserves, is¥47,052.7 billion (rate of return: +1.65% [annual rate])accounting more than 40% of the cumulative returns.

Cumulative returns and investment income since fiscal 2001(¥billion)

120,000

108,382.4
105,428.8
100,000

95,336.3

Cumulative returns
80,00063,441.3
60,00050,733.8

40,00035,441.5

53,360.3

45,423.9

65,820.8

57,537.7

47,052.7
43,352.3
40,154.0

33,900.6
30,859.7
37,141.2

25,547.4
25,220.9
28,080.8
20,751.8
16,636.7
17,370.3
20,00014,602.6
23,005.0
11,852.5
12,509.4
13,425.8
18,610.7
10,315.7
13,998.6
6,115.5
4,463.8
11,389.4
Investment income (cumulative)
4,474.9
2,021.1
11,689.3
8,116.4
537.8 1,189.6
0-20,000

1,851.1 3,127.0-587.4-3,040.5

2,504.3

FY2001 FY2002 FY2003 FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 FY2013 FY2014 FY2015 FY2016 FY2017 FY2018 FY2019 FY2020 FY2021 FY2022

26

Investment Results in Fiscal 2022

1 Investment Results

Investment income(¥billion)

(%)

3.20

4,000
Foreign equities

3,750

1.85%

Domestic equities

3.00

Foreign bonds

3,500

2.80

Domestic bonds
Investment income

2.15%

3,250
1.91%

3,000
1.78%

2,750
1.89%

2,500

1.87%

2,250

308.8
1.39%

1.43%
1.30%
1.18%

1,500

1.27%

210.6

1,000
107.2

750

69.6 99.2
64.4 135.7
77.8

45.4
44.7
54.4

500

0

1.31%
263.7

1,250

250

1.80%

1.79%

1.67%

2,000
1,750

1.79%

390.5

439.0

488.5

162.2
123.9

165.3

210.2

318.3

1.64%

301.1
292.4
234.3

266.3

323.5

438.1

303.2
401.4

353.1

399.5

324.8

331.1
320.0

366.6

771.4

383.8

1.80
753.4

607.5

684.3

626.3

720.8

1.60

827.5

1,076.1

968.3

952.4

782.4

907.0

982.0

1,289.9

1.40

946.8

1.20
1.00
0.80

517.8

192.8
1,180.9

2.00

1,017.9490.4
1,255.9

2.20

846.2

420.4

247.7
1,225.7

2.60
2.40

839.3

530.0

445.7

1,039.9

869.9

1.64%

360.4

338.5

1,038.4

1,038.2
976.1

266.0

244.1
398.3

1.69%

1.75%

1.63%
1.62%

855.1

628.2

719.8

818.9

892.3

1,012.6

1,051.0

0.60
0.40

672.3

577.9

498.4

438.9

402.0

327.5

328.5

0.20

319.6

FY2001 FY2002 FY2003 FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 FY2013 FY2014 FY2015 FY2016 FY2017 FY2018 FY2019 FY2020 FY2021 FY2022

0.00(Unit: ¥billion)

Cumulative

Domesticbonds
Foreignbonds
Domestic
equities
Foreignequities

15,610.5

Total

47,052.7

Domesticbonds
Foreignbonds
Domestic
equities
Foreignequities
Total

FY2001

FY2007

FY2008FY2009FY2010FY2011
1,076.1(1.03%)(1.10%)(1.12%)

827.5

1,038.4

1,225.7

1,255.9

1,180.9

10,185.5

54.4

77.8

135.7

192.8

247.7

338.5

399.5

398.3

401.4

353.1

10,376.6(1.72%)

10,865.5(2.17%)

44.7(0.65%)

45.4(1.19%)

69.6(1.56%)

107.2

123.9

(1.00%)

162.2

165.3

(0.87%)

210.6(3.73%)

210.2(1.10%)

263.7(4.13%)

244.1(1.77%)

318.3(1.41%)(3.98%)

266.3(2.34%)

308.8(1.51%)(3.96%)

234.3(1.59%)

301.1(1.52%)(3.75%)

266.0(1.98%)

292.4(2.92%)(3.40%)(2.27%)(2.23%)(2.48%)

2,034.1

1,106.0

1,347.9

1,640.7

2,000.8

2,199.4

2,193.7

2,093.2

FY2012FY2013

FY2014FY2015FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

320.0

383.8

855.1
420.4

672.3

(1.27%)

490.4(1.27%)

577.9(1.21%)

517.8(1.31%)

498.4(1.12%)

628.2(1.43%)

438.9(1.02%)

719.8(1.67%)

402.0(1.08%)

818.9(1.87%)

327.5(1.79%)

328.5(1.80%)(0.69%)(0.64%)(2.74%)(2.31%)(2.59%)(2.63%)(2.63%)(2.59%)(2.25%)(1.89%)

892.3

1,012.6

1,051.0

324.8

366.6

445.7

607.5

684.3

782.4

907.0

982.0

946.8

1,017.9

1,289.9

839.3

1,039.9
3,700.3(2.08%)(1.85%)(1.76%)(1.41%)(1.99%)(1.95%)(1.92%)(2.35%)(2.76%)(2.00%)

360.4

438.1

530.0

771.4

753.4

869.9

976.1

1,038.2(2.79%)

846.2(1.77%)(1.65%)

3,240.6

3,012.8

3,198.3(2.42%)(2.22%)(1.76%)(2.48%)(2.16%)(2.25%)(2.33%)

1,973.9

2,141.1

2,253.2

2,542.4

2,533.4

2,778.9

3,040.9(1.69%)(1.64%)(1.89%)(1.75%)(1.78%)(1.91%)(2.15%)(1.62%)(2.06%)(1.63%)(1.79%)

319.6(0.75%)(2.71%)(1.64%)

323.5(2.09%)

831.4(1.51%)

303.2(2.14%)(1.96%)(1.18%)

952.4

331.1

(3.33%)(1.99%)(1.30%)(1.36%)(1.50%)(1.81%)(1.39%)

968.3

651.8

99.2

(0.83%)(3.28%)(1.21%)(1.65%)(1.30%)

537.8

64.4

(0.87%)(3.33%)

720.8

FY2006(1.03%)(3.43%)

626.3

FY2005(1.26%)(3.06%)

488.5

FY2004(1.49%)(4.04%)

439.0

FY2003(1.19%)(3.02%)

390.5

FY2002(2.10%)(2.56%)(2.08%)(1.85%)(Note 1) Due to rounding off, the sum of the figures for each individual fiscal year does not necessarily match the cumulative amount of investment income.
(Note 2) T he amount of income earned on short-term assets (income gain) is included in the total by fiscal 2019; from fiscal 2020 onward, the yen-denominatedportion is included in domestic bonds and the foreign currency-denominated portion in foreign bonds.
(Note 3) The amount of income earned on currency-hedged foreign bonds (income gain) is included in domestic bonds from fiscal 2020 onward.
(Note 4) The amount of income earned on FILP bonds (income gain) is included in domestic bonds by fiscal 2020, the year to which FILP bonds were held.
(Note 5) The amount of income earned on convertible bonds (income gain) is included in domestic bonds for fiscal 2001.
(Note 6) T he rate of return for each fiscal year is calculated by dividing the amount of return (income gain) for each asset by the amount of that asset
under management.
(Note 7) The annual rate of return (cumulative) represents the geometric mean of the rates of return for individual fiscal years (annualized).

27

Investment Results in Fiscal 2022

1 Investment Results

Factor analysis of difference from compound benchmark return
while the compoundbenchmark return was

The excess rate of return was

1.50%

1.57%

–0.06%

The average of the annual rate of
return for the 17 years since the
GPIF’s establishment in fiscal 2006 on
all investment assets waswhile the compoundbenchmark return was

The excess rate of return was

3.81%

The cumulative rate of return for the
3 years since the beginning of the
4th Medium-term Plan in fiscal 2020
on all investment assets was

33.91%,



Chapter 1

In fiscal 2022, the total rate of returnon all investment assets was

.

3.84%

–0.03%

while the compoundbenchmark return was

The excess rate of return was.

33.73% +0.18%.

.

The “compound benchmark return,” representing the benchmark return rate for the overall assets (including domestic bonds,
foreign bonds, domestic equities, and foreign equities), is used as a standard to evaluate the investment performance of theoverall assets managed by GPIF. The “compound benchmark return” is expressed in terms of an annualized rate calculatedon the basis of the “compound benchmark return (monthly basis),” which was obtained by weight-averaging the benchmark
rates of return on individual assets according to the shares in the policy asset mix (domestic bonds: 25%; foreign bonds:
25%; domestic equities: 25%; foreign equities: 25%).
The 4th Medium-term Plan covering a five-year target period from fiscal 2020 to fiscal 2024 calls for securing therespective benchmark rates of return (average market rates of return) for all assets as well as for each asset.
Factor analysis of the difference from the compound benchmark return in fiscal 2022
Rate of return(Unit: %)Factor analysis of excess rate of returnAsset
allocation
factorBenchmarkfactorFund factor

Other factors(including
error)

Return of
GPIF

Benchmarkreturn

Excess rate of
return
—

Total

+1.50

+1.57

-0.06

-0.06

-0.11

+0.11

-0.00

-0.06

Domesticbonds
Foreignbonds
Domestic
equities
Foreignequities

-1.74

-1.65

-0.09

-0.02

-0.05

+0.02

+0.00

-0.04

-0.12

-0.56

+0.44

-0.02

+0.03

+0.07

-0.00

+0.09

+5.54

+5.81

-0.27

-0.01

-0.07

+0.01

-0.00

-0.08

+1.84

+1.88

-0.05

-0.01

-0.02

+0.00

-0.00

-0.03

+ + +

(Note 1) JPY hedged foreign bonds and yen-denominated short-term assets are classified as Domestic bonds, and foreign currency-denominated short-term
assets are classified as Foreign bonds.
(Note 2) “ Asset allocation factor” refers to a factor resulting from differences between the actual asset mix and the policy asset mix. “Benchmark factor” refers to afactor resulting from differences in rates of return between the policy benchmark and the manager benchmarks for each asset class. “Fund factor” refers
to a factor resulting from differences in rates of return between individual funds and manager benchmarks. For the policy benchmark on each asset class,refer to page 36.
(Note 3) T he contribution to the excess rate of return by the overall alternative investments is +0.07%. For details of investment in alternative assets, refer to pages
49-59.
(Note 4) W hile the rate of investment return of GPIF is after taxes on both interest payments on foreign bonds and dividends on foreign equities, the benchmark
return is before taxes. Therefore, the excess rates of return are negatively affected by differences in taxes treatments in these two calculations.

28

Investment Results in Fiscal 2022

1 Investment Results

Factor analysis of the difference from the compound benchmark return FY2006-FY2022
Rate of return
Return of
GPIF(Unit: %)Factor analysis of excess rate of return

Benchmark Excess rate
returnof return—Asset
allocation
factorBenchmarkfactorFund factor

Other factors(including
error)

+ + +

3.81

3.84

-0.03

-0.03

+0.01

-0.01

-0.03

FY2006

4.56

4.64

-0.08

-0.06

-0.00

-0.02

-0.08

FY2007

-6.10

-6.23

+0.13

+0.17

-0.02

-0.02

+0.13

FY2008

-7.57

-8.45

+0.88

+0.90

-0.12

+0.11

+0.88

FY2009

7.91

8.54

-0.63

-0.70

+0.08

-0.01

-0.63

FY2010

-0.25

-0.02

-0.23

-0.26

+0.12

-0.09

-0.23

FY2011

2.32

2.59

-0.27

-0.19

-0.01

-0.07

-0.27

FY2012

10.23

9.00

+1.24

+1.40

+0.03

-0.19

+1.24

FY2013

8.64

7.74

+0.90

+0.92

-0.06

+0.04

+0.90

FY2014from Apr.1 to Oct.30

3.97

3.50

+0.46

+0.47

-0.03

+0.02

+0.46

FY2014from Oct.31 to Mar.31,
2015

8.19

9.98

-1.78

-1.99

+0.01

+0.19

-1.78

FY2015

-3.81

-3.81

+0.00

+0.21

-0.15

-0.06

+0.00

FY2016

5.86

6.22

-0.37

-0.66

+0.33

-0.04

-0.37

FY2017

6.90

7.26

-0.37

-0.36

+0.00

-0.01

-0.37

FY2018

1.52

1.92

-0.40

-0.38

+0.02

-0.04

-0.40

FY2019

-5.20

-4.94

-0.25

-0.20

-0.05

-0.00

-0.25

FY2020

25.15

24.83

+0.32

+0.15

-0.17

+0.37

-0.03

+0.32

FY2021

5.42

5.47

-0.06

-0.05

+0.06

-0.07

-0.00

-0.06

FY2022

1.50

1.57

-0.06

-0.06

-0.11

+0.11

-0.00

-0.06

FY2006~FY2022(Note 1) The annual rate of return of GPIF’s investment and benchmark rate of return represent the geometric mean of the rates of return in individual fiscal years(an annualize rate).
(Note 2) From fiscal 2006 to fiscal 2007, an analysis was conducted on the difference between the rate of return (time-weighted rate of return) on the funds
invested in the markets (hereinafter “market investment”) and the compound benchmark return rate. From fiscal 2008 to fiscal 2019, an analysis has been
conducted on the difference between the rate of return on overall invested assets (market investment and investments in Fiscal Investment and Loan
Program (FILP) Bonds) (modified total return rate) and the compound benchmark return rate. Since fiscal 2020, an analysis has been conducted on the
difference between the rate of return on overall invested assets (market investment and investments in FILP bonds) (time-weighted rate of return) and thecompound benchmark return rate. Investments in FILP bonds were terminated during fiscal 2020.

29

Investment Results in Fiscal 2022

1 Investment Results(Column) Investment environment in fiscal 2022
Since fiscal 2020, when the 4th Medium-term Plan period began, there has been a series of major events for the global
hikes by the U.S. Federal Reserve Board (FRB) in fiscal 2022.
As a result of the outbreak of the global pandemic, production activities stagnated for a long time, resulting in supply

Chapter 1

economy, such as the COVID-19 pandemic in fiscal 2020, the Russian invasion of Ukraine in fiscal 2021, and rapid rate

shortages of various goods and other items. This, combined with higher energy prices caused by elevated geopoliticalrisks, led to global price increases in fiscal 2022. For example, the increase in the consumer price index (CPI) in the U.S.
exceeded 9% at its peak in June, and 10% in Europe in October and November. In Japan, CPI also reached 4.3% inJanuary 2023.
In order to address the inflation which was the highest within forty or fifty years, the FRB started to raise rates by
0.25% in March 2022, then by 0.5% in May, followed by four consecutive hikes of 0.75% in June, July, September, andNovember, until the upper limit of the policy target rate reached 5% in March 2023. The European Central Bank (ECB) has
also raised interest rates six times in a row since July 2022.
Reflecting these hikes in policy interest rates, the yields on the 2-year Treasury notes briefly exceeded 5% in early
March 2023. On the other hand, the yields on 10-year Treasury notes, which are reflecting the nominal potential growthrate, remained at around 4% during the same period. As the inverted yield curve took hold, it acted as the headwind forfinancial institutions’ earnings.
Under these stressful circumstances, faced with a rapid outflow of deposits, Silicon Valley Bank filed for the applicationof chapter 11 of the U.S. Bankruptcy Code which is equivalent to the Civil Rehabilitation Act of Japan on March 10th 2022,
which is equivalent to the Civil Rehabilitation Act of Japan. Following this second largest bank’s failure in the U.S. history(approximately ¥28 trillion in total assets), the Federal Deposit Insurance Corporation (FDIC) immediately decided to protect
the full amount of deposits with Silicon Valley Bank. On March 12th, Signature Bank collapsed, and the FDIC similarly
protected the full amount of its deposits. In addition, as attention focused on the financial soundness of banks, concerns
also mounted over the credit of Credit Suisse in Europe, leading to a rescue takeover by UBS through the mediation of the
Swiss government on March 19th. In both cases, swift responses by policymakers prevented the development of major
instability in financial systems, but these events once again highlighted the importance of risk management.
In Japan, policy interest rates remained unchanged, but volatility temporarily increased in December 2022 whenthe Bank of Japan expanded the range of long-term interest rate fluctuations from around ±0.25% to ±0.50% in orderto improve market functioning. In addition, volatility in the foreign exchange markets also increased as a result of large
fluctuations in interest rates spreads between Japan and overseas. The range of fluctuations in the yen’s value against the
dollar during fiscal 2022 was nearly 30 yen.
As described above, the investment environment in fiscal 2022 was extremely difficult for investors. Severe market
fluctuations continued throughout the fiscal year, and the simultaneous fall of prices of fixed income and equities occurred
several times.
For a review of investment in fiscal 2022, see pages 21∙22.

(%)
10
9
8

Benchmark Indexes ( from 31st March 2020 to 31st March 2023 )U.S. inflation rate and policy interest rate
Federal Funds Target Range - Upper Limit
U.S.CPI

220

9.1

200

Foreign equities+94.86%

180

7
6

160

5

5.0

4
3

Domestic equities+53.38%

140
120

2

Foreign bonds+6.81%
Domestic bonds-3.53%

100

1
0

80

2021/32021/62021/9 2021/12 2022/3

2022/6 2022/9 2022/12 2023/3

2020/32021/32022/32023/330

Investment Results in Fiscal 2022

1 Investment Results

Investment assets and portfolio allocation(Pension reserves managed by GPIF and the Pension Special Account)
Inside: policy asset mix (figures in parentheses indicate deviation limits)
Outside: at the end of March 2023

Domestic bonds

Foreign equities

24.32%¥49,986.5 billion

25%

26.79%¥55,062.2 billion

25%

(±7%)

(±7%)

50% 50%(±11%)(±11%)

25%

25%

(±8%)

Domestic equities(±6%)

Foreign bonds

24.39%¥50,122.5 billion

24.49%¥50,333.7 billion

Market value(¥billion)

Allocation of
Pension Reserve (1)Domestic bonds

55,062.2

26.79%

Foreign bonds

50,122.5

24.39%

Domestic equities

50,333.7

24.49%

Foreign equities

49,986.5

24.32%

Total

205,504.8

100.00%

Allocation of
Pension Reserve (2)51.18%
48.82%
100.00%(Note 1) The figures above are rounded off, so the sum of each item does not necessarily match the total number.
(Note 2) The amounts in the Market value column include accrued income and accrued expenses.
(Note 3) While the pension reserve as a whole includes reserves managed under the pension special account as of the end of fiscal 2022 (about ¥5.4 trillion), thisamount is prior to the adjustment for revenues and expenditures and differs from the amount in the final settlement of accounts.
(Note 4) JPY hedged foreign bonds and yen-denominated short-term assets are classified as Domestic bonds, and foreign currency-denominated short-term
assets are classified as Foreign bonds.
(Note 5) The percentage of the alternative investments: 1.38% (within maximum 5% of total portfolio)

Allocation changes for each asset class due to rebalancing(Unit: ¥billion)

Allocated/withdrawn

Domestic bonds

Foreign bonds

Domestic equities

Foreign equities+3,022.4+1,502.1-2,002.9-1,914.5(Note) Each figure shows the net rebalancing amount.

31

Investment Results in Fiscal 2022

1 Investment Results

Management and custodian fees

Chapter 1¥30.2 billion
0.02%

In fiscal 2022, total fees were.

The average fee rate on the total
investment assets for fiscal 2022 was.

Management and custodian fees decreased by ¥5 billion from the previous fiscal year as a result of a fall in the averagebalance for active management during the investment period, which has a higher fee rate than passive management, despite
an increase in the balance of assets under management.

(%)

70.0

0.10

Management and custodian fees

61.1

Management and custodian fees

60.0

0.08

48.7

50.0

38.3

40.0
30.0
20.0

0.09

Average fee rate against investment assets

25.3
0.02

40.0

0.06

29.5

29.1
0.02

0.07

0.03

0.03

31.9

0.03
0.02

35.2
30.2

0.04

0.02

0.04
0.03

0.02

0.02

10.0
0.0

0.05

0.02
0.01

FY2013

FY2014FY2015FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022平均残高
123.9
131.9 fees by
139.0
137.3
Management
and custodian
asset class

155.7

158.9

161.4

170.2

193.1

196.3

（兆円）

Total
Domestic bonds
Foreign bonds
Domestic equities
Foreign equities
Alternative assets

Average fee rate against investment assets

Management and custodian fees(¥billion)

0.00(Unit: ¥billion)

FY2013

FY2014FY2015FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

25.3
3.6
6.8
7.8
7.2
—

29.1
3.8
8.5
5.7
11.2
—

38.3
3.8
9.1
8.3
17.0
—

40.0
3.9
12.5
8.8
14.9
0.0

48.7
4.0
17.2
10.6
16.9
0.0

29.5
1.6
9.2
7.5
10.7
0.3

31.9
2.0
7.1
6.5
15.5
0.7

61.1
3.0
25.4
12.7
18.8
1.0

35.2
3.4
18.6
6.0
5.3
1.4

30.2

2.9

13.8
5.2
5.7
1.8

(Note 1) Management and custodian fees are rounded off to the nearest ¥100 million.
(Note 2) The total includes fees related to short-term assets and index licensing fees.
(Note 3) Fees paid to custodians exclude certain fees that are deducted from the entrusted assets, such as custody fees and attorney fees.
(Note 4) Foreign bonds include JPY hedged foreign bonds.

Average fee rate against externally managed assets

Total
Domestic bonds
Foreign bonds
Domestic equities
Foreign equities
Alternative assets
Average balance(¥trillion)(Unit: %)FY2013

FY2014FY2015FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

0.02
0.01
0.05
0.04
0.04
—

0.02
0.01
0.05
0.02
0.05
—

0.03
0.02
0.05
0.03
0.05
—

0.03
0.03
0.07
0.03
0.05
—

0.03
0.03
0.08
0.03
0.04
0.14

0.02
0.01
0.04
0.02
0.03
0.23

0.02
0.01
0.02
0.02
0.04
0.14

0.04
0.02
0.06
0.03
0.04
0.11

0.02
0.01
0.04
0.01
0.01
0.09

0.02
0.01
0.03
0.01
0.01
0.07

123.9

131.9

139.0

137.3

155.7

158.9

161.4

170.2

193.1

196.3

(Note 1) Total includes in-house investment assets and index licensing fees.
(Note 2) The average balance includes in-house investment assets. For investments in FILP funds held until fiscal 2020 and managed in-house, average monthly
book values calculated by the amortized cost method are used.
(Note 3) Foreign bonds include JPY hedged foreign bonds.

32

Investment Results in Fiscal 2022

2

2 Overview of the Policy Asset Mix

Overview of the Policy Asset Mix[1] What is the policy asset mix?
In a long-term investment, it has been found thatmaintaining portfolio (a policy asset mix) over the long termyields a better result effectively, rather than changing theportfolio in response to short-term market fluctuations. In
this regard, most of the long-term investment results are
determined by the policy asset mix.
GPIF manages assets based on a predetermined policy
asset mix, with the aim of securing levels of yield requiredfor pension finance with minimal risks over the long term.
Since the market is constantly fluctuating, however, wehave established a permissible range of deviation from thepolicy asset mix, as a mechanism to enable flexible
investment within a reasonable range while still following thepolicy asset mix.
When establishing the policy asset mix, first, it isnecessary to determine the asset classes that will meet ourinvestment objectives. It is common to categorize assets
from perspectives such as different sources of returns,
different risk characteristics, and low correlation between
assets. The current GPIF policy asset mix consists of four
asset classes: domestic bonds, foreign bonds, domestic
equities, and foreign equities. After determining asset
classes, it is common to use the expected returns and risksof each asset to define a policy asset mix that meets theinvestment objectives and risk constraints. After
determining asset classes, GPIF estimates the expected
return and risk of each asset based on generally accepted
expertise related to asset management and investment,
then sets investment objectives and risk constraints for apolicy asset mix that “achieves the return on investment
necessary for pension finance with minimal risks over thelong term.”[2] Background of the formulation of the policy asset mix
Japanese public pension scheme (Employees’ Pension
Insurance and National Pension) is a pay-as-you-go system
in which pension premiums collected from working
generations support elderly generations. Given the declining
birthrates and aging populations in Japan, funding pension
benefits solely by contribution from working generations
would place an unduly excessive burden on this group. The
pension reserve fund managed by GPIF will therefore beused to supplement payouts to future generations.
Under this framework, the Ministry of Health, Labour andWelfare (MHLW) carries out a financial verification at least
every five years based on the outlook for population andeconomic trends. The most recent verification conducted in2019 included an analysis of six broad scenarios. The
verification focused particularly on Total Factor Productivity(e.g. technological advances or productivity improvements),
which is a critical factor in making long-term economic
assumptions. Target return on investments of the reserve
fund was built upon this result.

Economic assumptions in the financial verification
Total factor
productivity(TFP)
growth rate

1.2%
Growth scenario(Cabinet Office estimate)

1.3%

Scenario II

1.1%

Scenario IV 0.8%

Base scenario(Cabinet Office estimate)

Scenario V

0.3%

0.6%

Scenario VI 0.3%

2028
Current period(in accordance with Cabinet Office estimates)

Assumes economic
growth and increasing
labor force participation

Scenario III 0.9%

0.8%

33

Scenario I

2029
Long-term average

Assumes partial
economic growth andincreasing labor force
participation
Assumes neither
economic growth nor
increasing labor force
participation

Investment Results in Fiscal 2022

Assumed future state of theeconomy2 Overview of the Policy Asset Mix

Economic assumptions(Reference)
Real economic
growth ratefrom FY2029
20–30 years

Real wage growthrate(adjusted for CPI)

1.3%

2.0%

1.6%

3.0%

1.4%

0.9%

1.1%

1.6%

1.4%

2.9%

1.5%

0.6%

0.9%

1.2%

1.1%

2.8%

1.7%

0.4%

0.8%

1.1%

1.0%

2.1%

1.1%

0.2%

0.6%

0.8%

0.8%

2.0%

1.2%

0.0%

0.3%

0.5%

0.4%

0.8%

0.4%

–0.5%

ScenarioI

Economic growth
Cabinet Office
and increasing
Scenario estimate for thelabor forceII
growthparticipation
scenario
scenario
Scenario
III
Partial economic
growth andincreasing labor
force
Scenario Cabinet Office participationV
scenario
estimate for thebase scenario
Neither
economic growth
Scenario
nor increasingVIlabor force
participation
ScenarioIV

Chapter 1

Rate of return on investment
SpreadReal(adjusted for (adjusted forwages)
CPI)

Total factor
Labor force
productivity (TFP) CPI increase rateparticipation rate
growth rate

(Note) Details of 2019 financial verification are posted on the MHLW website:
https://www.mhlw.go.jp/stf/seisakunitsuite/bunya/nenkin/nenkin/zaisei-kensyo/index.html.

[3] Current policy asset mix (From April 2020)
GPIF establishes the policy asset mix formed by the target
allocation to each asset class, and manages portfolio within
deviation limits.
The current policy asset mix, which started in April 2020,
shall meet the investment objective, a real investment return(net investment yields on the pension reserve fund less thenominal wage growth rate) of 1.7% with minimal risks. In
addition to the four deviation limits set for each asset class,

new deviation limits for total bonds and total equities havebeen established in order to strengthen risk managementon the equities.

(Note) For details of the current policy asset mix and previous policy asset
mix, refer to the website: https://www.gpif.go.jp/gpif/portfolio.html.
(Japanese only)

Current policy asset mix(From April 2020)(Unit: %)Target allocation
Deviation
limitsAsset class
Bonds/Equities

Domestic bonds

Foreign bonds

Domestic equities

Foreign equities

25

25

25

25

±7

±6

±8

±7

±11

±11

(Note 1)	Alternative assets (infrastructures, private equities, real estates, and other assets determined through resolutions at the Board of Governors) are classified
into domestic bonds, domestic equities, foreign bonds, and foreign equities based on their risk and return profiles, and are capped to 5% of total assets.
However, if economic and market conditions prevent compliance with the 5% ceiling rule, this limit may be raised after deliberation and resolution by the
Board of Governors.
(Note 2) JPY hedged foreign bonds and yen-denominated short-term assets are classified as domestic bonds, while foreign currency-denominated short-term
assets are classified as foreign bonds.
(Note 3) In light of recent extreme economic and market volatility, GPIF may be allowed to flexibly manage investments based on an appropriate, reasonably
grounded outlook for the market environments and within the deviation limits for the policy asset mix.

34

Investment Results in Fiscal 2022

2 Overview of the Policy Asset Mix

Previous policy asset mix(April 2006−June 2013)(Unit: %)Domestic bonds Domestic equities Foreign bonds

Foreign equities Short-term assets

Target allocation

67

11

8

9

5

Deviation limits

±8

±6

±5

±5

—

(June 2013−October 2014)(Unit: %)Domestic bonds Domestic equities Foreign bonds

Foreign equities Short-term assets

Target allocation

60

12

11

12

5

Deviation limits

±8

±6

±5

±5

—

(October 2014−March 2020)(Unit: %)Domestic bonds

Domestic equities

Foreign bonds

Foreign equities

Target allocation

35

25

15

25

Deviation limits

±10

±9

±4

±8

Comparison of cumulative returns (annualized)
(%)

10.0
8.0
6.0

Cumulative return (annualized) from FY2006 to FY2022

4.0
2.0
Cumulative returns (annualized) after the review of policy asset mix (2014/10/31)

0.0
-2.0

Cumulative returns (annualized) from FY2006

-4.0
-6.0

FY2006 FY2007(single year)

FY2008FY2009FY2010FY2011FY2012FY2013

FY2014 FY2014 FY2015
to Oct.30 from Oct.31
to Mar 31, 2015

FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022(Note 1)	In fiscal 2014, the ratio of bonds to equities was revised to 50:50 in a review of the Policy Asset Mix. From the viewpoint of continuity, the average fromfiscal 2006 and the average from October 31, 2014 are presented separately.
20% equities (April 2006 to June 2013);
24% equities (June 2013 to October 2014);(Note 2) The numbers ( to ) correspond to the following periods:
and50% equities (October 2014 onward).
(Note 3) For a review of rates of investment return on a single fiscal year basis, refer to page 29.

35

Investment Results in Fiscal 2022

2 Overview of the Policy Asset Mix[4] Details of policy asset mix formulation
Considerations in the Medium-term Objectives
・Based on the results of the financial verification, GPIF
formulates and manages the policy asset mix with theobjective of achieving a long-term real return of 1.7% (net
investment yield on the pension reserve fund less thenominal wage growth rate) on reserve assets withminimal risks.
・The policy asset mix must be formulated from a longterm perspective and it should incorporate generally
recognized investment expertise as well as domestic andoverseas economic trends, in light of forward-looking
risk analysis.
・The downside risks of underperforming the nominal wage
growth rate cannot exceed that of the portfolio
comprised solely of domestic bonds, and appropriate
consideration should be given to the fact that thedownside risks for equities may be larger than expected.
・The probability that planned reserves may become
smaller than originally anticipated should be properly
accounted for and a thorough analysis of multiple risk
scenarios should be conducted.

Chapter 1

The 4th Medium-term Objectives for the five-year period
from fiscal 2020 to fiscal 2024 established by the MHLW
include the following investment objectives of reserve fund:

Policy asset mix formulation process
Based on the results of the financial verification, the Medium-term Objectives, and recent economic conditions, GPIF decided
on the following policies when formulating the policy asset mix.
A. GPIF used multiple methods to estimate expected returns rather than a single method in order to enhance estimate
precision. In addition to the previous method, GPIF has also taken into account the equilibrium return deemed
intrinsic to market capitalization.
B. C urrent policy benchmarks (Note) were used to estimate expected returns, as well as correlations between risks andreturns. Since GPIF refers to the assumptions made within the financial verification during the portfolio optimization
process, the estimation period for expected returns was set at 25 years, considering the models used within thefinancial verification to formulate long-term economic assumptions generally use a period of 25 years.
C. Given that the return target set within the Medium-term Objectives is a real return of 1.7%, that is, the return target
set under Scenario III, GPIF used Scenario III as the economic scenario for the basis for wage increase assumptions
when setting wage-adjusted expected returns.
D. The improved estimation method for expected returns enhances the accuracy of the optimization and is likely toresult in a better target allocation. Therefore, GPIF decided to eliminate constraints (such as relative asset class size,etc.), except for return requirements.
E. T he risk constraint used in the optimization included the requirement that the risks of the policy asset mix falling
below the nominal wage growth rate (lower partial probability) does not exceed those of a portfolio comprised solelyof domestic bonds, just the same as before. GPIF also used the average short fall rate in case the return is below thenominal wage increase (conditional average shortfall rate) in order to measure the risks when optimizing the portfolio.
F.	Looking at the reserve assets’ nominal accumulation trends within the financial verification, while asset sizes will peakout at different points in different scenarios, GPIF expects that the investment policy can be maintained without
reducing the reserve principals for the next 50 years or so. The peak of the size of nominal reserve assets is a criticalpoint in investment operations, as it means that investment returns alone will not be able to cover cash payouts.
Given that, GPIF analyzed reserve assets trends based on the policy asset mix over the next 50 years, andcompared them with planned reserve assets within the financial verification.
G.	Furthermore, in light of the current low interest rates, yen-denominated short-term assets and JPY hedged foreign
bonds are all classified as domestic bonds throughout the policy asset mix formulation process, as these assets are
considered to have similar risk and return profiles to that of domestic bonds. In addition, foreign currencydenominated short-term assets are counted as foreign bonds.

Asset class

Policy benchmark

Domestic bonds

NOMURA-BPI (excluding ABS)

Foreign bonds

FTSE World Government Bond Index (not incl. JPY, no hedge/JPY basis)

Domestic equities

TOPIX (incl. dividends)

Foreign equities

MSCI ACWI (not incl. JPY, JPY basis, incl. dividends)(Note) GPIF refers to a benchmark used for the policy asset mix formulation as a policy benchmark. The policy benchmarks used for each asset class are asshown. Please note that, however, although the Chinese government bonds have been gradually included in the FTSE World Government Bond Index from
October 2021, GPIF has decided not to invest in Chinese government bonds for the time being, based on reasons such as the fact that settlement withinternational settlement systems is not possible. Accordingly, GPIF currently uses the index that excludes Chinese government bonds as its policy
benchmark for foreign bonds.

36

Investment Results in Fiscal 2022

2 Overview of the Policy Asset Mix

Expected return of each asset class and assumption for the wage growth rate
GPIF projected the expected return of domestic bonds by
the average rate of return calculated from the simulation ofbond investment (which assumes future long-term interest
rates scenarios) combined with the equilibrium rate of
return (Note1) deemed intrinsic to market capitalization. To
estimate expected returns on domestic equities, foreign
bonds, and foreign equities, GPIF used a building block
method (Note2) for each asset that adds a risk premium toshort-term interest rates, and combined this with theequilibrium return rate deemed intrinsic to market
capitalization. The expected return for short-term interest
rates which forms the basis for calculations is estimatedusing the market yield curve.
The nominal wage growth rate used to convert nominal
expected return to wage-adjusted real return was 2.3%,
which is the average future nominal wage increase used in
the economic assumptions within the financial verification(in Scenario III).

(Note 1) The equilibrium return rate is the implied market return derived by observing current indicators such as global market capitalization and risk andcorrelations for each asset class.
(Note 2) T he building block method estimates the expected return for each asset class by adding together estimates for expected short-term interest rates and therisk premium (i.e. compensation for taking risk) for each individual asset class. Historical data for policy benchmarks were used to estimate risk premiums.

Expected return for each asset class and the wage growth rate (Unit: %)Short-term
interest rate

Domestic bonds

Foreign bonds

Domestic equities

Foreign equities

–1.7

–1.6

0.3

3.3

4.9

(0.6)

(0.7)

(2.6)

(5.6)

(7.2)

Wage growth rate
(2.3)

(Note) The numbers on the upper row indicate real returns, those in brackets on the lower row indicate nominal returns with wage growth rate.

Standard deviation and correlation of each asset class
GPIF estimated the risks and correlations of each asset class by using the annual data of the policy benchmarks for the 25
years after the bubble economy collapsed in Japan (i.e. the period from 1994 to 2018).
Risk (Standard deviation) (Unit: %)Standard deviation

Domestic bonds

Foreign bonds

Domestic equities

Foreign equities

Wage growth rate

2.56

11.87

23.14

24.85

1.62

Domestic bonds

Foreign bonds

Domestic equities

Foreign equities

Wage growth rate

Correlation 

Domestic bonds

1.00

Foreign bonds

0.290

1.00

Domestic equities–0.158

0.060

1.00

Foreign equities

0.105

0.585

0.643

1.00

Wage growth rate

0.042

–0.010

0.113

0.099

1.00

(Note) The expected return of a portfolio in combining several different assets with different risk-return profiles is the weighted average of the expected returns ofindividual assets, while the risk (standard deviation) of the portfolio can be lower than the weighted average of those of the individual assets. This is called
the “diversified effect.” GPIF aims to achieve a stable investment result by diversifying the investments into multiple types of assets having different
characteristics and price movements. For details, refer to the website: https://www.gpif.go.jp/gpif/ (Japanese only).

37

Investment Results in Fiscal 2022

2 Overview of the Policy Asset Mix

Selection of policy asset mix
We selected the policy asset mix from the following perspectives.
Chapter 1

A. Based on the returns, risks, and other factors of the four asset classes, GPIF identified a variety of portfolios andestimated its projected returns, risks (standard deviations), probability in which portfolio return will short of nominal
wage growth rate (“lower partial probability”) and the average rate of shortages when return cannot meet the nominal
wage growth rate (“conditional average shortfall rate”).
B. A mong a variety of portfolios simulated, we selected a portfolio that meets the investment objective (nominal wage
growth rate plus 1.7%) with ‘the lower partial probability’ smaller than that of the reference portfolio where all areinvested in domestic bonds, and the smallest “conditional average shortfall rate.”

We continued to apply the currently used 5% interval to compose the policy asset mix. GPIF has also confirmed that thepolicy asset mix should fall within the range of the reference asset mix.
[Current policy asset mix profile]
(Unit: %)Conditional average shortfall rate

Real return

Nominal return

Standard deviation

Lower partial
probability

Normal distribution

Empirical
distribution (Note)

1.7

4.0

12.32

44.4

9.2

10.9

(Reference) Profiles of all-domestic-bond portfolio
−1.6

0.7

(Unit: %)

2.56

70.7

3.0

3.0

(Note) We also conducted a simulation for the conditional average shortfall rate by using the empirical distribution, in addition to the normal distribution, withconsideration that equities may have a larger downside probability (tail risk). The empirical distribution is a projection based on real returns over the 25-year
period from 1994 to 2018.

Risk verification for formulating the current policy asset mix
In order to verify the magnitude of the risk where reserve
assets fall below the size of planned reserves under pension
finance, we conducted a Monte-Carlo simulation over one
million times using the expected returns, standard
deviations, and correlations for each asset to generate a
distribution of such trends, and examined results comparedto planned reserves on the financial verification (Scenario
III), in a bid to test and verify the current policy asset mix.

Results indicate that the probability where fund size falls
below the planned level has declined compared to theformer policy asset mix. Meanwhile, a simulation shows thatthe amount of pension reserves with an all-domestic-bondportfolio resulted in always smaller than the amount of theplanned reserve assets.
From the above-mentioned overall perspectives with the
aspects of lower partial probability and conditional average
shortfall rate, this policy asset mix is the most efficient
portfolio to meet the investment objective while minimizing
downside risk.

Comparison with planned reserve
Pension reserves(¥trillion)

1,500
Current policy asset mix

Probability (risk) of falling
below planned reserves

All-domestic-bond-portfolio

1,200

Reserve asset that the financial
verification assumes
Previous policy asset mix

900(Unit: %)75th percentile

Median600
25th percentile

300
25th percentile (All-domestic-bond-portfolio)

0
2020

2025

2030

2035

2040

2050

2055

2060

In 50 years(As of the end of FY2068)

Current policy
asset mix

38.1

39.8

All-domestic-bondportfolio

100.0

100.0

(Reference)Median 75th percentile (All-domestic-bond-portfolio)

2045

In 25 years(As of the end of FY2043)

Previous policy
asset mix

(Unit: %)

40.0

43.0

2065 (FY End)

38

Investment Results in Fiscal 2022

2 Overview of the Policy Asset Mix

Implementation of stress tests in fiscal 2019 for formulating the current policy asset mix.
GPIF conducted multiple stress tests under the assumptionof the occurrence of a financial crisis. The stress tests wereconducted based on the respective scenarios using actual
market data of the global financial crisis in 2008 and the
dot-com bubble burst in 2000.

Results in both scenarios indicate that the cumulativevalue of real return temporarily falls, but turns upward to thelevel of expected return following a subsequent market
rebound several years later.

[Actual and estimated real return (cumulative)]
(%)

120

80

Actual rate of return
Expected real return under the current policy asset mix
Stress Scenario (the Global financial crisis)
Stress Scenario (the Dot-com bubble burst)

GPIF Investment Results(annualized 2.87%)

40

02001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026
(FY)

• The negative returns with the largest annual loss over the test periods were -19.4% in the scenario of the global
financial crisis and -11.4% in the scenario of the dot-com bubble burst.
• We also observed the probability of the occurrence through the empirical distribution in the stress scenario. We
assessed that a loss equivalent to the global financial crisis would occur once every 70 years, while that similar tothe dot-com bubble burst would be observed once every seven years.
(Note 1) GPIF’s investment results (annualized return of 2.87%) are based on the figures as of the end of fiscal 2018.
(Note 2) The figure for fiscal 2019 represents the result as of December 31, 2019.

(Column) Reference asset mix
Since the integration of the Employee’s Pension Schemes in October 2015, four asset management entities-GPIF, theFederation of National Public Service Personnel Mutual Aid Associations, the Pension Fund Association for Local
Government Officials, and the Promotion and Mutual Aid Corporation for Private Schools of Japan-are assumed tojointly formulate a reference asset mix. When formulating the policy asset mix, each of the four entities shall take into
consideration the reference asset mix.
The reference asset mix shall be reviewed upon a financial verification by the government and revised accordingly.
After the 2019 financial verification, the four entities discussed and formulated a new reference asset mix as follows:(Unit: %)39

Asset class

Domestic bonds

Domestic equities

Foreign bonds

Foreign equities

Reference asset mix

25

25

25

25

The range of median

±4

±4

±4

±4

Investment Results in Fiscal 2022

2 Overview of the Policy Asset Mix[5] Policy asset mix verification
Verification policy stipulated in the Medium-term Plan
possibility of significant changes in the investment
environment ), a review will be considered and revisions will
be promptly implemented as necessary.

Chapter 1

Verification of the policy asset mix at GPIF will be
conducted in a timely and appropriate manner during theperiod of the 4th Medium-Term Plan and, when deemednecessary by the Board of Governors (e.g., if there is

Verification system
To verify the policy asset mix at GPIF in a timely andappropriate manner, a Project Team (PT) for Policy Asset
Mix Verification, etc., has been established under the
Board of Governors to carry out practical tasks

pertaining to policy asset mix verification. The PT
comprises members of the Board of Governors who
have expertise in finance and economics.

Verification method

Verification 1

Verification is performed in two stages: Verification 1 and Verification 2, as illustrated below.

PT

Carry out regular monitoring of various indicators, including· Policy benchmarks· Short-term interest rates· Market capitalization· Risk (standard deviation) and correlation coefficient· Equilibrium rate of return, etc.
ReportVerification

Board ofGovernors

Determine the need to check on various figures

PT

Board ofGovernors

Check on various figures, i.e.,· Update expected returns· Update risk (standard deviation) and correlation coefficient· Confirm the relationship between real expected returns and theconditional average deficiency rate
· Estimate future reserve amounts, etc.
ReportDetermine the need for a review (resolution)

Considerationof review

NecessaryPT

Not necessary

Consider review
ReportBoard ofGovernors

Not necessary

Determine whether to conduct
review (resolution)

Verification

Verification 2

Necessary(Return once more to
Verification 1 monitoring)*The PT in the figure above is the “Project Team for Policy Asset Mix Verification, etc.”40

Investment Results in Fiscal 2022

2 Overview of the Policy Asset Mix

a. Verification 1
GPIF’s policy asset mix is formulated from a long-term
perspective and is based on the twenty five years ofdata including (1) policy benchmark return, (2) shortterm interest rates, (3) the most recent market
capitalization at the time the policy asset mix isformulated, and (4) the risk (standard deviation),correlation coefficient, and the equilibrium rate of
return, all of which are calculated from these (1) (2) (3).
The PT regularly monitors these various indicators thatwere used as the basis for formulating this policy
asset mix.
If changes are observed in these indicators in thecourse of periodic monitoring and it appears theinvestment environment may have changed
significantly from which has been presumed when theportfolio was formulated, the PT will report suchchanges to the Board of Governors.

b. Verification 2
If the PT reports the changes in various indicators andthat the investment environment may have changed
significantly from which has been presumed when theportfolio was formulated, the Board of Governors shalldetermine whether to conduct a Verification 2 withchecking the updated expected return, the risk(standard deviation) and correlation coefficient,confirming the relationship between real expected
return and the conditional average deficiency rate, andestimating future reserves, etc.
If it is determined that a Verification 2 should be
conducted, the PT will carry out the Verification 2tasks and report the results to the Board of Governors.
The Board of Governors will determine whether toconsider a review of the policy asset mix based on thereport by the PT.
Based on the Board of Governors’ determination, if
determined to be necessary, the PT will consider
whether to review the policy asset mix, and the PT
reports the outcome of its consideration to the Boardof Governors.
The Board of Governors will promptly revise the policy
asset mix as necessary based on the results of thereview consideration by the PT.
Even if the regular monitoring (Verification 1) does notreveal any significant changes in the investment
environment from which has been presumed when thepolicy asset mix was formulated, the PT will report thestatus of monitoring to the Board of Governors at least
once a year.

Outcome of Verification in fiscal 2022
Verification 1 conducted in fiscal 2022 concluded that theinvestment environment had not necessarily changed
significantly from which had been presumed when thepolicy asset mix was formulated, so it was determined that41

neither Verification 2 (checking various figures such as
updating expected returns), nor a review of the policy
asset mix were necessary.

Investment Results in Fiscal 2022

3

3 Basic Policy of Portfolio Risk Management

Basic Policy of Portfolio Risk Management

The purpose of investing the pension reserves is tocontribute to the future stability of the management of the
public pension scheme by safe and efficient managementfrom a long-term perspective solely for the beneficiaries.
The Medium-term Objectives approved by the Minister of
Health, Labour and Welfare (MHLW) stipulate that GPIF is
required to achieve a long-term real return (net investment
yield on the pension reserve fund less the nominal wage
growth rate) of 1.7% with the minimal risk.
Amid heightened uncertainties about the recent market
and economic environments, the risk GPIF focuses onrefers not to “a risk caused by short-term fluctuations inmarket prices” but to “a risk of failing to achieve a long-term
investment return required for the pension finance.”
In a long-term investment, it has been found thatmaintaining portfolio (a policy asset mix) over the long termyields a better result effectively, rather than changing theportfolio in response to short-term market fluctuations.
GPIF adopted the new policy asset mix in fiscal 2020. Sincelong-term investment results shall be mostly attributable toa policy asset mix, we believe that the policy asset mix isthe core of portfolio risk management.
GPIF manages the policy asset mix in an appropriatemanner, invests in diversified assets, and carries out risk

management at the level of the entire portfolio, individual
asset classes, and individual asset managers, respectively.
At the same time, we ensure the achievements of thebenchmark rates of return for the entire portfolio as well as
for each asset class by monitoring various indicators frommultilateral perspectives. In cases when it is considerednecessary to take a certain measure, GPIF carries out anappropriate measure in line with a predetermined rule.
The basic policy of the above-mentioned portfolio risk
management is expressly described in the “Basic Policy” of
the “Portfolio Risk Management Policy” established by the
Board of Governors. In accordance with this Basic Policy,
GPIF manages market risks, liquidity risks, credit risks, andcountry risks in an appropriate manner. We also perform
risk monitoring based on domestic and overseas economic
trends, financial market conditions, geopolitical risks, aswell as various risk management indicators including
tracking errors, Value at Risk (VaR) and stress tests. GPIF
does so in a timely manner, so that risks can be discussed
at the Investment Committee and the Portfolio Risk
Management Committee and periodically be reported to
the Board of Governors. As such, we implement
appropriate measures considering long-term risk-return
profiles.

Chapter 1[1] Basic policy<“Basic Policy” of GPIF’s portfolio risk management>(1) GPIF formulates a policy asset mix and appropriately manages it to ensure the achievement of the investment return
required for the pension finance with the minimum risk.
(2) GPIF adopts a basic principle for risk management of diversifying investment portfolios across multiple asset classes
having different risk-return profiles, etc.
(3) GPIF performs risk management at the level of the entire portfolio, individual asset classes, and individual asset
managers, respectively, while ensuring the achievement of the benchmark rate of returns for the entire portfolio as
well as for each asset class.
(4) GPIF carries out flexible investment based on a proper outlook for the market environments, within a deviation limit forthe policy asset mix, upon thorough analysis on the current trends marked by the fast-changing economic andmarket environments; provided, however, that the outlook must indicate reasonable grounds.
(5) Although there are short-term fluctuations in market prices, GPIF aims to earn investment returns more stably andefficiently by taking advantage of its long-term investment horizon and maintain the liquidity necessary for a pension
payout. In order to assure liquidity, GPIF takes appropriate measures including selling assets in a smooth manner,
while considering the market price formation as well as securing assets without shortages.
(6) Regarding investment and management of the pension reserves, GPIF constantly strives to enhance its expertise,clarify the system of accountability, and implement thorough compliance with the duty of care and fiduciary duty of aprudent expert.

[Types of portfolio risk]
Market risk

The risk of changes in the value of portfolio assets, including derivatives, due to fluctuations in various
market risk factors such as interest rates, foreign exchange rates, equities, and alternative assets

The risk of facing a difficulty in securing the necessary funds or incurring losses due to being forced to raise
funds at an interest rate significantly higher than normal, resulting from reasons such as an unexpected
Liquidity risk increase in cash outflow (cash management risk) and the risk of incurring losses resulting from the inability to
conduct market transactions due to confusion in the market or being forced to conduct market transactionsat prices significantly more disadvantageous than normal (market liquidity risk)
The risk of incurring losses due to reduction or elimination of the value of assets, including derivatives,
Credit risk caused by factors such as deterioration in the financial position of issuers of the portfolio assets,
institutions entrusted with asset management or counterparties of derivatives transactions
The risk of incurring losses in foreign assets due to foreign currency situations or political and economic
Country risk
conditions of countries relevant to the said assets
42

Investment Results in Fiscal 2022

3 Basic Policy of Portfolio Risk Management[2] Risk management based on a policy asset mix
GPIF believes that the most important aspect of portfolio risk
management is a proper management of asset allocation
based on a policy asset mix. Since the markets constantly
change, it is essential to establish a framework that enables
GPIF to manage investments flexibly within a reasonable
range, while actual investments shall be carried out following
the policy asset mix. Accordingly, GPIF flexibly manages thepolicy asset mix within deviation limits defined for each of fourtypes of assets—domestic bonds, foreign bonds, domestic
equities, and foreign equities—as well as overall bonds andoverall equities. At the same time, GPIF establishes alarm
points within deviation limits in order to smoothly andappropriately manage its asset allocations, and stipulates a
responsive process in the event of exceeding the deviation
limits or alarm points. While the upper limit for alternative
assets is set as 5% of the total assets, we have alsoestablished alarm points for these assets and expressly
specify a process for responding in the event that these limits
are exceeded. During the fiscal 2022, no assets exceeded thedeviation limits or alarm points.
As part of our efforts to diversify and upgrade asset
management related to risk management based on the policy
asset mix, we began using stock index futures for foreign
equities in fiscal 2022, having already introduced them fordomestic equities in fiscal 2021. By using stock index futures,
which can be traded quickly, we can compress the time frominvestment decision to execution, and therefore expect toreduce the price fluctuation risk in rebalancing, etc. In fiscal
2022, we also established a specialized portfolio management
team to make it possible to rebalance in a more timely andappropriate manner than ever before, even with the advent of
rapid changes in the economic and market environment.

Management of deviation limits
(%)
40.0
(%)
40.0
35.0
35.0
30.0
30.0
25.0
25.0
20.0
20.0
15.0
15.0
10.0
10.0

Domestic bonds
Domestic bonds
Upper deviation limit
Upper deviation limit

Actual allocation

26.94%

Actual allocation
Policy asset mix

26.94%
25.00%

Policy asset mix

25.00%

Lower deviation limit
Lower deviation limit

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Foreign bonds

30.0
25.0

Upper deviation limit

Actual allocation

Policy asset mix

Actual allocation

25.00%
25.00%
24.39%

25.0
20.0
20.0
15.0
15.0
10.0
10.0

24.39%

Lower deviation limit
Lower deviation limit

Mar
Mar

Apr
Apr

May
May

Jun
Jun

Jul
Jul

(%)
70.0
65.0

Aug
Aug

Sep
Sep

Bonds

Oct
Oct

Nov
Nov

Dec
Dec

Jan
Jan

Feb
Feb

Mar
Mar

Actual allocation

25.00%

Policy asset mix

Actual allocation

25.00%
24.40%

25.0
20.0

15.0
10.0
10.0

24.40%
Lower deviation limit
Lower deviation limit

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Foreign equities
Foreign equities
Upper deviation limit
Upper deviation limit
Actual allocation

25.00%

Actual allocation
Policy asset mix

25.00%
24.27%

Policy asset mix

24.27%

30.0
25.0
25.0
20.0
20.0
15.0
15.0
10.0
10.0

65.0

Upper deviation limit

Lower deviation limit
Lower deviation limit

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Equities

Upper deviation limit

60.0

55.0

51.33%

Actual allocation

50.0

50.00%

Policy asset mix

45.0

55.0
50.0

50.00%

Actual allocation

Policy asset mix

48.67%

45.0

40.0

30.0

Policy asset mix

(%)
70.0

60.0

35.0

Upper deviation limit

30.0
25.0

35.0
30.0

Upper deviation limit
Policy asset mix

Domestic equities

Upper deviation limit

(%)
40.0
(%)
40.0
35.0

Foreign bonds

Domestic equities

35.0
30.0

20.0
15.0

(%)
40.0
(%)
40.0
35.0
35.0
30.0

(%)
40.0
(%)
40.0
35.0

40.0
Lower deviation limit

Mar

Apr

May

Jun

35.0

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

30.0

Lower deviation limit

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

(Note 1) Asset allocation is calculated including reserves managed in the Pension Special Account. The notional amount of stock index futures and other factors
are taken into account in the calculation.
(Note 2) T he deviation limits under the 4th Medium-term Plan are ±7% for domestic bonds, ±6% for foreign bonds, ±8% for domestic equities, ±7% for foreign
equities. ±11% for overall bonds, and ±11% for overall equities.

43

Investment Results in Fiscal 2022

In fiscal 2022, GPIF managed its asset allocation toensure that the actual amount of risk in the portfolio did notdeviate from the amount of risk that would have been taken
had it been investing in the policy asset mix, regarding theamount of stock price risk, foreign exchange risk, andinterest rates risk, which are the major market risks. In
addition, the VaR ratio ranged between 1.00 and 1.04, as
GPIF kept spread risk of corporate bonds, etc. andalternative risk, which are minute in the policy asset mix,
relatively low.

Chapter 1

In addition to risk management with the above-mentioned
deviation limits and upper limit established for alternative
investment, we continue to monitor estimated tracking
errors (Note1) of the overall assets and VaR ratio as indicatorsfrom a multitiered risk management perspective.
In fiscal 2022, while the volatility of various assets
generally increased compared with fiscal 2021, we
maintained a low rate of estimated tracking errors of theoverall assets at 16-44bp (1bp refers to 0.01%), as a resultof careful measures to ensure that we do not deviate fromthe compound benchmark return of the policy asset mix.
VaR ratio is obtained by dividing VaR (Note2) for the actual
asset mix by VaR for the policy asset mix, an indicator formonitoring as to what extent the risk amount of the actual
portfolio deviates from that of the policy asset mix.

3 Basic Policy of Portfolio Risk Management(Note 1) The estimated tracking errors are the ranges of returns that could be earned in the future at a given probability. These ranges are calculated with analysis
tools, estimated by using statistically estimated mutual dependencies between securities in the portfolio.
(Note 2) VaR indicates the largest loss likely to be suffered for individual assets assuming a certain holding period with a given probability (confidence level).

Estimated tracking error of the overall assets
(%)

1.5
1.0
0.5

0.0

Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
FY2020
FY2021
FY2022(Note) T he notional amount of stock index futures and other factors are taken into account in the calculation.

VaR ratio and VaRVaR ratio(%) VaR

VaR ratio

19.0

Policy asset mix:VaR

17.0

Actual asset mix:VaR

VaR-ratio

1.20
1.15

15.0

1.10

13.0

1.05

11.0

1.00

9.0

0.95

7.0

0.90

5.0

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

0.85

(Note 1) VaR is calculated using the delta method based on the 1σ confidence level over a one-year holding period and two-year observation period.
(Note 2) T he notional amount of stock index futures and other factors are taken into account in the calculation.

(%)

VaR (Two-year observation period)

25

(%)

the delta method:1

the delta method:95%

the delta method:1

20

20

15

15

10

10

5

5

0

VaR (Five-year observation period)25

Apr May Jun

Jul Aug Sep Oct Nov Dec Jan Feb Mar

0

Apr May Jun

the delta method:95%

Jul Aug Sep Oct Nov Dec Jan Feb Mar(Note 1) VaR is calculated using the delta method based on the 1σ and 95% confidence level over a one-year holding period and two-year and five-year
observation period (ratios are calculated on an actual asset mix basis for both periods).
(Note 2) T he notional amount of stock index futures and other factors are taken into account in the calculation.

44

Investment Results in Fiscal 2022

3 Basic Policy of Portfolio Risk Management[3] Diversification effect and risk management of alternative assets
Alternative assets (including infrastructure, private equity,

target asset-specific expertise, risk management inand real estate) have different risk-return profiles fromalternative assets covers assessment items specificallytraditional assets such as listed equities and bonds.

required for in alternative investments, in addition to those

Considering these profiles, the inclusion of alternative
assets in GPIF’s portfolio is expected to generate
diversification effects and improve the investment efficiency.
Accordingly, GPIF has increased investments incommon to traditional assets.
GPIF has established the necessary systems and is
promoting initiatives aimed at comprehensive and detailed
risk management. For details of these initiatives, see page 59.

alternative assets since fiscal 2017. To fulfill the need for[4] Risk management from a long-term perspective
Stress tests
Stress tests are used as one of the approaches forcrisis scenario (2008-2009) in which the market fell sharply,

measuring the impact on returns and capital in the event of

the Dot-com bubble burst scenario (2001) in which thea significant market movement, and determining a methodmarket was slow to recover, or a market decline scenario

to implement a proper measure accordingly.

due to the COVID-19 pandemic (the first wave)—there were

It is essential that pension fund shall be managed safely

temporary impacts on the real investment yields obtainedand efficiently from a long-term perspective, and GPIF

since the start of market investments, but the markets

analyzes the impacts that might arise over the medium-to-

recovered thereafter and the expected level of investment

long term. For a number of scenarios—the Global financial

yield was secured.

120
110
100

Actual rate of return
Expected real return under the current policy asset mix
Stress Scenario (the Global financial crisis)
Stress Scenario (the Dot-com bubble burst)
Stress Scenario (the COVID-19 pandemic (1st wave))

90
80
70
60

Stress tests
GPIF adopted the current
policy asset mix

50
40

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029
(FY)

(Note 1) The investment results in the figure show a cumulative rate of investment return since 2001 {real return (net investment yield on the pension reserve fundless the nominal wage growth rate)}.
(Note 2) T he vertical axis represents indexed numbers of a cumulative rate of return based on the starting point of the stress test (the actual rate of investment
return as of Mar. 31, 2023) as 100.

45

Investment Results in Fiscal 2022

Risk reduction through long-term investment[Short-term average return(in one-year periods)](%)[Long-term average return(in ten-year periods,
annualized)]
(%)

40

40

31.3
30

Maximum

30

20

20

10

7.8

10

5.9

Median

0

−10

−10

−21.1

Minimum−30

Maximum
Median

5.6

0

−20

Chapter 1

In analyzing portfolio returns based on historical data, GPIF
analyzed the distribution of returns by the current policy
asset mix using the market’s actual performance over the
past 34 years. We found that, in the short term, there was a
maximum single-year gain of over +30% and a maximum
single-year loss of over -20%, suggesting the possibility ofa temporary loss equivalent to the record-high earnings offiscal 2020. However, returns are stable over the long term,
and not a single ten-year period over the past 34 years has
been negative. The policy asset mix was created to ensure
1.7% real return over the long term. We should not be
overly preoccupied with market fluctuations. Nevertheless,
GPIF envisions a variety of stresses that could occur in thenear future and gives due consideration to such short-termrisks in order to manage investment risks over thelong term.

3 Basic Policy of Portfolio Risk Management

Minimum

1.3

−20

−30

(Note 1) Average returns are calculated on the presumption of a rebalancing
to the current policy asset mix at the end of each fiscal year.
(Note 2) The analyzed period spans 34 years from April 1985 to March 2019.

ESG investment expected to reduce risks from a long-term perspective
Given the fact that the law requires pension reserve fundshould to be managed safely and efficiently from thelong-term perspective, risk management based on thelong-term perspective is further important for GPIF.
GPIF engages in ESG investment in order to reduce thenegative externalities of environmental and social issues,
etc., on capital markets, and thus improve the sustainable

return from the whole assets, as GPIF is a “Universal
owner” and “Cross-generational investor.” We recognizethat the longer the investment period, the more likely it isthat ESG risks, such as climate change risks, willmaterialize. Accordingly, we believe that GPIF’s focus on
investment that takes ESG into consideration is highlymeaningful.

Securing the amount of planned reserves
Another important issue is how to control risks that theamount of pension reserves falls below the amount ofplanned reserves in the long run. The current policy asset
mix was formulated in fiscal 2019 through a process of
simulation with a stochastic calculation using random

numbers to confirm the risks of an inability to attain theamount of planned reserves on the financial verification.
Thus, we managed to select the most efficient portfolio thatseeks to minimize downside risks, while meetinginvestment objectives.

(Note) For details of the current policy asset mix, refer to pages 33-41.

Comparison with planned reserve
Pension reserves(¥trillion)

1,500
Current policy asset mix

Probability (risk) of falling
below planned reserves

All-domestic-bond-portfolio

1,200

Reserve asset that the financial
verification assumes
Previous policy asset mix

900(Unit: %)75th percentile

Median600
25th percentile

300
25th percentile (All-domestic-bond-portfolio)

0
2020

2025

2030

2035

2040

2050

2055

2060

In 50 years(As of the end of FY2043)(As of the end of FY2068)

Current policy
asset mix

38.1

39.8

All-domestic-bondportfolio

100.0

100.0

(Reference)Median 75th percentile (All-domestic-bond-portfolio)

2045

In 25 years

Previous policy
asset mix

(Unit: %)

40.0

43.0

2065 (FY End)

46

Investment Results in Fiscal 2022

44  Status of Investment in Each Asset Class

Status of Investment in Each Asset Class[1] Domestic bonds
Excess rate of return
Concerning domestic bond investment, the excess rate ofinvestment by factor is as follows: benchmark factors (Note2):

return over the benchmark-0.17%; fund factors (Note3): +0.09%; other(Note1)was -0.09%. The

breakdown of the excess rate of return on domestic bondfactors (Note4): -0.00%.
(Unit: %)Time-weighted rateof returnBenchmark

-1.74

-1.65

Excess rate of
return—Benchmark factors

Fund factors

Other factors

-0.09

-0.17

+0.09

-0.00

(Note 1) The benchmark of domestic bonds is NOMURA–BPI (excluding ABS).
(Note 2) B enchmark factors refer to those resulting from differences in the rates of return between manager benchmarks and the benchmark (NOMURA–BPI(excluding ABS)).
(Note 3) F und factors refer to those resulting from differences in rates of return between individual funds and manager benchmarks.
(Note 4) Other factors refer to calculation errors and such.

[2] Foreign bonds
Excess rate of return
Concerning foreign bond investment, the excess rate ofinvestment by factor is as follows: benchmark factors (Note2):

return over the benchmark+0.14%; fund factors (Note3): +0.30%; other(Note1)was +0.44%. The

breakdown of the excess rate of return on foreign bondfactors (Note4): +0.00%.
(Unit: %)Time-weighted rateof returnBenchmark

-0.12

-0.56

Excess rate of
return—Benchmark factors

Fund factors

Other factors

+0.44

+0.14

+0.30

+0.00

(Note 1) The benchmark of foreign bonds is FTSE World Government Bond Index (not incl. JPY, CNY, no hedge/JPY basis).
(Note 2) B enchmark factors refer to those resulting from differences in rates of return between manager benchmarks and the benchmark (FTSE World Government
Bond Index (not incl. JPY, CNY, no hedge/JPY basis)).
(Note 3) F und factors refer to those resulting from differences in rates of return between individual funds and manager benchmarks.
(Note 4) Other factors refer to calculation errors and such.

47

Investment Results in Fiscal 2022

4  Status of Investment in Each Asset Class[3] Domestic equities

Concerning domestic equity investment, the excess rate ofinvestment by factor is as follows: benchmark factors (Note2):

return over the benchmark-0.31%; fund factors (Note3): +0.05%; other(Note1)was -0.27%. The

breakdown of the excess rate of return on domestic equity

Chapter 1

Excess rate of return

factors (Note4): -0.01%.
(Unit: %)Time-weighted rateof returnBenchmark

5.54

5.81

Excess rate of
return—Benchmark factors

Fund factors

Other factors

-0.27

-0.31

+0.05

-0.01

(Note 1) The benchmark of domestic equities is TOPIX (incl. dividends).
(Note 2) Benchmark factors refer to those resulting from differences in rates of return between manager benchmarks and the benchmark (TOPIX (incl. dividends)).
(Note 3) F und factors refer to those resulting from differences in rates of return between individual funds and manager benchmarks.
(Note 4) Other factors refer to calculation errors and such.

[4] Foreign equities
Excess rate of return
Concerning foreign equity investment, the excess rate ofinvestment by factor is as follows: benchmark factors (Note2):

return over the benchmark-0.08%; fund factors (Note3): +0.04%; other(Note1)was -0.05%. The

breakdown of the excess rate of return on foreign equity

factors (Note4): -0.00%.
(Unit: %)Time-weighted rateof returnBenchmark

1.84

1.88

Excess rate of
return—Benchmark factors

Fund factors

Other factors

-0.05

-0.08

+0.04

-0.00

(Note 1) The benchmark of foreign equities is MSCI ACWI (not incl. JPY, JPY basis, incl. dividends, after taking into account GPIF dividend tax factors).
(Note 2) B enchmark factors refer to those resulting from differences in rates of return between manager benchmarks and the benchmark (MSCI ACWI (not incl.
JPY, JPY basis, incl. dividends, after taking into account GPIF dividend tax factors)).
(Note 3) F und factors refer to those resulting from differences in rates of return between individual funds and manager benchmarks.
(Note 4) Other factors refer to calculation errors and such.

48

Investment Results in Fiscal 2022

5

5 Investment in Alternative Assets

Investment in Alternative Assets[1] Overview
Alternative assets are the generic term for investment

fiscal 2024) stipulates alternative assets to be categorized

assets that are “alternative” to traditional assets including

into domestic bonds, foreign bonds, domestic equities, andlisted equities and bonds. Among a variety of alternative

foreign equities in accordance with risk-return profiles, andassets, GPIF invests in infrastructure, private equity, andto be invested up to a cap of 5% of the total portfolio.

real estate. The 4th Medium-term Plan (from fiscal 2020 toInvestment purpose
Alternative assets have different risk-return profiles from

Pension funds in other countries have been promoting
diversification by investing in alternative assets for the

traditional assets such as listed equities and bonds.
Considering these profiles, the inclusion of alternative

aforementioned characteristics and effects. Prior to starting

assets in GPIF’s portfolio is expected to improve theinvestment in alternative assets, GPIF carried out careful

investment efficiency and to contribute to the stability of

examinations in commissioned research projects. In

overall pension finance. Also, alternative assets have lower

particular, the research conducted in fiscal 2012 reported

liquidity while they produce higher investment return thanthat the inclusion of alternative investments is expected toso do traditional assets. As a long-term investor managing

realize the investment premium for illiquidity and improvesignificant liquid assets, GPIF now strategically holds

the efficiency of investment through diversification.

alternative assets with lower liquidity in the portfolio andaims to earn excess return with improving the investment
efficiency of its portfolio.
Alternative Assets
Infrastructure

Private equity

Real estate

Investment history
Based on the results of the above-mentioned

Market Investment Department), employing experts,

commissioned research projects, GPIF has been investingexamining investment strategy by external advisors (sincein alternative assets through a co-investment platform withfiscal 2015), and developing a risk management framework.

institutional investors since fiscal 2013 (in infrastructure

Considering the individuality of the investment performancesince fiscal 2013 and in private equity since fiscal 2015).

and the low liquidity of alternative assets, risk management

In fiscal 2017, GPIF started calling for applications fromat the time of investment evaluation and after execution ofasset managers for alternative assets through the Assetinvestment is an important issue. GPIF will strive continuallyManager Registration System and went through theto enhance the framework for investing in alternative assets,screening process for external asset managers (fund ofincluding risk management.

funds managers who select multi-managers andgatekeepers who evaluate fund of funds managers’* A multi-manager strategy is an investment approach to diversify theinvestment capabilities) for executing customized

investment into multiple funds. A multi-manager strategy also called as amultimanager strategies* for GPIF.

fund-of-funds, an investment vehicle where a fund invests in a portfolio

GPIF has worked continuously to develop theorganization for investing in alternative assets by various
measures, such as establishing a specialized unit (Private

49

composed of multiple other funds. GPIF selects external asset managers
that execute multi-manager strategies for each investment style ofalternative assets of GPIF, and gives discretion to the appointed external
asset managers to make individual investment decisions.

Investment Results in Fiscal 2022

5 Investment in Alternative Assets

Research of alternative investment schemes (Mar. 2013)
Infrastructure co-investment program with DBJ and OMERS (Feb. 2014)

Discretionary investment mandate for real estate(Global-Core) (Sep. 2018)

Discretionary
investment mandate
for Japanese private
equity(Jan. 2022)

Chapter 1

Appointment of external advisors for implementation (Feb. 2017)
Portfolio risk management framework formation (Mar. 2017)

FY2015 FY2016 FY2017 FY2018 FY2019 FY2020 FY2021 FY2022
Call for applications of asset managers (Apr. 2017)
Discretionary investment mandate for real estate(Japan-Core) (Dec. 2017)
Discretionary investment mandates for infrastructure(Global-Core) (Jan. 2018)

Discretionary investment mandate for
global private equity (Apr. 2020)

LPS for global private
equity and global realestate (Mar. 2023)

Alternative Investments included in Policy Asset Mix for the third Medium-term Plan (Apr. 2015)
Emerging Markets PE co-investment program with IFC (Jun. 2015)
Appointment of external advisors for investment strategy planning (Oct. 2015)

Total value of alternative assets up until fiscal 2022(¥billion)

2,834.5

3,000
Infrastructure (Discretionary investment)

2,700

Infrastructure (In-house)

2,400Real estate (Discretionary investment)

2,158.6

Private equity (Discretionary investment)

2,100
1,800

892.4

1,500

192.1

1,341.9

1,200

944.5

900

390.4
600
300
0

1,255.7

Private equity (In-house)

0.2

5.5

81.4

2014/3

2015/3

2016/3

213.0

100.6

83.3
1.9

96.4

4.2

2017/350.0
146.7
8.1 8.2
2018/3

432.7

571.1
165.0

186.4
919.4
773.1

154.7

148.8
544.7
144.8
380.8
270.1
124.9 14.3
18.5 36.7 24.4 36.5
2019/32020/32021/32022/3422.3
45.0
2023/3(Note) Please refer to the website (https://www.gpif.go.jp/investment/alternative/) for specific examples of investments in alternative assets (Japanese only).

Since we began investing in alternative assets, GPIF hasvalue of GPIF’s investment in alternative assets as of the

been steadily building up our assets under management

end of March 2023 is ¥2,834.5 billion (1.38% of the total

while developing our investment capabilities. The total

value of the pension reserve fund).

Activities in fiscal 2022
A. Call for application, selection of Gatekeepers and Fund of Funds managers
Following on from last year, GPIF called for applications
from external asset managers in alternative assets by

estate field.
To select asset managers, a GPIF team conducts several

utilizing the Asset Manager Registration System and went

rounds of screening, including application documents

through the screening process to select external asset

check, interviews, and on-site visits with external advisors

managers that execute customized multi-manager

to carefully examine the capabilities, investment strategies,

strategies for GPIF.

investment track record, and risk management system, etc.

We have started investments with newly selectedof the prospective managers.

global-core outsourced investment managers in the real50

Investment Results in Fiscal 2022

5 Investment in Alternative Assets(Example) Infrastructure investment scheme
discretionary
investment
managementagreement

GPIF
Allocate capital based on investment
decision by asset managers

investment

Asset Managers

investment
management

Fund of Funds

Selected by
GPIF to execute
multi-manager strategy

Gatekeeper

Fund of Funds
Managerdiversified through multiple funds

Infra Fund A

Infra Fund B

investment

investment

Infra Asset A

Infra Asset B

Infra Asset C

Investments are conducted based on a discretionary(Note) Investments in private equity and real estate areor will be executed based on similar investment
scheme.

Infra Asset D

the timing of investment over multiple years for optimal

investment management agreement. Appointed asset

portfolio time diversification. Therefore, it takes a long time

managers set up a fund-of-funds solely for GPIF and invest

to invest in alternative assets.
GPIF receives a periodic report on the status of portfolio

in funds in accordance with the pre-agreed guidelines thatdefine investment objectives, strategies, and certain

assets and monitors the performance and risks. In addition,

restrictions, etc.

GPIF conducts annual comprehensive evaluation of external

Each fund will then invest in individual alternative assets.

asset managers, and properly manages investment by

However, it takes a certain amount of time from identifying

confirming that their fund management team composition

investment opportunities to the completion of various

has not changed and by monitoring the progress of theirinvestigations (due diligence). It is also important to diversify

investment plans.

B. Commencement of investment in limited partnerships (LPS)
By revising Ordinance for Enforcement of the GPIF Act inTherefore, such investments in LPS have been generally

September 2017, interests in limited partnerships (LPS) as

adopted by institutional investors including pension funds inlimited partners were added to the securities in which GPIF

other countries to invest in alternative assets.

may invest directly. The expected benefits of directly investing

Following this revision of the Ordinance, GPIF has

in LPS include faster access to information on investees,

been preparing systems for initiating investments via

improvement of net returns and enhancing risk management

LPS since fiscal 2017. In fiscal 2022, we concluded

through simplified investment scheme with fewer

contracts for two private equity investments and one

intermediaries involved between investors and investees.

real estate investment.

C. Investment status of alternative assets
Investment status as of the end of March 2023
Commitment amount (¥billion) (Note2)
Total value (¥billion)
Internal rate of return (IRR) up until
fiscal 2022 (in JPY terms)
Domestic assets (in JPY terms) (Note3)
Foreign assets (in USD terms) (Note4)(in JPY terms) (Note5)

Total of alternative assets
5,123.2
2,834.5

Infrastructure
2,040.3
1,447.8

Real estate
1,913.6
919.4

Private equity
1,169.3
467.3

9.97%

8.44%

11.12%

16.46%

6.83%
4.81%
10.42%

4.99%
3.88%
8.59%

7.29%
6.11%
13.01%-4.80%
7.41%
16.50%(Note 1) Each field is based on the sum of the funds-of-funds and investment trusts.
(Note 2) The capital commitment refers to the sum of the amounts agreed on as the maximum amount of capital to be contributed by GPIF to individual external asset
managers at the start of investment.
(Note 3) The rates are based on the sum of the assets invested in domestic assets (currency: JPY).
(Note 4) The rates are based on the sum of the assets invested in foreign assets (currency: USD).
(Note 5) The amount of foreign currency-denominated assets is calculated by converting the amount into JPY.

51

Investment Results in Fiscal 2022

5 Investment in Alternative Assets(Column) Analysis on changes in market value in fiscal 2022
Chapter 1

During the year beginning from the end of March 2022, the market value of GPIF’s alternative assets increased by¥675.9 billion. The increase can be mainly divided into five factors:
Capital contribution to new investments (+¥596.8 billion):A fund makes a capital call (request making capital contribution) to investors for executing a new investment. An
investor makes a capital contribution to the fund, which increases the market value of alternative assets of theinvestor. In fiscal 2022, investments have been executed in all three asset categories of alternative assets.
Distributions received (-¥111.3 billion):
When a fund receives the returns from investees and paid out the income and capital realized to an investor, thisdecreases the market value of alternative assets of the investor. In fiscal 2022, GPIF received distributions, mainly
dividends from its investees in infrastructure.
Fees and expenses (-¥6.6 billion):
The amount includes fees and expenses for acquisition and disposition incurred by fund-of-funds and investment
trusts (equivalent to 0.25% of the average of outstanding amount of alternative assets in fiscal 2022).
(Note) The amount paid by investee funds-of-funds and investment trusts is added up by GPIF. The amount of investment trusts is arough estimate.

Changes in market value of investees (+¥20.1 billion):
After a fund invested in alternative assets, the market value increases/decreases in accordance with unrealized
gains or losses based on the valuation of the investee and realized gains or losses from the disposition of
investees. In fiscal 2022, the overall increase was moderate.
Fluctuations in currency exchange (USD) (+¥176.4 billion):In the event of foreign investment (currency: USD), the yen-equivalent market value may appreciate/depreciate
due to a currency fluctuation between USD and JPY. It increased due to the depreciation of JPY in the first halfof fiscal 2022.

Analysis on changes in the market value of alternative investments (from April 2022 to March 2023)
CapitalCommitment

CapitalCommitment(¥billion)

5,123.2

4,036.8

3,500.0
3,000.02,500.0

596.8
2,158.6

20.1-111.3-6.6

Dividends received
by way of withdrawing

Fees andexpenses (Note)

176.4

2,834.5

2,000.0
1,500.0
1,000.0

Total value(End of March 2022)

Capital contribution
to new investments

Changes inmarket valueof investees

Fluctuations
Total value
in currency (End of March 2023)
exchange (USD)(Column) Method of measuring the rate of investment return on alternative assets
While the investment performance of listed assets such as equities and bonds instruments is often measured in theform of time-weighted rate of return, the investment performance of alternative assets is generally measured in the formof internal rate of return (IRR) since inception. The internal rate of return (IRR), also known as money-weighted rate of
return, is a rate of investment return calculated with consideration of the timing and size of cash flow (including capital
contribution and distributions) between investors and funds.
While traditional asset investment allows investors to specify the allocation of capital and the timing of withdrawals,
alternative asset investment allows asset managers of the funds to specify the timing of acquisition and disposition ofassets, request investors to contribute capital accordingly, and distribute the realized capital and income. Therefore,
internal rate of return (IRR) is used based on the understanding that decision-making on the timing and the size of cash
flows is part of the asset managers’ investment capabilities. In GPIF’s Annual Report, investment results of GPIF’s
overall assets including alternative assets are presented as time-weighted rate of return, while investment results ofalternative assets are also presented as internal rate of return (IRR).

52

Investment Results in Fiscal 2022

5 Investment in Alternative Assets[2] Infrastructure
Overview
Infrastructure investment means investing in assets such as power generation plants, electricity transmission grids, renewableenergy, railways, and telecommunication infrastructure. Due to the stable revenues, which are expected to be derived fromsuch infrastructure over the long term, infrastructure investment has become one of the important investment strategies forpension funds globally.
Currently, GPIF mainly focuses on investing in core
infrastructure funds, which invest in assets essential for socialand economic activities, under a well-established regulatoryenvironment and is expected to generate stable revenues
based on long-term contracts. Infrastructure assets invested
through infrastructure funds will operate for a long time,
generally more than 10 years, and invested capital shall berecovered as dividends funded by stable revenue as well asproceeds from sale of the assets to other investors.

GPIF’s investment
A. Investment approach
GPIF aims to earn stable returns from a diversified portfolio mainly as income gain through timely and efficient investment, in
consideration of various market conditions.
B. Investment objectives and schemes
GPIF mainly invests in infrastructure funds which have equity stakes of infrastructure assets in operation.
(i) In-house investment in a unit trust
Based on the co-investment agreement with the Ontario Municipal Employees Retirement System (OMERS), a Canadianpublic pension fund with an extensive track record in infrastructure investment, and the Development Bank of Japan Inc.
(DBJ), GPIF started investing in a unit trust that targets to invest in core infrastructure assets in operation in developed
countries from February 2014.
(ii) Discretionary investment
Throughout fiscal 2022, the following managers continued their investment activities and are constructing diversified
investment portfolios focused on core infrastructure assets.
Asset manager name

Investment style

Start ofinvestment

Gatekeeper: Sumitomo Mitsui DS Asset Management Company, Limited
Fund of Funds Manager: StepStone Infrastructure & Real Assets

Global-Core

January 2018

Gatekeeper: Nomura Asset Management Co., Ltd.
Fund of Funds Manager: Pantheon

Global-Core

February 2018

Global infrastructure
mandate focusing
mainly on
opportunities inJapanMarch 2018

Gatekeeper and Fund of Funds Manager: DBJ Asset Management
Co., Ltd.

53

Investment Results in Fiscal 2022

5 Investment in Alternative Assets

C. Investment status
mainly as a result of progress in new investments madeend of March 2023 was ¥1,447.8 billion, which increased

through discretionary asset managers, as well as foreignby ¥369.0 billion from the end of March 2022. The total

exchange fluctuations. Dividends from our portfolio weremarket capitalization of infrastructure assets increased

also generated, as in the previous fiscal year.

Analysis on changes in the market value of infrastructure (From April 2022 to March 2023)
CapitalCommitment

CapitalCommitment

1,888.0(¥billion)
1,800.01,600.0
1,400.0
1,200.0 1,078.8
1,000.0
800.0
600.0
400.0
200.0

Total value(End of March 2022)

Chapter 1

The total value of GPIF’s infrastructure investment as of the

2,040.3

96.2

348.9
-67.0

Capital contribution
to new investments

Dividends received
by way of withdrawing

-4.6

-4.4

Fees andexpenses (Note)

Changes inmarket valueof investees

1,447.8

Fluctuations
Total value
in currency (End of March 2023)
exchange (USD)(Note) The amount paid by investee funds-of-funds and investment trusts is added up by GPIF. The amount of investment trusts is an estimate.

The breakdown of our infrastructure portfolio by country

infrastructure portfolio. Internal rate of return (IRR) fromshows the U.S. with the largest share at 30%, followed byforeign infrastructure investment stood at 3.88% in USD

the UK at 21% and Australia at 11%. As for the breakdownterms (8.59% in JPY terms), and IRR from domestic

by sector, the largest share went to renewable energy at

infrastructure investment stood at 4.99% in JPY terms

19%, followed by utility (electricity/gas) at 16% andsince its inception in February 2014. The total dividend

telecommunications at 13%. GPIF expects stable revenue(excluding repayment of principal) received from the unit

to be generated mainly from its diversified coretrust and fund of funds during fiscal 2022 was ¥38.3 billion.

Value by country

Other Transportation

Italy 3%

4%

OthersBelgium 3%

Water Supply
and Sewerage

7%

Germany 3%

U.S.

France 4%30%

Japan 4%
Sweden4%

Canada
Spain

6%

11%

Others

7%

5%

UK

21%

Renewable
Energy19%

Gas/Oil Pipeline 6%

Utility(Electricity/Gas)

Port 7%

5%

Australia

Value by sector

16%

Toll Roads

7%
Energy7%

Airport9%

Telecommunications

13%

54

Investment Results in Fiscal 2022

5 Investment in Alternative Assets[3] Private equity
Overview
In private equity, GPIF invests primarily in funds with focus

capital for growth and expansion of companies), Ventureon equities of private companies (private equity, or “PE”

capital funds (investing in start-up and early stage

funds). PE funds generally seek investment opportunities incompanies, etc. for growth potential), and Turnaroundcompanies at various development stages while diversifying

funds (seeking opportunities to turn around companies

investment timing. Types of PE funds include Buyout funds

facing financial challenges through balance sheet(seeking to create enterprise value of investee companies

restructuring, etc.). GPIF makes diversified investments in

by improving post-investment management practices andPE funds of these types.

corporate governance), Growth equity funds (providing

GPIF’s investments
A. Investment approach
GPIF makes diversified investment in PE funds that primarily invest in equities of private companies at various stages ofcorporate development, such as start-up, growth, expansion, and turnaround, with the aim of acquiring relatively higher
investment returns driven mainly by enterprise value creation, and contributing to the improvement of GPIF’s overall
portfolio returns.
B. Investment objectives and schemes
GPIF will invest in PE funds that invest in equities (private equity) of private companies.
(i) In–house investment in a unit trust
Based on the co-investment agreement with DBJ and the International Finance Corporation (IFC), a member of the WorldBank Group, GPIF has held a unit trust that invests in PE of consumer-related companies, etc. in emerging markets sinceJune 2015.
(ii) Discretionary investment
In fiscal 2022, the following asset managers continue to invest in diversified portfolio of multiple PE funds, mainly indeveloped countries.
Investment style

Start ofinvestment

Gatekeeper: Neuberger Berman East Asia Limited
Fund of Funds Manager: NB Alternatives Advisers LLC

Global-Diversified
Strategy

April 2020

Gatekeeper: Mitsubishi UFJ Trust and Banking Corporation
Fund of Funds Manager: Hamilton Lane Advisors, L.L.C.

Global-Diversified
Strategy

January 2021

Gatekeeper and Fund of Funds Manager: Mitsubishi UFJ
Trust and Banking Corporation
Investment Advisor to FoF Manager: Alternative Investment
Capital Limited

Japan-Focused
Strategy

January 2022

Asset manager name(iii) Investing in LPS with in-house investment
In fiscal 2022, GPIF entered into agreements to invest in PE funds with the method of investing in LPS.
Investment period (Note)

Start ofinvestment

TA XV-B, L.P.

10 years

March 2023

Hellman & Friedman Capital Partners XI (Parallel), L.P.

10 years

March 2023

LPS name(Note) The period during which LPS is managed. It may be extended.

55

Investment Results in Fiscal 2022

5 Investment in Alternative Assets

C. Investment status
new investments made mainly through discretionary asset

end of March 2023 was ¥467.3 billion. Those increased bymanagers as well as market value appreciation of portfolio¥160.7 billion from the end of March 2022. The market

companies and foreign exchange fluctuations.

value of the entire private equity portfolio increased due toAnalysis on changes in the market value of private equity (From April 2022 to March 2023)

Chapter 1

The total value of GPIF’s private equity investment as of theCapitalCommitment

1,169.3

CapitalCommitment(¥billion)

500.0
450.0
400.0
350.0
300.0
250.0
200.0
150.0
100.0

927.8

135.8

29.2

13.8
-17.4

467.3

-1.2

306.6

Total value(End of March 2022)

Capital contribution
to new investments

Dividends received
by way of withdrawing

Fees andexpenses (Note)

Changes inmarket valueof investees

Fluctuations
Total value
in currency (End of March 2023)
exchange (USD)(Note) The amount paid by investee funds-of-funds and investment trusts is added up by GPIF. The amount of investment trusts is a rough estimate.

The breakdown of portfolio by region shows North America

investment trusts, the internal rate of investment returnwith the largest share at 69%, followed by Europe and Asia

(IRR, as of March 31, 2023) across all non-Japanese PE

Pacific. By sector, information technology accounted for theinvestments has been +7.41% in USD terms (+16.50% inlargest share (38%), while other investments wereyen), and the internal rate of investment return (IRR, as ofdiversified across a wide range of industries, including

March 31, 2023) across all Japanese PE investments has

health care and consumer discretionary.

been -4.80% in yen terms.

Since June 2015, when we began in-house investment inValue by region
Latin America 2%

Japan 1%

Value by sector
Others 2%

Communication Services 3%

Middle East / Africa 2%

Financials 6%
Materials

6%

Asia Pacific12%

Consumer Staples

7%

Information
Technology

Europe14%

38%

North America

69%

Industrials

12%

Consumer
Health Care
Discretionary
14%

12%

(Note) The data is broken down by region, as PE investments span a wide range of countries.

56

Investment Results in Fiscal 2022

5 Investment in Alternative Assets[4] Real estate
Overview
GPIF’s real estate investment focuses on real estate funds

considering the fact that the real estate market has cycles

that hold properties such as logistics, offices, residential(prices fluctuate according to supply and demand and theproperties and retails.

financial market, etc.) and each investment amount/units

GPIF mainly implements “core-style” investment strategy,

tends to be relatively large. At the same time, it iswhich is expected to generate stable rental income fromnecessary to engage asset managers and/or property

tenants, and this strategy has been adopted as the major

managers, etc. to sustain asset value over the long term.

investment strategy by pension funds in other countries as

GPIF promotes investments in a careful and strategic

well. In the meantime, it is important to diversify the timing

manner, taking into account the above-mentioned profilesof investment and the type of investment products,of real estate investment.

GPIF’s investments
A. Investment approach
GPIF mainly targets stable returns in a timely and efficient manner, in consideration of various market conditions with thefocus on diversified core real estate funds.
B. Investment objectives and scheme
GPIF will mainly invest in private real estate equities backed by the income stream from invested real estate assets.
(i) Discretionary investment
With an investment manager for domestic market appointed in 2017 and investment managers for foreign markets
appointed in 2018 and after, GPIF has been building a global and diversified investment portfolio focused on its core-styleinvestment strategy throughout fiscal 2022. We also selected new outsourced investment managers in the global-core JV/club type investments.
Asset manager name
Gatekeeper and Fund of Funds Manager: Mitsubishi UFJ Trustand Banking Corporation
Gatekeeper: Asset Management One Co., Ltd.
Fund of Funds Manager: CBRE Investment Management Indirect
LimitedGatekeeper: Asset Management One Co., Ltd.
Fund of Funds Manager: CBRE Investment Management Indirect
LimitedGatekeeper: Mizuho Trust & Banking Co., Ltd.
Fund of Funds Manager: LaSalle Investment Management, Inc.

Investment style

Start ofinvestment

Japan-Core

December 2017

Global-Core
Commingled Fund
Investments
Global-Core
JV/Club Type
Investments
Global-Core
JV/Club Type
Investments

September 2018

February 2021

September 2022(ii) Investing in LPS with in-house investment
In fiscal 2022, we entered into an agreement to invest in a real estate fund with the method of investing in LPS.
LPS name
Blackstone Real Estate Partners X.F L.P.
(Note) The period during which LPS is managed. It may be extended.

57

Investment period (Note)

Start ofinvestment

10 years

March 2023

Investment Results in Fiscal 2022

5 Investment in Alternative Assets

C. Investment statusof real estate assets increased mainly as a result ofMarch 2023 was ¥919.4 billion. It increased by 146.2 billion

progress in new investments made through discretionary

from the end of March 2022. The total market capitalization

asset managers, as well as foreign exchange fluctuations.

Analysis on changes in the market value of real estate (From April 2022 to March 2023)
CapitalCommitment

CapitalCommitment(¥billion)

1,000.0
900.0
800.0
700.0
600.0
500.0
400.0
300.0
200.0

Chapter 1

The total value of real estate investment as of the end of

1,913.6

1,221.0

112.2
773.1

Total value(End of March 2022)-26.9

Capital contribution
to new investments

Dividends received
by way of withdrawing

919.4

51.0

10.7
-0.8

Fees andexpenses (Note)

Changes inmarket valueof investees

Fluctuations
Total value
in currency (End of March 2023)
exchange (USD)(Note) The amount paid by investee funds-of-funds and investment trusts is added up by GPIF. The amount of investment trusts is a rough estimate.

The breakdown of portfolio by country shows the U.S. with

inception is 7.29% (yen-denominated), while that of

the largest share at 45%, followed by Japan (25%), UK

foreign real estate investment since September 2018(8%), and Australia (7%). As for the breakdown of the

inception is 6.11% (USD-denominated) (13.01%(yen-sector, logistics sector comprised the largest share at 44%

denominated)). Dividend received from the fund of funds inof the total portfolio, followed by office at 28%, residential

fiscal 2022 (excluding repayment of principal) was ¥22.5

properties at 22%, and retail at 5%. The investment isbillion in total. We will continue investing in real estate

diversified and focused on core-style real estate funds infunds, while paying attention to the market circumstances,advanced countries. Internal Rate of Return (IRR) ofadvised by external consultants.

domestic real estate investment since December 2017

Value by country
Others 5%

Value by sector
Others 1%

Germany 3%

Retail 5%

Netherlands 3%
France 5%
Australia

Multi-Family

7%

U.S.

22%

Logistics

45%

U.K.

44%

8%

Japan

25%

Office28%58

Investment Results in Fiscal 2022

5 Investment in Alternative Assets[5] Portfolio risk management of alternative assets
In fiscal 2022, GPIF further developed and strengthened its

performance of funds-of-funds managed by external asset

management system and pursued better risk management

managers with available market data, as part of ourfor alternative assets. It has enhanced dialogue andendeavor to improve the accuracy of our assessment of

information sharing with external asset managers so thatexternal asset managers, including traditional qualitative

GPIF could understand more about portfolio companies forassessments.

which there are concerns about worsening performance, it

For highly individualized alternative investments, it is

has also sought to gain a more in-depth understanding of

extremely important to carefully examine and confirm thetheir valuations, the factors causing their market valuations

provisions of domestic and foreign laws, regulations, andto fluctuate, including the background external environment,

contracts relevant to these investments, for which the Legaland measures to improve these factors. In addition to

Department is conducting legal checks and taking otherenhancing the existing monitoring system, we continue tonecessary steps.

conduct quantitative analysis to compare the investment<Portfolio risk management system for alternative investments>· Final review of risk items used incontinuous evaluation of asset
managers pre/post selection· GPIF’s entire portfolio risk
measurement and analysis

Typical items common
to traditional assets

Department for
GPIF’s entire

Market risk

portfolio

Liquidity risk
Credit risk

risk management

Country risk, etc.
For details, refer to page 42 “3 Basic Policy ofPortfolio Risk Management”

Checks&Entire portfolio risks

Collaboration

Balances
Typical items specificto alternative assets

Alternative
investment
specific risks
Private Market

Private Market

Investment

Investment

Department

Department(investment)(risk management)· Continuous evaluation of asset
managers pre/post selection· Continuous monitoring of
portfolio construction status

Information
Sharing· Continuous monitoring ofvarious risk items andqualitative changes such asorganizational changes of asset
managers

Expertise of asset managers specific toasset class(Changes in managers’ expertise on
investment decision-making)
Organizational stability suitable for long-term
investment(Revision of management organization anddeviation from predetermined investment
process)
Validity of fair value measurement, etc.
(Changes in investee’s valuation andverification methods)
Continuity of the business environment(Changes in legal and regulatory frameworks
that could affect future cash flows of assets
held)
Examples of risk events are shown in parentheses.
(Note) Above items are especially critical foralternative investments with lower liquidity.

(Note) With respect to the basic policy of GPIF’s entire portfolio risk managements including alternative assets, refer to pages 42-46.

59

Investment Results in Fiscal 2022

6

6 Stewardship Responsibilities

Stewardship Responsibilities

In the Investment Principles and the Code of Conduct,

for supporting pension finance with an investment horizon

GPIF stipulates that we promote activities to fulfill ourof as long as 100 years) to bridge the intergenerational gap

stewardship responsibilities(hereinafter “stewardshipof contribution, it is essential for GPIF to minimize negative

activities”) with the objectives of appropriately fulfilling our

externalities of corporate activities (environmental and social

responsibilities to pension beneficiaries as their fiduciary,

issues, etc.) and to promote steady and sustainable growthand increasing investment returns over the long term. Theof the overall capital market as well as its underlying society.

Investment Principles were partially amended in OctoberExcept for some assets, GPIF makes daily transactions

2017 to stipulate that ESG (environmental, social, andand investments, and exercises voting rights, via external

governance) factors should be taken into consideration in

asset managers. For this reason, GPIF encourages

stewardship activities.

external asset managers to engage in “constructive(Note)

Chapter 1[1] Objectives and significance of stewardship activities

dialogue” (engagement) with portfolio companies andAs illustrated below, GPIF assumes stewardship
responsibilities to pension beneficiaries, while external asset

issuers that also takes into account ESG, a non-financial

managers entrusted with investment by GPIF assume

factor. Through these efforts, we aim to build a virtuous

stewardship responsibilities to GPIF.

cycle that will lead to the “growth of the overall economy”
and “enhancement of investment returns over the long

“Universal owner” and “cross-generational investor” arethe key terms for GPIF to fulfill our stewardshipterm” by promoting the “long-term enhancement ofresponsibilities appropriately. As a “universal owner” (ancorporate value.” In this way, GPIF shall continue to fulfill

investor with a very large fund size and a widely diversified

our stewardship responsibilities.

portfolio) and a “cross-generational investor” (responsible(Note) Institutional investors have stewardship responsibilities to enhance the medium- to long-term return on investments for their clients and beneficiaries byimproving and fostering investee companies’ corporate value and sustainable growth. They can do this through constructive engagement, or purposeful
dialogue, based on in-depth knowledge of the companies and their business environment and consideration of sustainability (medium- to long-termsustainability including ESG factors) consistent with their investment management strategies.

Government Pension Investment Fund, Japan (GPIF)

Fiduciary duty
Stewardship responsibility

Contribute premiums

Entrust funds(via Pension Special Account)

Fiduciary duty
Stewardship responsibility

IR(Investor Relations)Improve long-term returns

EmployerPensionbeneficiary(For listed companies)

Engagement

External asset
manager

Corporate governance code

Company

Stewardship code

Stewardship
activities

Enhance long-term corporate value

Sustainable growth of the economy[2] Stewardship activities fundamentals and progress
GPIF implemented stewardship activities on a full-scale

Investment Principles, which lay down its guiding principle

basis following the adoption of Japan’s Stewardship Codethat GPIF is committed to increasing investment returns

in May 2014. In March 2015, GPIF formulated theover the long term for pension beneficiaries by conducting
60

Investment Results in Fiscal 2022

6 Stewardship Responsibilities

various activities to fulfill its stewardship responsibilities inthat the reserves are managed and invested safely andequity investment. In September 2015, GPIF signed theefficiently from a long-term perspective” (“Basic Policy ofPrinciples for Responsible Investment (PRI) introduced byReserves”) and the 4th Medium-term Plan, the Investment

the United Nations, as part of GPIF’s efforts to enhance

Principles were revised again in April 2020. GPIF’s

ESG implementation. In October 2017, GPIF revised thestewardship activities are conducted in line with theInvestment Principles to expand the scope of stewardship

Investment Principles and the Policy to Fulfill Stewardship

activities to cover all asset classes, as it had been focused

Responsibilities, and they require external asset managers

on equity investment, and made it clear that ESG factors

to comply with Stewardship Principles and Proxy

should be considered in conducting stewardship activities.

Voting Principles.

Following the revision of “the basic policy meant to ensurePolicy to Fulfill Stewardship Responsibilities
On March 24, 2020, Japan’s Stewardship Code waspartially revised the Policy to Fulfill Stewardshipre-revised (hereinafter referred to as “re-revised Code”).

Responsibilities in June 2020. As a major change in the

The revision adds consideration of sustainability issues

Policy in line with the Investment Principles, GPIF

(medium- to long-term sustainability including ESG

expanded the scope of investment target from equities tofactors) in accordance with investment strategies to the

all types of assets. In addition, as a response to individual

definitions of stewardship responsibilities, while allowing

principles of the re-revised Code, GPIF clarified ESG

application to a wider range of assets in addition toconsiderations. GPIF will continue to fulfill responsibilities

domestic listed equities. Following the revision, GPIF

as an asset owner in line with the Stewardship Code in all

expressed our support for the re-revised Code, andasset classes.

Stewardship Principles and the Proxy Voting Principles
In June 2017, GPIF established the Stewardship Principles

circumstances of their own, the said manager is required toand the Proxy Voting Principles. The objective of these two

explain to GPIF the rationale behind the non-compliance. In

principles is to clarify the requirements and principles thatorder to fulfill our own stewardship responsibilities, GPIF

external asset managers should observe in conducting

appropriately monitors the stewardship activities of external

stewardship activities, including the exercising of voting

asset managers, including the exercise of voting rights, andrights, which is a responsibility of a super long-term asset

proactively conducts dialogue (engagement) with them. The

owner. GPIF requires external asset managers to comply

Stewardship Principles are comprised of the following

with these principles, and if an asset manager should

five items.

decide not to comply with any of them due to<Stewardship Principles>

1 Corporate Governance Structure of Asset Managers
2 Management of Conflicts of Interest by Asset Managers
3 Policy for Stewardship Activities, including Engagement
4 ESG Integration into the Investment Process
5 Exercise of Voting Rights

In February 2020, GPIF revised the Stewardship(engagement) with a wide range of stakeholders such as

Principles for the first time to expand the scope ofindex providers, and active participation in various ESG

stewardship activities, covering all asset classes, as it had

initiatives. Meanwhile, the Proxy Voting Principles made abeen focused on the equity investment, and newly call for areminder that an exercise of voting rights shall be made as

collaboration of stewardship division and investment

part of a constructive dialogue throughout the year.

division at asset managers, a constructive dialogue
61

Investment Results in Fiscal 2022

6 Stewardship Responsibilities

GPIF is founded on the Investment Principles, the Policy

will continuously examine appropriate stewardship

to Fulfill Stewardship Responsibilities, the abovementioned

responsibilities as a public pension fund and promote

Stewardship Principles, and the Proxy Voting Principles. We

activities to fulfill our stewardship responsibilities.

Starting with the signing up of PRI in September 2015,

our knowledge on ESG issues and utilize such expertise

GPIF has been participating in multiple global initiatives

for evaluating the stewardship activities of external

as follows. Through joining these initiatives, we broaden

asset managers.

Joined in October 2018

Signed in September 2015

A five-year initiative led by investors, established in
September 2017. Via dialogues with companies that are
significantly influential in formulating possible solutions
to global environmental issues, it focuses on the
improvement of climate change-related governance,
initiatives for the reduction of greenhouse gas emissions,the enhancement of information disclosure, etc.

Six principles advocated in 2006 by the late Mr. Annan,
then Secretary General of the United Nations. It demands
institutional investors to include ESG in the investment
process.

GPIF, as an asset owner, has also joined its Asia Advisory Group, which provides
the steering committee with advice on the characteristics of the Asian region.

GPIF has joined the Asset Owner Technical Advisory Committee (until
December 2022), the Global Policy Reference Group, the Japan Network
Advisory Committee, etc. In the recent assessment, we were awarded★★★★ ratings for Investment & Stewardship Policy.

Chapter 1

Participation in global initiatives

Joined the 30% Club in the UK, and the Thirty
Percent Coalition of the U.S. in November 2016.
Joined the 30% Club in Japan in December 2019.
Established to seek diversity in boards of directors, with the aimof achieving 30% female directors.

Joined in August 2019
Supported in December 2018
Established by the FSB (Financial Stability Board) at the requestof the G20 Finance Ministers and Central Bank Governors
Meeting. In June 2017, the TCFD published voluntary
recommendations to encourage information disclosure on thefinancial impact of climate-related risks and opportunities toenable appropriate investment decisions by investors.

Joined August 2019
Established by a U.S. public pension fund with theaim of promoting shareholders’ rights andcorporate governance and collaborating in the U.S.

An industry association established by institutional
investors, focusing on improvement of corporate
governance and encouragement of stewardship
activities with the aim of promoting efficient
markets and sustainable economy.

62

Investment Results in Fiscal 2022

6 Stewardship Responsibilities[3] Promotion of activities aimed at fulfilling stewardship responsibilities
Initiatives for the sustainable growth of the whole capital markets
A. Engagement by external asset managers for domestic equities
GPIF emphasizes “constructive dialogue” (engagement)

domestic equities conducted engagement with 946

between external asset managers and portfolio

companies between January and December 2022. Incompanies/issuers, taking into account ESG, which areterms of the number of companies, engagement activities

non-financial factors. The charts below show the status of

were performed with 40% of portfolio companies, and inengagement in relation to domestic equities by externalterms of market capitalization, with companies equivalent

asset managers for domestic equities (January toto 94% of the total market capitalization.

December 2022). GPIF‘s external asset managers for

Number of companies that held
dialogues

Ratio of companies that held dialogues(on a market capitalization basis)
Not holding dialogues: 6%

Not holding
dialogues:
1,401
companies;
60%

Holding dialogues:
946
companies;
40%

Number of dialogues held
(passive and active ratios)

Holding dialogues:
94%

Number of dialogues held(by theme)

Active: 18%

E(Environmental):
23%
G(Governance): 59%

Passive: 82%

63

S(Social): 18%

Investment Results in Fiscal 2022

6 Stewardship Responsibilities

B. Engagement-enhanced passive investment funds
equity passive managers need to have an environment thatGPIF has adopted “engagement-enhanced passive

allows them to continue conducting stewardship activities

investment” funds as one of our passive investment

and conducting engagement with companies in a deeper

models focusing on stewardship, and we have outsourced

and more sophisticated way. For this reason, GPIF has

asset management to the four managers below. The

introduced a passive management model that focuses onthemes of engagement and the range of target companies

stewardship. When appointing asset managers, we assess

are also expanding, and we are making steady progress

the extent to which their business models unify theon engagement that utilizes the unique characteristics ofinvestment process and a policy of stewardship activities,

each company.

together with their organizational structure and fee levels

Asset Management One Co., Ltd. (since fiscal 2018)

employed to put these principles into practice. Since the

FIL Investments (Japan) Limited (since fiscal 2018)

fee level for these asset managers is different from that for a

Sumitomo Mitsui Trust Asset Management Co., Ltd.

general passive manager, GPIF monitors the status of their(since fiscal 2021)

achievement of KPIs to measure the success ofResona Asset Management Co., Ltd. (since fiscal 2021)

engagement plans and verify and evaluate their milestones(ii) Purpose

Chapter 1(i) Status of adoption

for the next fiscal year in order to determine whether to

About 90% of GPIF’s equity is passively invested in a

renew their asset management contract on an annual basis.

wide range of listed companies. Since long-term growth of

The re-revised Stewardship Code points out that boththe overall capital market is essential for GPIF to secure

institutional investors and clients/beneficiaries should sharefurther investment returns, we believe that, in passive

the view that reasonable costs associated with the

management, it is important to increase long-term

implementation of stewardship activities are a necessary

corporate value of investee companies and, in particular, tocost of investment. It indicates that passive managers

conduct engagement in order to promote sustainable

should implement engagement more actively from agrowth of the overall capital market from a long-term

medium-to long-term perspective as it is critical for them toperspective. GPIF itself is not allowed to engage withencourage investee companies to improve their corporate

investee companies, and needs equity passive managers tovalue given their limited options for selling shares. GPIF

conduct the engagement, taking the above purpose into

fulfills its responsibilities as an asset owner, including theaccount. GPIF has come to the conclusion that domestic

adoption of these funds.

C. Assessment of stewardship activities by external asset managers for fixed income investment
The re-revised Code clearly states that the Code can beassessment is based on whether organizations and humanapplied to investments in assets other than equities.

resources for conducting stewardship activities have been

Accordingly, GPIF had considered assessment ofdeveloped, such as stewardship policies and policies andstewardship activities by external asset managers for bondsystems for managing conflicts of interest. Specifically, weinvestment. Subsequently GPIF determined thatwill confirm the following points.

stewardship activities by external asset managers for bond

Framework (organizations, management of conflicts ofinvestment would be assessed, in terms of theirinterest)

contribution to encouraging sustainable growth of investee

Endorsement status of Japan’s Stewardship Code andcompanies and thus reducing credit risks, and started thethe Principles for Responsible Investment (PRI)

assessment in FY2022.

Policy for stewardship activities

At this stage, it cannot be said that there is anestablished evaluation method for individual engagement

Response to the GPIF’s Stewardship Principles(applicable items), etc.

activities related to fixed income. Accordingly, our64

Investment Results in Fiscal 2022

6 Stewardship Responsibilities② Other activities for enhancing investment chain
To further invigorate the investment chain, GPIF started

participates in organizations that promote disclosure in

conducting a survey of listed companies on external asset

Japan. In support of the intent of the JPX ESG Knowledge

managers’ stewardship activities. As part of efforts to

Hub, we have participated as a supporter since its launch inpromote dialogues between asset managers and investee

November 2020. In February 2023, we also joined the ESG

companies, GPIF also publishes “excellent disclosures”

Disclosure Study Group.

selected by GPIF’s external asset managers, and
A. Conducting a Survey of Listed Companies regarding Institutional Investors’ Stewardship Activities＜Objective of the survey＞
As GPIF entrusts domestic equity investment to external asset

by publishing the survey results. In fiscal 2022, GPIF conductedmanagers, we request them to enhance their stewardshipthe eighth survey, by sending questionnaires to the First

activities. To ascertain how investee companies receive asset

Section of the TOPIX constituent companies (2,162

managers’ stewardship activities, including engagement, GPIF

companies*) for the purpose of assessing stewardship activities

conducted the first “Survey of Listed Companies regardingand “constructive dialogue (engagement)” of asset managers

Institutional Investors’ Stewardship Activities” in fiscal 2015, ofas well as understanding any changes during the year since the

JPX-Nikkei Index 400 companies. The purpose of this survey

previous survey. 735 companies responded (accounting for

to listed companies is to examine the validity of the stewardship

34.0%): 38.5% of Prime Market companies and 9.1% ofactivities of asset managers by directly surveying listedStandard Market companies.

companies that are the target of external asset managers’
stewardship activities and to strengthen the investment chain* The number of companies is as of December 23, 2022.

＜Summary of the results of the survey＞
The results of this survey confirm that engagement is

Community.” In particular, regarding climate change, thegrowing in various ways. One-third of respondent companies

Corporate Governance Code requires Prime Market

have received requests for dialogue with non-executive

companies to disclose information in accordance with thedirectors and outside statutory auditors (hereinafter, NEDs),

recommendations of the Task Force on Climate-related

and dialogue with NEDs actually takes place at two-thirds ofFinancial Disclosures (TCFD). Accordingly, the number ofthese companies. In addition, about 10% of companies

companies with TCFD disclosure has increased, and there

received requests for collaborative engagement (constructive

has also been progress in dialogue with institutional investors“purposeful dialogue” between multiple institutional investors

regarding the content of disclosure.

and portfolio companies), and this proportion is likely toincluded: (1) promotion of dialogue to improve corporate

develop suitable conditions for such engagement.

value over the medium to long term; (2) leadership andIn terms of the important themes of ESG activities of

disclosure to upgrade the investment chain; and (3) thecompanies, 82.3% (up 4.4% from the previous survey)

strengthening of ESG initiatives. For more details on theanswered “Climate Change,” followed by 68.0% (downresults, please refer to the website: https://www.gpif.go.jp/3.7%) for “Corporate Governance,” 57.0% (up 2.0%) for

en/esg-stw/stewardship/“Diversity,” and 44.6% (up 1.4%) for “Human Rights and65

Many respondents stated that their expectations for GPIF

increase as both investors and companies prepare andInvestment Results in Fiscal 2022

Response coverage rate

6 Stewardship Responsibilities

Response rate by company size
* Inside: based on number ofcompanies
Outside: based on market cap

85.0

Large caps

84.0

companies

28.0%

62.7

Medium caps

34.0%

65.5

Responded

24.1

Small caps

No response

0

1,427 companies
66.0%

Chapter 1

735

This survey
Previous survey

21.6
20

40

60

80

100
(%)

72.0%

Response rate by market segment

38.5

Prime

Standard

0

37.0

9.1
9.1

10

This survey
Previous survey

20

30

40

50
(%)

B. Publication of “Excellent Disclosure” selected by GPIF’s asset managers
GPIF believes that disclosure is an extremely importantcreating and enhance voluntary disclosure such as

element for investors engaging in dialogue with theirintegrated reports as well as to encourage investors toinvestee. From this perspective, GPIF has asked ourutilize such disclosure. In fiscal 2021, GPIF newly requested

external asset managers to select excellent disclosure andexternal asset managers for domestic and foreign equity

published “excellent Integrated Reports,” “Most-improved

investments to select excellent TCFD disclosure andIntegrated Reports,” etc., to encourage companies to start

published these selections.

66

Investment Results in Fiscal 2022

6 Stewardship Responsibilities[4] Material ESG issues recognized by external asset managers
In the Stewardship Principles, GPIF requires that our external

Exchange released its “Action to Implement Management

asset managers should proactively engage with investeethat is Conscious of Cost of Capital and Stock Price,” noting

companies on material ESG issues. For this reason, eachthat about half of Prime Market companies have an ROE ofyear GPIF asks our external asset managers to identify whatless than 8% and a price/book ratio of less than 1x, which

they consider to be significant ESG issues. The results forposes challenges in terms of capital profitability and growthfiscal 2022 were as follows. “Human Rights and Community”

potential. Based on these findings, Tokyo Stock Exchanges

was newly identified as important ESG issues by all passive

requested that listed companies analyze their current

managers for domestic equities. All active managers forsituation, formulate and disclose plans for improvement, anddomestic equities newly chose “Climate Change” andcontinue implementing initiatives. These requests are“Capital Efficiency” as critical issues. This means that

expected to result in an expansion of corporate initiatives and“Climate Change” is recognized as a critical issue by all asset

disclosure, and we believe they will further promote effective

managers for domestic equities. “Capital Efficiency” is also

dialogue on “Capital Efficiency,” which has long been cited asregarded as a critical issue by most asset managers fora critical issue by many outsourced investment managers fordomestic equities. On March 31, 2023, the Tokyo Stockdomestic equities.

<Passive managers ofdomestic equities><Active managers ofdomestic equities><Passive managers of
foreign equities><Active managers of
foreign equities>＜Domestic bonds＞＜Foreign bonds＞

Climate Change

100%

Climate Change

100%

Climate Change

100%

Climate Change

86%

Disclosure

100%

Climate Change

88%

Supply Chain

100%

Disclosure

100%

Disclosure

100%

Disclosure

71%

Climate Change

93%

Human Rights & Community

76%

Disclosure

100%

Minority Shareholder Rights 100%

Diversity

100%

Corporate Governance71%

Corporate Governance86%

Supply Chain

71%

Misconduct

100%

Board Structure,Self-evaluation

100%

Biodiversity

100%

Board Structure,Self-evaluation

71%

Supply Chain

71%

Pollution &Resources

65%

Corporate Governance 100%

Capital Efficiency

100%

Human Rights &Community

100%

Diversity

67%

Board Structure,Self-evaluation

71%

Corporate
Governance65%

Human Rights &Community

100%

Misconduct

86%

Health & Safety

100%

Biodiversity

57%

Human Rights &Community

71%

Diversity

65%

Diversity

100%

Diversity

86%

Deforestation

100%

Human Rights & Community

57%

Misconduct

64%

Waste Management

59%

Biodiversity

83%

Supply Chain

71%

Others (Governance) 100%

Health & Safety

57%

Labor Standards

64%

Disclosure

59%

Capital Efficiency

83%

Others (Governance)

71%

Corporate Governance

75%

Labor Standards

52%

Diversity

64%

Anti-Corruption

59%

Board Structure,Self-evaluation

83%

Corporate
Governance71%

Board Structure,Self-evaluation

75%

Environmental
Opportunities

57%

Deforestation

53%

Minority Shareholder Rights

83%

Labor Standards

71%

Labor Standards

75%

Water Stress, Water Security

53%

Environmental
Opportunities

67%

Human Rights &Community

71%

Capital Efficiency

75%

Others53%

Waste Management

67%

Waste Management

57%

Water Stress, Water
Security75%

Board Structure,Self-evaluation

53%

Water Stress, Water Security

67%

Biodiversity

57%

Others75%

Health & Safety

53%

Deforestation

67%

Environmental Opportunities

57%

Supply Chain

75%

Product Liability

53%

Anti-Corruption

67%

Pollution & Resources

57%

Risk Management

75%

Labor Standards

53%

Labor Standards

67%

Health & Safety

57%

Minority Shareholder Rights

75%

Health & Safety

67%

Environmental Opportunities

75%

Others (Social)

67%

Others (Environment)

75%

Product Liability

67%…E (Environmental)…S (Social)…G (Governance)…A multiple themes of ESG(Note 1) A survey on external asset managers for equities and bonds was conducted in December 2022.
(Note 2) T he ratios in the list above were obtained by dividing the number of external asset managers that selected the relevant issue as numerator by the numberof external asset managers of each mandate (passive/active, domestic/foreign) as denominator.
(Note 3) “ Material ESG issues” as pointed by more than 50% of the respondents are listed above. Items in red are issues pointed out by all of the respondents.
When an asset manager is entrusted to both active and passive mandates, its answer is counted as the one with larger amount of mandate by GPIF.

67

Investment Results in Fiscal 2022

6 Stewardship Responsibilities[5] Exercise of voting rights
Concept of the exercise of voting rights(environmental, social, and governance) materiality that leads to

Health, Labour and Welfare stipulate that GPIF “should takelong-term investment returns. When doing so, GPIF shall clarify

appropriate measures including exercise of voting rights whilethat stewardship activities including the exercise of voting rights

giving due consideration to influence on corporate management.”

by our external asset managers aim to improve long-term

In this regard, GPIF in its Medium-term Plan states, “GPIF itself

investment returns solely for the pension beneficiaries.”

does not exercise voting rights and instead entrusts the external

External asset managers submit the guideline for voting andasset managers with the exercise of voting rights so as to avoid

annually report voting results to GPIF. GPIF holds meetings withgiving a direct influence on corporate management. However,managers on the results, and evaluates the way in which afrom the viewpoint of further promoting its stewardship activities,

manager exercises voting rights in the annual assessment

GPIF shall conduct efficient engagement when entrusting an

meeting, considering their exercise as an item of initiatives forexternal asset manager, with an awareness of ESG

fulfilling stewardship activities.

Chapter 1

The Medium-term Objectives established by the Minister of

Exercise of voting rights in fiscal 2022
GPIF held meetings based on the reports on the status ofvoting rights,” “organizational framework,” and “the status

exercise of voting rights from April to June 2022. Based onof exercise of voting rights.” As a result, we confirmed thatthese findings, we conducted an assessment from thevoting rights were appropriately exercised.

viewpoints of “establishing of guidelines for the exercise of
The status of exercise of voting rights by external asset managers for domestic equities (from April 2022 to March 2023)
Number of external asset managers who exercised voting rights: 31 funds
Number of external asset managers who did not exercise voting rights: none
(Unit: No. of proposals, percentage)
Proposals pertaining to director
remuneration, etc.

Proposals pertaining to company organization
Proposal
External
directors

Appointmentof auditors

Number of voting
rights exercised

154,833

62,69813,347

9,057

562

Shareholder proposals Management proposals

154,365(100.0%)136,319(88.3%)
18,046(11.7%)
468(100.0%)83(17.7%)
385(82.3%)

62,434(100.0%)54,912(88.0%)
7,522(12.0%)
264(100.0%)80(30.3%)
184(69.7%)

13,285(100.0%)11,884(89.5%)
1,401(10.5%)
62(100.0%)16(25.8%)
46(74.2%)

9,022(100.0%)7,663(84.9%)
1,359(15.1%)
35(100.0%)15(42.9%)
20(57.1%)

562(100.0%)562(100.0%)0(0.0%)
0(0.0%)
0(0.0%)
0(0.0%)

Total
Approved
Opposed
Total
Approved
OpposedDirector
bonuses

Director
retirement
benefits

Grantingof stock
options

6,052

917

794

5,947
(100.0%)5,652(95.0%)
295(5.0%)
105(100.0%)23(21.9%)
82(78.1%)

917(100.0%)781(85.2%)
136(14.8%)
0(0.0%)
0(0.0%)
0(0.0%)

794(100.0%)104(13.1%)
690(86.9%)
0(0.0%)
0(0.0%)
0(0.0%)

Appointment
Directorof accounting
remuneration
auditors

Appointment
of directors

External
auditors

Proposals pertaining to capital management Proposals(excluding items pertaining to amendment pertaining toof the articles of incorporation)
amendment of

Poison Pills(Rights plan)

Other
proposals

Total

Dividends

Acquisitionof treasury
stock

Mergers,
acquisition,etc.

the articles ofincorporation

Warning
type

Trust–type633

12,841

181

521

19,818

525

0

369

211,393633(100.0%)485(76.6%)
148(23.4%)
0(0.0%)
0(0.0%)
0(0.0%)

12,636(100.0%)12,333(97.6%)
303(2.4%)
205(100.0%)44(21.5%)
161(78.5%)

0(0.0%)
0(0.0%)
0(0.0%)
181(100.0%)33(18.2%)
148(81.8%)

521(100.0%)511(98.1%)
10(1.9%)
0(0.0%)
0(0.0%)
0(0.0%)

17,898(100.0%)17,617(98.4%)
281(1.6%)
1,920(100.0%)195(10.2%)
1,725(89.8%)

525(100.0%)25(4.8%)
500(95.2%)
0(0.0%)
0(0.0%)
0(0.0%)

0(0.0%)
0(0.0%)
0(0.0%)
0(0.0%)
0(0.0%)
0(0.0%)

286(100.0%)244(85.3%)
42(14.7%)
83(100.0%)21(25.3%)
62(74.7%)

208,369(100.0%)186,517(89.5%)
21,852(10.5%)
3,024(100.0%)415(13.7%)
2,609(86.3%)(Note 1) If a proposal has multiple items to exercise, the number of votes exercised for each item is shown.
(Note 2) The figures in parentheses are percentages to the total number of votes exercised for each proposal.
(Note 3) The negative votes include 0 abstentions.

The status of exercise of voting rights by external asset managers for foreign equities (from April 2022 to March 2023)
Number of external asset managers who exercised voting rights: 47 funds
Number of external asset managers who did not exercise voting rights: none
(Unit: No. of proposals, percentage)

Proposal

Proposals pertaining to company
organization

Appointment of
Directoraccounting
remuneration
auditors

Director
bonuses

Director
retirement
benefits

Granting ofstock
options

Total

Number of voting
rights exercised

133,346

5,394

14,912

31,255

175

176

7,219

11,407

6,910

11,338

10,292

246

14,24464,569311,483

Shareholder proposals Management proposals

Appointment of Appointment of
directors
auditors

Proposals pertaining to director
remuneration, etc.

Proposals pertaining to capital management Proposals(excluding items pertaining to amendment pertaining to Poison Pills
Other proposalsof the articles of incorporation)
amendment of for warning
Approval of
Mergers,
Acquisition of
Other
type
the articles offinancialacquisition,
Dividends
treasury stock
proposals
incorporationetc.
statement, etc.

132,058(100.0%)106,579(80.7%)
25,479(19.3%)
1,288(100.0%)883(68.6%)
405(31.4%)

4,742(100.0%)4,103(86.5%)
639(13.5%)
652(100.0%)520(79.8%)
132(20.2%)

14,855(100.0%)12,692(85.4%)
2,163(14.6%)
57(100.0%)46(80.7%)
11(19.3%)

31,055(100.0%)23,272(74.9%)
7,783(25.1%)
200(100.0%)43(21.5%)
157(78.5%)

175(100.0%)146(83.4%)
29(16.6%)
0(0.0%)
0(0.0%)
0(0.0%)

146(100.0%)120(82.2%)
26(17.8%)
30(100.0%)3(10.0%)
27(90.0%)

7,192(100.0%)4,448(61.8%)
2,744(38.2%)
27(100.0%)18(66.7%)
9(33.3%)

11,357(100.0%)11,088(97.6%)
269(2.4%)
50(100.0%)7(14.0%)
43(86.0%)

6,908(100.0%)6,627(95.9%)
281(4.1%)
2(100.0%)1(50.0%)
1(50.0%)

11,321(100.0%)9,423(83.2%)
1,898(16.8%)
17(100.0%)5(29.4%)
12(70.6%)

9,568(100.0%)8,284(86.6%)
1,284(13.4%)
724(100.0%)283(39.1%)
441(60.9%)

245(100.0%)214(87.3%)
31(12.7%)
1(100.0%)1(100.0%)0(0.0%)

14,244(100.0%)13,571(95.3%)
673(4.7%)
0(0.0%)
0(0.0%)
0(0.0%)

58,278(100.0%)49,441(84.8%)
8,837(15.2%)
6,291(100.0%)2,896(46.0%)
3,395(54.0%)

302,144(100.0%)250,008(82.7%)
52,136(17.3%)
9,339(100.0%)4,706(50.4%)
4,633(49.6%)

Total
Approved
Opposed
Total
Approved
Opposed(Note 1) Total number of votes exercised does not include the number of voting rights that were not exercised.
(Note 2) If a proposal has multiple items to exercise, the number of votes exercised for each item is shown.
(Note 3) The figures in parentheses are percentages to the total number of votes exercised for each proposal.
(Note 4) The negative votes include 5,633 abstentions.

68

Investment Results in Fiscal 2022

7

7 ESG Activities

ESG Activities[1] Basic approach

Universal owner• GPIF is an investor with a very large fund size and a widely diversified portfolio.

Cross-generational investor• GPIF is responsible for supporting pension finance with an investment horizon of
as long as 100 years, over several generations.
As a “Universal owner” and “Cross-generational investor,”

investment, referring to an investor with a well-diversified

GPIF is committed to promoting ESG investment in order

portfolio that largely represents the world’s capital market.

to reduce negative externalities such as environmental

GPIF is a typical “universal owner” with a broadly diversified

and social issues, to improve the long term return of theportfolio comprised of equities and bonds of the majorities of

portfolio across all assets. “Universal owner” is a term

Japanese listed companies and major foreign companies.

often used in relation to pension management and ESG
The number of securities owned by GPIF (as of the end of March 2023)
4,000(The number of securities)

3,366

3,500
3,000
2,500

2,160

2,312

2,651

2,000
1,500
1,000
500
0

69

TOPIX

Domestic equities
owned by GPIFMSCI ACWI
Foreign equities(excluding Japan) owned by GPIF

For instance, if the share prices of some portfolio

great benefits for GPIF to integrate ESG factors into its

companies increase as a result of conducting business

investment process as a cross-generational investor

activities without paying attention to their large impacts

responsible for supporting pension finance designed withon the environment and society for the sake of shortterm

time horizon of as long as 100 years. In other words,

revenue expansion, and society and the economy as aconducting ESG activities that is expected to improve

whole, including other companies, are negatively affectedrisk-adjusted returns of the portfolio over the long termby such activities, the overall portfolio of a universal

by reducing the impact of negative externalities suchowner will be significantly impaired. In other words,

as environmental and social issues in capital markets isthe sustainability of the capital market and society is aconsistent with the objective of the Employees’ Pension

prerequisite for the sustainability of universal owners’

Insurance Act and the National Pension Act to “manage

portfolios. The “universal ownership,” the concept thatpension reserves safely and efficiently from a long-term

universal owners conduct ESG activities proactively toperspective solely for the pension beneficiaries.” GPIF willcontrol and minimize such negative externalities—lies

continue to promote ESG in its investment.

at the core of GPIF’s ESG investment. In addition, theGPIF conducts ESG activities not only for equities

longer the ESG risks persist, the more likely it is that

but also for other asset classes, including bonds andthey will materialize. Therefore, we consider that it hasalternative assets.

Investment Results in Fiscal 2022

7 ESG Activities

In order to evaluate these ESG initiatives to confirm

basic policy that is meant to ensure that the reserves are

the effect of investment while ensuring the transparency,

managed and invested safely and efficiently from a long-

GPIF has published the ESG Report since fiscal 2018.

term perspective (hereinafter referred to as the “Basic

In fiscal 2022, we published ESG Report 2021, the 5th

Policy of Reserves”) announced in accordance with theissue. GPIF expressed our support for the declaration of

Employees’ Pension Insurance Act. The Basic Policy

the Task Force on Climate-Related Financial Disclosuresof Reserves was revised in February 2020, stipulating(TCFD) in 2018, and has published the disclosure in linethat the sustainability of investee companies and thewith the TCFD recommendations, starting from ESG

overall markets will be critical for the improvement ofReport 2018. ESG Report 2021 presents not only thelong-term investment returns in the management of

performance of ESG indexes and other direct investment

pension reserves. It also stipulates that the reserve funds

results, but also quantitative analyses of trends in ESG

shall implement the necessary initiatives by individually

ratings of portfolios and Japanese companies, etc.

examining the promotion of investments that consider

A wide range of analysis of climate change risks andESG (environmental, social, and governance) as

opportunities are provided in the “ESG Report” as well as

nonfinancial factors in addition to financial factors, fromin the “FY2021 Analysis of Climate Change- Related Risks

the viewpoint of securing long-term investment returns for

and Opportunities in the GPIF Portfolio.”

the interest of pension beneficiaries, adding provisions on

GPIF will continue verifying the effect of ESG initiatives

specific ESG considerations (applicable from April 2020).

to improve ESG related activities. Recently, among climate

Evaluation of ESG promotion activities requires thechange related risks and opportunities and governancefollowing perspectives: (1) it takes a long period of time forthemes, investors and companies have been showing

the effects of ESG investment to materialize; and (2) ESG

interest in initiatives and information disclosure related toinvestment is also aimed at improving the sustainability

natural capital and human capital. GPIF will continue toof the entire capital market. These perspectives are

keep a watchful eye on these new movements, especiallydifferent from general investment evaluation of how muchfrom the perspective of effects on GPIF’s portfolio.

Chapter 1

GPIF shall manage pension reserves in line with theinvestment returns are generated over a certain period.
FY2021 Analysis of Climate Change-Related Risks and Opportunities in the GPIF Portfolio

Expansion of
ESG investment

Improving thesoundness of pension
finance

Building
sustainable
society

Improvement ofrisk-adjusted returns

Increasing
incentives to enhance theresponse to ESG
by companies

Improvement of the
ESG evaluation ofcompanies

70

Investment Results in Fiscal 2022

7 ESG Activities[2] Passive investment based on ESG indexes
In fiscal 2017, GPIF selected two comprehensive indexes

Gender Diversity Index (“GenDi”). In fiscal 2021, we began

and one thematic index focused on gender diversity forpassive investment in domestic equities based on the FTSE

domestic equities, and commenced passive investment

Blossom Japan Sector Relative Index, a comprehensive

tracking those indexes. The selection criteria for the ESG

ESG index for domestic equities.
In fiscal 2022, after a review of thematic indexes forindexes included economic rationality based on theriskreturn profile of each index and the possibility of thesedomestic equities, we selected the following index andindexes to boost the equity market in Japan throughbegan passive investment of domestic equities based on

improvement of ESG evaluation.

this index, while also rebalancing within passive investment
tracking the ESG indexes.

In fiscal 2018, with climate change increasingly becoming
serious, GPIF selected the S&P/JPX Carbon Efficient Index

As of the end of fiscal 2022, total ESG index-basedfor domestic equities and the S&P Global Ex-Japan Large

investments have grown to approximately ¥12.5 trillion.

Midcap Carbon Efficient Index for foreign equities. These are

Theme

equity indexes designed to measure the carbon efficiency ofIndex Name

Thematic Morningstar Japan ex-REIT Gender Diversity Tilt Index

companies (greenhouse gas emissions divided by revenues)
in the indexes and GPIF commenced passive investment<Characteristics of the Index>① The weighting of constituent stocks is adjusted based

tracking those indexes.
Moreover, in fiscal 2019, GPIF announced the launch ofon the Equileap assessment of companies’

the “Index Posting System” (IPS)−a new framework forcommitment to gender diversity.

collecting index information on a continuous basis−in order 28 companies are eligible for the index, covering a②9broad spectrum of domestic equities.

to efficiently gather various index information for the purposeof enhancing our overall fund management.

③ Industry sectors are neutrally weighted, achieving low
tracking error and a low portfolio turnover rate.

In fiscal 2020, the Board of Governors passed a
resolution on “Practical Guidelines for the Selection of ESG
indexes” setting forth basic policies for selecting ESG

We hope that these ESG indexes will serve as anindexes and, in accordance with these guidelines, GPIF

incentive for various companies to introduce ESG into

began passive investment in foreign stocks tracking thecorporate management, and eventually improve

MSCI ACWI ESG Universal Index and the Morningstar

corporate value in the long run.

List of selected ESG indexes
Thematic indexes

Comprehensive indexes

FTSE Blossom
Japan Index

E( Environmental )S&P/JPX
Carbon EfficientIndex Series

FTSE Blossom
Japan Sector Relative Index
MSCI JapanS( Social )MSCI Japan Empowering
Women Index (WIN)ESG SelectLeaders Index
MSCI ACWIESG Universal Index

71

G( Governance )Morningstar Gender
Diversity IndexSeries (GenDi)

Investment Results in Fiscal 2022

7 ESG Activities

Domestic Equities：Comprehensive Indexes
FTSE Blossom
Japan Index

FTSE Blossom
Japan Sector
Relative Index

Index
Construction
Constituent
universe(parent index)
Number of index
constituents
Assets undermanagement· The MSCI Japan ESG Select Leaders Index is acomprehensive ESG index that integrates various
ESG risks into today’s portfolio. The index isbased on MSCI ESG Research used globally bymore than 1,000 clients.
· The index is comprised of stocks with relatively
high ESG scores in each industry.

Best-in-class

Best-in-class

Best-in-class

FTSE JAPAN ALL CAP INDEX[1,423 stocks]

FTSE JAPAN ALL CAP INDEX[1,423 stocks]

MSCI JAPAN IMI[1,083 stocks]

255

530

249

¥1,030.5 billion¥1,001.6 billion¥2,056.2 billion

Chapter 1· This index uses the ESG assessment scheme· Assessments are performed based on FTSE
used in the FTSE4Good Japan Index Series, which Russell’s ESG rating which FTSE Blossom Japan
has one of the longest track records globally for
Index also uses. For the companies with high
ESG Russell indexes.
carbon intensity (greenhouse gas emissions/Concept andsales), management attitude toward climatecharacteristics of · It is a comprehensive ESG index that selects
index
stocks with high absolute ESG scores and adjusts change risks/opportunities is also assessed.
industry weights to neutral at the industry level.
· The index selects stocks with relatively high ESG
ratings within each industry, and adjusts industry
weights to neutral.

MSCI Japan ESG SelectLeaders Index

Domestic Equities：ESG Thematic Indexes (women’s advancement/climate change)
MSCI Japan
Empowering
Women Index (WIN)· MSCI calculates the gender-diversity scoresbased on information disclosed under the Act
on Promotion of Women’s Participation andAdvancement in the Workplace and selects
Concept andcharacteristics of companies with higher gender diversity scoresfrom each sector.
index· T he first index designed to cover a broad range offactors related to gender diversity.
Index
Construction
Constituent
universe(parent index)
Number of index
constituents
Assets undermanagement

Morningstar Japan ex-REIT Gender
Diversity Tilt Index("GenDi J")

S&P/JPX
CarbonEfficient Index· Domestic equities index that determines· Constructed by S&P Dow Jones Indices based
investment weighting based on assessment ofon carbon data provided by Trucost, a pioneer incompanies’ commitment to gender equality, using environmental assessment.
the Equileap Gender Equality Scorecard.
· This index is designed to overweight companies· Ratings are conducted in four categories: (1)that have lower carbon footprints (annual
gender balance in leadership and workforce;greenhouse gas emissions divided by annual(2) equal compensation and work-life balance;
revenues) and that actively disclose their carbon(3) policies promoting gender equality; and (4)emission information.
commitment, transparency, and accountability.

Best-in-class

TiltedTiltedMSCI JAPAN IMI TOP 700[699 stocks]

Morningstar Japan ex-REIT Index[928 stocks]

TOPIX[2,160 stocks]

374

928

1,832

¥649.2 billion¥520.6 billion¥1,643.4 billion

Foreign Equities：Comprehensive Indexes and ESG Thematic Indexes (women’s advancement/climate change)
MSCI ACWI ESG Universal
Index· One of MSCI’s flagship ESG indexes, thiscomprehensive index adjusts the weight of
constituents based on each issuer’s current ESG
rating and ESG trends to elevate the ESG metrics
Concept andcharacteristics of of the index overall.
index· T he index was developed for large investors
seeking to enhance ESG integration whileachieving the same level of investment
opportunity and risk exposure as the parent index.

Morningstar Gender
Diversity Index (“GenDi”)

S&P Global
Ex-Japan
LargeMidCap
Carbon Efficient Index· Foreign equities index that determines· Constructed by S&P Dow Jones Indices based
investment weighting based on assessment ofon carbon data provided by Trucost, a pioneer incompanies’ commitment to gender equality, using environmental assessment.
the Equileap Gender Equality Scorecard.
· This index is designed to overweight companies· R atings are conducted in four categories: (1)that have lower carbon footprints (annual
gender balance in leadership and workforce;greenhouse gas emissions divided by annual(2) equal compensation and work-life balance;
revenues) and that actively disclose their carbon(3) policies promoting gender equality; and (4)emission information.
commitment, transparency, and accountability.

Index
Construction

TiltedTiltedTiltedConstituent
universe(parent index)

MSCI ACWI ex Japan ex China A
ESG Universal with Special
Taxes Index[2,148 stocks]

Morningstar® Developed Markets
Ex-Japan
Large-Mid[1,965 stocks]

S&P Global Ex-Japan LargeMidCap[3,174 stocks]

2,087

1,938

2,136

¥1,655.0 billion¥488.4 billion¥3,477.0 billion

Number of index
constituents
Assets undermanagement(Source) Prepared by GPIF based on FactSet, etc.
(Note) Number of index constituents and assets under management are as of March 31, 2023.

72

Investment Results in Fiscal 2022

7 ESG Activities

GPIF believes that in order to encourage companies toproviders to publicly disclose ways in which they conduct

address ESG issues and disclose information proactively, it

ESG evaluation and construction of indexes, and tois important to help them deepen their understanding of theproactively engage with companies. It is hoped that this will

principles of ESG evaluation and index construction. To

lead to improvement in responses to ESG issues andpromote such understanding, GPIF requests for index

information disclosure by Japanese companies.

Data Verification Rate of Companies by Countries in the ESG Evaluation Process

South Korea (98)Japan (237)Germany (56)France (65)
United States (619)
Taiwan (88)Canada (88)
India (113)
United Kingdom (81)
China (655)Australia (59)
0

10

20

30

40

50

60 (%)

Reproduced by permission of MSCI ESG Research LLC ©2023. All rights reserved.
(Note) Universe is MSCI ACWI constituent companies. The above graph shows only the major countries with 50 or more MSCI ACWI
constituent companies. The percentages are calculated using the number of companies that submitted data for verification on
the Issuer Communication Portal (ICP) in 2022 and the number of constituents in the index as of the end of December 2022.
The number of constituents is shown in parentheses.

(Column) “Measuring the Effects of Stewardship Activities and ESG Investment Project”
It takes a long time for stewardship activities and ESG investment to produce tangible results such as improving thesustainability of financial markets and boosting risk-adjusted returns. Therefore, to appropriately implement the PDCA
cycle (Plan → Do → Check → Act) for stewardship activities and ESG investment, it is crucial to examine issues such aswhether GPIF’s activities are connected with companies’ behavioral changes and higher ESG ratings, including causal
effect between the two as a first step, without waiting for eventual outcomes such as more sustainable financial markets
and higher boosting of risk-adjusted returns.
After the elapse of an appropriate period for data accumulation since the start of our stewardship activities and ESG
investment, we have decided to collaborate with external consultants and researchers from academia to implement a
review of the effects of these initiatives using statistical methods such as causal inference. The project is planned to launchin or after fiscal 2023. Through the appropriate implementation of the PDCA cycle, we will continue to improve and revise
our stewardship and ESG investment initiatives.

Measuring the effectsof stewardship
activities

Measuring the effectsof ESG investment

Project Themes

Details (Examples)

Verification of the effects of engagement

Research into causal effect on ESG ratings andimprovement of corporate value, caused byengagement

Verification of the exercise of voting rights
by asset managers

Trend analysis in voting behavior differences forcompanies with which they have a potential
conflict of interest and other investee companies

Verification of the effects of passive equity Analysis of the effects of ESG investment on
investment based on ESG indexes
corporate behavior
Research into ESG factors that contributeto improving corporate value andinvestment returns* Project themes and the timing of project implementation are subject to change

73

Research into the causal effect between ESG
factors and corporate value/ investment returns

Investment Results in Fiscal 2022

7 ESG Activities[3] ESG integration in fixed income investment
agencies. As of March 31, 2023, we have built

provides asset managers with an opportunity to invest

investment platforms with ten multilateral developmentin green, social, and sustainability bonds issued bybanks and six government finance agencies. The

multilateral development banks including the World

investment in green bonds, social bonds (including

Bank Group and government finance agencies of

COVID-19 bonds issued to finance solutions to theindividual countries, which provide external asset

challenges from COVID-19) and sustainability bonds

managers with an opportunity for ESG integration inthrough these platforms reached ¥1.9 trillion as of the

fixed income investment and obtaining excess returns.

end of March 2023 (calculated by GPIF based on

This initiative started with entering into a partnership

Bloomberg data for bonds in compliance with

with the International Bank for Reconstruction andprinciples, etc. of International Capital Market

Development (IBRD) and the International Finance

Association (ICMA)).

Corporation (IFC) in April 2019, both members of the

Chapter 1

GPIF has established an investment platform which

GPIF promotes ESG integration not only in equity

World Bank Group, and then expanded to major

investment but also fixed income and other asset

multilateral development banks including the European

classes in order to reduce the negative impacts ofInvestment Bank (EIB) and the Asian Development

environmental and social issues on capital markets,

Bank (ADB). In addition to this, in 2019, GPIF also

and improve long-term returns of our entire investment

established partnerships with government financeassets.

74

Investment Results in Fiscal 2022

8

8 Other Major Initiatives

Other Major Initiatives[1] Call for applications for external asset managers and their management
Call for applications through the Asset Manager Registration System
A. Status of registration from the Asset Manager Registration System
The number of
entries

GPIF introduced the Asset Manager Registration Systemthat covers all four traditional asset classes in February
2018. The status of registration of external asset
managers as of the end of fiscal 2022 is as listed in thetable.

The number of
information provided

Domestic bonds

5

6

Foreign bonds

284

16

Domestic equities

44

4

Foreign equities

392

35

Public REITs

16

2

B. Selection of asset managers for four traditional asset classes
With the aim to improve the long-term return from thepassive domestic bond funds, four passive foreign bondoverall assets under management, we selected threefunds, and 19 active foreign equity funds in fiscal 2022.

C. Call for applications for managers of alternative assets
GPIF has been calling for applications for asset

real estate mandate in fiscal 2018, one external asset

managers who will implement multi-manager investment

manager for a global PE mandate in fiscal 2019, one

strategies for alternative assets (infrastructure, private

external asset manager for a global PE mandate and one

equity, and real estate) since April 2017, with the aim ofexternal asset manager for a foreign real estate mandate

improving efficiency through investment diversification.

in fiscal 2020, one external asset manager for a

Following the selection of one external asset manager fordomestic PE mandate in fiscal 2021, and one externala domestic real estate mandate and three external asset

asset manager for a foreign real estate mandate in fiscal

managers for an infrastructure mandate in fiscal 2017,2022. We have started investing in those assets.

GPIF selected one external asset manager for a foreign
Flexibly adopt new
asset managers

GPI F
Data Entry

75

Assessment

New Manager

New Manager

New Manager
New Manager

Evaluation

Data Management

Existing Manager

Existing Manager

New Manager

Existing Manager

Existing Manager

New Manager

Existing Manager

Existing Manager

Competition

Investment Results in Fiscal 2022

8 Other Major Initiatives

The selection process and screening criteria for external asset managers
B. In accordance with Stewardship Principles witheffectively, GPIF shall specify the profiles anda provision of “ESG Integration into Investment

investment capabilities of products and managers

Process” requesting ESG integration to external asset

to select. In the first screening process, we check

managers, GPIF shall assess whether they integrate

necessary qualification conditions of the applying

ESG in investment analysis and investment decisions

managers. Then, in the second screening process, we

explicitly and systematically on “Investment process,”

examine the content of the application materials. Then,

which is one of assessment criteria.

Chapter 1

A. In order to conduct each selection quickly andcandidates are narrowed down to the third screening
process, where we do thorough investigation
for the final decision of selection. We used to
finalize comprehensive assessment and adoption
simultaneously, but has started to finalize only anassessment in the third screening process, and thenmake a final decision by considering the compositionof external asset managers, so that we could improvethe consistency of assessment.

Selection Process for Asset Managers
Calling for applications through the Asset Manager Registration System

Decision on selection criteria
Investment Committee decides on the profiles and investment capabilities
required for products and managers.

Assessment criteria
Qualitative assessment that takes
into account quantitative
performance
Investment policies

First screening
Based on the documents submitted by asset managers that applied for theAssert Management Registration System, asset managers subject to thesecond screening will be selected.
• Requirements for public invitation, such as approval under relevant laws and regulations• Investment performance, etc.

Second screening
Based on carefully examined documents submitted by asset managers andinformation from an external database, as well as the results of interviews, if
necessary, and screening to check if the profiles and investment capabilities
meet the requirements, asset managers subject to the third screening will beselected.

Investment process(including ESG integration)
Organization and human resources
Internal control
Stewardship activities
Administrative operation system
Information security measures
Information provision, etc.
Investment management fees

Third screening
Interview will be conducted at the applicants’ office to assess their investment
system, capabilities, and the adequacy of their investment management fees
to finalize the comprehensive score.

Assignment of asset manager
Based on the composition of external asset managers from the perspective of
appropriate investment size and diversification of risk styles, asset managers
will be assigned.
The results of selection will be reported to the Board of Governors.

76

Investment Results in Fiscal 2022

8 Other Major Initiatives

Management and assessment of external asset managers, etc.
A. Management and assessment of external asset managers
For the management of external asset managers, GPIF

foreign equities, owing to management and investment

requires the periodic submission of reports on the status

reasons. In addition, we cancelled one existing fund in

of investment results and risks, confirms the status ofaccordance with our selection passive funds forcompliance with investment guidelines and others, anddomestic bonds.

holds meetings and receives explanations as necessary.

Oversight of transition managers among the external

We conduct annual overall assessments as well. In

asset managers is carried out by requesting submission

fiscal 2022, we took appropriate measures, includingof reports related to transactions when carrying out

requesting improvements to one active fund for foreigntransitions, checking on transaction costs andbonds whose assessment was below a certain level, andcompliance with investment guidelines, holding meetings

confirming improvements of one passive fund for domestic

as necessary to receive explanations, and so forth.
The remuneration system for active managers is

equities, whose assessment was low in the previous fiscal
year, and raising its assessment accordingly.
In addition to the overall assessment, we also

based on a remuneration rate proportional to excess
return (i.e., performance-linked remuneration), andcanceled one active fund for domestic bonds, three

remuneration is on par with that for passive managers

active funds for foreign bonds, and one active fund for(i.e., base remuneration) if excess return is not earned.

B. Management and assessment of custody service providers
GPIF manages custody service providers by conducting

organizations, human resources, operational structures,

regular meetings, including online meetings, at whichinternal controls, asset management systems, global

explanations are received on the progress of operations

custody, and information security measures. Based on

and such topics, and holding other meetings as needed

the information received, we conduct comprehensive

to address specific issues. In addition, GPIF requests theevaluations of each custody service provider based on

submission of materials pertinent to custody services

operational policies with an understanding of eachonce a year to ascertain the custody service providers’custody service provider’s strengths and issues.

C. Reviewing our asset management activities
In recent years, as GPIF’s investment activities has

diversification and sophistication of our investments andbecome more diversified and sophisticated, theto enhance the effectiveness of our communications withapproaches taken by custody service providers has

external asset managers, it is necessary to collectbecome more complicated. Facing this trend, GPIF has

transaction data more promptly than ever for risk

been optimizing our use of custody service providers

analysis and other purposes. For this reason, we have(including the ones for global custody services) toestablished systems to collect data for investment

accommodate further diversification and sophistication indecision, aside from accounting data collected from

our investments, based on comprehensive evaluations ofcustody services providers, and we will continue

the custody service providers and other factors including

studying how to approach operations related to the

management costs and business continuity plans (BCP).

acquisition of data.

To precisely manage risks associated with the further(Note) For the list of external asset managers, refer to pages 90∙91.

77Investment Results in Fiscal 2022

8 Other Major Initiatives[2] Promoting research and study
Research
In fiscal 2022, GPIF conducted the following two studies.
(Note) For the details of researches, refer to the website: https://www.gpif.
go.jp/en/investment/research/.

Chapter 1

GPIF believes it necessary to conduct research andamass the know-how gained for safely and efficiently
managing and investing pension reserves for the future.

A. Research related to quantitative analysis of the market impact of stock lending
In order to fulfill our stewardship responsibilities,
GPIF requires external asset managers to work forthe enhancement of long-term corporate value by
appropriately exercising voting rights in all of theirshareholdings and engaging in constructive dialogue(engagement) with portfolio companies not just atGeneral Meetings of Shareholders, but throughout theyear.
Owing to issues such as the transfer of ownershipto borrowers and the lack of consistency withstewardship responsibilities, we suspended thelending of foreign equities in December 2019,
following multiple discussions by the Board ofGovernors. Subsequently, as a result of discussions by
the Board of Governors, we decided to quantitatively
verify the impact of suspending stock lending on themarket based on data.
In light of this background, we conducted research
related to a quantitative analysis of the market
impact of the suspension of stock lending, as well as
qualitative analysis of the consistency of stock lending
with ESG and stewardship responsibilities.
We analyzed the quantitative impact on the stock
market and the stock lending market using statisticalmethods like a difference-in-difference analysis (DID
method). With regards to the qualitative aspects, wesurveyed the literature and conducted interviews withstakeholders.
We will consider our approach to stock lending
based on the results of this research.
Commissioned to: EY Strategy and Consulting Co., Ltd.

B. Research related to the consideration of ESG and SDGs in investment
GPIF has promoted ESG (Environmental, Social,and Governance) factors – non-financial factors– incorporated investments with a thought that asustainable growth of investees and the entire market isessential to achieve long-term expansion of investment
return for the pension reserve investment management.
Sustainability-related fields such as ESG and SDGs
are connected with a diverse range of research fields:
not only conventional fields such as economics,
finance, and financial engineering but also new areas
such as environmental economics, climate science,and urban engineering. Active efforts are also being
made to leverage data science to quantify non-financial
information, which has been difficult to quantify so far.
In fiscal 2022, given this situation, GPIF embarked
on a High-Level Study on the Integration of ESG
and SDGs in Investment. In this high-level study, we
conducted a wide-ranging survey of current academic
research on the performance of investments in thesustainability field, including ESG and SDGs, to gain anunderstanding of the outline of representative papers
published in Japan and overseas, and ascertain trends inanalytical methods, etc. We also reviewed representative
academic papers from Japan and overseas related to
the following themes (1) to (3), which GPIF considers
particularly important for promoting ESG investments
and stewardship activities. Through this review, wedeveloped an understanding of the details of analysis

methods and research results, etc.
 erifying whether ESG investments generate(1) V
excess returns(2) V erifying the risk mitigation effects of ESG
investments(3) V erifying the effectiveness of engagement
We also separately collected information on otherinteresting topics as necessary.
As a result, we learned the fact that many studies
have shown positive relationship between ESG andinvestment performance, forming a consensus (inparticular on the risk mitigation effects and the effects
of engagement, more than 90% of the papers showed
positive results).
This high-level study also suggested that research
results are likely to vary due to different approaches(region of analysis, data period, author affiliation, etc.).
In addition, we were able to gain useful insights
for future studies and analyses at GPIF. These
include examples of research using causal analysis
for engagement impact, as well as prior research
considering spillover effect and market risk control
effect, as ways of measuring market raising effects of
ESG investments.
GPIF will refer to these results as we consider thepromotion of ESG investments and stewardship activities.
Commissioned to: Mizuho–DL Financial Technology
Co., Ltd.
78

Roles and Organizational Operation ofChapter 2 Government Pension Investment Fund
1

GPIF’s Roles in the Public Pension Scheme[1] GPIF’s position
The pension finance system and GPIF
Japan’s public pension scheme is fundamentally managed

the sustainability of the public pension system is designed toas a pay-as-you-go system that incorporates the concept

be improved (Note).

of intergenerational support, whereby pension premiums

There are three laws relevant to investment of pension

collected from working generations support elderly

reserve: the Employees’ Pension Insurance Act; the National

generations, instead of the advance funding method

Pension Act; and the Act on the Government Pension

whereby funds required to cover pension benefits are

Investment Fund as an Incorporated Administrative Agency

accumulated in advance.

(hereinafter the “Act on the Government Pension Investment

Under the pay-as-you-go pension system, it is not

Fund”). These laws provide that “the pension reserve shall be

generally necessary to hold a large amount of reserve funds,

managed safely and efficiently from a long-term perspective

aside from a payment reserve. However, to respond tosolely for the pension beneficiaries” (Employees’ Pension

changes in the population and economy appropriately, andInsurance Act and National Pension Act) and “the pension

to prepare for further declining birthrate and aging population

reserve shall be managed safely and efficiently” (Act on the

expected in the future, GPIF holds certain amount of reserve

Government Pension Investment Fund). Accordingly, thefunds in the public pension scheme, while being managed

most fundamental legal requirement for management ofunder a pay-as-you-go system. It is stipulated that thethe pension reserve is “safe and efficient management of

portion of pension premiums not allocated to benefits will bepension reserve from a long-term perspective.”

invested as reserve funds to stabilize pension finance.
Japan’s declining birthrate and aging population are

As is the case in other incorporated administrative agencies(Act on General Rules for Incorporated Administrative

progressing faster than in any other country. Under the

Agencies), the relevant minister lays out the objectives of GPIF

pension system revision implemented in 2004 (hereinafter

for a set period of time. “Objectives to be achieved by GPIF”

the “revision of 2004”), the pension premium level will

(hereinafter the “Medium-term Objectives”), established by theremain fixed into the future and the finite period of financial

Minister of Health, Labour and Welfare, stipulates that “GPIF

equilibrium is set to be approximately 100 years, covering

is required to achieve a long-term real return (net investment

the period until the current population would finish receiving

yield on the pension reserve fund less the nominal wage

the pension premium. This measure was implemented in

growth rate) of 1.7% with minimal risks based on the current

order to balance the pension finance over 100 years (thestatus and outlook for pension finance.” In light of thesefinite financial equilibrium method). However, the fixing of

requirements, GPIF, in its Medium-term Plan, establisheda funding source for future pension benefits also makes

the asset allocation (policy asset mix) from a long-term

the amount of fund fixed. Therefore, a mechanism toperspective, on the premise of portfolio diversification, andautomatically adjust the pension benefit and premium

carries out investment and management of pension reserve

contribution (Macro-Economic Slide Formula) was also

based on the policy asset mix.

adopted in the revision of 2004. Through these measures,(Note) For the revision of 2004 and the details of public pension scheme, refer to the website of the Ministry of Health, Labour and Welfare: https://www.mhlw.go.jp/
index.html.

79

Roles of reserve fund in pension finance
The reserve fund is to be used to stabilize pension

is funded by pension premiums and government

finance. In the current system that aims at balancing

contributions for the year, while the financial source

pension finance in about 100 years, as mentioned above,

obtained from the pension reserve (repayment of trust

a fiscal plan is drawn up to use the pension reserve.

money or payment to national treasury) accounts for

Under this plan, investment returns on the reserve fundabout 10 percent. The reserve fund may not be reduced

should be paid as part of pension benefits initially. In

for about the next 50 years or so. Moreover, GPIF owns

addition to investment returns, the accumulated funda sufficient reserve fund necessary for the payment

will be gradually withdrawn, after a set period of time.

of pension benefits, and therefore short-term market

Ultimately, after 100 years or so, it is expected tofluctuations associated with the investment of pension

maintain a reserve fund equivalent to one year of pension

reserve do not affect payments for beneficiaries. In otherbenefits. About 90 percent of the financial source ofwords, an unrealized gain or loss in a specific year may

pension benefits (the average of approximately 100

not be reflected in the amount of pension benefits in theyears based on the assumption of financial verification)

following year.
Chapter 2[ 2 ] Regulatory requirements for pension reserve management and outline of Medium-term Objectives and Medium-term Plans
Basic Policy for Investment Management
The Employees’ Pension Insurance Act stipulates thatsolely for the beneficiaries. The Act on the Government

the pension reserve fund, part of the premium collected

Pension Investment Fund provides that GPIF must consider

from the pension beneficiaries, is a valuable source of

the impact of the management of the reserve fund on

funding for future pension benefits, and the purpose of

the markets and activities by other private sectors. The

investing the reserve funds is to contribute to the future

Medium-term Objectives of GPIF also stipulate that GPIF is

stability of the public pension scheme through stable

not allowed to select individual stocks in equity investment.

and efficient management from a long-term perspective

Article 79–2 of the Employees’ Pension Insurance Act (the same philosophy is stipulated in Article 75 of the National Pension Act)“... the pension reserve, a part of the premiums collected from the pension beneficiaries, is a valuable source of funding
for future pension benefits and... the purpose of the fund is to contribute to the future stability of management of the
Employees’ Pension Insurance through stable and efficient management from a long-term perspective solely for thepension beneficiaries of the Employees’ Pension Insurance.”
Article 20, Paragraph 2 of the Act on the Government Pension Investment Fund“... GPIF must consider generally recognized expertise and domestic and overseas macroeconomic trends,
as well as the impact of the pension reserve on the markets and other private sector activities, while avoiding
concentration on any particular style of investment. GPIF’s investment management should also satisfy theobjectives under Article 79–2 of the Employees’ Pension Insurance Act and Article 75 of the National Pension Act.”

In light of these requirements, GPIF establishes thefor Local Government Officials, and the Promotion andpolicy asset mix in the 4th Medium-term Plan for the

Mutual Aid Corporation for Private Schools of Japan.

five years from fiscal 2020 to fiscal 2024 from a long-

In addition to the formulation and publication of theterm perspective, based on the philosophy of diversified

specific policies on the management and investment ofinvestment. It is regarded that GPIF should take into

its pension reserve fund (Operation Policy), the Medium-

consideration the reference portfolio jointly established byterm Plan requires GPIF to review the Operation Policy

GPIF, the Federation of National Public Service Personnel

in a timely and proper manner in light of changes in the

Mutual Aid Associations, the Pension Fund Association

economic environment and revise it promptly as required.

80

Roles and Organizational Operation of Government Pension Investment Fund

1 GPIF’s Roles in the Public Pension Scheme

Investment objectives, risk management, ensuring transparency and others
In the 4th Medium-term Objectives for the period fromand GPIF shall follow the concept that the sustainability offiscal 2020 to fiscal 2024 stipulate that the pension

investee companies and the overall markets will be criticalreserve must achieve a long-term real return (netfor the expansion of long-term investment returns in theinvestment yield on the pension reserve fund less the

management of pension reserves. Accordingly, GPIF shallnominal wage growth rate) of 1.7% with minimal risks

promote investments that consider ESG (environmental,

based on the financial verification. The 4th Medium-social, and governance) as non-financial factors, whileterm Objectives also require GPIF to make efforts topaying attention to the fundamental policies on thepay close attention not to affect market pricing or

management and investment of its pension reserve fundinvestment activities by private sectors, and to achieve thementioning that the pension reserve shall be managed

benchmark rate of return (market average rate of return)and invested for the purpose of securing long-term

for the total portfolio and each asset class during thereturns for the pension beneficiaries.

period for the Medium-term Objectives.
Regarding risk management for the pension reserve, it

In addition, important matters regarding the
introduction of new investment methods and investment

stipulates that GPIF shall maintain the diversified portfolio,

targets, among others, shall be resolved upon theand manage and control risks of the overall portfolio, each

deliberation of the Board of Governors.

asset class, each asset manager, and each custodian.
The 4th Medium-term Objectives stipulate that GPIF

An outline of the deliberations at the Board ofGovernors is promptly published upon obtaining approvalshall combine passive and active investments, implementof the Board, so as to help ensure the transparency ofactive investment based on the strong conviction of the

GPIF’s organizational operation.

excess return, taking historical performance into account,

Other important matters for pension reserve management
The 4th Medium-term Objectives call for thoroughindividual stocks by itself, in due consideration of thecompliance with the duty of care and fiduciary duty of

impact on corporate management and others.

prudent experts.
When managing the pension reserve, GPIF is required

It also sets forth that GPIF should secure theliquidity necessary for pension payouts by taking into

to consider the market size, pay close attention toconsideration the outlook for the pension finance andprevent exposure to unfavorable market impact, andthe status of revenue and expenditure. At the same time,

avoid the extreme concentration of investing and/or

GPIF is expected to enhance the functions necessary

withdrawing at one time.

for assuring liquidity without shortages, including selling

GPIF is also required to take appropriate measures
regarding the exercise of voting rights, and not to selectassets in a smooth manner while giving consideration tomarket price formation and other factors.

Enhancement of investment capabilities, improvement of operational efficiency
In the 4th Medium-term Objectives, GPIF is expected tosophisticated risk management by performing a forward-

clarify the area of operations requiring highly skilled

looking risk analysis as well as a long-term analysis, andprofessionals, while developing an environment for

the Board of Governors shall monitor the management

attracting such talent, to provide training by highly skilled

status of individual portfolio risks properly.

professionals to improve the operational capabilities ofour staff, and to formulate a policy to secure and foster

the Objectives stipulate that the average cost savings

human resources strategically. Regarding the validity ofduring the Medium-term Objectives period should be at

the remuneration level for highly skilled professionals, it

least 1.24% per annum compared to the previous fiscal

also stipulates that GPIF shall explain clearly to theyear, based on the fiscal 2019 level. The cost-saving

public the appropriateness by referring to comparable

target includes general administrative expenses

ones in the private sector.

(excluding expenses related to computer systems andMoreover, GPIF is expected to conduct more

81

With regard to improvements in operational efficiency,

personnel expenses) and operational expenses

Roles and Organizational Operation of Government Pension Investment Fund

1 GPIF’s Roles in the Public Pension Scheme(excluding expenses related to computer systems, fees

for this additions or expansions, however, over 1.24%

for external asset managers, index fees, personnel

efficiency (annually by average) from the previous year isexpenses, and expenses related to short-term

required, and the additions and expansions are ultimately

borrowing). Costs added or expanded pursuant to theincluded in the 1.24% cost-saving target from theDecember 2013 Cabinet Office decision and similar

following fiscal year onward.

factors are excluded from the cost-saving target. Except

Review of the Medium-Term Plan in relation to changes in Medium-term Objectives
In October 2022, changes were made to our 4th

transfer with external asset managers, custody services

Medium-term Objectives. Our revised Medium-term

providers, and other institutions. We face pressing issues

Objectives newly indicate that the appropriate

such as improving data coordination between GPIF anddevelopment and management of information systems

external parties, in order to more accurately andwill be carried out in accordance with the “Basic Policy

efficiently transfer these enormous amounts of data.

on Development and Management of Information

In response to this, in January 2023, we revised our
4th Medium-term Plan to enable us to respond to newby the Minister for Digital Transformation on December

requirements indicated as a result of the aforementioned

24, 2021).

changes to the Medium-Term Objectives and provided

In addition, in the 4th Medium-term Plan period, fromthe perspective of portfolio risk management, we are

Chapter 2

Systems” formulated by the Digital Agency (determined

additional budget for the development of necessary
information systems and others.

promoting initiatives such as flexible rebalancing and theWe will promote initiatives such as developing

use of stock index futures trading, while also diversifying

infrastructure for data utilization, under our revisedand sophisticating our investments. However, as the

Medium-term Plan.

frequency of rebalancing and the number of funds has
increased, there has been a significant increase in data82

Roles and Organizational Operation of Government Pension Investment Fund2

2 Organization and Internal Control System

Organization and Internal Control System[1] Governance framework
GPIF has adopted a governance framework in which theand other fields relevant to GPIF’s operations. Important

Board of Governors, established in October 2017,

decision-making carried out by the Board of Governors

operates on a majority vote decision-making system andincludes development of the policy asset mix and thehas supervisory powers to determine whether decisions

Medium-term Plan, preparation of annual plans andare properly executed. Three Governors concurrently

annual reports, and decisions on important mattersserve as Auditors and form the Audit Committee, ofrelated to the organization such as staff size. It also

which one is a full-time member. The Audit Committee

includes the important matters relevant to the operation

carries out audits of GPIF’s operations. In addition, theof GPIF, such as the formulation of basic policies of

Audit Committee is entrusted by the Board of Governors

portfolio risk management and internal control, thewith the authority to supervise the status of GPIF’s

establishment of organization rules, as well as theoperations executed by the President or Executive

appointment of the executive directors.
It has been five years and a half since our governanceManaging Directors. The President presides over GPIF’s
operations in accordance with the provisions of Article 7,

system shifted from individual decision-making by theParagraph 1 of the Act on the Government Pension

President to a majority voting at the Board. The root of

Investment Fund. This governance system, including thethe word “governance” is a Greek word meaning

majority vote decision-making system, ensures the“steering.” It is essential in the practice of governance toseparation of decision-making and supervision from the

go beyond pro-forma development to promote

execution or implementation of said decisions.

substantive reforms of governance, and to carry out

The Board of Governors consists of 10 members: theappropriate “steering” of the organization in an effort toPresident and nine professionals with an academic

make GPIF an organization worthy of greater trust frombackground or practical experience in economics,

Japanese public.

finance, asset management, business administration,

Minister of Health, Labour and Welfare

Social Security Council(The Committee of Pension FundManagement)

Design of Public Pension Schemes/
Pension verification

Deliberation on the Medium-term Plan, etc.

Setting of and giving directions on the Medium-term Objectives (investment returns, etc.)
Approval of the Medium-term Plan and Statement of Operation Procedures, etc., evaluation of GPIF

GPIF
Councildecision-making
systemBoard of Governors• Comprised of experts in such fields as economics, finance, asset management andbusiness administration, and the President.
• Chairperson and governors are appointed by the Minister of Health, Labour and Welfare
other than the President.
• The Executive Managing Director (Management and Investment Operations) is allowed tostate opinions on relevant proposals.

Appointment

Decision-making on important policies,
including the Policy Asset Mix
State opinions/provide audit resultsAppointment

Audit

Audit Committee

Comprised of the Governors appointed by the
Minister as qualified to be the Auditors

Audit and Monitoring

Appointment of the
President
Approval of the
Executive Managing
Director (Management
and Investment
Operations)83

Executive Office
Execution

Approval of
appointment of the
Executive Managing
Directors

Supervision of
execution

Separation ofdecision-making
and supervisionfrom execution

Roles and Organizational Operation of Government Pension Investment Fund2 Organization and Internal Control System[2] Board of Governors
At meetings of the Board of Governors, experts in various

on matters such as expanding the scope of research by

fields, such as economics, finance, asset management,

external investment advisors who provide quantitativeand business administration, discuss a broad range ofanalysis and evaluation, and verification of the policy asset

agenda items related to GPIF’s investment and operation

mix. The Board also received reports from the President

management from a multidimensional perspective andor other executives on the asset allocation ratio and themake timely and appropriate decision-making. The Board

status of portfolio risk management for active discussion.

of Governors held a total of 13 meetings in fiscal 2022. An

The details of discussion by the Board of Governors are

outline of the meetings is as described in the following table.

published later on the GPIF website of as a summary of

In fiscal 2022, the Board of Governors made resolutions

agenda items.

Outline of meetings of the Board of Governors(fiscal 2022)

Main agenda items (only matters for resolution/deliberation are recorded)

67th meeting April 21, 2022 —68th meeting

Chapter 2

Date of meeting

May 27, 2022 (Resolution) Verification of the policy asset mix in fiscal 2021

(Resolution) Changes to the Statement of Operational Procedure in line with revisions to the Act on theProtection of Personal Information(draft)
69th meeting June 10, 2022 (Deliberation) (i) Annual Report fiscal year 2021 (draft), (ii) Review of operations in fiscal 2021 (draft), (iii)
Preparation of the financial statements, business report, and financial report for fiscal 2021, appropriation of profit and loss and other important matters related to accounting (draft)

70th meeting June 27, 2022

(Resolution) Annual Report fiscal year 2021(draft), (ii) Disclosure of portfolio holdings by asset category
as of the end of March 2022, (iii) Review of operations in fiscal 2021 (draft), (iv) Preparation of the financial statements, business report, and financial report for fiscal 2021, appropriation of profit and loss andother important matters related to accounting (draft)

71st meeting

July 14, 2022

(Resolution) Expansion in the scope of research by external investment advisors who provide quantitative analysis and evaluation

72nd meeting

September 5, (Resolution) Establishment of regulations related to senior IT advisors
2022(Deliberation) Matters for resolution at the Board of Governors, etc.

73rd meeting

October 11,
2022(Resolution) (i) Partial revisions, etc., to the “Regulations on the Establishment, etc., of Regulations, etc.”(related to matters to be resolved by the Board of Governors), (ii) Revisions to guidelines concerning theestablishment of Project Team (PT) for Policy Asset Mix Verification, etc.

74th meeting

November 8,
2022(Resolution) Revision of Regulation for Salaries of Employees (wage proper matrix for regular
employees)(Deliberation) Change of the Medium-term Plan

75th meeting

December 12,(Resolution) Change of the Medium-term Plan
2022

76th meeting

January 16,
2023—

77th meeting

February 21,
2023—

78th meeting March 6, 2023
79th meeting

March 30,
2023

(Deliberation · Resolution) (i) Revision of the organizational rules, (ii) Revision of Regulation for Salaries
of Employees, etc., (iii) Annual Plan for fiscal 2023 (draft)—84

Roles and Organizational Operation of Government Pension Investment Fund2 Organization and Internal Control System[3] Audit Committee
The Audit Committee executes its duties through staff
members on the Secretariat for the Audit Committee,
who assist the duties of the Audit Committee and are
independent from the President and Executive Managing
Directors. The Audit Committee also coordinates closelywith the Internal Audit Department and the Account
Auditor (Deloitte Touche Tohmatsu LLC).
The Audit Committee held 15 meetings in fiscal 2022.
The Committee performed audits primarily from five
perspectives: the status of achievement of the Mediumterm Objectives; the status of execution of duties by
the Board of Governors and Governors; the status ofexecution of duties by the President, other executives,and staff members; the status of the internal control
system; and the status of accounting.
The Audit Committee, as part of the monitoring
operation entrusted by the Board of Governors, attends

committee meetings organized by the Executive Office,including the Investment Committee, the Portfolio Risk
Management Committee, the Management and Planning
Committee, the Procurement Committee, etc. as needed.
The Audit Committee also assesses and analyzes thestatus and appropriateness of GPIF’s operations throughinterviews with the person in charge of each department,
the President, and Executive Managing Directors, as wellas investigations at times. Then the Audit Committee
reports and shares information obtained through these
activities with the Board of Governors as appropriate,
and gives opinions to the Board and the President onorganizational management issues in order to further
strengthen internal controls.
The results of these audits are published as the Audit
Report on GPIF website.

[4] Execution system
Organization
As of April 1, 2023, GPIF has 12 executives, consistingof the Chairperson of the Board of Governors, eight
Governors (including three Governors concurrently
serving as Auditors), the President, and two Executive
Managing Directors (one for Planning and General Affairs
and the other for Management and Investment Operations
who is serving as the CIO), as well as 160 staff members(including 35 female staff members (excepting part-time
staffs)).
To diversify our investment and improve risk
management, GPIF strives to secure and train highly
qualified and specialized personnel. We have promoted
the recruitment of qualified experts in various fields,
including securities analysts, attorneys, MBAs, and realestate appraisers.
GPIF manages a very large amount of assets, atapproximately ¥200 trillion, which is expected to continue
to increase gradually in the future. The investment
environment is constantly changing, and advances inareas such as data science and financial engineeringcontinue to result in enhancements to asset management
techniques. In order for GPIF to continue investingin a long-term and stable manner, we believe thatfurther diversification and sophistication to our asset
management are necessary. To support these efforts,
we are further recruiting specialist personnel. At thesame time, we have also appointed a senior IT advisor
who is well-versed in asset management operations
and also has technical knowledge and experiences
related to information systems. With this appointment,
we are considering the development of an information
processing platform.
GPIF is also working to improve the working
environment to enable a diverse range of humanresources to work with a sense of job satisfaction. We
promote the active take-up of childcare leave and enable85

the flexible use of early and late-start work systems as wellas telecommuting systems, as part of efforts to create awork-friendly environment for employees in childcare or
nursing care.
The organization consists of the Secretariat for Boardof Governors, the Secretariat for Audit Committee,
the General Affairs Department (General Affairs andHuman Resources Division, Compensation and Welfare
Division), Accounting Department (Accounting Division,
Procurement Division), the Planning and Communication
Department (Planning and Communication Division), theResearch and Actuary Department (Research and Actuary
Division), the Portfolio Risk Management Department(Portfolio Risk Management Division), the Information
Security Administration Department (Information Security
Administration Division, IT Administration Division), theInvestment Department (Portfolio Management Group,
Fund Management Group, Investment Analysis Group,
Operation Management Division), the ESG & Stewardship
Department (ESG & Stewardship Division), the Private
Market Investment Department (Infrastructure Group,
Real Estate Group, Private Equity Group, Operation
and Risk Management Division), the Investment
Administration Department (Investment Support Division,
Asset Management Division, Treasury Division), the Legal
Department, and the Internal Audit Department (the last
two Departments report directly to the President).
59 Securities Analysts

20 holders of MBA, etc.

3 Attorneys

3 Certified Public Accountants

1 Certified Public Tax Accountant

3 Real Estate Appraisers

3 holders of Ph.D., etc.

※As of April 1, 2023
There is overlap in the number of people

Roles and Organizational Operation of Government Pension Investment Fund2 Organization and Internal Control System

Organization chart (as of April 1, 2023)
Secretariat for Board ofGovernors

Board of Governors
Chairperson

Audit Committee

Secretariat for Audit
Committee

Governors
General Affairs
Department

President
Executive Managing Director(Planning and General Affairs)
Executive Managing
Director (CIO)

Accounting
Department
Chiefof Staff

General Affairs andHuman Resources
Compensation and Welfare
Accounting
Procurement

Planning and Communication
Department

Planning and Communication

Research andActuary Department

Research and Actuary

Portfolio Risk Management
Department

Portfolio Risk Management
Information Security
Administration
IT Administration

Chapter 2

Information Security
Administration Department

Portfolio Management
Compliance Officer

Fund Management
Investment Department
Investment Analysis
Operation Management
ESG & Stewardship
Department

ESG & Stewardship
Infrastructure

Private Market Investment
Department

Real Estate
Private Equity
Operation andRisk Management
Investment Support

Investment Administration
Department

Asset Management

Legal Department

TreasuryInternal Audit Department

86Roles and Organizational Operation of Government Pension Investment Fund2 Organization and Internal Control System

Internal control system
GPIF has put an internal control system in place inaware of risk factors, prevent risks, and minimize losses

accordance with the Basic Policies of Internal Control

in the event of risk occurrence.

established by the Board of Governors.
Specifically, regarding the system to ensure that theexecution of duties by the President, Executive

risk management were established, including the rules

Managing Directors, and staff members comply withfor operational and other risk management establishedlaws and regulations, the Internal Control Committee isby the Board of Governors held in July 2019. Based on

established to promote internal control. In addition, thethe new operational and other risk management process

Compliance Committee is established under the Internal

set forth by the above new rules and regulations, GPIF

Control Committee to ensure compliance with laws andgoes through a potential risk identification, analysis, andregulations as well as fiduciary responsibility, etc., andassessment process on an annual basis. In addition,

the Compliance Officer is appointed. All executives andthese rules and regulations stipulate that eachstaff members are informed of the necessity to comply

department is required to promptly take appropriate

with the Investment Principles and the Code of Conduct

measures to deal with any risks that occur, and to reportand act as an organization worthy of the trust of theon an identified risk to the department responsible forpublic. A whistle-blowing system is also in place, andsupervising operational and other risk management andcorrective actions and preventive measures shall beInternal Audit Department for each time of risktaken according to our internal rules whenever an illegal

occurrence. The operational and other risk management

or inappropriate activity is (or is expected to be)

execution status of GPIF is reported to the Board of

perpetrated by executives or staff members of GPIF. In

Governors once a year. In addition, the occurrence of aaddition, the Internal Audit Department is established tosignificant operational and other risk is to be promptly

conduct internal auditing of GPIF’s operations andreported to the Board of Governors.

related responsibilities.
GPIF’s 4th Medium-term Plan provides for theSpecifically, regarding the system to ensure theefficiency of the execution of duties, the Investment

expansion and strengthening of GPIF’s legal function. To

Committee has been established to carry out prioraddress this requirement, on March 1, 2021, GPIF

deliberation to make decisions on important mattersestablished the Legal Department. With thisrelated to the execution of management operations, andestablishment, GPIF has become able to better manage

holds careful discussions from a multidimensional

its highly individualized alternative investments in a timely

perspective under the supervision of the CIO.

manner, further strengthen internal control and ensure
stricter compliance with applicable laws and regulations.

In addition to the above, the Information Security
Committee promotes GPIF’s information security

Regarding the management of the risk of losses ofmeasures, the Management and Planning Committee

other related systems, the Portfolio Risk Management

carries out prior deliberation to make decisions on

Committee has been established to appropriately

important matters related to execution of GPIF’s

monitor and handle various risks (portfolio risks) caused

operations, and the Procurement Committee ensures theduring the pension management. The Internal Control

proper state of procurement and subcontracting

Committee has been established to identify, analyze, andprocesses (excluding contracts with external asset

assess operational risks (include reputation risks) thatmanagers), and the Contract Monitoring Committee

could impede GPIF’s day-to-day operations as well as toincluding external experts conducts procurement-related

take measures against those risks. The Internal Control

inspections. By these committees, GPIF is committed toCommittee also conducts risk management by drawing

establish its internal control system.

up and promoting measures necessary to be constantly

87

With regard to operational and other risk, the newrules and regulations relating to operational and otherRoles and Organizational Operation of Government Pension Investment Fund2 Organization and Internal Control System

Concept of internal control
Minister of Health, Labour and Welfare(Design of Public Pension Schemes/Pension verification)

Performance
evaluation

The Committee of Pension
Fund Management
Consultation

Appointment of President and Governors(Chairperson and Governors [including Auditors])

Medium-term objectives
Preparation
instruction

Consultation Approval

Reports, opinions

Approval of Executive Managing Director(Management and Investment Operations)

GPIF
Audit

Board of Governors

Medium-term plan
Annual plan

Supervisionof execution

Consent

Audit Committee

Secretariat for
Audit Committee

Secretariat for
Board of Governors

Board of Audit
Audit

Participation

Audit and
Monitoring

Reports

President
Appointment(Note1)

Executive Managing Director(Management and Investment Operations)/CIO (Note2)

External audit

Chapter 2

Account Auditor
Executive Managing Director(Planning and General Affairs)

Internal Audit Dept.

Legal Dept.

Investment
Administration Dept.

Private Market
Investment Dept.

ESG & Stewardship
Dept.

Investment
Dept.

Information Security
Administration Dept.

Portfolio Risk
Management Dept.

Research andActuary Dept.

Planning andCommunication Dept.

Accounting Dept.

General Affairs Dept.

System to ensure legal andregulatory compliancein the execution of duties

System for retention andmanagement of information
concerning the execution of duties

Internal Control Committee

Information Security
Committee

Management andPlanning Committee

Investment Committee

Compliance Committee

Chief Information
Security Officer

Procurement
Committee

Contract Monitoring
Committee

Compliance Officer

Risk of losses management system

System to secure the efficiency
in the execution of duties

CIO (Chief Investment Officer)

Whistle-blowing liaison[Legal Counsel]

Whistle-blowing system

Internal Control Committee

Information Systems Committee

Portfolio Risk Management
Committee

Chief Information Officer

Sanctions Committee
Reliability ensuring system including financial reporting
Disciplinary Committee

Tripartite Audit Committee(Audit Committee, Account Auditor, Internal Audit Department)(Note 1) The Executive Managing Director (Planning and General Affairs) is responsible for matters related to the General Affairs Department, the
Accounting Department, the Planning and Communication Department, the Research and Actuary Department, the Portfolio Risk
Management Department, and the Information Security Administration Department.
(Note 2) The Executive Managing Director (Management and Investment Operations)/CIO is responsible for matters related to the Investment
Department, the ESG & Stewardship Department, the Private Market Investment Department, and the Investment Administration
Department.

88Chapter 3 Reference Data
1

Investment Assets by Investment Method and by Manager, Etc.

[1] Investment assets by investment method and by asset class (the market value at the end of fiscal 2022)
Market value (¥billion)

Portfolio allocation (%)

Total (Investment assets)

200,132.8

100.00

Passive investments

165,741.4

82.82

Active investments

32,267.3

16.12

Others2,124.2

1.06

Market value (¥billion)

200,132.8

100.00Total

49,690.2

24.83

Passive investments

28,882.1

14.43

Active investments

18,743.6

9.37

Others2,064.5

1.03

Total

50,122.5

25.04

Passive investments

43,245.5

21.61

Active investments

6,817.3

3.41

Others

59.7

0.03

Total

50,333.7

25.15

Passive investments

46,841.3

23.41

Active investments

3,492.4

1.75

Total

49,986.5

24.98

Passive investments

46,772.5

23.37

Active investments

3,214.0

1.61

Total (Investment assets)

Domesticbonds

Foreignbonds

Domestic
equities

Foreignequities

Portfolio allocation (%)(Note 1) The figures above are rounded, so the sum of each item does not necessarily match the total number.
(Note 2) Others in domestic bonds refer to yen-denominated short-term assets. Others in foreign bonds refer
to foreign currency-denominated short-term assets.

[2] Changes in the ratios of passive and active investment(Unit: %)FY2013

FY2014FY2015FY2016FY2017FY2018FY2019FY2020

FY2021

FY2022

Domestic
bonds

Passive

90.13

86.10

82.50

79.38

77.03

75.54

71.45

72.93

76.60

58.12

Active

9.87

13.90

17.50

20.62

22.97

24.46

28.55

27.07

23.40

41.88

Foreignbonds

Passive

71.70

69.85

64.94

60.89

61.98

66.24

73.81

76.12

79.22

86.28

Active

28.30

30.15

35.06

39.11

38.02

33.76

26.19

23.88

20.78

13.72

Domestic
equities

Passive

87.69

86.71

81.52

90.62

90.44

90.58

90.93

92.97

93.65

93.06

Active

12.31

13.29

18.48

9.38

9.56

9.42

9.07

7.03

6.35

6.94

Passive

89.37

88.05

84.15

86.45

86.32

90.50

90.17

87.99

90.82

93.57

Foreignequities
Total

Active

10.63

11.95

15.85

13.55

13.68

9.50

9.83

12.01

9.18

6.43

Passive

86.00

83.91

79.28

77.31

76.28

77.87

79.21

82.69

85.21

82.82

Active

14.00

16.09

20.72

22.69

23.72

22.13

20.79

17.31

14.79

17.18

(Note 1) The amount until fiscal 2019 does not include short-term assets and FILP bonds. There are no FILP bonds outstanding since fiscal 2020.
(Note 2) The amount of domestic bonds (active) and total (active) since fiscal 2020 includes yen-denominated short-term assets. The amount of foreign bonds (active)
and total (active) since fiscal 2020 includes foreign currency denominated short-term assets.
(Note 3) JPY hedged foreign bonds are classified as foreign bonds (passive) until fiscal 2019 and as domestic bonds (passive) since fiscal 2020.

89

[3] Investment assets by manager, etc. (the market value at the end of fiscal 2022)
(Unit: ¥billion)
Investment
methodAsset manager name(Subcontractor, etc.)
Asset Management One Co., Ltd.Ⅰ(former Mizuho Trust & Banking)Asset Management One Co., Ltd. Ⅱ

BPI

1,116.2

BPI-G

6,026.6
355.6BlackRock Japan Co., Ltd.ⅠMTBJUSGOV-H

289.9

BlackRock Japan Co., Ltd. Ⅱ

MTBJ

EGBI-H

207.0

MTBJ

USMBS-H

369.7

MTBJ

BPI

1,249.6

MTBJ

BPI-G

6,239.6(Unit: ¥billion)
Investment
methodForeign bonds
activeinvestment

Asset manager name(Subcontractor, etc.)

CustodiansMarketvalue

Barings Japan Limited(Barings LLC, etc.)

MTBJ

USHY2%

68.2

Morgan Stanley Investment Management (Japan) Co., Ltd.Ⅰ

SSTB

G-AGG-EXC

658.8

Morgan Stanley Investment Management (Japan) Co., Ltd. Ⅱ

MTBJ

USHY2%

64.9

UBS Asset Management (Japan) LtdⅠSSTBEUROHY2%

99.8(Morgan Stanley Investment Management Inc., etc.)(Morgan Stanley Investment Management Inc.)(UBS Asset Management (UK) Ltd)

Foreign bondsothersManagerbenchmarkIn-house investment Ⅳ

SSTB

—

59.7

Asset Management One Co., Ltd. Ⅵ

MTBJ

TOPIX

7,507.6

Asset Management One Co., Ltd. Ⅶ(former DIAM)

Mitsubishi UFJ Trust and Banking CorporationⅠ

MTBJ

BPI

624.6

MTBJ

RN-P

2,188.2

Mitsubishi UFJ Trust and Banking Corporation Ⅱ

MTBJ

BPI-G

5,974.7

MTBJ

FTSE-BL

1,030.5

Resona Asset Management Co., Ltd.Ⅰ

Asset Management One Co., Ltd. Ⅷ

MTBJ

BPI

624.5

MTBJ

MSCI-IR

123.8

Resona Asset Management Co., Ltd. Ⅱ

Nomura Asset Management Co., Ltd. Ⅲ

MTBJ

BPI-G

5,308.1

MTBJ

RAFI

312.7

Resona Asset Management Co., Ltd. Ⅲ

Nomura Asset Management Co., Ltd. Ⅳ

SSTB

USGOV-H

196.7

Resona Asset Management Co., Ltd. Ⅳ

SSTB

EGBI-H

299.5

Asset Management One Co., Ltd. Ⅲ

MTBJ

BPI

918.3

Amundi Japan LtdⅠ

MTBJ

BPI

243.2

MU Investments Co., Ltd.

MTBJ

BPI

Tokio Marine Asset Management Co., Ltd.Ⅰ

MTBJ

Nikko Asset Management Co., Ltd.Ⅰ
Nissay Asset Management CorporationⅠ(former Mizuho Trust & Banking)

MTBJ

TOPIX

244.9

BlackRock Japan Co., Ltd. ⅪⅤ

MTBJ

TOPIX

7,789.0

BlackRock Japan Co., Ltd. ⅩⅤ

MTBJ

FTSE-BLSR

1,001.6

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅴ

MTBJ

TOPIX

8,061.5

681.3

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅵ

MTBJ

SP-C

1,643.4

BPI

902.8

Mitsubishi UFJ Trust and Banking Corporation Ⅳ

MTBJ

TOPIX

5,044.0

MTBJ

BPI

242.0

Mitsubishi UFJ Trust and Banking Corporation Ⅴ

MTBJ

MSCI-ESG

2,056.2

MTBJ

BPI

244.3

MTBJ

MSCI-WIN

649.2

Nomura Asset Management Co., Ltd.Ⅰ

Mitsubishi UFJ Trust and Banking Corporation Ⅵ

MTBJ

BPI

242.4

MTBJ

TOPIX

8,668.1

PGIM Japan Co., Ltd.Ⅰ

Resona Asset Management Co., Ltd. Ⅺ

MTBJ

BPI

619.9

Resona Asset Management Co., Ltd. Ⅻ

MTBJ

MO-GD-J520.6

PIMCO Japan LtdⅠ

MTBJ

BPI

534.8

Asset Management One Co., Ltd. Ⅸ

MTBJ

TOPIX

289.7

Manulife Investment Management (Japan) LimitedⅠ

MTBJ

BPI

418.3

Asset Management One Co., Ltd. Ⅹ(former Mizuho Asset Management)

MTBJ

RN-SG

117.1

Sumitomo Mitsui DS Asset Management Company, LimitedⅠ

MTBJ

BPI

242.5

MTBJ

TOPIX

304.2

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅲ

Invesco Asset Management (Japan) LimitedⅠ

MTBJ

BPI

673.4

Invesco Asset Management (Japan) Limited Ⅱ

MTBJ

TOPIX

144.6

Mitsubishi UFJ Trust and Banking Corporation Ⅲ

MTBJ

BPI

917.1

Capital International K.K.

In-house investmentⅠ

MTBJ

BPI

9,080.3

MTBJ

TOPIX

447.1

In-house investment Ⅱ

MTBJ

—

2,525.1

Schroder Investment Management(Japan) LimitedⅠ

MTBJ

TOPIX

382.1

In-house investment Ⅲ

MTBJ

—

2,064.5

Nomura Asset Management Co., Ltd. Ⅴ

MTBJ

RN-S

118.8

FIL Investments (Japan) Limited Ⅲ

MTBJ

RN-TG

526.5

Sumitomo Mitsui DS Asset Management Company, Limited Ⅱ

MTBJ

RN-V

396.9

Lazard Japan Asset Management K.K.Ⅰ

MTBJ

TOPIX

272.3

Russell Investments Japan Co., Ltd.Ⅰ

MTBJ

TOPIX

239.8

State Street Global Advisors (Japan) Co., Ltd. Ⅳ

MTBJ

MSCI-A-EXC

5,518.9

State Street Global Advisors (Japan) Co., Ltd. Ⅴ

MTBJ

MSCI-N

1,180.4

State Street Global Advisors (Japan) Co., Ltd. Ⅵ

MTBJ

MSCI-EU

253.2

State Street Global Advisors (Japan) Co., Ltd. Ⅶ

MTBJ

MSCI-P

70.8

State Street Global Advisors (Japan) Co., Ltd. Ⅷ

MTBJ

MSCI-EXC

843.5

State Street Global Advisors (Japan) Co., Ltd. Ⅸ

MTBJ

SP-GC

3,477.0

BlackRock Japan Co., Ltd. ⅩⅥ

MTBJ

MSCI-A-EXC

8,864.2

BlackRock Japan Co., Ltd. ⅩⅦ

MTBJ

MSCI-K

1,762.6

BlackRock Japan Co., Ltd. ⅩⅧ

MTBJ

MSCI-N

1,173.8

BlackRock Japan Co., Ltd. ⅪⅩ

MTBJ

MSCI-US100

795.7

BlackRock Japan Co., Ltd. ⅩⅩ

MTBJ

MSCI-USLG

87.4

BlackRock Japan Co., Ltd. ⅩⅪ

MTBJ

MSCI-USLV

65.0

BlackRock Japan Co., Ltd. ⅩⅫ

MTBJ

MSCI-CA

57.4

BlackRock Japan Co., Ltd. ⅩⅩⅢ

MTBJ

MSCI-EU

438.7

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅶ

MTBJ

MSCI-A-EXC

9,576.7

Legal & General Investment Management Japan KKⅠMTBJMSCI-A-EXC

8,336.8

Legal & General Investment Management Japan KK Ⅱ

(Pacific Investment Management Company LLC (PIMCO), etc.)

Asset Management One Co., Ltd. Ⅳ

SSTB

WGBI-EXC

3,490.8

State Street Global Advisors (Japan) Co., Ltd.Ⅰ

SSTB

WGBI-EXC

4,270.1

State Street Global Advisors (Japan) Co., Ltd. Ⅱ

SSTB

USIG

78.0

(former Mizuho Trust & Banking)(State Street Global Advisors Limited)(State Street Global Advisors Trust Company, etc.)

State Street Global Advisors (Japan) Co., Ltd. Ⅲ

SSTB

EUROIG

13.9

Nomura Asset Management Co., Ltd. Ⅱ

MTBJ

WGBI-EXC

3,340.0

BlackRock Japan Co., Ltd. Ⅳ

MTBJ

WGBI-EXC

4,769.2

BlackRock Japan Co., Ltd. Ⅴ

MTBJ

WGBI-O-EXC

1,690.2

BlackRock Japan Co., Ltd. Ⅵ

MTBJ

USGOV

3,534.6

BlackRock Japan Co., Ltd. Ⅶ

MTBJ

USGOV 1-3Y

119.4

BlackRock Japan Co., Ltd. Ⅷ

MTBJ

EGBI

3,553.6

BlackRock Japan Co., Ltd. Ⅸ

MTBJ

EGBI 1-3Y

121.3

BlackRock Japan Co., Ltd. Ⅹ

MTBJ

USIG

328.6

(State Street Global Advisors Limited, etc.)(BlackRock Financial Management, Inc., etc.)

Domestic
equities
passiveinvestment

Domestic
equities active
investment(Geode Capital Management, LLC)

(Capital International, Inc., etc.)(Russell Investments Implementation Services, LLC.)

BlackRock Japan Co., Ltd. Ⅺ

MTBJEUROIG

206.8

BlackRock Japan Co., Ltd. Ⅻ

MTBJ

USHY2%

28.2

BlackRock Japan Co., Ltd. ⅩⅢ

MTBJ

EUROHY2%

32.2

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅳ

SSTB

WGBI-EXC

4,455.8

Resona Asset Management Co., Ltd. Ⅴ

SSTB

WGBI-EXC

4,326.8

Resona Asset Management Co., Ltd. Ⅵ

SSTB

WGBI-O-EXC

1,251.9(Legal & General Investment Management Limited)

MTBJ

MSCI-KV

0.8

Resona Asset Management Co., Ltd. Ⅶ

SSTB

USGOV

3,786.3

Resona Asset Management Co., Ltd. Ⅷ

Legal & General Investment Management Japan KK ⅢSSTBUSGOV 1-3Y

330.5

MTBJ

MSCI-N

638.1

Resona Asset Management Co., Ltd. Ⅸ

SSTB

EGBI

3,414.1

Legal & General Investment Management Japan KK Ⅳ

MTBJMSCI-EU

743.7

Resona Asset Management Co., Ltd. Ⅹ

SSTB

EGBI 1-3Y

103.2

Legal & General Investment Management Japan KK Ⅴ

MTBJMSCI-P

211.5

SSTB

G-AGG-EXC

354.0

Legal & General Investment Management Japan KK Ⅵ

MTBJMSCI-EXC

532.8

SSTB

GBI-EMGD-EXC

51.3

Legal & General Investment Management Japan KK Ⅶ

MTBJMSCI-A-ESG

1,655.0

SSTB

G-AGG-EXC

628.3

Legal & General Investment Management Japan KK Ⅷ

MTBJ

MO-GD

488.4

MTBJ

EUROHY2%

61.9

MTBJ

MSCI-E

129.6

MTBJ

USHY2%67.0

SSTB

EUROAGG

600.7

MTBJ

SP-500

196.7

SSTB

G-AGG-EXC

763.2

MTBJ

SP-50088.8(BlackRock Financial Management, Inc., etc.)(BlackRock Financial Management, Inc., etc.)(BlackRock Financial Management, Inc., etc.)

Asset Management One Co., Ltd. Ⅴ(former Mizuho Asset Management)(Loomis, Sayles & Company, L.P.)

Ashmore Japan Co., Ltd(Ashmore Investment Management Limited)

Sompo Asset Management Co., LTD.
(Colchester Global Investors Limited)

T.Rowe Price Japan, Inc.Ⅰ(T.Rowe Price International Ltd.)

PineBridge Investments Japan Co., Ltd.
(PineBridge Investments LLC)

BNY Mellon Investment Management Japan LimitedⅠ(Insight Investment Management (Global) Limited)

PGIM Japan Co., Ltd. Ⅱ(PGIM, Inc. etc.)(Legal & General Investment Management Limited)(Legal & General Investment Management Limited)(Legal & General Investment Management Limited)(Legal & General Investment Management Limited)

Asset Management One Co., Ltd. Ⅺ(former Mizuho Asset Management)(Allspring Global Investments,LLC.)

Amundi Japan Ltd Ⅱ(Amundi Asset Management US, Inc)

Foreignequities active
investment

Wellington Management Japan Pte Ltd.
(Wellington Management Company LLP)

MTBJSP-500

29.9

937.8

JPMorgan Asset Management (Japan) Limited Ⅱ

MTBJ

FR-3000G

110.7

129.8

T.Rowe Price Japan, Inc. Ⅱ

MTBJ

SP-500

281.6

SSTB

G-AGG-EXC

715.7

SSTB

USAGG

Franklin Templeton Japan Co., Ltd.Ⅰ

SSTB

G-AGG-EXC(Brandywine Global Investment Management, LLC.)(Legal & General Investment Management Limited)

JPMorgan Asset Management (Japan) LimitedⅠ

FIL Investments (Japan) LimitedⅠ(Fidelity Institutional Asset Management (FIAM))(Legal & General Investment Management Limited)(Legal & General Investment Management Limited)

PIMCO Japan Ltd Ⅱ(Pacific Investment Management Company LLC (PIMCO), etc.)

Foreignequities
passiveinvestment(J.P. Morgan Investment Management lnc.)(J.P. Morgan Investment Management lnc.)(T.Rowe Price Associates, Inc.)

Chapter 3

FIL Investments (Japan) Limited Ⅱ(former Mizuho Trust & Banking)Foreign bonds
activeinvestment

MTBJ

USMBS-HBlackRock Japan Co., Ltd. Ⅲ
Domestic(BlackRock Financial Management, Inc.)bonds passive
Sumitomo Mitsui Trust Asset Management Co., Ltd.Ⅰ
investment
Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅱ

Foreign bonds
passiveinvestment

Marketvalue

MTBJ(AllianceBernstein L.P., etc.)

Domestic
bonds others

Managerbenchmark

MTBJ

AllianceBernstein Japan Ltd.

Domestic
bonds active
investment

Custodians90Reference Data

1 Investment Assets by Investment Method and by Manager, Etc.



(Unit: ¥billion)
Investment
methodAsset manager name(Subcontractor, etc.)

Custodians

ManagerbenchmarkMarketvalue

T.Rowe Price Japan, Inc. Ⅲ

MTBJ

FR-3000

101.5

Tokio Marine Asset Management Co., Ltd. Ⅱ

MTBJ

SP-50080.7

Tokio Marine Asset Management Co., Ltd. Ⅲ

MTBJ

FR-1000V

91.2

Tokio Marine Asset Management Co., Ltd. Ⅳ

MTBJ

FR-T200

207.5(T.Rowe Price Associates, Inc.)(DuPont Capital Management Corporation)(Applied Finance Capital Management, LLC)

MTBJ

MSCI-K

1.9

Nissay Asset Management Corporation Ⅱ

MTBJ

FR-1000V

141.5

Neuberger Berman East Asia LimitedⅠ

MTBJ

FR-1000G

53.5

Nomura Asset Management Co., Ltd. Ⅵ

MTBJ

MSCI-CA

84.2

BNP Paribas Asset Management Japan Limited

MTBJ

SP-50098.4

USGOV 1-3Y FTSE US Government Bond Index 1-3years (no hedge/JPY basis) FTSE Fixed Income LLC

BNY Mellon Investment Management Japan Limited Ⅱ

MTBJ

MSCI-K

0.9

EGBI 1-3Y FTSE EMU Government Bond Index 1-3years (no hedge/JPY basis) FTSE Fixed Income LLC

FIL Investments (Japan) Limited Ⅳ

MTBJ

FR-1000G

20.0

G-AGG-EXC

Bloomberg Global Aggregate Index(not incl. JPY, CNY, no hedge/JPY basis)

Bloomberg Index
Services Limited

BlackRock Japan Co., Ltd. ⅩⅩⅣ

MTBJ

FR-1000

152.5

USAGG

Bloomberg US Aggregate Index(no hedge/JPY basis)

Bloomberg Index
Services Limited

BlackRock Japan Co., Ltd. ⅩⅩⅤ

MTBJ

FR-1000V

19.2(CIBC Asset Management Inc.)(Impax Asset Management LLC)

(BlackRock Institutional Trust Company, N.A., etc.)

USGOVFTSE EMU Government Bond Index (no hedge/JPY basis) FTSE Fixed Income LLC

Bloomberg Index
Services Limited

USIG

Bloomberg US Corporate Bond Index(no hedge/JPY basis)

Bloomberg Index
Services Limited

EUROIG

Bloomberg EURO Corporate Bond Index(no hedge/JPY basis)

Bloomberg Index
Services Limited

0.7

USHY2%

Bloomberg US Corporate High Yield 2% Issuer
Capped Bond Index (no hedge/JPY basis)

Bloomberg Index
Services Limited

MSCI-K

0.5

EUROHY2%

Bloomberg EURO Corporate High Yield 2% Issuer
Capped Bond Index (no hedge/JPY basis)

Bloomberg Index
Services Limited

MSCI-E

77.0

SSTB

—

124.4

Gatekeeper : Nomura Asset Management Co., Ltd. Ⅶ

SSTB

—

326.9

Gatekeeper : Nomura Asset Management Co., Ltd. Ⅷ

SSTB

—

121.3

Gatekeeper : Sumitomo Mitsui DS AssetManagement Company, Limited Ⅲ

SSTB

—

490.3

Gatekeeper : Sumitomo Mitsui DS AssetManagement Company, Limited Ⅳ

SSTB

—

192.8

MTBJ

FR-1000V

119.0

Manulife Investment Management (Japan) Limited Ⅱ

MTBJ

FR-3000

31.1

Mitsubishi UFJ Trust and Banking Corporation Ⅶ

MTBJ

MSCI-AG-EXC

UBS Asset Management (Japan) Ltd Ⅱ

MTBJLazard Japan Asset Management K.K. Ⅱ

MTBJ

DBJ Asset Management Co., Ltd.

(Baillie Gifford Overseas Limited)(UBS Asset Management (UK) Ltd)
(Lazard Asset Management LLC)

Fund of Funds Manager : Pantheon
Fund of Funds Manager : Pantheon

In-house investment Ⅴ(Unit Trust Manager : Nissay Asset Management Corporation)

Gatekeeper : Neuberger Berman East Asia Limited Ⅱ
Fund of Funds Manager : NB Alternatives Advisers LLC

Gatekeeper : Mitsubishi UFJ Trust and Banking Corporation Ⅷ

Fund of Funds Manager: Hamilton Lane Advisors, L.L.C.

SSTB

—

192.1

SSTB

—

247.3

SSTB

—

171.4

GBI-EMGD- J.P. Morgan Government Bond Index-Emerging Markets Global Diversified Index J.P.Morgan SecuriEXC(not incl. China, no hedge/JPY basis)ties LLC

Domestic equities

Fund of Funds Manager : StepStone Infrastructure & Real Assets

Fund of Funds Manager: StepStone Infrastructure & Real Assets

TOPIX

TOPIX (incl. dividends)

Tokyo Stock Exchange, Inc.

RN-P

RUSSELL/NOMURA Prime Index (incl. dividends)

Nomura Research Institute, Ltd.

RN-TG

RUSSELL/NOMURA Total Market Growth Index (incl. dividends) Nomura Research Institute, Ltd.

RN-V

RUSSELL/NOMURA Large Cap Value Index (incl. dividends) Nomura Research Institute, Ltd.

RN-S

RUSSELL/NOMURA Small Cap Index (incl. dividends) Nomura Research Institute, Ltd.

RN-SG

RUSSELL/NOMURA Small Cap Growth Index (incl. dividends) Nomura Research Institute, Ltd.

MSCI-IRMSCI Japan IMI Equity REITS Index (incl. dividends) MSCI G.K.

MSCI-ESG MSCI Japan ESG Select Leaders Index

MSCI G.K.

MSCI-WIN MSCI Japan Empowering Women Index (WIN)MSCI G.K.

FTSE-BL FTSE Blossom Japan Index

FTSE International Limited

FTSE-BLSR FTSE Blossom Japan Sector Relative Index

FTSE International Limited

MO-GD-J Morningstar Japan ex-REIT Gender Diversity Tilt Index Ibbotson Associates Japan, Inc.
SP-C

S&P/JPX Carbon Efficient Index

S&P Opco, LLC

RAFINomura RAFI Index

Nomura Asset Management Co., Ltd.

Gatekeeper and Fund of Funds Manager: Mitsubishi UFJ
Trust and Banking Corporation Ⅸ

SSTB

—

3.6

MSCI-AEXC

In-house investment Ⅵ

SSTB

—

45.0

MSCI-AG- MSCI ACWI Growth (not incl. JPY,China A, JPY basis, incl.
MSCI G.K.
dividends, after taking into account GPIF dividend tax factors)
EXC

Gatekeeper : Asset Management One Co., Ltd. Ⅻ
Fund of Funds Manager：CBRE Investment Management Indirect Limited

SSTB

—

674.5

MSCI-K

Gatekeeper : Asset Management One Co., Ltd. ⅩⅢ
Fund of Funds Manager：CBRE Investment Management Indirect Limited

SSTB

—

29.1

Gatekeeper : Mitsubishi UFJ Trust andBanking Corporation Ⅹ

SSTB

—

215.7
199,832.1

Investment Advisor: Alternative Investment Capital Limited(Unit Trust Manager : Nissay Asset Management Corporation)

MSCIUSLGMSCI USA Large Cap Growth (JPY basis, incl. dividends,
MSCI G.K.
after taking into account GPIF dividend tax factors)(Unit: ¥billion)

MSCIUSLVMSCI USA Large Cap Value (JPY basis, incl. dividends,
MSCI G.K.
after taking into account GPIF dividend tax factors)

Marketvalue

MSCI-CAMSCI Canada (JPY basis, incl. dividends, after
taking into account GPIF dividend tax factors)

33,851.1
166,279.0(Unit: ¥billion)
CustodiansMarket
value
197.4
100.6
298.0

(Note 1) While the 38 asset managers in the total column do not include inhouse investment, the 154 funds in the total column include 6 inhouse investment funds.
(Note 2) T he figure in the total market value column for funds managed byasset managers (154 funds managed by 38 asset managers) does notinclude accrued dividend income from closed funds (statutory trust
accounts).
(Note 3) F igures in the market value column for custodians do not include
accrued dividend income (foreign equities: ¥2.7 billion) from closed
funds (statutory trust accounts).

Foreign equities

MSCI G.K.

MTBJ

MTBJ
MTBJ

MSCI G.K.

MSCI G.K.

200,130.1

Fund nameMSCI G.K.

MSCI USA100 (JPY basis, incl. dividends, after
taking into account GPIF dividend tax factors)

Total

Domestic Stock Index Futures
Foreign Stock Index Futures

MSCI KOKUSAI Value (JPY basis, incl. dividends,
MSCI-KV
after taking into account GPIF dividend tax factors)

MSCIUS100

SSTBMSCI KOKUSAI (JPY basis, incl. dividends, after
taking into account GPIF dividend tax factors)

MSCI-N

Custodian, etc. name
State Street Trust and Banking Co., Ltd.
The Master Trust Bank of Japan, Ltd.

MSCI ACWI (not incl. JPY,China A, JPY basis, incl. diviMSCI G.K.
dends, after taking into account GPIF dividend tax factors)

MSCI North America (JPY basis, incl. dividends,
after taking into account GPIF dividend tax factors)

38 asset managers, 154 Funds



91

FTSE US Government Bond Index (no hedge/JPY basis) FTSE Fixed Income LLC

Bloomberg EURO Aggregate Index(no hedge/JPY basis)(Manulife Investment Management (US) LLC)

Total

FTSE EMU Government Bond Index (JPY hedged/JPY basis) FTSE Fixed Income LLC

WGBI-O- FTSE World Government Bond Index
FTSE Fixed Income LLC
EXC(not incl. JPY, USD, EMU, CNY, no hedge/JPY basis)

EGBI

Franklin Templeton Japan Co., Ltd. Ⅱ(Brandywine Global Investment Management, LLC.)

Stock Index
Futures

EGBI-HUSMBS-H Bloomberg US MBS Fixed Rate Index (JPY hedged/JPY basis) Bloomberg Index Services Limited

EUROAGG(BlackRock Financial Management, Inc.)

Custody

USGOV-H FTSE US Government Bond Index (JPY hedged/JPY basis) FTSE Fixed Income LLC

WGBI-EXC FTSE World Government Bond Index (not incl. JPY, CNY, no hedge/JPY basis) FTSE Fixed Income LLC

Foreign bonds(Fidelity Institutional Asset Management (FIAM))

Investment
methodNomura Research Institute, Ltd.

Nikko Asset Management Co., Ltd. Ⅱ(Walter Scott & Partners Limited)

Total

NOMURA-BPI Government Bonds

87.7(Neuberger Berman Investment Advisers LLC)

Alternative
real estate

Nomura Research Institute, Ltd.

BPI-G

FR-MV

(The Putnam Advisory Company, LLC)

Alternative
private equity

Source of benchmark

NOMURA-BPI (excluding ABS)MTBJ

(INTECH Investment Management LLC)

Alternative
infrastructureManager benchmark
BPI

Tokio Marine Asset Management Co., Ltd. Ⅴ(Columbia Management Investment Advisors, LLC)

Foreignequities active
investment

Domestic bonds(Jacobs Levy Equity Management, Inc.)(Note 4) Returns from stock index futures transactions are treated as reference
data because they are offset with the lost returns from the corresponding funds. In fiscal 2022, the amount of returns was negative¥4.7 billion for domestic stock index futures funds and around ¥0.6
billion for foreign stock index futures funds.
(Note 5) Manager benchmarks are shown in the following table and the sourcesof those benchmarks are as listed in the right-hand column of thefollowing table.

MSCI G.K.

MSCI Europe & Middle East (JPY basis, incl. dividends,
MSCI G.K.
MSCI-EUafter taking into account GPIF dividend tax factors)
MSCI-PMSCI Pacific (not incl. JPY, JPY basis, incl. dividends,
MSCI G.K.
after taking into account GPIF dividend tax factors)

MSCI-EMSCI EMERGING MARKETS (JPY basis, incl.
dividends, after deducting taxes)

MSCI G.K.

MSCI EMERGING MARKETS (not incl. China A, JPY
MSCI-EXCMSCI G.K.
basis, incl. dividends, after deducting taxes)
MSCI-AESGMSCI ACWI ESG Universal Index (not incl. China A,
MSCI G.K.
JPY basis, incl. dividends, after deducting taxes)

MO-GD

Morningstar Developed Markets (ex Japan) Gender Diver- Ibbotson Associatessity Index(JPY basis, incl. dividends, after deducting taxes) Japan, Inc.

SP-GC

S&P Global Ex-Japan LargeMidCap Carbon Efficient Index S&P Opco, LLC

SP-500S&P500(JPY basis, incl. dividends)

S&P Opco,LLC

FR-1000

RUSSELL 1000 Index(JPY basis, incl. dividends)

FRANK RUSSELL COMPANY

FR-1000G RUSSELL 1000 Growth Index(JPY basis, incl. dividends) FRANK RUSSELL COMPANY
FR-1000V RUSSELL 1000 Value Index(JPY basis, incl. dividends) FRANK RUSSELL COMPANY
FR-3000

RUSSELL 3000 Index(JPY basis, incl. dividends)

FRANK RUSSELL COMPANY

FR-3000G RUSSELL 3000 Growth Index(JPY basis, incl. dividends) FRANK RUSSELL COMPANY
FR-T200

Russell Top 200 Index(JPY basis, incl. dividends)

FR-MV

RUSSELL Midcap Value Index(JPY basis, incl. dividends) FRANK RUSSELL COMPANYFRANK RUSSELL COMPANY

Reference Data｜ 1 Investment Assets by Investment Method and by Manager, Etc.

［ 4 ］I n v e s t m e n t p e r f o r m a n c e b y m a n a g e r, e t c .
I nv e st m e nt p erfo rman ce ( o ver th e l as t y e a r ) (f ro m Apr il 2 0 2 2 to M arch 2 0 2 3 )Investment
methodDomestic
bonds
passiveinvestment

Domestic
bonds active
investment

Foreignbonds active
investment

Time-weighted return Benchmark return Excess rate of return Remarks(A)(B)(C)＝(A)－(B)columnAsset Management One Co., Ltd.Ⅰ(former Mizuho Trust & Banking)-1.61%-1.65%

Asset Management One Co., Ltd. Ⅱ-0.06%-0.07%+0.01%

AllianceBernstein Japan Ltd.

-7.13%-9.05%+1.92%+0.29%+0.04%〇

BlackRock Japan Co., Ltd.Ⅰ-8.12%-8.41%

BlackRock Japan Co., Ltd. Ⅱ-13.66%-13.02%-0.64%

BlackRock Japan Co., Ltd. Ⅲ-7.07%-9.05%+1.98%

Sumitomo Mitsui Trust Asset Management Co., Ltd.Ⅰ-1.64%-1.65%+0.01%

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅱ-1.69%-1.67%-0.02%

Mitsubishi UFJ Trust and Banking CorporationⅠ-0.12%-0.17%+0.04%

Mitsubishi UFJ Trust and Banking Corporation Ⅱ-1.65%-1.67%+0.03%

Resona Asset Management Co., Ltd.Ⅰ-0.14%-0.17%+0.02%〇

Resona Asset Management Co., Ltd. Ⅱ-0.08%-0.07%-0.01%〇

Resona Asset Management Co., Ltd. Ⅲ-8.42%-8.41%-0.00%

Resona Asset Management Co., Ltd. Ⅳ-12.95%-13.02%+0.07%

Asset Management One Co., Ltd. Ⅲ (former Mizuho Trust & Banking)-1.66%-1.65%-0.00%

Amundi Japan LtdⅠ

-1.19%-1.65%+0.47%MU Investments Co., Ltd.

-1.45%-1.65%+0.20%

Tokio Marine Asset Management Co., Ltd.Ⅰ-2.15%-1.65%-0.49%

Nikko Asset Management Co., Ltd.Ⅰ-1.98%-1.65%-0.32%

Nissay Asset Management CorporationⅠ-0.99%-1.65%+0.66%

Nomura Asset Management Co., Ltd.Ⅰ-1.60%-1.65%+0.06%PGIM Japan Co., Ltd.Ⅰ-1.40%-1.65%+0.25%PIMCO Japan LtdⅠ

-0.75%-1.65%+0.90%

Manulife Investment Management (Japan) LimitedⅠ-2.12%-1.65%-0.47%

Sumitomo Mitsui DS Asset Management Company, LimitedⅠ-1.65%-1.65%+0.00%

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅲ-2.17%-1.65%-0.51%

Mitsubishi UFJ Trust and Banking Corporation Ⅲ-1.31%-1.65%+0.34%〇

In-house investmentⅠ-1.40%-1.26%-0.14%

In-house investment Ⅱ

3.33%

3.26%

+0.08%

Asset Management One Co., Ltd. Ⅳ (former Mizuho Trust & Banking)-0.55%-0.56%+0.01%

State Street Global Advisors (Japan) Co., Ltd.Ⅰ-0.52%-0.56%+0.05%

State Street Global Advisors (Japan) Co., Ltd. Ⅱ-0.47%

0.40%-0.87%〇

State Street Global Advisors (Japan) Co., Ltd. Ⅲ-1.25%

1.55%-2.80%〇

Nomura Asset Management Co., Ltd. Ⅱ-0.39%-0.56%+0.17%

BlackRock Japan Co., Ltd. Ⅳ-0.55%-0.56%+0.02%

BlackRock Japan Co., Ltd. Ⅴ-5.57%-5.56%-0.01%

BlackRock Japan Co., Ltd. Ⅵ

4.68%

4.62%

+0.06%

BlackRock Japan Co., Ltd. Ⅶ-2.13%-2.65%+0.53%

BlackRock Japan Co., Ltd. Ⅷ-5.50%-5.57%+0.07%

BlackRock Japan Co., Ltd. Ⅸ

1.45%

1.08%

+0.36%

BlackRock Japan Co., Ltd. Ⅹ

2.53%

3.56%

-1.03%

BlackRock Japan Co., Ltd. Ⅺ-1.21%-1.01%-0.20%

BlackRock Japan Co., Ltd. Ⅻ

5.72%

5.97%

-0.25%-0.16%

BlackRock Japan Co., Ltd. ⅩⅢ

2.36%

2.52%

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅳ-0.68%-0.56%-0.11%

Resona Asset Management Co., Ltd. Ⅴ-0.55%-0.56%+0.01%

Resona Asset Management Co., Ltd. Ⅵ-5.52%-5.56%+0.04%

Resona Asset Management Co., Ltd. Ⅶ

4.66%

4.62%

+0.04%

Resona Asset Management Co., Ltd. Ⅷ-7.70%-7.70%+0.00%

Resona Asset Management Co., Ltd. Ⅸ-5.54%-5.57%+0.04%

Resona Asset Management Co., Ltd. Ⅹ

3.19%

2.46%

+0.73%

Asset Management One Co., Ltd. Ⅴ (former Mizuho Asset Management)

0.41%

0.78%

-0.38%

Ashmore Japan Co., Ltd

4.46%

8.89%

-4.43%

Sompo Asset Management Co., LTD.

4.92%

0.78%

+4.14%

T.Rowe Price Japan, Inc.Ⅰ

0.85%

2.52%

-1.67%

PineBridge Investments Japan Co., Ltd.

6.32%

5.97%

+0.34%BNY Mellon Investment Management Japan LimitedⅠ-3.66%-4.29%+0.63%PGIM Japan Co., Ltd. Ⅱ-0.34%

0.78%-1.12%PIMCO Japan Ltd Ⅱ

1.11%

0.78%

+0.33%FIL Investments (Japan) LimitedⅠ

4.23%

4.41%

-0.17%

Franklin Templeton Japan Co., Ltd.Ⅰ

3.33%

0.78%

+2.55%

Barings Japan Limited

5.31%

5.97%

-0.67%Morgan Stanley Investment Management (Japan) Co., Ltd.Ⅰ

0.75%

0.78%

-0.03%Morgan Stanley Investment Management (Japan) Co., Ltd. Ⅱ

5.19%

5.97%

-0.78%UBS Asset Management (Japan) LtdⅠ

3.97%

2.52%

+1.45%〇

Chapter 3

Foreignbonds
passiveinvestment

Asset manager name

〇

〇

92

Reference Data

1 Investment Assets by Investment Method and by Manager, Etc.

Investment
methodDomestic
equities
passiveinvestment

Domestic
equities
activeinvestment

Foreignequities
passiveinvestment

Foreignequities
activeinvestment

93

Asset manager nameTime-weighted return Benchmark return Excess rate of return Remarks(A)(B)(C)＝(A)－(B)columnAsset Management One Co., Ltd. Ⅵ (former DIAM)

5.79%

5.81%

-0.02%

Asset Management One Co., Ltd. Ⅶ (former Mizuho Trust & Banking)

5.58%

5.56%

+0.01%-0.13%

Asset Management One Co., Ltd. Ⅷ

4.84%

4.96%

Nomura Asset Management Co., Ltd. Ⅲ-7.48%-7.38%-0.10%

Nomura Asset Management Co., Ltd. Ⅳ

8.96%

8.89%

+0.06%FIL Investments (Japan) Limited Ⅱ

5.80%

5.81%

-0.01%

BlackRock Japan Co., Ltd. ⅩⅣ

5.74%

5.81%

-0.07%

BlackRock Japan Co., Ltd. ⅩⅤ

5.65%

5.73%

-0.08%

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅴ

5.82%

5.81%

+0.00%

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅵ

4.82%

4.89%

-0.06%

Mitsubishi UFJ Trust and Banking Corporation Ⅳ

5.78%

5.81%

-0.03%

Mitsubishi UFJ Trust and Banking Corporation Ⅴ

2.79%

2.80%

-0.01%

Mitsubishi UFJ Trust and Banking Corporation Ⅵ

0.07%

0.05%

+0.02%

Resona Asset Management Co., Ltd. Ⅺ

5.84%

5.81%

+0.02%

Resona Asset Management Co., Ltd. Ⅻ

2.78%

3.39%

-0.61%

Asset Management One Co., Ltd. Ⅸ

7.64%

5.81%

+1.82%

Asset Management One Co., Ltd. Ⅹ (former Mizuho Asset Management)

0.94%

2.54%

-1.60%

Invesco Asset Management (Japan) LimitedⅠ

5.56%

5.81%

-0.25%

Invesco Asset Management (Japan) Limited Ⅱ

2.18%

5.81%

-3.63%

Capital International K.K.

7.71%

5.81%

+1.90%

Schroder Investment Management (Japan) LimitedⅠ

5.58%

5.81%

-0.23%

Nomura Asset Management Co., Ltd. Ⅴ

7.44%

9.97%

-2.53%FIL Investments (Japan) Limited Ⅲ

5.53%

1.48%

+4.04%

Sumitomo Mitsui DS Asset Management Company, Limited Ⅱ

11.39%

9.02%+2.37%

Lazard Japan Asset Management K.K.Ⅰ

10.32%

5.81%+4.51%

Russell Investments Japan Co., Ltd.Ⅰ

3.71%

5.81%

-2.10%

State Street Global Advisors (Japan) Co., Ltd. Ⅳ

1.48%

1.79%

-0.30%

State Street Global Advisors (Japan) Co., Ltd. Ⅴ

0.47%

0.13%

+0.34%

State Street Global Advisors (Japan) Co., Ltd. Ⅵ

10.61%

11.35%-0.74%

State Street Global Advisors (Japan) Co., Ltd. Ⅶ

1.04%

1.59%

-0.55%

State Street Global Advisors (Japan) Co., Ltd. Ⅷ-2.22%-2.17%-0.05%

State Street Global Advisors (Japan) Co., Ltd. Ⅸ

2.56%

2.65%

-0.09%

BlackRock Japan Co., Ltd. ⅩⅤⅠ

1.68%

1.79%

-0.10%〇

BlackRock Japan Co., Ltd. ⅩⅤⅡ

12.96%

13.88%-0.92%〇

BlackRock Japan Co., Ltd. ⅩⅤⅢ-0.34%-1.52%+1.17%〇

BlackRock Japan Co., Ltd. ⅩⅨ-2.39%-2.79%+0.39%〇

BlackRock Japan Co., Ltd. ⅩⅩ

0.62%

1.16%

-0.54%〇

BlackRock Japan Co., Ltd. ⅩⅩⅠ-1.47%-1.50%+0.02%〇

BlackRock Japan Co., Ltd. ⅩⅩⅡ-2.58%-2.47%-0.11%〇

BlackRock Japan Co., Ltd. ⅩⅩⅢ

9.65%

9.66%

-0.01%〇

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅶ

1.59%

1.79%

-0.19%

Legal & General Investment Management Japan KKⅠ

1.77%

1.79%

-0.02%

Legal & General Investment Management Japan KK Ⅱ

9.86%

10.18%-0.32%

Legal & General Investment Management Japan KK Ⅲ

0.18%

0.13%

+0.05%-0.03%

Legal & General Investment Management Japan KK Ⅳ

11.32%

11.35%

Legal & General Investment Management Japan KK Ⅴ

1.55%

1.59%

-0.04%

Legal & General Investment Management Japan KK Ⅵ

-1.88%-2.17%+0.30%

Legal & General Investment Management Japan KK Ⅶ

2.24%

2.23%

+0.01%

Legal & General Investment Management Japan KK Ⅷ

2.77%

2.95%

-0.18%

Asset Management One Co., Ltd. Ⅺ (former Mizuho Asset Management)-1.15%-5.09%+3.94%〇

Amundi Japan Ltd Ⅱ-3.80%-2.41%-1.39%

Wellington Management Japan Pte Ltd.

-3.94%-2.41%-1.54%〇〇

JPMorgan Asset Management (Japan) LimitedⅠ-3.53%-2.41%-1.12%〇

JPMorgan Asset Management (Japan) Limited Ⅱ-0.64%-0.61%-0.03%〇

T.Rowe Price Japan, Inc. Ⅱ-1.72%-2.41%+0.69%〇

T.Rowe Price Japan, Inc. Ⅲ-1.17%-2.77%+1.60%〇

Tokio Marine Asset Management Co., Ltd. Ⅱ-2.39%-2.41%+0.01%〇

Tokio Marine Asset Management Co., Ltd. Ⅲ-3.13%-4.68%+1.55%〇

Tokio Marine Asset Management Co., Ltd. Ⅳ-2.22%-2.47%+0.25%〇〇

Tokio Marine Asset Management Co., Ltd. Ⅴ-5.23%-4.46%-0.77%

Nikko Asset Management Co., Ltd. Ⅱ

4.13%

3.22%

+0.91%

Nissay Asset Management Corporation Ⅱ-3.46%-4.68%+1.22%〇

Neuberger Berman East Asia LimitedⅠ

3.08%-0.34%+3.42%〇

Nomura Asset Management Co., Ltd. Ⅵ-6.34%-2.47%-3.87%〇BNP Paribas Asset Management Japan Limited-3.50%-2.41%-1.09%〇BNY Mellon Investment Management Japan Limited Ⅱ

7.03%

3.22%

+3.82%FIL Investments (Japan) Limited Ⅳ-0.73%-0.34%-0.39%〇

BlackRock Japan Co., Ltd. ⅩⅩⅣ-2.17%-2.49%+0.33%〇

BlackRock Japan Co., Ltd. ⅩⅩⅤ-2.52%-4.68%+2.16%〇

Franklin Templeton Japan Co., Ltd. Ⅱ-4.79%-4.68%-0.11%〇

Manulife Investment Management (Japan) Limited Ⅱ

2.60%-2.77%+5.37%〇

Mitsubishi UFJ Trust and Banking Corporation Ⅶ-0.28%

0.27%-0.55%UBS Asset Management (Japan) Ltd Ⅱ-3.55%

3.22%-6.77%

Lazard Japan Asset Management K.K. Ⅱ-0.12%-2.08%+1.96%

Reference Data｜ 1 Investment Assets by Investment Method and by Manager, Etc.

I nv e st m e nt p erfo rman ce ( al ter n ati ve a s s e t s )Alternative
assetsInvestment style
Global infrastructure
mandate focusing
mainly on opportunities
in Japan (Note 8)

Infrastructure

Private equity

Real estate

Asset manager nameIRR
(local currency)

IRR
(JPY)

Local
currency

Start ofinvestment

4.99%

4.99%

JPY

March 2018-0.93%

5.63%

USD

April 2018

RemarkscolumnDBJ Asset Management Co., Ltd.

Global-Core

Nomura Asset Management Co., Ltd. Ⅶ

5.70%

12.61%

USD

February 2018

Global-Core

Nomura Asset Management Co., Ltd. Ⅷ-0.96%

5.40%

USD

December 2021

Global-Core

Sumitomo Mitsui DS Asset Management Company, Limited Ⅲ

2.70%

8.41%

USD

January 2018

Global-Core

Sumitomo Mitsui DS Asset Management Company, Limited Ⅳ

8.13%

15.44%

USD

September 2021

Global-CoreIn-house investment Ⅴ

4.38%

6.36%

USD

February 2014

Global-Diversified
Strategy

Neuberger Berman East Asia Limited Ⅱ

6.97%

18.03%

USD

April 2020

Global-Diversified
Strategy

Mitsubishi UFJ Trust and Banking Corporation Ⅷ

7.98%

18.77%

USD

January 2021

Japan-Focused
Strategy

Mitsubishi UFJ Trust and Banking Corporation Ⅸ-4.80%-4.80%

JPY

January 2022

Emerging marketsDiversified

In-house investment Ⅵ

7.62%

12.14%

USD

June 2015

Global-Core
Commingled Fund
Investments

Asset Management One Co., Ltd. Ⅻ

6.20%

13.12%

USD

September 2018

Global-Core
JV/Club Type
Investments

Asset Management One Co., Ltd. ⅩⅢ-4.22%

0.71%

USD

February 2021

Global-Core
JV/Club Type
Investments

Mizuho Trust & Banking Co., Ltd.

—

—

USD

September 2022

Japan-Core

Mitsubishi UFJ Trust and Banking Corporation Ⅹ

7.29%

7.29%

JPY

December 2017○

Chapter 3(Note 1) Funds are listed in the order of the Japanese syllabary.
(Note 2) Asset managers entrusted with investment for more than one contract are indicated in Roman numerals.
(Note 3) The time-weighted returns and the benchmark returns are annualized rates that exclude the effect of the trade suspended period for asset transfer.
(Note 4) Excess returns may not equal the value calculated using the figures in the table because the figures are rounded off to two decimal places.
(Note 5) Time-weighted returns do not include returns from securities lending investment.
(Note 6) Internal rate of return (IRR) is a rate of return calculated by taking into account the effects of the size and timing of cash flows of investment target funds during
the investment period. The calculation period of IRR is from the start of investment to the end of the current fiscal year.
(Note 7) Actual investments in alternative assets are denominated in major investment currencies. IRR (yen-denominated funds) is calculated by converting cash flows
denominated in major investment currencies into yen at the going market exchange rate as of the occurrence of the cash flow and is subject to exchange
rate fluctuations throughout the investment period.
(Note 8) Domestic assets (major investment currency: JPY) are managed separately from foreign assets (major investment currency: USD).
 circle in the remarks column indicates an external asset manager whose investment period is less than one year. The rates of return for external asset(Note 9) A
managers with investment periods of less than one year are those for the investment periods. For alternative assets, however, rates of return are shown only
for investments underway for at least one year for which investments in the portfolio companies have already been executed.

94

Reference Data

1 Investment Assets by Investment Method and by Manager, Etc.

［ 5 ］I n v e s t m e n t f e e s ( 3 y e a r c u m u l a t i v e )(Unit: ¥)Investment
methodDomestic
bonds
passiveinvestment

Domestic
bonds active
investment

Foreignbonds
passiveinvestment

Asset manager name

Remarks
Custodians Investment fees
column(Unit: ¥)Investment
methodCustodians Investment fees

RemarkscolumnAsset Management One Co., Ltd.Ⅰ(former Mizuho Trust & Banking)

MTBJ

163,339,977

Asset Management One Co., Ltd. Ⅴ(former Mizuho Asset Management)

SSTB

3,953,105,670

AllianceBernstein Japan Ltd.

MTBJ

299,784,262

Ashmore Japan Co., Ltd

SSTB

913,352,541

Goldman Sachs Asset Management Co.,
Ltd.

SSTB

2,100,540,172〇

Schroder Investment Management (Japan) Limited Ⅱ

SSTB

1,611,634,046〇

Sompo Asset Management Co., LTD.

SSTB

3,185,348,796

T.Rowe Price Japan, Inc.Ⅰ

MTBJ

356,775,610

PineBridge Investments Japan Co., Ltd.

MTBJ

210,854,609

BNY Mellon Investment Management
Japan LimitedⅠ

SSTB

3,466,773,541

PGIM Japan Co., Ltd. Ⅱ

SSTB

2,666,628,794

PIMCO Japan Ltd Ⅱ

SSTB4,622,055,463

FIL Investments (Japan) LimitedⅠ

SSTB

15,984,003,177

State Street Global Advisors (Japan) Co.,
Ltd. Ⅹ

MTBJ

109,895,191

BlackRock Japan Co., Ltd.Ⅰ

MTBJ

44,287,613

BlackRock Japan Co., Ltd. Ⅱ

MTBJ

8,396,815

BlackRock Japan Co., Ltd. Ⅲ

MTBJ

156,472,134

Sumitomo Mitsui Trust Asset Management Co., Ltd.Ⅰ

MTBJ

264,026,479

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅱ

MTBJ

39,355,895

Mitsubishi UFJ Trust and Banking Corporation Ⅱ

MTBJ

56,426,177

Resona Asset Management Co., Ltd. Ⅲ

SSTB

58,030,867

Resona Asset Management Co., Ltd. Ⅳ

SSTB

24,198,513

Asset Management One Co., Ltd. Ⅲ(former Mizuho Trust & Banking)

MTBJ

1,085,080,933

Asset Management One Co., Ltd. ⅩⅣ(former DIAM)

MTBJ

1,109,729,179

MU Investments Co., Ltd.

MTBJ

437,502,487

Tokio Marine Asset Management Co., Ltd.Ⅰ

MTBJ

474,999,950

PGIM Japan Co., Ltd.Ⅰ

MTBJ

808,071,962

PIMCO Japan LtdⅠ

MTBJ

1,005,351,479

Manulife Investment Management (Japan)
LimitedⅠ

MTBJ

1,203,045,737

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅲ

MTBJ

670,208,214

Mitsubishi UFJ Trust and Banking Corporation Ⅲ

MTBJ

1,018,772,346

Asset Management One Co., Ltd. Ⅳ(former Mizuho Trust & Banking)

SSTB

128,887,440

State Street Global Advisors (Japan) Co.,
Ltd.Ⅰ

SSTB

154,766,192

Nomura Asset Management Co., Ltd. Ⅱ

MTBJ

65,318,308

BlackRock Japan Co., Ltd. Ⅳ

MTBJ

331,974,843

BlackRock Japan Co., Ltd. Ⅴ

MTBJ

77,508,744

BlackRock Japan Co., Ltd. Ⅵ

MTBJ

212,414,194

BlackRock Japan Co., Ltd. Ⅶ

MTBJ

2,012,554

BlackRock Japan Co., Ltd. Ⅷ

MTBJ

219,965,234

BlackRock Japan Co., Ltd. Ⅻ

MTBJ

197,433,980

BlackRock Japan Co., Ltd. ⅩⅢ

MTBJ

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅳ〇

Foreign bonds
activeinvestment

BlackRock Japan Co., Ltd. ⅩⅩⅥ

SSTB

2,268,881,477

Franklin Templeton Japan Co., Ltd.Ⅰ

SSTB

3,388,310,623

Barings Japan Limited

MTBJ

209,419,469

Morgan Stanley Investment Management(Japan) Co., Ltd.Ⅰ

SSTB

3,858,452,235

Morgan Stanley Investment Management(Japan) Co., Ltd. Ⅱ

MTBJ

260,733,067

UBS Asset Management (Japan) LtdⅠ

SSTB

900,277,527

Asset Management One Co., Ltd. Ⅵ(former DIAM)

MTBJ

570,622,129

Asset Management One Co., Ltd. Ⅶ(former Mizuho Trust & Banking)

MTBJ

32,162,485

Asset Management One Co., Ltd. Ⅷ

MTBJ

111,606,425

Nomura Asset Management Co., Ltd. Ⅲ

MTBJ

184,467,890

Nomura Asset Management Co., Ltd. Ⅳ

MTBJ

1,196,833,328

FIL Investments (Japan) Limited Ⅱ

MTBJ

211,853,183

BlackRock Japan Co., Ltd. ⅩⅣ

MTBJ

65,930,733

BlackRock Japan Co., Ltd. ⅩⅤ

MTBJ

77,871,253

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅴ

MTBJ

231,786,058

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅵ

MTBJ

263,580,854

Mitsubishi UFJ Trust and Banking Corporation Ⅳ

MTBJ

143,027,369

Mitsubishi UFJ Trust and Banking Corporation Ⅴ

MTBJ

151,323,318

76,064,346

Mitsubishi UFJ Trust and Banking Corporation Ⅵ

MTBJ

118,270,127

SSTB

30,921,233

Resona Asset Management Co., Ltd. Ⅺ

MTBJ

200,814,441

Resona Asset Management Co., Ltd. Ⅴ

SSTB

51,058,083

Asset Management One Co., Ltd. Ⅸ

MTBJ

745,243,753

Resona Asset Management Co., Ltd. Ⅵ

SSTB

14,092,369

Asset Management One Co., Ltd. Ⅹ(former Mizuho Asset Management)

MTBJ

805,906,205

Resona Asset Management Co., Ltd. Ⅶ

SSTB

68,989,705

Resona Asset Management Co., Ltd. Ⅷ

SSTB

1,172,181

Invesco Asset Management (Japan) LimitedⅠ

MTBJ

1,305,334,409

Resona Asset Management Co., Ltd. Ⅸ

SSTB

61,739,723

Invesco Asset Management (Japan) Limited Ⅱ

MTBJ

89,096,142

Capital International K.K.

MTBJ

7,064,287,057

Schroder Investment Management (Japan) LimitedⅠ

MTBJ

688,546,135

Nomura Asset Management Co., Ltd. Ⅴ

MTBJ

608,412,708

FIL Investments (Japan) Limited Ⅲ

MTBJ

2,846,720,074

Sumitomo Mitsui DS Asset Management
Company, Limited Ⅱ

MTBJ

335,284,571

Lazard Japan Asset Management K.K.Ⅰ

MTBJ

1,305,124,938

Russell Investments Japan Co., Ltd.Ⅰ

MTBJ

2,725,116,889〇

Domestic
equities
passiveinvestment

Domestic
equities
activeinvestment

95

Asset manager name〇Reference Data｜ 1 Investment Assets by Investment Method and by Manager, Etc.



(Unit: ¥)Investment
methodForeignequities
passiveinvestment

Foreignequities
activeinvestment

Asset manager name

Remarks
Custodians Investment fees
columnState Street Global Advisors (Japan) Co.,
Ltd. Ⅳ

MTBJ

State Street Global Advisors (Japan) Co.,
Ltd. Ⅴ

MTBJ

154,445,870

State Street Global Advisors (Japan) Co.,
Ltd. Ⅵ

MTBJ

27,790,646

State Street Global Advisors (Japan) Co.,
Ltd. Ⅶ

MTBJ

6,528,363

State Street Global Advisors (Japan) Co.,
Ltd. Ⅷ

MTBJ

47,300,009

State Street Global Advisors (Japan) Co.,
Ltd. Ⅸ

MTBJ

774,898,217

BlackRock Japan Co., Ltd. ⅩⅥ

MTBJ

528,956,318

Sumitomo Mitsui Trust Asset Management Co., Ltd. Ⅶ

MTBJ

339,505,236

Legal & General Investment Management
Japan KK Ⅰ

MTBJ

695,907,911

(Unit: ¥)Investment
method393,313,959
Alternative
infrastructure

Alternative
private equity

Alternative
real estate

Asset manager name

Custodians Investment fees

DBJ Asset Management Co., Ltd.

SSTB

16,499,994

Nomura Asset Management Co., Ltd. Ⅶ

SSTB

582,300,518

Sumitomo Mitsui DS Asset Management
Company, Limited Ⅲ

SSTB

670,755,560

Neuberger Berman East Asia Limited Ⅱ

SSTB

115,606,342

Mitsubishi UFJ Trust and Banking Corporation Ⅷ

SSTB

399,625,666

Asset Management One Co., Ltd. Ⅻ

SSTB

778,204,627

Asset Management One Co., Ltd. ⅩⅢ

SSTB

115,370,009

Mitsubishi UFJ Trust and Banking
Corporation Ⅹ

SSTB

744,549,164

Remarkscolumn(Unit: ¥)Legal & General Investment Management
Japan KK Ⅵ

MTBJ

17,433,772

Legal & General Investment Management
Japan KK Ⅶ

MTBJ

115,084,470

Legal & General Investment Management
Japan KK Ⅷ

MTBJ

129,624,449

Asset Management One Co., Ltd. Ⅺ(former Mizuho Asset Management)

MTBJ

1,332,331,449

MFS Investment Management K.K.

MTBJ

585,782,551

Nikko Asset Management Co., Ltd. Ⅱ

MTBJ

969,832,497

BNY Mellon Investment Management Japan
Limited Ⅱ

MTBJ

582,630,713

Mitsubishi UFJ Trust and Banking Corporation Ⅶ

MTBJ

14,337,244,190

UBS Asset Management (Japan) Ltd Ⅱ

MTBJ

943,566,762

Lazard Japan Asset Management K.K. Ⅱ

MTBJ

632,580,651

Investment
methodCustody

Transition
management〇

Custodian, etc. name

Custodians Investment fees

State Street Trust and Banking Co., Ltd.

SSTB

9,470,000,316

Custody Bank of Japan, Ltd.

CBJ

1,525,023,029

The Master Trust Bank of Japan, Ltd.

MTBJ

24,015,949,303

BlackRock Japan Co., Ltd. ⅩⅩⅦ(Foreign bonds)

SSTB

345,237

Nomura Asset Management Co., Ltd. Ⅸ(Domestic equities)

MTBJ

1,100,000

Russell Investments Japan Co., Ltd. Ⅱ(Domestic equities)

MTBJ

55,000Chapter 3(Note 1) Funds are listed in the order of the Japanese syllabary.
(Note 2) Asset managers entrusted with investment for more than one contract are indicated in Roman numerals.
(Note 3) Fees include consumption tax.
(Note 4) A circle in the remarks column indicates an external asset manager closed in fiscal 2022 with less than three years of investment period since April 2020.
The lists do not include funds, etc. that have less than three years investment history after the contract for these mandates, or those that have three years or
longer investment history after the contracts but to which there was no fee payment during the last three years.
(Note 5) Fees paid to custodians include certain fees that are deducted from the entrusted assets, such as custody fees and attorney fees.
(Note 6) The investment fees of State Street Trust and Banking Co., Ltd., related to alternative assets is ¥565,569,796.

Investment returns and fees by securities lending investment. (3 year cumulative)(Unit：¥)
Asset class

Investment returns

Investment fees

Domestic
bonds

1,988,938,191

203,201,691

Foreignbonds

67,510,554,680

16,017,566,427

Foreignequities

417,316,109

78,545,012(Note 1) Returns in the table represent premium charges excluding fees.
(Note 2) Fees indicate management fees and agent fees.

Index licensing fees (three-year cumulative)(Unit：¥)
Index companies
Index use

Ibbotson Associates Japan, Inc.
MSCI G.K.

Index licensing fees
31,232,497
1,015,603,755(Note 1) Index licensing fees are paid by GPIF based on direct contracts with index companies, in order to enable outsourced asset managers to use indexes. Index
licensing fees include consumption tax.
(Note 2) The list does not include index companies that have less than three years history after the contract, or those that have three years or longer history after thecontracts but to which there was no fee payment during the last three years.

96Reference Data2

2 Portfolio Holdings by Asset Category as of Mar. 31, 2023

Portfolio Holdings by Asset Category as of Mar. 31, 2023

These are lists to summarize GPIF’s top 10 portfolio holdings as of March 31, 2023 (as of the end of fiscal 2022), either
indirectly through external asset managers or directly with GPIF’s in-house capacity for bonds, by name for bondsand equities.
These do not purport to represent GPIF’s evaluation of individual companies.
Russia-related assets including in market capitalization at the end of March 2023 are valued at zero in principle, due
to situations such as trade restriction against foreign investors, difficulties in settlement and exchange transaction,and difficulties in access to sufficient information about trading.
Domestic bonds holdings in order of market value
No.

Security nameDomestic equities holdings in order of market valueMarket value(¥100 million)

No.

Security nameMarket value(¥100 million)1

10-year Inflation-Indexed Bonds JGB #20

11,004

1

TOYOTA MOTOR CORP.

946,680,300

18,063

2

Fixed-rate Bonds JGB #156

6,718

2

SONY GROUP CORP.

123,618,700

14,865310-year Inflation-Indexed Bonds JGB #21

6,647

3

KEYENCE CORP.

15,783,400

10,196410-year Inflation-Indexed Bonds JGB #19

5,772

4

MITSUBISHI UFJ FINANCIAL GROUP,INC.

1,111,913,300

9,607

5

Fixed-rate Bonds JGB #150

5,014

5

NIPPON TELEGRAPH AND TELEPHONE CORP.

202,569,800

8,147

6

Fixed-rate Bonds JGB #149

4,428

6

DAIICHI SANKYO COMPANY LTD

154,609,600

7,478

7

Fixed-rate Bonds JGB #154

4,260

7

SUMITOMO MITSUI FINANCIAL GROUP,INC.

126,330,700

6,838

8

Fixed-rate Bonds JGB #145

4,245

8

HITACHI LTD.

91,308,600

6,686

9

Fixed-rate Bonds JGB #148

4,222

9

TOKYO ELECTRON LTD.

40,998,100

6,676

10

Fixed-rate Bonds JGB #363

4,033

10

SHIN-ETSU CHEMICAL CO.,LTD.

141,459,500

465,203

Total

2,312 securities

Total

4,806 securities

Foreign bonds holdings in order of market value
No.

Security name

6,125
497,093

Foreign equities holdings in order of market valueMarket value(¥100 million)

No.

Security nameSharesMarket value(¥100 million)

1

US TREASURY N/B 4.125PCT 15NOV32

3,647

1

APPLE INC

103,066,778

22,6202

US TREASURY N/B 2.875PCT 15MAY32

2,297

2

MICROSOFT CORP

46,051,878

17,6703

US TREASURY N/B 1.875PCT 15FEB32

2,144

3

AMAZON.COM INC

59,607,190

8,194

4

US TREASURY N/B 1.625PCT 15MAY31

1,885

4

NVIDIA CORP

16,711,306

6,178

5

US TREASURY N/B 1.375PCT 15NOV31

1,868

5

ALPHABET INC-CL A

37,898,125

5,232

6

US TREASURY N/B 2.875PCT 15AUG28

1,737

6

ALPHABET INC-CL C

34,939,891

4,836

7

US TREASURY N/B 2.75PCT 15AUG32

1,684

7

TESLA INC

16,621,852

4,589

8

US TREASURY N/B 2.625PCT 15FEB29

1,653

8

META PLATFORMS INC-CLASS A

14,658,054

4,135

9

US TREASURY N/B 1.25PCT 15AUG31

1,653

9

UNITEDHEALTH GROUP INC

6,192,063

3,895

10

US TREASURY N/B 1.5PCT 15AUG26

1,578

10

EXXON MOBIL CORP

25,593,625

3,735

498,664

Total

Total

13,448 securities

3,366 securities

Alternative Assets holdings in order of market value
No.

Alternative Assets

Security nameMarket value(¥100 million)

1

Infrastructure

STEPSTONE G INFRASTRUCTURE OPPORTUNITIES, L.P.

4,903

2

Infrastructure

PANTHEON G INFRASTRUCTURE OPPORTUNITIES LP

3,269

3

Infrastructure

TORANOMON INFRASTRUCTURE 1, L.P.

1,928

4

Infrastructure

GLOBAL ALTERNATIVE CO-INVESTMENT FUNDⅠ

1,921
1,213

5

Infrastructure

TORANOMON INFRASTRUCTURE 2 LP

6

Infrastructure

DG INFRASTRUCTURE OPPORTUNITIES L.P.

653

7

Infrastructure

DG INFRASTRUCTURE, ILP

590

1

Private Equity

TORANOMON PRIVATE EQUITY 1 AIV, L.P.

2,473

2

Private Equity

TORANOMON PRIVATE EQUITY 2 AIV, L.P.

1,714

3

Private Equity

GLOBAL ALTERNATIVE CO-INVESTMENT FUND Ⅱ

450

4Private Equity

TORANOMON PRIVATE EQUITY 3, ILP

36

1

Real Estate

CBRE G REAL ESTATE INVESTMENTS, LP

6,745

2

Real Estate

MUTB G REAL ESTATE FUND

2,157

3

Real Estate

TORANOMON REAL ESTATE 1, LP(Note) Security names are as of March 31, 2023.

97

Shares291

486,856

Code
CodeofofConduct
Conduct
SocialSocialresponsibility
responsibility【1】【1】◆ GPIF’s◆ GPIF’s
missionmissionis toiscontributeto contributeto theto thestability
stabilityof theof thepublicpublicpensionpensionsystemsystem
(Employees’(Employees’
PensionPensionInsurance
Insurance
andandNational
National
Pensions)
Pensions)by managing
by managing
the thereserve
reserveassetsassetsandanddistributing
distributing
the theproceeds
proceeds
to tothe thegovernment.
government.

Fiduciary
Fiduciary
duty
duty
【2】
【2】
◆ We
◆ We
fullyfully
understandunderstandthatthat
the thereserve
reserveassetsassetsare areinstrumental
instrumental
for future
for future
pensionpensionbenefits
benefits
payments,
payments,
act act
solelysolelyfor thefor thebenefitbenefitof pensionof pension
recipients,
recipients,
andandpledgepledgeto payto payduedueattention
attention
as prudent
as prudent
expertsexperts
in exercisingin exercising
ourourfiduciaryfiduciary
responsibilities.
responsibilities.
TheTheChairperson
Chairperson
andandthethemembermemberof theof the
Board
Board
of of
Governors
Governors
shallshallby no
by means
no means
be motivatedbe motivatedby benefitting
by benefitting
the theorganizationsorganizations
to which
to whichtheythey
belong.
belong.

Compliance
Compliance
with
with
laws
laws
andandmaintaining
maintaining
highesthighestprofessional
professional
ethicsethicsandandintegrity
integrity
【3】
【3】
◆ We
◆ We
shallshallcomplycomplywithwith
lawslaws
andandsocialsocialnorms,
norms,
remainremainfullyfully
cognizantcognizantof ourof oursocialsocialresponsibilities
responsibilities
associatedassociatedwithwith
pensionpensionreserve
reservemanagement,
management,
andandact act
withwiththe thehighesthighestprofessional
professional
ethicsethicsandandintegrity
integrity
to avoid
to avoidanyanydistrust
distrust
or suspicion
or suspicionof theof thepublic.
public.

Duty
Duty
of confidentialityof confidentiality
andandprotecting
protecting
GPIF’sGPIF’sassetsassets
【4】
【4】
◆ We
◆ We
shallshallstrictly
strictly
control
control
confidential
confidential
information
information
thatthat
we we
come
come
to accessto accessthroughthroughourourbusinesses,
businesses,
suchsuch
as non-public
as non-public
information
information
relatedrelatedto investment
to investment
policies
policies
andandinvestment
investment
activities,
activities,
andandnever
neveruseusesuchsuch
information
information
privatelyprivatelyor illegally.
or illegally.
◆ We
◆ We
shallshalleffectively
effectively
useuseGPIF’sGPIF’sassets,assets,both
bothtangibletangibleandandintangible
intangible(e.g.,(e.g.,
documents,
documents,
proprietary
proprietary
information,
information,system,system,andandknow-how),know-how),
andandprotect
protect
andandmanagemanagesuchsuchassetsassetsproperly.
properly.

Prohibition
Prohibitionof pursuingof pursuinginterests
interests
other
other
than
than
those
those
of GPIFof GPIF
【5】
【5】
◆ We
◆ We
shallshall
never
never
useuseourouroccupations
occupations
or positions
or positions
for forthe theinterests
interestsof ourselves,of ourselves,
relatives,
relatives,or third
or third
parties.
parties.
◆ We◆ We
shallshall
never
never
seekseek
undue
undue
profits
profits
at theat theexpenseexpenseof GPIF.
of GPIF.

Fairness
Fairnessof businessof business
transactionstransactions
【6】
【6】
◆ We
◆ We
shallshallrespect
respect
fair fairbusinessbusinesspractices
practices
at homeat homeandandabroad,abroad,andandtreat
treat
all counterparties
all counterparties
impartially.
impartially.
◆ We
◆ We
shallshall
never
never
make
make
transactionstransactions
withwith
anti-social
anti-social
forcesforcesor bodies.
or bodies.

Appropriate
Appropriate
information
information
disclosure
disclosure
【7】
【7】
◆ We
◆ We
shallshallcontinue
continue
to improveto improve
ourourpublicpublicinformation
information
disclosure
disclosure
andandpublicpublicrelationsrelationsactivities.
activities.
◆ We
◆ We
shall
shall
ensureensurethe theaccuracy
accuracy
andandappropriatenessappropriatenessof ourof ourfinancialfinancialstatements
statements
andandother
otherpublicpublicdocuments
documents
thatthat
are arerequired
required
to be
to disclosed
be disclosed
by laws
by laws
andandordinances.
ordinances.
◆ We
◆ We
shallshallremainremainmindful
mindfulthatthatourouroutsideoutsideactivities,
activities,
regardlessregardlessof whetherof whether
businessbusinessor private
or private(e.g.,(e.g.,
publications,publications,speeches,
speeches,interviews,
interviews,
or useor useof socialof socialmedia)
media)
affectaffectthe thecredibility
credibilityof GPIF,of GPIF,
andandact act
accordingly.
accordingly.

Developing
Developing
human
human
resources
resourcesandandrespect
respectin thein theworkplace
workplace
【8】
【8】
◆ We
◆ We
are arecommitted
committed
to GPIF’s
to GPIF’s
missionmissionby improving
by improving
ourourprofessional
professional
skillsskillsandandexpertise,
expertise,promotingpromotingcommunication
communication
andandteamwork
teamwork
andandnurturing
nurturinga diversity
a diversityof talentsof talents
andandcapabilities.
capabilities.
◆ We
◆ We
shallshallrespect
respecteach
each
person’s
person’s
personality,
personality,
talents
talents
andandcapabilities,
capabilities,
perspectives,
perspectives,
well-being,
well-being,
andandprivacy
privacy
to maintainto maintaina gooda goodwork
work
environment,
environment,
andand
never
never
allow
allow
discrimination
discriminationor harassment.
or harassment.

Self-surveillance
Self-surveillanceof illegalof illegal
or orinappropriate
inappropriate
activity
activity【9】【9】◆ Whenever◆ Wheneveran illegal
an illegal
or inappropriate
or inappropriate
activity
activityis (oris (oris expected
is expected
to be)
to be)
perpetrated
perpetrated
by executives,
by executives,
staff,
staff,or otheror otherrelatedrelatedpersonnel,
personnel,
such
such
activity
activity
shall
shall
be immediately
be immediately
reportedreported
to GPIFto GPIFthroughthroughvariousvariouschannelschannels
includingincludingourourwhistleblowing
whistleblowing
system.
system.
◆ When◆ Whensuch
such
a reporta report
is made,is made,
we we
shall
shall
conduct
conduct
the thenecessarynecessaryinvestigation
investigation
andandtaketakecorrective
corrective
actions
actions
andandpreventive
preventive
measuresmeasuresaccordingaccordingto ourto ourinternal
internal
rules.
rules.

ANNUAL REPORT FISCAL YEAR 2022

Government
Government
PensionPensionInvestment
Investment
Fund,
Fund,
Japan
Japan

AnnualAnnualReport
ReportFiscal
FiscalYear
Year2022
2022
ThisThisdocument
documenthashasbeen
been
preparedpreparedandandreleased
released
to to
the thepublicpublicin accordancein accordance
withwith
ArticleArticle26, 26,
Paragraph
Paragraph
1 1of theof theActActon Government
on Government
PensionPensionInvestment
Investment
Fund
Fund
andandArticleArticle79-8,
79-8,
Paragraph
Paragraph
1 of1theof theEmployees’
Employees’
PensionPensionInsurance
Insurance
Act.Act.

Contact
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