Investment results for 2Q of fiscal 2020(update report)

Government Pension Investment Fund (GPIF) manages the public pension fund in the long term and its investment results
should be assessed in the same manner. In addition to the annual report, which is legally required, GPIF publishes thequarterly update report to enhance the transparency to the public.
Please note that returns, which are marked to market as of the end of each quarter, include unrealized gains and losses andare influenced by the market trends.
Cumulative returns and quarterly rate of return（FY2001-FY2020 2Q）
40%+74.9

FY2020 2Q

FY2001-FY2020 2Q

Rate of investment return＋3.05% (Not annualized)＋3.09% (Annualized)

Investment returns(￥billion)＋4,923.7 (Interest and dividend
income 579.9)＋74,948.3 (Interest and dividend
income 38,737.1)

70

35%
30%

￥trillion
80

25%

50

167,535.8(End of FY2020 2Q)

Total assets(￥billion)

20%

60

4015%

30

10%

205%

100%

0-5%-10-20-10%
Quarterly rate of return

Cumulative returns-15%FY2001

FY2002

FY2003

FY2004

FY2005

FY2006

FY2007

FY2008FY2009FY2010FY2011FY2012FY2013

FY2014FY2015FY2016FY2017FY2018-30

FYFY2019 2020 2Q

Note1: The GPIF’s portfolio consists of the funds invested in the markets (hereinafter “market investment,” which is marked to market) and FILP bonds (Fiscal Investment and Loan Program bonds), which are held to maturity andNote0: valued at amortized costs.
Note2: Return figures are the average of returns of market investment and FILP bonds weighted with investment principal, and are gross of fees.
Note3: Periodic rate of investment return and periodic investment returns are compared from the end of the previous quarter. The same applies hereinafter.
Note4: Rate of investment return (annualized) is calculated as a geometric mean of the annual rate of return from FY2001 to this quarter.
Note5: Cumulative returns indicate the total investment returns so far (from FY2001 to this quarter).
Note6: As these figures are preliminary, they may be subject to change in the Annual Report, etc. The same applies hereinafter.

-1-Cumulative returns since fiscal 2001（￥billion）

80,00074,948.3
Cumulative returns
Interest and dividend income

65,820.8+¥74,948.3 billion+¥38,737.1 billion

63,441.3

60,00053,360.3
50,733.8

57,537.7

50,00038,737.1

45,423.9

40,00033,900.6

35,441.5

30,859.7

25,220.9
17,370.3

20,00011,852.5

13,425.8
10,000537.8

1,189.6 2,021.1

4,463.8

4,474.9

12,509.4
10,315.7

6,115.5

23,005.0

25,547.4

28,080.8

20,751.8

16,636.7

14,602.6

37,141.2

Investment income

30,00018,610.7
13,998.6

11,689.3 11,389.4

8,116.4

Capital gains

70,0000-587.4-10,000

1,851.1

3,127.0

FY2003

FY20042,504.3-3,040.5

FY2001

FY2002

FY2005

FY2006

FY2007

FY2008FY2009FY2010FY2011FY2012FY2013

FY2014FY2015FY2016FY2017FY2018FY2019FY20202Q

Investment returns and rate of investment return for individual fiscal years
FY2001

FY2002

FY2003

FY2004

FY2005

FY2006

FY2007

FY2008FY2009FY2010FY2011FY2012FY2013

FY2014FY2015FY2016FY2017FY2018FY2019FY2020
1Q-2Q

Investment returns(￥billion)-587.4-2,453.0

4,891.6

2,612.7

8,961.9

3,944.5-5,517.8-9,348.1

9,185.0-299.92,609.2

11,222.2

10,220.7

15,292.2-5,309.8

7,936.3

10,081.0

2,379.5-8,283.1

17,410.6

61,522.5

74,948.3

Investment income（￥billion）

537.8

651.8

831.4

1,106.0

1,347.9

1,640.7

2,000.8

2,199.4

2,193.7

2,093.2

2,034.1

1,973.9

2,141.1

2,253.2

2,542.4

2,533.4

2,778.9

3,040.9

3,240.6

1,595.9

34,262.2

38,737.1

Rate of investment return-1.80%-5.36%

8.40%

3.39%

9.88%

3.70%

-4.59%-7.57%

7.91%-0.25%

2.32%

10.23%

8.64%

12.27%-3.81%

5.86%

6.90%

1.52%

-5.20%

11.59%

3.22%

3.09%

Note1: Investment returns and rate of investment return are gross of fees.
Note2: The figures above are rounded off, so the sum of each item does not necessarily match the total number.

-2-FY2006-FY2020
2Q

FY2001-FY2020
2Q

Investment assets and portfolio allocation（Pension reserves managed by GPIF and the pension special account）
End of September 2020
Market value(￥billion)
Domestic bonds

45,898.4

Allocation ofPension Reserve (1)Allocation ofPension Reserve (2)26.61%
50.06%

Foreign bonds

40,462.1

23.46%

Domestic equities

41,501.0

24.06%
49.94%

Foreign equities

44,638.0

25.88%

Total

172,499.6

100.00%100.00%Note1: The figures above are rounded off, so the sum of each item does not necessarily match the total number.
Note2: The pension reserves as a whole include reserves managed under the pension special account (about ¥5.0 trillion as of the end of September 2020).
Note3: Policy Asset Mix is as follows: Domestic bonds 25% (±7%), Foreign bonds 25% (±6%), Domestic equities 25% (±8%), Foreign equities 25% (±7%), Bonds 50% (±11%), Equities 50% (±11%).
Note4: 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.
Note5: The percentage of the alternative investments: 0.60% (within maximum 5% of total portfolio)-3-Investment results for 2Q of fiscal 2020
≪Total investments（market investments＋FILP bonds）≫
2019

2020

Fiscal year
Total

1Q

2Q

3Q

4Q

TotalRate of investment return (%)

-5.20

8.30

3.05

11.59

Investment returns (￥billion)-8,283.1

12,486.8

4,923.7

17,410.6

Total assets (￥billion)

150,633.2

162,092.6

167,535.8

167,535.8≪Reference≫（Market investments）（FILP bonds）
2020

Fiscal year

2020
Fiscal year

2019
1Q

2019
1Q

2Q

Modified total return (%)（Time-weighted return）

-5.24

8.35

3.06

(-5.26)(8.34)(3.05)

Investment returns (￥billion)-8,300.3

12,482.6

Total assets (￥billion)

149,737.0

161,196.9

2Q

Rate of investment return (%)

1.930.48

0.48

4,919.5

Investment returns (￥billion)

17.2

4.3

4.3

166,639.6

Total assets (￥billion)

896.2

895.6

896.2

Note1: Market investments are marked to market. FILP bonds are valued at amortized costs and include accrued income.
Note2: Return figures are gross of fees. While rate of investment return for FY2019 is annualized, return figures for each quarter and FY2020 (total) are period rate.

-4-

Rate of investment return≪Total investments≫
Fiscal year(unit：%)
2020

2019

Rate of investment return

1Q-5.202Q8.30

3Q

4Q

Total

11.59

3.05

≪Reference≫（Market investments）
Fiscal year

(unit : %)
2020

2019

Modified total return

1Q

-5.24

2Q

8.35

3Q

4Q

Total

3.06

11.66
(unit : %)Fiscal year

2020

2019

1Q

2Q

3Q

4Q

Total

Time-weighted return

-5.26

8.34

3.05

11.64

Domestic bonds

-0.36

-0.46

0.19

-0.27

Foreign bonds

3.55

3.45

0.64

4.11

Domestic equities

-9.71

10.95

4.93

16.42

Foreign equities-13.08

19.99

5.99

27.18

Short-term assets-0.04－－－（FILP bonds）
Fiscal year
Rate of investment return(unit：%)
2020

2019

1Q

1.93

2Q

0.48

3Q

0.48

4Q

Total

0.96

Note1: Yen-denominated short-term assets are classified as Domestic bonds, and foreign currency-denominated short-term assets are classified as Foreign bonds in FY2020.
Note2: Return figures are gross of fees. Rate of investment return in FY2019 is annualized and others are period rate.

-5-

Investment returns≪Total investments≫
Fiscal year
Investment returns(unit：￥billion)
2020

2019

1Q

-8,283.1

2Q

12,486.8

3Q

4Q

Total

17,410.6

4,923.7≪Reference≫（Market investments）
Fiscal year
Investment returns(unit：￥billion)
2020

2019

1Q

2Q

3Q

4Q

Total

-8,300.3

12,482.6

4,919.5

17,402.0

Domestic bonds-122.1-187.275.3-111.9Foreign bonds

1,015.4

1,186.5

208.0

1,394.5

Domestic equities-3,701.5

3,968.9

1,959.9

5,928.8

Foreign equities-5,488.7

7,514.4

2,676.3

10,190.7

Short-term assets

-3.4

－－－

（FILP bonds）
Fiscal year
Investment returns(unit：￥billion)
2020

2019

1Q

17.2

2Q

4.3

3Q

4.3

4Q

Total

8.6

Note1: Yen-denominated short-term assets are classified as Domestic bonds, and foreign currency-denominated short-term assets are classified as Foreign bonds in FY2020.
Note2: The figures above are rounded off, so the sum of each item does not necessarily match the total number.
Note3: Return figures are gross of fees.

-6-Reference index: 2Q of fiscal 2020
○Market Information
2020/3
Domesticbonds

JGB 10-year yield(%)

2020/62020/72020/82020/9

0.02

0.03

0.02

0.05

0.02

Foreignbonds

U.S. Treasury 10-year yield (%)

0.67

0.66

0.53

0.700.68

German Government Bond 10-year yield (%)

-0.47

-0.45

-0.52

-0.40

-0.52

Domestic
equities

TOPIX(points)

1,403.04

1,558.77

1,496.06

1,618.18

1,625.49

Nikkei225(\)

18,917.01

22,288.14

21,710.00

23,139.76

23,185.12

NY Dow($)

21,917.16

25,812.88

26,428.32

28,430.05

27,781.70

DAX(points)

9,935.84

12,310.93

12,313.36

12,945.38

12,760.73

SSEC(points)

2,750.30

2,984.67

3,310.01

3,395.68

3,218.05\/$

107.96107.89105.73106.05105.53\/€118.45121.17125.03126.82123.75

Foreignequities

FX○Benchmarks
2020 2Q

Domestic bonds
NOMURA-BPI non-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, before deducting taxes)-7-2020 1Q-2Q

0.17%-0.32%

0.81%

3.43%

5.17%

17.00%

5.97%

27.11%