Global markets have become so synchronized that money managers risk losing on every front, according to Hiromichi Mizuno, chief investment officer of the world’s largest pension fund.

Japan’s $1.5 trillion Government Pension Investment Fund lost money in equities, fixed-income and currency positions over the last three months, Mizuno said Tuesday in Sacramento, California.

“Conventional wisdom of portfolio diversification is when we lose money in equity we make a profit in fixed income,” Mizuno told the board of the California Public Employees’ Retirement System, the largest U.S. pension. “But we lost in every single asset classes and lost in the currency translation as well. It never happened in the past.”

The Japan system’s annualized returns were 3.03% from fiscal 2001 to 2018, compared with a more than 6% annual average for Calpers, which has an annual target of 7%. More than half of GPIF’s portfolio was in domestic stocks and bonds as of March 31. Many Japanese bonds carry negative yields, and the Nikkei-225 stock index has slid almost 3% in the past three months.

GPIF is seeking uncorrelated returns by pushing into private investments, which can make up as much as 5% of its portfolio. Mizuno said it’s becoming an increasingly crowded trade.

“Everybody is trying to increase the private assets, or like a private investment, because obviously it’s not all correlated to the public market,” he said.