The New Zealand Superannuation Fund has had its worst month for investment returns in nearly a year.
The fund was set up to help pay for National Super from 2030 and lost $940 million in May this year as global sharemarkets took a dive.
It was the second successive month of negative returns for the Super Fund and its worst performance in a month since August 2011 when global sharemarkets were also hit hard.
The fund has lost $300 million so far this financial year, losing money in six out of the past 11 months, and is down from its March peak of $19.4 billion.
Fund chief executive Adrian Orr says the result is not surprising, given the long-term investor's heavy weighting toward global stocks.
"What you've seen over the month of May, obviously, is the ongoing volatility that's happening in financial markets globally".
Mr Orr says the year as a whole has been a real rollercoaster.
In a statement on Wednesday, the Super Fund says a recovery in global sharemarkets in June this year means it expects to end 2012 where it started.
The fund has earned $5.8 billion since it was set up in 2003, for a 6.8% annual return, or 1.6% above its target rate of return.