The New Zealand Superannuation Fund says it would like to find significant local businesses and projects to invest in but is struggling to find opportunities of sufficient size.
The fund's annual report shows that its investments were worth $29.5 billion, of which about $4.4 billion was in New Zealand assets.
The biggest of those is its 42 percent stake in giant forestry business Kaingaroa Timberlands.
Overall, the fund returned 14.6 percent after costs and before tax over the past year, and it has been averaging annual returns of about 17 percent over the past five years, double its target return.
The fund recently cut its investment in fuel retailer Z Energy, from which it has earned a 50 percent return on its original investment.
But the fund's chief executive, Adrian Orr, said investments like that were hard to find.
"We are continuously on the look for investments where we can participate.
"If we've got New Zealand investments we can make that stack up, we are more than happy to be involved," he said.