The New Zealand Superannuation Fund recorded a 24% loss in the five months from July to November last year.
Exceptional turbulence in global financial markets is blamed for a fall of about $2.8 billion.
Since the fund began operating in 2003, it has grown from nearly $4 billion to a peak of $14.5 billion in August last year.
But the fund's performance update for November shows consecutive losses in September, October and November.
At the end of November, the fund was worth $11.6 billion.
A commentary update says the fund has continued to experience exceptional turbulence in global financial markets.
But it says there was some stabilisation last month and it is in a position to withstand volatility.
