Super Fund chief executive Adrian Orr said funds got into trouble when the people running them lost "their bottle", as many did during the global financial crisis.
"We didn't," he said. "We held strong."
Orr said the fund, which has more than 6000 global stocks in its portfolio, actively sought out risk.
"Volatility is one form of risk and with risk comes returns," he said. "As a long-term investor, volatility is our friend."
Orr said the fund - established by the former Labour Government in 2003 with the aim of helping to pay for the future costs of superannuation entitlements - would buy shares when other investors were selling.
"We need to be able to weather that volatility and in fact benefit from it and that's exactly what we've done," he said. "When markets may be falling in value, we're more eager to buy. When they look more overvalued we'll be selling."
Last week the fund reported a total return of 19.4 per cent for the 12 months to June 30, 2014, which followed a total return of 25.8 per cent in the previous year.
It increased in size by $3.3 billion in the last financial year, reaching $25.8 billion after New Zealand tax by June 30.
"The 19 per cent [total return] last year was incredibly strong, largely because of continued growth in equity values globally," Orr said. "We have been what I would call highly exposed - deliberately - to growth in listed equity values.
"As the world has been recovering post global financial crisis, prices have shifted back up towards fair value and we've been able to ride that."
Meanwhile, he said the fund was looking to increase its investments in emerging markets.
Less than 10 per cent of the fund's investments are located outside of developed markets in North America, Australasia, Europe and Japan, according to its latest annual report.
Only 0.7 per cent are in Africa, 6 per cent in Asia outside Japan and 1.4 per cent in South America.
Orr said the fund's overall portfolio had a lot of exposure to emerging markets.
"Even some of our domestic assets are directly dependant on emerging markets continuing to grow, for example ... our timber and our farming assets are Asian-facing assets even though they are located in New Zealand," he said.
Superannuation Fund's Adrian Orr
Q: Do you have any golden rules you follow when making investment decisions?
Is the investment truly attractive and can you live with it?
Those are the two big questions I ask myself. By attractive I mean are you getting paid for the risk you're taking on board and can you live with the ups and downs that will happen.
Q: What was the worst business or investment decision you ever made and what did you learn from it?
The worst decision I ever made was lending money to a mate who needed advice rather than cash.
He was busy trying to cashflow himself through something that was never going to work.
What I learnt from it was follow my golden rule of investment and be honest - don't look for the easy path. Give advice, not cash.
Q: Is there anything about running the fund that keeps you awake at night?
It's the things that I can influence, which are not global markets. The main thing I can influence is people - their confidence, their capability.
All I ever want to do is do the right thing by the team. Make sure they're empowered and have the capability, and that I've been clear and honest with them.
That's what keeps me awake.
