The fund is a multibillion-dollar investment vehicle which aims to grow the public money put aside to meet future superannuation payments.
The Government is not due to withdraw from the fund until 2029. Orr said it had no direct exposure to Greece and the "distress and dislocation" offered big opportunities.
"We have been actively taking advantage of pricing where it is," he said. "We've been leaning and taking on board more risk rather than stepping away from the risk because prices, in particular for financial assets and bank assets, are incredibly low on a historical basis.
"In one sense you kind of wished you owned more on that side.
"At the moment, prices are extraordinarily [far] away from medium terms of fair value and so those create good buying opportunities ... but that of course means weathering the short-term [market] noise."
Orr said this strategy "proved very strong" for the fund during the 2008 global financial crisis.
"We were able to dial up during that incredible period of uncertainty and it's come back home in spades, 15 per cent one financial year, 25 per cent last financial year."
The Super Fund was established by Michael Cullen in 2003 with $2.4 billion of cash. At September 30, 2011, its total assets amounted to $16.6 billion, which included investments in New Zealand of $3.5 billion.
- Additional reporting Bloomberg