The New Zealand Superannuation Fund has suffered a setback in its bid to claw back nearly $200 million lost in an investment in a Portuguese bank that subsequently collapsed.

The NZSF had put US$150m in July 2014 into Oak Finance, a Goldman Sachs-organised capital-raising for Nova Banco, in a deal the government-owned fund said was "risk-free" due to the purchase of default insurance.

But weeks after the investment was made, the Portuguese bank collapsed amid claims of fraud by its executives.

A bailout by the Central Bank of Portugal then voided the NZSF's insurance policy, and left the Oak Finance investment stranded in a carved-out "bad bank" with only toxic assets to claim against.

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The NZSF, and other partners in Oak Finance, began legal proceedings against the Bank of Portugal over the decision to exclude the Goldman Sachs package from its bailout.

According to a spokeswoman for the NZSF, this legal action has recently seen the British Court of Appeal agree with Nova Blanco that the challenge from investors should be heard in Portugal, not the United Kingdom.

That jurisdictional ruling is being challenged, the spokeswoman said, with the English Supreme Court granting leave to pursue the case, but a hearing was not likely until the middle of next year.

"We are also continuing to pursue our related legal actions in Portugal," the spokeswoman said.

While the NZSF expressed confidence in its case when the case came to light, it wrote off the entirety of its investment in its 2015 accounts.

Despite this Portuguese misadventure, the NZSF - with $34.2 billion under management - has otherwise performed well against its peers and has achieved average annual returns of 10.2 per cent since its inception in 2003.