More than half of the value of the New Zealand Superannuation Fund could be wiped if there was a repeat of the global financial crisis, it has estimated.

In its annual report released today the Super Fund, which was set up in 2003 to help fund the future cost of New Zealand Superannuation, has modelled how much it could lose if another financial crisis were to hit.

If the GFC was repeated it estimates the fund could lose $20.3 billion or over half (52.6 per cent) of its current $39.4 billion value over a 10 month period.

This comes as the global markets took a hammering overnight, with the Dow Jones shedding over 600 points.

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Locally, this impact was felt immediately. At the time of writing, the S&P/NZX50 was down 2.6 per cent falling 235 points to 8815.

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This is still far from an outright crash, but there are growing concerns of volatility returning to markets.

The good news is that if the GFC were to be replicated, the Super Fund would recoup the losses within a 20 month period.

Matt Whineray, chief executive of the New Zealand Superannuation Fund, said it was not forecasting another event like the GFC.

"And we don't think we have any particular ability to do that."

But he said using real data allowed it to talk to stakeholders now about the risks of it taking a growth-focused approach and the importance of staying the course with that approach when a downturn came.

The fund, which is not expected to start making substantial contributions to help pay for NZ Super until the 2050s has around 80 per cent of its money invested in growth assets.

Whineray said a consequence of that choice was that it could mean a pretty bumpy ride for the fund.

He said the biggest risk to the fund didn't come from volatile markets but that it would not have the discipline and support from stakeholders like the government and taxpayers to continue using its investment strategy in a market downturn.

During the worst of the GFC the fund fell around 22 per cent in the one year. But it recovered and still has an average annual return of 10.37 per cent since 2003.

In the year to June 30 it had an average return of 12.43 per cent after costs and before tax.

Whineray said the point of including the model in its report was to have the conversation now when the place was "not on fire".

When the GFC hit the fund was worth around $14b but it is now close to $40b.

Whineray said while the fund was now bigger and there was more money at risk he hoped that 15 years on people had a better understanding of what its return profile looked like.

"The numbers are bigger which means the headlines become more confronting, but people understand more about what we do."

"We would hope we are having a more mature conversation."

Next year the fund will undergo its five-yearly independent review and Whineray said he hoped it would give a clear picture of where the New Zealand fund sat in comparison to its international peers.

Whineray, who became chief executive in July this year after Adrian Orr left to become the Reserve Bank governor, said he was also in talks with the board about the long-term targets for the fund.

That was prompted by the resumption of contributions by the Labour-led government last year.

Whineray said it wanted to look at what changes may need to happen if the fund became an $80b fund.

Recent volatility in the markets meant the fund was holding higher liquidity levels than it normally would so that if there was a downturn it could take advantage of it.

Whineray said geopolitical risks was the biggest challenge over the short term but said climate change was also a material risk which it was taking into account.