The New Zealand Superannuation Fund will not change its policy substantially after its own internal review found the loss of almost $200 million in taxpayers' money was a unique event.
The fund's chief executive Adrian Orr said he was confident legal action could claw back the money.
About $153,000 has already been spent on what could be an expensive legal battle.
Orr said legal costs would be shared with other parties, who he would not name.
An internal review was ongoing, but a part completed by the fund's risk compliance division had established that no policies or procedures had been breached.
"This was totally unforecastable, and we believe unlawful.
"We have been incredibly conservative with our write-down to zero for this loan."
Orr and other representatives of the fund appeared at an annual parliamentary select committee today and were grilled about the failed investment.
The investment was part of a cash investment strategy...which has been operating very successfully at the fund since its inception in 2009. Even with the conservative, and we believe temporary write-down of this loan, this investment strategy has made around $900 million for the fund.
The fund, set up with public money to partly cover the retirement costs of Baby Boomers, revealed this month it had been caught up in the collapse of Banco Espirito Santo (BES), and a US$150 million investment made in July had been wiped out.
The investment was a contribution to a Goldman Sachs-organised loan to the bank through an Oak Finance vehicle, but only weeks after the money was injected it imploded.
Orr denied the investment was high-risk and said the Super Fund had been covered in the event of BES defaulting with insurance.
However, an unusual retrospective rule change in Portugal had resulted in the insurance being voided.
A decision by the Bank of Portugal put Oak Finance's investment, which contained the NZ Super money, in the "bad bank" husk of collapsed lender BES.
"We are filing debt recovery proceedings against the Bank of Portugal," Mr Orr told the meeting.
"The investment was part of a cash investment strategy...which has been operating very successfully at the fund since its inception in 2009.
"Even with the conservative, and we believe temporary write-down of this loan, this investment strategy has made around $900 million for the fund."
Labour MP Dr David Clark asked, given there was no intent to change the fund's policies, whether the same thing could happen again under the same set of circumstances.
"I think the set of circumstances is very, very unique. What we have seen here is an intervention by a foreign regulator into their domestic banking market," said the fund's chairman Gavin Walker.
"I would be very surprised if we saw a repetition of that type of action in the future."
Walker said his personal view was that processes would be refined but they would not be "material in nature".
Orr, in response to more questions about an assessment by ratings agency Moody's that such an investment was "speculative and high-risk", said the credit risk the fund faced was against its insurer, not the bank.
"The issue that we are facing now is that our insurance, which still remains good...it is the separation of our insurance from our loan that has created this issue."
The Super Fund had no other investments structured in the same way as the Oak Finance investment, Orr said.
The NZ Super Fund has $28.8 billion in assets under its management and has provided very good returns overall, the select committee was told.