The New Zealand Superannuation Fund says it will continue with its strategy of leaning into market volatility, after revealing it has lost almost $9 billion since the start of the year.

Established to help cover New Zealand's future pension costs, the fund said its net asset value had dropped to $37.78 billion on March 17, from $46.68b at the end of December.

As markets surged in recent years, the fund has been at pains to warn that the high returns could not continue and that in the event of a downturn it would continue to buy where it saw value, a message it repeated on Friday.

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"As a long-term investor with no substantial withdrawals until the 2050s the Fund is well-placed to withstand market downturns and our investment strategy is designed with this in mind," chief executive Matt Whineray said in a statement.

"The Super Fund has the ability to ride out and potentially benefit from short-term market movements. We use several active, contrarian investment strategies, meaning we're buying when other investors are selling and vice-versa, in order to further enhance returns over that long time horizon."

The fund has warned that a repeat of the Global Financial Crisis would see the fund drop by more than half from its $47b peak, but the strategy remained the same.

"The key with our portfolio to ensure we have the discipline, liquidity, governance and resources to hold our course through the volatility and ensure the fund is well-positioned to benefit from the eventual market recovery, as was our experience in the GFC," he said.

"We believe equity markets eventually recover to higher fair values following periods of crisis. As a result, the Super Fund expects it will earn back losses suffered by our active strategies in subsequent years as markets recover. In the GFC scenario, the Fund would recover its initial value, and catch-up lost ground, within 20 months, as long as it can 'hold the course' with its investment strategies through a market cycle."

Whineray has been warning of the likely sharp drop in the value of the fund for several years, in an attempt to condition the public ahead of it happening.

"The major risk to the fund is that we close down our investment positions and lock in losses experienced in the current crisis. This would significantly impair the ability of the fund to fulfil its long-term purpose," Whineray said.