Beginning its investment program in the midst of a full-blown global investment crisis has made the fund even more patient in its process.

Since its investment program began in July 2007, the Future Fund's total return has been minus 0.24 per cent.

"I certainly didn't think we'd be standing here proud of a negative print," Future Fund chief investment officer David Neal told a Melbourne Centre for Financial Studies industry briefing this week.

But given the context of the savaging experienced by the investment markets, Neal said the investment team was "proud of protecting the fund's capital" to the extent it had.

The fund's mandate from the government is to target a long-term average annual return of at least the Consumer Price Index plus 4.5 per cent to 5.5 per cent a year. In the transition period, while the fund develops its long-term asset allocation, the government expects a lower return.

The parlous investment environment meant the Future Fund's present asset allocation bore little resemblance to its stated long-term target allocations, Neal said.

In particular, the fund held 48.1 per cent in cash at the end of November, versus its long-term target of full investment. Equities (in which the fund includes private equity) are currently 28.8 per cent of the portfolio (excluding the Telstra stake), versus a long-term intention of 35 per cent.

Debt securities, at 17.6 per cent, are closest to the target allocation of 20 per cent.

Neal said exposure to interest-bearing securities was being "built up reasonably quickly" given the bevy of attractive opportunities thrown up by market dislocation - with the proviso that the fund wanted to see "claim on first cash flow" wherever possible.

The fund's statement of investment policies envisions 30 per cent of its holdings in tangible assets - defined as property, infrastructure and utilities, in listed or unlisted form - and 20 per cent in alternative assets, which the fund considers to include a range of risk premiums (for example, commodities and futures and insurance-based strategies), and skill-based absolute-return investments.

At present, the tangible assets allocation is 2.9 per cent, while that for alternative assets represents 2.5 per cent of the fund's assets. Neal told the briefing the fund was "in no rush" to populate these buckets fully, given valuations were a long way from readjusting fully.