The $63 billion Future Fund's overweight allocation to cash has paid off in the first quarter of this year - losing a mere 1.81 per cent when many funds suffered double-digit losses over the same period.

This result, combined with the 2007/08 year, means the fund returned -0.24 per cent over a 15 months period. Its target return is the Consumer Price Index plus 4.5 per cent over the long term.

The Future Fund holds more than 56 per cent or $31 billion in cash, with global developed market equities, debt securities and Australian equities representing 18.5, 10 and 9.7 per cent respectively.

Its two billion Telstra shares, which were excluded from its performance data, generated a 3.23 per cent return for the quarter.

David Murray, Future Fund Board of Guardians chair, said the fund is well positioned to weather the financial crisis.

"The first quarter saw Australian and global equity market indices fall in the region of 11 per cent driven by concerns about the liquidity and solvency of the global banking system. This outweighed the stable performance of our large cash holding," he said.

"As a long term investor holding liquid assets, we are well placed to deal with this environment and take opportunities as they arise. Given the very difficult investment conditions, we continue to take a carefully considered approach to building the portfolio."

The fund includes 15 investment managers including index manager, Vanguard Investments Australia, which manages all its Australian equities allocation and part of its global equities investments.

State Street Global Advisors, Schroder Investment Management Australia, Treasury Asia Asset Management and Lazard Asset Management also manage its global equities allocation.

Macquarie Investment Management and Oaktree Capital Management hold the fund's debt securities mandates, while MGPA and Vanguard Investments Australia manage its property investments.

QIC and Colonial First State Global Asset Management manage the $31 billion cash investments and Oaktree Capital Management and Sankaty Advisors manage its alternatives strategies.

Advent International Corporation and Horsley Bridge Partners look after the private equity allocation and BlackRock Investment Management manages its overlay strategies.

The $6.3 billion Higher Education Endowment Fund returned 1.77 per cent for the quarter and 6.84 per cent since inception in September 2007.

The fund's mandate restricts investments to securities with negligible chance of capital loss.