May 20 (Bloomberg) -- Norway’s sovereign wealth fund, the world’s third largest, said the value of its investments fell 4.8 percent in the first quarter, adding to record losses at the end of last year as stocks declined.

The Government Pension Fund - Global lost 66 billion kroner ($10.3 billion) as measured by a weighted basket of currencies, Norway’s central bank said in Oslo today. The fund, worth 2.08 trillion kroner at the end of March, lost 8.8 percent on stocks and 0.9 percent on bonds in the quarter.

The fund recouped some losses in March as stocks in the U.S. and Europe posted their biggest monthly gains since 2003 on a thaw in the credit markets. For the quarter, the MSCI World Index slumped 13 percent and Europe’s Dow Jones Stoxx 600 Index fell 11 percent.

“The market recovery seen in March has continued into the second quarter,” Yngve Slyngstad, head of Norges Bank Investment Management, said in a statement. The fund raised its stake in stocks to 52.6 percent in the quarter from 49.6 percent, according to the statement.

Lowest Since 2004

It had a record 7.7 percent drop in the fourth quarter as the worst financial crisis since the Great Depression battered global stocks. It lost 633 billion kroner last year, wiping out gains since it started investing Norway’s oil revenue in 1996.

The government pumped 44 billion kroner, the lowest amount since the fourth quarter of 2004, into the fund, Europe’s biggest stock investor. The fund’s return was 0.3 percentage point below the benchmark set by the Finance Ministry.

Norway’s central bank runs the fund according to guidelines set by the Finance Ministry.

The fund, which invests oil money abroad to avoid stoking domestic inflation, is in the midst of raising stock holdings to 60 percent from 40 percent, which it says will give it better returns. It has also raised the limit it can hold in companies to 10 percent from 5 percent and plans to invest in real estate, as well as add investments in emerging markets such as Russia, India and China.

The Abu Dhabi Investment Authority is the biggest sovereign wealth fund, followed by the Government of Singapore Investment Corp., according to data compiled by Bloomberg and the Sovereign Wealth Fund Institute in Roseville, California.

Norway is the world’s fifth-largest oil exporter and the second-largest gas exporter.

Royal Dutch Shell Plc was the fund’s largest stock holding at the end of quarter, worth 14.6 billion kroner. U.S. Treasuries were the biggest bond holding, at 85.1 billion kroner.

To contact the reporters on this story: Vibeke Laroi in Oslo at vlaroi@bloomberg.net

Last Updated: May 20, 2009 04:27 EDT