"We remain comfortable with the investment," the fund said.
"As a long-term investor, the NZ Super Fund has the ability to ride out and even profit from short-term market fluctuations," the fund said, adding that developments in the market might also give rise to some new opportunities within the mandate in the form of distressed investments.
The Super Fund specifically structured the bulk of the mandate to be flexible so it could respond to changing investment conditions.
Of the US$250 million total mandate size, approximately US$50 million had been invested to date across both the Energy Income and Growth Fund and the flexible mandate, it said.
The Energy Income and Growth Fund had hedging in place to protect against the risk of oil prices falling. There was also the ability to delay or stop further capital deployment into underlying investments, it said.
"As we explained when we announced the investment, US$175 million of it is flexible, meaning we have the ability to not invest the full amount if our view of the opportunity changes over time, and to change the allocation to different sectors of the broader opportunity," the fund said.
"We continue to monitor the investment and overall sector closely."
In the US, lower oil prices threaten profits from hydraulic fracturing - the new drilling method that has reinvigorated the American industry - because it is more expensive than conventional drilling.
This week, Standard & Poor's downgraded eight US oil and gas exploration and production companies after a review of the sector in light of the steep drop in oil prices.
S&P said it found liquidity to be adequate at most companies for the next 12 months but that some firms would face "material liquidity pressures" if prices did not improve.
The $25 billion New Zealand Superannuation Fund invests globally in order to help prefund New Zealanders' future retirement entitlements.
KKR, formerly known as Kohlberg Kravis Roberts, is a multinational private equity firm founded in 1976.
