Bonds, which represent 34.5 percent of its investment portfolio, yielded a negative return of 2.2 percent in the second quarter said Norway's central bank, which manages the fund.
"The return on fixed-income investments was affected by an increase in yields in the fund's main markets," fund director Yngve Slyngstad said in a statement.
As of June 30, at the end of a quarter that Slyngstad called "relatively calm," the fund was worth 6.89 trillion kroner (753 billion euros, $830.6 billion).
Stocks, which account for 62.8 percent of its portfolio, registered a negative return of 0.2 percent, while real estate investments, which account for 2.7 percent of the portfolio, saw their value rise by two percent.
"On the equity side, US stocks pulled down the result," Slyngstad said.
The fund receives its investment money from Norway's huge oil and gas revenues and is intended to pay for future generations in the welfare-state after the country's oil wells run dry.
Among the biggest transactions during the second quarter, the fund invested 17.9 billion in a 45 percent stake in a portfolio of industrial properties spread across the United States.
The Norwegian state deposited 12 billion kroner into the fund's coffers in the second quarter, a sign that oil prices rebounded compared to the three months of the year, when it deposited just five billion.
Those deposits remain much lower than the quarterly average of 60 billion kroner over the past 10 years.
This is the first time the fund has registered a negative return since the second quarter of 2012.
In the first quarter, it posted a record return of 5.3 percent, owing primarily to an easing of the European Central Bank's monetary policy.