The fund registered a negative return of 0.6 percent, or 85 billion kroner ($10.4 billion, 9.2 billion euros), putting its value at 7.07 trillion kroner ($867 billion, 753 billion euros) at the end of the quarter, the central bank said on Thursday.
Shares, which accounted for 59.8 percent of the fund's portfolio, and real estate, which represented 3.1 percent, dragged the fund down, posting negative returns of 2.9 and 1.3 percent respectively.
Bonds, which made up the remaining 37 percent, meanwhile rose by 3.3 percent.
"The two first months of 2016 were characterised by high market volatility and concerns for a Chinese slowdown. The turbulence eased considerably in March," Trond Grand, a senior central bank official, said in a statement.
In a sign that the country's best years may be behind it, Norway's government took more money out than it put in for the first time in the fund's 20-year existence, siphoning off 25 billion kroner to balance its budget.
The withdrawal aimed to compensate the state's declining oil revenues, caused by lower oil price.
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The fund is intended to ensure future generations benefit from the welfare state after the country's oil wells run dry.
Saudi Arabia announced earlier this week it would set up a $2 trillion fund to end the country's dependence on oil by 2020, which would make it the world's biggest sovereign wealth fund when created.