Thailand’s Social Security Fund (SSF) breached its 8% value-at-risk or VaR threshold earlier this month mainly due to exposure to Thai stocks, which dived when the war in Iran began, a board member of the fund says in an interview with Reuters.
The VaR metric estimates the maximum expected loss of an investment portfolio. A score of 8% is typically considered high for a portfolio.
Thailand’s benchmark stock index has shed more than 4% since Israel and the US launched the war against Iran. When the conflict started on March 4, the index plunged 8%, setting off a market circuit breaker for the first time since the Covid-19 pandemic.
The SSF’s VaR metric broke 8% on March 9, according to Sustarum Thammaboosadee, a member of the fund’s board.
“The impact [of the stock decline] exceeded our value-at-risk limit for the first time in two years,” he is quoted as saying in the interview published on March 23.
The SSF managed US$88 billion of assets as of end-2025, with 7% in domestic equities.
The interview also featured Phanthira Vergara, a member of the SSF’s investment board, who called for reforms.
She says the SSF has “longstanding structural issues, including limited diversification and bureaucratic decision-making”, and that countries such as Japan, South Korea and Malaysia have “long implemented reforms that Thailand has yet to address”.
She says returns on some portions of the SSF’s portfolio have been so low they can barely be called investments, and that the fund must seek higher returns to deal with global shocks as well as the demands of an ageing population.
“We have the potential to be the next Malaysian or South Korean pension fund in Asia if we are able to fix our problems,” according to Phanthira.
She points out that the SSF’s portfolio remains heavily concentrated in Thailand, leaving it exposed to domestic market fluctuations. Some 60% of the fund’s investments are in domestic assets and 40% in foreign markets.
“When Thai markets perform well, they still tend to underperform global assets,” she says. “Without broader global diversification, we miss opportunities compared with other pension funds.”
According to Sustarum, the fund’s structure as a government agency under the labour ministry also restricts its ability to respond quickly to global shocks like the war in the Middle East.
“In other pension funds, there would be a process to inform the public about how the fund is managing the volatility,” hesays. “But for us, it is a closed system that lacks flexibility and transparency.”
Spokespersons for the SSF did not immediately respond to questions from Asia Asset Management.
