He also said the company had scope to adjust how it priced policies, saying guaranteed returns it had offered consumers were mostly "very low".
MetLife and AIG, which were designated systemically important financial institutions in the US along with Prudential, said they would cut out hedge funds from their portfolio, following losses in the past two quarters.
In the first quarter (Q1), Prudential Financial's non-coupon investment returns — from private equity, property and some listed stocks, as well as hedge funds — fell about $90m short of its average expectations, the paper said.
Grier, who joined as chief financial officer in 1995, told the Financial Times: "We have a very well run alternatives capability… There were aspects of the first quarter that were very unusual."
"We're not getting particularly squeezed as rates come down," he noted. "We emphasise pricing and product design."
Prudential's asset management segment reported an adjusted operating income of $165m for Q1 2016, compared to $205m in Q1 2015. Prudential's revenues fell 4.4% year-over-year to $11.3bn.