(2020) 26: – 259 272 Performance of Personal Pension Funds in Portugal Maria Teresa Medeiros Garcia 1 & Beatriz Costa 2 # International Atlantic Economic Society 2020 Abstract This paper analyses the performance of personal pension funds in Portugal, during the period from 1999 to 2016, providing the first detailed analysis of this matter. Three performance measures are used: the Sharpe ratio, the difference between the returns of the fund and its benchmark, and the M 2 measure. The findings show that the performance of these funds is very low and that their returns are not significantly different from zero, which might be the result of government-imposed limits concerning asset allocation. Additionally, evidence was found confirming that these funds, on average, underperform their benchmarks. Tax gains seem to be the main reason why people decide to invest a portion of their wealth in these funds, rather than in other investment forms where there are no penalties in the case of early withdrawals. Keywords Personal pension funds . Performance JEL G11 . G23 Introduction Enrolment in personal pension plans has been encouraged by governments to stimulate saving for retirement in the context of the alleged financial crisis of the public pension pay-as-you-go systems. Indeed, the increase in average life expectancy, from 67 years in 1960 to 80 years in 2015 in Organisation for Economic Co-operation and Develop- ment (OECD) countries, combined with the decrease in the fertility rate from 3.2 Int Adv Econ Res https://doi.org/10.1007/s11294-020-09791-3 * Maria Teresa Medeiros Garcia mtgarcia@iseg.ulisboa.pt 1 UECE/REM - ISEG, Lisbon School of Economics and Management, Universidade de Lisboa, Rua Miguel Lupi, 20, 1249-078 Lisbon, Portugal 2 ISEG, Lisbon School of Economics and Management, Universidade de Lisboa, Lisbon, Portugal Published online: 6 August 2020