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 M2 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.

中文翻译：

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葡萄牙个人养老基金的表现

本文分析了 1999 年至 2016 年期间葡萄牙个人养老基金的表现，首次对此事进行了详细分析。使用了三种绩效衡量指标：夏普比率、基金回报与其基准之间的差异以及 M2 衡量指标。调查结果显示，这些基金的表现非常低，并且它们的回报与零没有显着差异，这可能是政府对资产配置施加限制的结果。此外，有证据证实这些基金的平均表现低于其基准。税收收益似乎是人们决定将他们的一部分财富投资于这些基金的主要原因，而不是将其投资于在提早提款的情况下不会受到处罚的其他投资形式。