The pension funds are widely known by their social effects when paying worthy retirements and investing their savings. It is essential that pension funds look forward to implement modern and efficient techniques for the asset manager, adjusting their politics to the current regulations. The evolution of pension funds industry in Brazil and in the world recently has provided the Social Security System an outstanding expansion of social benefits to workers who participate to the costing plans, such as bigger amounts at the retirement moment, complementary loans with payroll withholding pensioners and products as PGBL (Generating Plan of Free Benefit) and VGBL (Generating Life of Free Benefit). Therefore the performance evaluation of such pension funds is important either to participants or to companies and regulation organizations. This work, besides showing how a investment politics of a pension fund works, intent to contribute with an analysis of the returns in Comshell, Shell Brazil´s pension fund, on the basis of the effective economic conjuncture in the period of analysis.