Closed pension funds, also known as pension funds, through domestic savings generation and expansion of productive investment play an important role in developing the economy. This study aimed to verify the performance of pension funds in the period 2010 to 2014. In total the annual returns of 60 funds were analyzed, of which 30 private sponsors and 30 public sponsors. This research seeks to analyze the performance of these funds and to determine whether they have a satisfactory profitability, assess whether there are differences in management between funds with sponsors of public and private companies and subsequently to determine the risk factors of the portfolios of the funds would be used the model proposed by Sharpe, known as return-based style analysis. The evaluation of the performance of the funds was performed by classical quantitative models as Sharpe ratio, Modigliani index and Treynor index. The survey closed pension funds is justified by the few published studies, the continued growth of discussions on analysis of performance and style of management in these funds.