The VAR technique consists in the calculation of the worse expected loss during a determined time period and within a confidence interval under normal market conditions. For Companhia Brasileira de Petróleo Ipiranga Complementary Pension Fund, the VAR calculation is instrumental for protection against excessive volatility of market parameters which may jeopardize the value of the capital applied through the estimate of an acceptable risk level and through the consequent adequate choice of investment policy. This research analyses the Complementary Pension Fund management of Companhia Brasileira de Petróleo Ipiranga from February / 2007 to February / 2008 through a comparison study of the risk and return of their investmensts. VAR is a simple method that calculates the exposition of risk of market by using the same monetary unit from the analyzed data. Many regulatory organizations as the Basle Committee on Banking Supervision, the Federal Reserve Bank (FED) of the United States and other regulatory organizations from the European Union consider VAR an acceptable form of measuring risk. The entity created to manage the resources from the Companhia Brasileira de Petróleo Ipiranga employee Complementary Pension Fund was the Francisco Martins Bastos Foundation (FFMB). FFMB uses VAR to supervise the market risk as well as to attend to the legislation established in art. 60 of the National Monetary Board Resolution 3.456, which discipline the investment of the resources used to guarantee the welfare plans managed by the closed entities of complementary pension.