The study research aims to evaluate the performance of the largest current pension funds in Brazil. It compares their risk-return ratios with the optimal obtained due the construction of their efficient frontiers. The portfolios that comprise the efficient frontier were built considering the limits imposed by CMN Resolution 3792/09, which regulates pension funds in Brazil. Through the nonparametric Mann-Whitney-Wilcoxon (M-W-W) mean difference, it was found that no significant differences between the average returns of foundations and the average returns of the efficient portfolios. That is, one can say with 95 per cent confidence that the returns of efficient foundations are evaluated. Additionally, compared to the same test by the returns of foundations sponsored by public and private institutions, in this case the test indicated that there is significant difference at 5 per cent, and private foundations presented above the level of public foundations.