The pension fund managers' fund E recorded a decline of more than 10% between January and September, according to Diario Financiero. Speaking with Señal DF, Solange Berstein, former Superintendent of Pensions and former chair of the Financial Market Commission (CMF), said that fund managers and the supervisor had responsibilities beyond what the rules permitted.
"Although these transactions were permitted under the regulations in force, prudent management does not end when a transaction is authorized," Berstein said. In her view, the manager has a fiduciary responsibility, meaning an obligation to take proper care of other people's money, and the supervisor must monitor how the latitude allowed by law is used.
What happened? Pension fund managers increased the duration of their fixed-income portfolios through derivatives, betting that interest rates would fall. Duration measures how much a bond's price changes when rates move. Think of it as a seesaw: the longer the arm, the more strongly any movement is felt.
The bet worked while rates fell and delivered good results in 2025. When rates rose in 2026, those instruments lost value and dragged down returns for the fund designed to be the most conservative of the five fund options.
There had been warnings. The Central Bank warned in its Financial Stability Report (IEF) that pension funds' exposure to interest rate derivatives had grown very significantly. Studies by Clapes UC researcher Arturo Cifuentes also pointed in the same direction.
Berstein, now an academic at the Adolfo Ibáñez University Business School, clarified that conservative does not mean risk-free. "It means less exposure to equities and greater investment in fixed income," she explained, adding that a bond portfolio can carry considerable risk if it uses derivatives that amplify sensitivity to interest rates.
If you have your savings in fund E, there is a distinction to keep in mind. This fund is voluntary and is not part of the default allocation path, which assigns fund D to people nearing retirement. Berstein noted that the loss is in market value and that prices can recover, although "no one can predict when or by how much."
For the former superintendent, the root cause lies in an incentive to follow the herd. After the pension fund withdrawals, fund managers extended duration through derivatives and earned good returns for years. Any pension fund manager that departed from the common strategy earlier risked falling behind its competitors.
That is why, she said, change is unlikely without a directive from the regulator. She recalled that even before the global financial crisis, there had been concern about growing exposures shared by fund managers. The Superintendency of Pensions, which also faces criticism over its supervision, deemed the exposure inappropriate and changed the regulations.
Berstein refrained from judging the superintendency and said she lacked the supervisory information needed to determine when intervention would have been warranted. What comes next, in her view, is "understanding how that risk accumulated, how it was managed by the fund managers and what lessons it offers for future design."
