According to Emol, all seven AFPs (pension fund administrators) replicated the same investment strategy in Fund E. As a result, they recorded nearly identical losses between January and September 2026. Experts consulted by the outlet attribute the similarity to the so-called “herd effect.”
Fund E is the most conservative of the five funds in the pension system. It is designed for people nearing retirement and concentrates its investments in fixed income, meaning bonds. If your savings are there, the idea was precisely to avoid sharp swings.
Over those nine months, the fund posted a negative real return of 10.39%, one of its worst performances since the five-fund system was created. In September alone, it fell 4.92% in real terms, with losses at all seven administrators.
Figures from the Superintendency of Pensions show very similar results across all administrators. AFP Modelo recorded the steepest decline, at -10.93%, followed by Capital (-10.76%), Cuprum (-10.43%), Provida (-10.35%), PlanVital (-10.10%) and Habitat (-10.02%). Uno recorded the smallest decline, at -9.91%.
The gap between the worst and best performers was just over one percentage point. Over the past 12 months, all posted losses, ranging from 8.85% to 10.20%.
What bet did they make? The AFPs entered into U.S. interest rate swaps. A swap is a derivative contract in which two parties exchange payments. In this case, the administrators received a fixed rate and paid a floating rate, so they would profit if U.S. rates fell.
These contracts increased the “duration” of their portfolios, which measures how sensitive a bond’s price is to interest rate changes. Think of it as a longer seesaw: if rates fall, you gain more, but if they rise, the decline is also greater. According to Emol, that additional exposure did not count in the same way toward Fund E’s regulatory limits.
The strategy delivered good results for a time. Then exposure increased and rates moved against expectations.
For Soledad Hormazábal, director of evidence at Pivotes, the cause lies in the rules. “Regulation penalizes AFPs for moving away from the industry average,” she told Emol. In her view, this encourages managers to follow others’ decisions, which is why portfolios end up looking alike. She added that the pension reform changes this going forward.
Alejandro Ferreiro, former Superintendent of Pensions, agreed. “It is impossible not to attribute it to the herd effect,” he said. He argued that AFPs sometimes follow the largest administrators and the system average more than their own analysis, because straying too far from their peers can be penalized.
The industry, meanwhile, defends these operations as part of long-term management. Experts warn that the current regulatory framework can push administrators to concentrate risks in the same direction.
In practice, for pension savers, this means that switching AFPs within Fund E would not have protected them: between January and September, the maximum difference between administrators was 1.02 percentage points.