Fund E, the fund option designed for people who want to take as little risk as possible with their retirement savings, fell 10.39% in real terms between January and September 2026. The figure comes from the latest report by the Superintendency of Pensions, the agency that oversees AFPs (Pension Fund Administrators).
According to Emol, the fund is experiencing one of its worst years since the multiple-fund system began. Diario Financiero specified that this is its second-largest decline for that period. The contrast with Fund A, the riskiest option, is stark: it rose 8.61% in real terms over the same period.
September made the situation worse. That month, Fund E lost another 4.92%. Over the last full year, the decline reaches 9.38%, more than wiping out what the fund gained in 2025.
No administrator escaped. All seven show losses in Fund E for the month, the year to date and the last 12 months. In 2026, AFP Modelo leads the declines at 10.93% in real terms, followed by Capital at 10.76%. Uno has fallen the least, at 9.91%.
In between are Cuprum (-10.43%), Provida (-10.35%), PlanVital (-10.10%) and Habitat (-10.02%). About one percentage point separates the best and worst performers, so switching AFPs would not have prevented the hit.
September's ranking looks different. Capital had the worst month, at -5.24%, followed by Provida (-5.00%), Cuprum (-4.93%), PlanVital (-4.83%), Habitat (-4.77%) and Uno (-4.66%). Modelo, the year's worst performer, recorded the smallest monthly decline: 4.57%.
Over 12 months, losses range from 10.20% at Modelo to 8.85% at Uno. Only over a longer period does Fund E remain in positive territory: over 36 months, it averages an annual real return of 1.35%, with Habitat on top (1.55%), Cuprum behind (1.47%) and Modelo at the bottom (0.76%).
What happened? The Superintendency attributes the poor performance of Funds B, C, D and E to negative returns on foreign investments, domestic debt and Chilean stocks. In September, domestic debt yields also rose. When that happens, bonds you already hold lose value, just as a used car loses value when a better model comes out.
In Fund E, foreign instruments subtracted 3.59 percentage points from the month's return, mostly through foreign debt (-2.80 points). Chilean fixed income subtracted 1.23 points. At the end of September, the fund managed $20.09 trillion, 14% less than a year earlier, with 86.4% invested in Chile.
Behind this is a bet that went wrong. Bloomberg reported that AFPs used swaps, derivative contracts in which two parties exchange interest payments. The administrators received a fixed rate and paid a variable rate, meaning they would profit if long-term US interest rates fell. Rates rose.
A year ago, those positions showed gains of US$1,400 million. By September, they had turned into valuation losses of US$7,700 million, concentrated mostly in Fund E.
Emanoelle Santos, an analyst at brokerage XTB, explained that the strategy ended up depending too heavily on a single factor: "The use of swaps is neither exceptional nor necessarily problematic in itself, but when exposure grows too large, an abrupt market shift can end up generating significant losses."
Superintendent of Pensions Joaquín Cortez said he was "concerned" and, according to La Tercera, met with the administrators a few weeks ago. Asked whether the use of derivatives was responsible, he replied: "Ask them, look at the results."
Cuprum defended the strategy. Its investment manager, Andrés García, told Diario Financiero that derivatives "are another investment instrument" and that pension funds in Mexico and the United States use them. He noted that Fund E returned UF+8% last year and UF+3% over 36 months.
If your savings are in Fund E, the next key date is November 4. That day, the Superintendency's new limits on derivatives risk take effect, and AFPs will have to close out some of those contracts just when doing so is more expensive.