We use data envelopment analysis (DEA) to assess efficiency of 46 pension fund managers in Russia during 2004-2012. Our DEA model represents pension fund portfolio as decision making unit transforming risk, human and financial capital to active return and quality of diversification. We find that the highest impact to efficiency of pension funds have stock market returns, while interest rates, corporate debts, FX rate have lower impact, and energy prices have no impact at all. Bigger and more mature portfolios with higher share of equities and cash would have lower returns. Seasonal factor impact is also high with third quarter being the toughest for managers. We explain it by scale effects and constraints implied by funds’ investment declarations.