The investment policy of the voluntary pension funds is crucial in achieving a superior performance as their competitors. The investment duration, the target and the taxpayers’ typology have an impact on the structure of the selected portfolios and the levels of accepted risk. In this context, the international turmoil in the financial markets was an important determinant of the current investment policy of the voluntary pension funds. The purpose of this paper is to divide the pension funds that are active in the OECD countries by risk levels using cluster analysis. This type of analysis divides data into clusters that are meaningful, useful or both. There are numerous ways in which clusters can be formed, the essential criterion of all the procedures being the attempt to maximize the difference between clusters relative to the variation within the cluster. In order to achieve this goal, secondary date was use, provided by the Organisation for Economic Cooperation and Development and covering the 2001-2009 period. The data provide annually information regarding the investments of the pension funds, as a percentage of the GDP and also their structure. The analysis demonstrated that there are mainly two groups, based on the risk profile. Even though the composition of the groups changes along the years due to the changes in the investment strategies of the pension funds, the number of clusters remains the same. The results show that, when selecting and optimizing the financial portfolio, the voluntary pension funds take into account the taxpayers’ risk profile.
