Colombian pensional savings depend considerably on the investment decisions taken by the managers of the mandatory pension funds.For a saver in the system, it is natural to question the financial efficiency of these portfolios.This work aims at answering this question in the classical frame of efficient frontier within the Mean-Variance space; to this end, a set of assets in which pension funds can invest is chosen, and a methodology to determine the joint distribution of its returns is developed.The results show, first, that all Obligatory Pension Funds' portfolios are below the efficient frontier that considers the regulatory restrictions; second, all efficient portfolios have an exposure of 20% to foreign assets, which is the upper limit imposed by the Financial Superintendency; third, the only investment restriction that significantly reduces the potential efficiency of eligible portfolios is that of foreign assets.These conclusions are robust to reasonable changes in the parameters and assumptions of the model, and in the time period used.This does not imply that the managers of the funds are acting irrationally; it is possible that they are optimizing a different objective function, once they factor in other elements of the market structure, of regulation and of the inner corporate structure.For example, it is possible that the fee structure and the minimum return they must guarantee affect their investment behavior, analysis that is postponed for a future work.