Abstract Open Pension Funds (OFE) introduced in 1999 into the Polish model of the pension system changed the perception of saving for future retirement and began to popularise the defined contribution system. The extent of the changes, the cost of implementing the new system and the actual and expected results of OFE aroused a lot of social emotion. The article presents the characteristics of open pension funds and the changes introduced over the period of their operation. The analysis of OFE investment efficiency includes a comparison of OFE financial results against the volatility of the WIG20 index and 10-year treasury bonds. The time range of the research covered the years 2010–2022. The research results show that the financial results of open pension funds follow trends consistent with the trends of 10-year bonds, but their volatility is significant in relation to bonds and depends on the volatility of the WIG20 index. This leads to questions related to the investment risk to which the results of open pension funds are exposed. Therefore, suggestions for the direction of further development of open pension funds have been submitted.