This research has been carried out to study the factors enabling to improve the financial effect and to increase the efficiency of investments and management of portfolios of pension reserves and accruals in the Russian Federation. Key approaches to the analysis of various stages of the investment decision-making have been developed by the authors. The quality of arrangement of the investment decision-making process extensively determines reserves of the performance improvement in managing pension reserves and accruals. Using the sample portfolios managed by Russian participants, it is shown that the profitability of these assets depends to the great extent on the allocation of the assets. The authors have summarized scientific hypotheses explaining the impact of asset allocation on profitability and risks of institutional investors' portfolios on grounds of the data of pension portfolios managed by private pension funds and portfolios of collective investment funds in Russia. The role of asset allocation in profitability and risks of their portfolios has been evaluated.