This paper evaluated the extent to which pension funds in Zambia are growing member contributions to inform the behavior of fund managers, policymakers, and prospective retirees. Stacked data on annual pension fund financial performance for the period between 2011 and 2020 was collected from the Pensions and Insurance Authority. Data on the performance of riskless government securities and annual inflation was obtained from the Bank of Zambia. Descriptive and inferential statistical techniques were used to analyze the data set. The study established that the industry was able to grow member contributions by a nominal average of 12% and 3% in real terms. The study also established that the Sharpe ratio was insignificantly negative in the short term and significantly negative in the long term. This implies that the pension fund industry failed to significantly grow member contributions for meaningful benefits. These findings also mean that DC pension funds will only provide minimal benefits while DB pension funds might have challenges in meeting their obligations. The study recommends that prospective retirees engage in other wealth-generating activities to supplement the retirement package from the pension fund industry. It is also recommended that the government collaborates with training institutions to equip prospective retirees with the financial literacy skills needed for successful investment and entrepreneurial undertakings. The study further recommends that policymakers and fund managers need to reflect on policy guidelines and investment strategies in the industry if pension funds are to provide meaningful benefits for income replacement and consumption smoothing in the deccumulation phase.