The Pension scheme industry plays a crucial role in providing an employment income replacement upon the retirement of the working pensionable population. Retirement income accounts for 68% of the total income of retirees in Kenya. Studies done in Kenya didn’t address the issue of financial performance and Asset mix relationship in pooled work-related funds. The main objective of this research study was to assess the impact of Asset mix on the Financial Performance of the Registered Occupational Pension Schemes. Systematic sampling technique was used to select a probability sample of 297 sample units from a population of 1232 registered pension schemes for the period 2006–2016 according to the Retirement Benefits Authority(RBA) records. Information on this particular variable was obtained mainly through a questionnaire survey which was conducted between March and April 2017.The SPSS statistical package was used to analyze data. A panel regression model was used for data analysis. The study found a positive correlation where changes in financial performance of occupational Pension schemes could be explained by the variations in the Asset mix. The study was guided by the Modern Portfolio theory on investments as developed in the 1952 by Harry Markowitz in his article on investments.