This paper studies the impact of low interest rates on pension fund risk-taking. I assemble a new cross-country dataset, containing portfolio holdings from over 100 large pension funds. The data reveal that pension fund portfolios have become riskier since the financial crisis, as funds have shifted significantly to equities and alternative assets. Using an instrumental variables approach, I find that pension funds increase their exposure to risky assets when domestic interest rates fall, consistent with reach for yield. This behavior is most pronounced for funds with high risk capacity, which are less underfunded or hold fewer risky assets initially.