They did that in Sweden couple of years ago. A certain percentage is still in the government pension fund and the rest is private, for you to decide where you want to put it.
When this happened was pre-IT bubble burst, so of course shit load of people put their money in high-risk IT funds, and we all know what happened with those
But it's a great way for the gov to put the responsibility in your own hands. If you end up losing money, it's not their responsibility. You're on your own.
I don't like the whole thing.