Ask HN: If I have tax-free income, do I want a pension plan?

I am trying to figure out if I am better off just going to brokerage houses and form a portfolio of assets of my choosing - and contribute to that portfolio monthly as an income deduction - rather than going with one of these 'off the shelf' pension plans. I know the question is pretty generic, and I don't live in the US, but as far as I know these pension funds tend to operate the same. You make a tax-free deduction from your monthly paycheck into a pool of funds that are managed by someone else. The allocation of those funds change by age. The younger you are, the more exposed to equities and such you are. As you get older and have income needs, your portfolio shifts to fixed income instruments and cash. So I guess my question is, if I have tax-free income (regardless of the pension plan), am I better off going with a brokerage house where I have more say over what assets my portfolio makes up. I am pretty financially savvy, so I think I can do a decent-ish job. Trying to figure out if there are other benefits for 'pension plans' than I am realizing at the moment. My biggest fear is, I go with a pension plan...all it does over the years is keep up with inflation and then I get a negative real return because of the fees I have paid. How do I avoid that ?