%0 Journal Article %A Richard M. Ennis %T Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait %D 2022 %R 10.3905/jpm.2022.1.349 %J The Journal of Portfolio Management %P jpm.2022.1.349 %X The author estimates that statewide pension funds in the United States incur annual investment expenses averaging 1.3% of asset value. A sample of 24 of them underperformed passive investment during the past decade by an average of 1.4% a year. And yet, those same funds report that they outperformed benchmarks of their own devising by an average of +0.3% a year for the same period. This sharp disconnect raises questions about the usefulness of the funds’ performance reporting, as well as their heavy reliance on expensive active management. %U https://jpm.pm-research.com/content/iijpormgmt/early/2022/03/08/jpm.2022.1.349.full.pdf