RT Journal Article
SR Electronic
T1 Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.349
DO 10.3905/jpm.2022.1.349
A1 Richard M. Ennis
YR 2022
UL https://pm-research.com/content/early/2022/03/08/jpm.2022.1.349.abstract
AB 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.