@article {Ennis138, author = {Richard M. Ennis}, title = {Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait}, volume = {48}, number = {5}, pages = {138--150}, year = {2022}, doi = {10.3905/jpm.2022.1.349}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textquoteright} performance reporting, as well as their heavy reliance on expensive active management.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/48/5/138}, eprint = {https://jpm.pm-research.com/content/48/5/138.full.pdf}, journal = {The Journal of Portfolio Management} }