PT  - JOURNAL ARTICLE
AU  - Richard M. Ennis
TI  - Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait
AID  - 10.3905/jpm.2022.1.349
DP  - 2022 Mar 31
TA  - The Journal of Portfolio Management
PG  - 138--150
VI  - 48
IP  - 5
4099  - https://pm-research.com/content/48/5/138.short
4100  - https://pm-research.com/content/48/5/138.full
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.