TY - JOUR T1 - Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait JF - The Journal of Portfolio Management SP - 138 LP - 150 DO - 10.3905/jpm.2022.1.349 VL - 48 IS - 5 AU - Richard M. Ennis Y1 - 2022/03/31 UR - https://pm-research.com/content/48/5/138.abstract N2 - 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. ER -