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 138 OP 150 DO 10.3905/jpm.2022.1.349 VO 48 IS 5 A1 Ennis, Richard M. YR 2022 UL http://jpm.pm-research.com/content/48/5/138.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.