This paper evaluates which market characteristics influence pension funds’ investment costs on country level. The study builds on public statistics from EIOPA and includes information from fourteen countries for the period 2004–2015. The results indicate that economies of scale play an essential role in the level of investment costs and that pension funds pay less investment costs in mature markets. Furthermore, we show that inactive participants are an extra burden for pension funds and generate additional costs. In conclusion, this article proofs that there are still significant optimization opportunities to reduce pension funds’ investment costs in the European Union.