Corporate pension plans produced an average return of 11.7% in 2004, while public plans and foundations/endowments returned 12.5% and 12.2%, respectively, according to a survey by Mercer Investment Consulting. The median return for corporate plans was 8.1% in the fourth quarter, while public pension funds returned 8.4% and foundations/endowments returned 8.2%.
The median fixed-income manager outperformed the Lehman Brothers Aggregate Bond index by 50 basis points in 2004, according to the survey. The median large-cap equity manager outperformed the S&P 500 index by 110 basis points in 2004.
The survey also found that the average duration of a pension fund's bond portfolio was 4.3 years, while the average span of liabilities is 12 years.