Aggregate Rates of Return Earned by Private Pension
Plans with 100 or More Participants1985-1997 |
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Year ^{1/}^{}^{} |
Total Plans |
Single Employer |
Multiemployer |
Total 401(k) |
Total ESOP |
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Total |
Defined Benefit |
Defined Contribution |
Total |
Defined Benefit |
Defined Contribution |
Total |
Defined Benefit |
Defined Contribution |
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1985 | 19.6% | 20.1% | 18.4% | 20.0% | 20.6% | 18.5% | 16.8% | 17.0% | 12.7% | n/a | n/a |

1986 | 13.9 | 14.1 | 13.3 | 14.1 | 14.4 | 13.4 | 12.5 | 12.6 | 10.3 | n/a | n/a |

1987 | 4.6 | 4.4 | 4.8 | 4.7 | 4.6 | 4.8 | 3.7 | 3.5 | 6.4 | n/a | n/a |

1988 | 12.4 | 12.1 | 13.1 | 12.6 | 12.2 | 13.2 | 11.6 | 11.8 | 9.5 | n/a | n/a |

1989 | 11.2 | 12.1 | 9.4 | 11.9 | 13.2 | 9.7 | 6.0 | 6.4 | 1.8 | n/a | n/a |

a | |||||||||||

1990 | 3.5 | 3.5 | 3.5 | 3.1 | 2.8 | 3.4 | 6.8 | 6.7 | 7.4 | 3.6 | -1.3 |

1991 | 17.5 | 18.8 | 15.1 | 17.8 | 19.6 | 15.2 | 14.9 | 15.2 | 12.0 | 14.7 | 14.7 |

1992 | 8.8 | 8.3 | 9.8 | 8.8 | 8.0 | 9.8 | 9.3 | 9.4 | 8.7 | 10.3 | 13.4 |

1993 | 10.2 | 10.5 | 9.8 | 10.6 | 11.1 | 9.9 | 7.4 | 7.5 | 6.2 | 9.8 | 12.8 |

1994 | 2.9 | 2.2 | 3.8 | 2.7 | 1.8 | 3.8 | 4.4 | 4.5 | 3.9 | 3.7 | 4.1 |

a | |||||||||||

1995 | 20.8 | 21.4 | 20.0 | 21.0 | 21.6 | 20.3 | 19.5 | 20.5 | 11.8 | 20.5 | 22.9 |

1996 | 14.9 | 14.8 | 15.0 | 15.0 | 14.9 | 15.2 | 13.8 | 14.3 | 9.6 | 14.8 | 18.4 |

1997 | 17.9 | 16.8 | 19.3 | 18.0 | 16.6 | 19.5 | 17.1 | 17.5 | 13.6 | 18.2 | 17.0 |

a | |||||||||||

Geometric mean ^{2/} |
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1985-97 | 12.0 | 12.1 | 11.8 | 12.2 | 12.2 | 11.9 | 10.9 | 11.2 | 8.7 | n/a | n/a |

1993-97 | 13.2 | 13.0 | 13.4 | 13.3 | 13.0 | 13.6 | 12.3 | 12.7 | 9.0 | 11.7 | 14.1 |

1995-97 | 17.9 | 17.6 | 18.1 | 18.0 | 17.7 | 18.3 | 16.8 | 17.4 | 11.6 | 12.8 | 14.8 |

a | |||||||||||

Standard deviation ^{3/} |
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1985-97 | 5.8 | 6.0 | 5.5 | 5.9 | 6.3 | 5.5 | 5.0 | 5.2 | 3.4 | n/a | n/a |

1993-97 | 6.3 | 6.5 | 6.1 | 6.4 | 6.6 | 6.2 | 5.7 | 6.0 | 3.5 | 5.6 | 6.3 |

1995-97 | 2.4 | 2.8 | 2.2 | 2.4 | 2.8 | 2.2 | 2.3 | 2.5 | 1.7 | 7.0 | 8.0 |

^{1/} The 1994 row, for
example, represents all plan years that began in 1994. About 77 percent of
these plan years began on January 1, 1994. |

^{2/} Geometric mean
computed by adding one to the aggregate rate of return for each of the n years,
taking the product of the sums, and taking the nth root of the product, and
subtracting one. |

^{3/} Standard deviation formula uses a denominator definition of n, not
n-1. |

Note: Rates of return have been derived directly from tables C4-C11 and from similar published summary tables for prior years. The rate of return formula is the same as that described in Chapter 12 of the 1989 DOL volume entitled "Trends in Pensions," except that the return formula used here refines the treatment of receivables. The receivable line item called "income receivables, which first appeared on the 1988 form, is not deducted from total assets because such assets may produce investment income. The formula makes no adjustment for reporting periods other than one year, which are reported on approximately 3 percent of Form 5500 filings. Because the form 5500 does not provide information on the timing of cash flows during the year, a time weighted rate of return cannot be derived. The formula used assumes that all cash flows occur in the middle of the plan's reporting period. The cash flow for which this assumption is most uncertain is contributions. The overall 1994 rate of return reported as 2.9 percent could be as low as 2.80 percent or as high as 2.98 percent depending on the assumption regarding the timing of contributions during the year. The overall 1995 rate of return reported as 20.8 percent could be as low as 20.15 percent or as high as 21.53 percent. |

SOURCE: Form
5500 series reports filed with the Internal Revenue Service for 1985-97 plan
years. |