Cleaning my desk to start the new year, I stumbled on an annual report issued last fall by a fund firm I invest with. It contained words you'd never expect to hear from the president of a fund company.

"If we don't deliver consistent performance over the long run, I'd recommend you take your money elsewhere. Really."

Samuel Stewart can make that kind of bold statement because he runs the Wasatch funds, which have been among the top performers in the business for years.

Years of building that kind of record carry an unusual side effect, heightened investor expectations. So after suggesting you give his firm the kiss-off if results disappoint you over time, Stewart proceeded to curb investor expectations.

"Your expectations for investment returns are still too high," Stewart wrote. "The double-digit delivery of the '90s is — literally and figuratively — a thing of the past.

"Too many people I meet are still stuck in the 1990s mentality. They think the market is going to produce 20% and 30% returns. I think they are dreaming, and I tell them so."

Stewart goes on to try to shape investor expectations, noting that he anticipates a future of single-digit returns, with the exceptional investor occasionally being able to do better for short stretches.

There's plenty of reason to believe Stewart is right — and I'll give some of it in a moment — but that doesn't make it any easier for investors to temper their expectations; once you have seen gains of 20%, it becomes awfully hard to settle for less than half of that.

If your funds have performed reasonably, but failed to meet your expectations, maybe the problem doesn't lie with the investment company.

That said, investors need set expectations cautiously, looking at both the big picture of returns, and the small one. The process starts with examining the historical return for the specific type of asset you're purchasing.

Ibbotson Associates, the Chicago-based investment-research firm, recently updated its benchmark return studies to include 2005. Over the last 80 years, according to Ibbotson, large-company stocks have returned an average of 10.4% per year. Small-company stocks, by comparison, have returned 12.6% in an average year, with bonds averaging 5.5% per year. Cash — as measured by the 30-day Treasury bill — returned an average of 3.7%, a bit higher than the average pace of inflation, which was 3.0%.

You can use those returns as a benchmark, although they are just a bit high, as they do not reflect brokerage and any other transaction and friction costs, such as mutual fund expense ratios.

Moreover, Roger Ibbotson, founder of the firm, said a few years back that after three-quarters of a century in which large-cap stocks gained an average of more than 10% a year, he expected the next quarter century to show an average in the neighborhood of 8% or 9%. He reconfirmed that position in a recent interview, noting that he expects investment results across the board for the next 25 years to be slightly below the long-term results of the past.

But Ibbotson also notes that the typical return could come "plus or minus 20 percentage points — or maybe a little more — in any given year."

So while an investor might have expected to get a 10% return from large-cap stocks in 2005, the actual return — about half of that target — was within the expected range. It was disappointing compared with the historic norms, but not out of line, making it an appropriate point on a long-term growth chart.

Here's where expectations leave the great big world and come down to the level of an individual fund.

A fund should, for starters, capture the return you'd expect for the kind of issue you are buying; a large-cap growth fund that doesn't at least deliver the returns of big-company stocks has let you down.

Next, you'd like a fund's performance to also be representative (or better) of its peer group. For a large-cap growth fund, for example, the average issue gained a bit more than 6% in 2005, according to investment researcher Morningstar Inc.

You may want more from your funds, but if they deliver the return for the investment category, while being above average among funds that that cover the asset class, it's hard to argue that you have been let down, even if it feels like a disappointment because you didn't achieve the double-digit gains of the '90s bull market.

A fund that consistently falls short of those benchmarks deserves the fate Stewart described; take your money elsewhere.

By investing with the proper mix of realism and expectation, you should be able to stick with a fund long-term, rather than jumping around, always hoping for something better — and winding up with performance that is something worse.