Interesting bit from Watson Wyatt here claiming to show that if you are a pension funds and you follow their advice on which fund managers to pick then you'll be quids in. This seems to be based on the returns of managers they recommended over the returns of the relevant index for each asset class. I won't try and reproduce the table that shows their performance by asset class so click the link above to see it (you'll need to scroll down a bit).
Interesting as there has been quite a bit of scepticism of the value of consultants in recent years, and some attempts to measure consultant advice independently (although one firm offering to do this went bust last year). I'm a bit of a sceptic about the value of much of the stuff flogged to trustees, but the Watsons numbers look pretty convincing. Maybe more digging required?