The study of 204 target-maturity funds suggested the stock-bond split, which is usually the primary driver of return differences across the risk spectrum, did not have a clear impact on performance as aggregate stock market and aggregate bond market performance were similar in the second quarter of 2008.

The average target-maturity fund lost 0.9% in the second quarter—significantly better than the first quarter’s loss of 6.8%, according to the Ibbotson report. Target-maturity funds outperformed the S&P 500 Index, which declined 2.7% during the second quarter.

Among underlying asset classes, growth stocks outperformed value stocks and, on a relative basis, small-cap stocks outperformed large-cap stocks. Commodity futures were again the top-performing asset class of the quarter (16.1% in Q2 following last quarter’s 9.6% return).

The four fund families with positive returns all contained exposure to commodities with the standout fund family containing the largest commodity exposures. Conversely, fund families without commodities and a tilt toward value stocks relative to growth stocks were hurt during the quarter. The other commonality among last quarter’s worst performers was a sizable allocation to real estate, Ibbotson said.