Stock Markets and Beta

Regular readers will know that I have a pet interest in personal finance.  One thing that I have thought a lot about is the contrast between structured saving vehicles (like the 401(k)) and government pension plans (like the Canadian Pension Plan).  One worry that I have had about government pension plans is that they seem to be under attack when times are bad (thus bearing political risk).  However, the last 12 years seem to suggest that it has not been a good time to invest in the stock market:

This means that historically, the stock market more than doubles your money in real terms every 12 years, but over the last 12 years, it’s down 20%.

That is a great deal of risk to bear as an individual investor.  Leaving the market in 1999 and purchasing an annuity (leaving the job market 12 years early) would produce a better retirement than saving for an additional 12 years.

Now add in the losses due to management fees and it can be a tough slog to put together a retirement account. Of course, you can't easily avoid the management fees as taxes are worse than these fees (which mostly seem to be a rather substantial subsidy to wall street).  So saving in personal accounts is also hard.

That leaves two possibilities -- a entity that can smooth out risk over decades (e.g. a government) or simply making more income.  Since it is not trivial to generate large pay increases, the former does seem like the only realistic way to mitigate time period risk for retirement.

Or am I missing something?