Well 4% is better than you'd get buying treasury bonds (~3% for a 30 year treasury right now). But if you'd invest the money you rolled over into your IRA in the stock market, you might expect to earn 9% before inflation (6.8% after). So it depends on what you'd do with the money if your rolled it over to an IRA. If you'd buy bonds, I'd say keep the money in your pension plan. If you'd buy stocks, I think it makes sense to roll it over.