TOKYO, Jan 8 (Reuters) - Japanese pension funds lost 16.5 percent of their value on average in April-December due to the deepening financial crisis since September, U.S. investment consultant Watson Wyatt (WW.N: Quote, Profile, Research) said.

Pension funds lost 11.6 percent on average in October-December as the plunge in global share prices and stronger yen hurt their overall performance, an official at Watson Wyatt's Japanese subsidiary said.

The consultant said the average return for the business year ending in March could mark the lowest since it began its survey in 1997. The current record low is minus 12.7 percent in the year to March 2003, the official said.

Watson Wyatt surveys about 120 pension funds in Japan on a quarterly basis.

The average return in the six months ended September was minus 5.6 percent.

The collapse of U.S. investment bank Lehman Brothers in September sent stock prices plummeting and the yen surging against major currencies as investors fled risk.

Japan's Nikkei share average .N225 fell 42 percent in 2008, the biggest loss in its 58-year history.

The yen strengthened to around 87 yen against the dollar last month, a more than 13-year high. It was trading around 92.70 JPY= versus the U.S. currency on Thursday. (Reporting by Yuka Obayashi and Chikafumi Hodo; Editing by Chris Gallagher)