My old job 401K was shifting into the new job 401K, so for a week or so my $ was in a check in the mail between companies, and I think I missed like 2% gain. It's semi real $. It's annoying.
Unfortunately for a 401k transfer there's no wire or ACATS (or even ACH) options, so you're basically screwed there. As far as I know you're basically forced to wait around for the money to move by check. However, you can insure yourself against the "risk" that the market jumps while you're out of it by using a smaller, separate account and options.