My interest is in scanning 401k portfolios to image the efficient frontier and highlite portfolios that have high risk adjusted returns. The portfolio with highest Sharpe ratio will appear in the scan image for each 401k plan posted.
Sunday, July 17, 2011
Cliffs Natural Resources 401k (RSP) Plan PSDS Scan 12-31-2010
The Cliffs Natural Resources 401k Plan was helped significantly by company stock CLF even though it is very volatile. The Balanced portfolio invested 7.7% of the 401k in the stock and the employee portfolio has 39.2% of that portfolio in the stock. As the 3D scan image shows that produced a 5yr annualized return of 14.04% with a positive 5yr Sharpe ratio of 0.46 for the employees. T.Rowe Price is the trustee and most of their target date retirement funds are in both portfolios. A good plan and a good but volatile company stock.
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