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.
Friday, November 11, 2011
Arch Coal 401k (ETP) Plan PSDS Scan 12-31-2010
The Arch Coal 401k Plan is small and was not helped by company stock ACI that has a negative 5yr APR and high volatility. The Balanced portfolio has a 5yr APR of 5.01% with a high Sharpe ratio of 1.88 because the stable value fund SVF.hpx in the scan is its largest holding. Of the 14 Plan investment options in the scan 6 have negative 5yr Sharpe ratios. That is not good. The income options are fine but the equity options need work. The only one in the Balanced portfolio is a Target Date Retirement fund STNRX.



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