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.
Wednesday, November 30, 2011
Blackstone Audio 401k (PCRA) Plan PSDS Scan 12-31-2010
This 401k (PCRA) Plan is by design aggressive and that shows in the 3D scan image this year. The aggressive funds did not have a good 2010 and the income fund options did which jerked the Balanced portfolio back to a lower risk asset allocation. That is what the Sharpe ratio is designed to do and it works.
Year-to-date in 2011 the Balanced portfolio is beating the S&P 500 but the aggressive portfolio is not. Keeping the focus on 5yr performance is the norm for retirement plans but an aggressive portfolio is almost by definition a volatile portfolio and it needs to have solid income options for balance.



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