Thursday, March 27, 2008
Monday, March 24, 2008
Sunday, March 9, 2008
Thursday, March 6, 2008
Google 401k plan PSDS scan 1/31 & 6/30 2008
The same 15 funds were scanned with 6/30/2008 data. Note
the large bear market changes in the last six months.
The next 401k plan posted will be for Chevron Texaco.
Wednesday, March 5, 2008
PSDScanner
Portfolio stochastic design scans are posted here for 401k plans
of major companies like Google. The funds available are taken from
the Web. These currently are VMMXX, VBISX, VBMFX, VWINX,
VWELX, CAAPX, FLPSX, TASCX, VFINX, VQNPX, VIMSX, VISGX,
ARTIX, FDIVX, VGSTX, and VGSIX for Google. Other company
401k plans will be scanned later. Each scan has 1000 portfolios
created by a stochastic sampling algorithm to image the efficient
frontier. VMMXX is used as the "risk free" return to compute the
balanced fund Sharpe ratio. The Risk $ and Reward $ in the scan
graphic assume a $1,000,000 portfolio.
To date 9/1/2008 the 8 highest Sharpe ratio portfolios are,
1. Intel_50 401k Plan 6.97
2. Nokia_30 401k Plan 4.90
3. Raymond James IRA 4.67
4. United Technologies 4.58
5. Hewlett Packard 4.54
6. Stanton & Castleton Growth 4.53
7. Raytheon 401k Plan 4.43
8. Dow Jones 401k Plan 4.08
Note the market data are updated monthly which may skew the rankings.
**********************************************************************
4/19/2009
The highest Sharpe ratio Balanced portfolios of those scanned with 12/31/2008
market data all have one thing in common, a stable value or stable return fund.
As you would expect the Sharpe ratios are sharply down. Here are the six that
have Sharpe ratios over 2.0,
Target (TGT) 2.98 ( Wells Fargo stable return fund)
U.S. Gov (TSP) 2.95 ( Fund G)
Boeing (BA) 2.66 ( stable investment funds)
Johnson&Johnson (JNJ) 2.51 ( stable investment funds)
Regency Centers (REG) 2.19 ( stable investment funds)
NorthropGrumman (NOC) 2.17 ( stable investment funds)
most had one or more GICs that insure a stable return and value.
My own IRA design had a Balanced portfolio with a Sharpe ratio
of 1.23. I do have a stable investment fund but no GICs and I
also elected to stay in the market in 2008 with minor changes.
Copyright TXu1-366-772 Portfolio Stochastic Design Scan PSDS 2006, 2007
of major companies like Google. The funds available are taken from
the Web. These currently are VMMXX, VBISX, VBMFX, VWINX,
VWELX, CAAPX, FLPSX, TASCX, VFINX, VQNPX, VIMSX, VISGX,
ARTIX, FDIVX, VGSTX, and VGSIX for Google. Other company
401k plans will be scanned later. Each scan has 1000 portfolios
created by a stochastic sampling algorithm to image the efficient
frontier. VMMXX is used as the "risk free" return to compute the
balanced fund Sharpe ratio. The Risk $ and Reward $ in the scan
graphic assume a $1,000,000 portfolio.
To date 9/1/2008 the 8 highest Sharpe ratio portfolios are,
1. Intel_50 401k Plan 6.97
2. Nokia_30 401k Plan 4.90
3. Raymond James IRA 4.67
4. United Technologies 4.58
5. Hewlett Packard 4.54
6. Stanton & Castleton Growth 4.53
7. Raytheon 401k Plan 4.43
8. Dow Jones 401k Plan 4.08
Note the market data are updated monthly which may skew the rankings.
**********************************************************************
4/19/2009
The highest Sharpe ratio Balanced portfolios of those scanned with 12/31/2008
market data all have one thing in common, a stable value or stable return fund.
As you would expect the Sharpe ratios are sharply down. Here are the six that
have Sharpe ratios over 2.0,
Target (TGT) 2.98 ( Wells Fargo stable return fund)
U.S. Gov (TSP) 2.95 ( Fund G)
Boeing (BA) 2.66 ( stable investment funds)
Johnson&Johnson (JNJ) 2.51 ( stable investment funds)
Regency Centers (REG) 2.19 ( stable investment funds)
NorthropGrumman (NOC) 2.17 ( stable investment funds)
most had one or more GICs that insure a stable return and value.
My own IRA design had a Balanced portfolio with a Sharpe ratio
of 1.23. I do have a stable investment fund but no GICs and I
also elected to stay in the market in 2008 with minor changes.
Copyright TXu1-366-772 Portfolio Stochastic Design Scan PSDS 2006, 2007
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