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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.

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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.

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