The five funds in the scan were
Fund G, Fund F, Fund C, Fund S, Fund I
The fund data may be found at,
www.tsp.gov/rates/monthly-history.html
The very low STD for Fund G produces a few very high Sharpe
ratio portfolios that are approximately 99% Fund G, 1% Fund F.
Fund G also causes an almost linear efficient frontier
meaning portfolios with returns much higher than the Balanced
portfolio have Sharpe ratios almost as good. This is unusual
and seems to be like the straight line between cash and the
Balanced portfolio which is how you compute the risk adjusted
return for your portfolio plus cash. If that is the case I
should not have included Fund G in the scan. I manage cash
outside my portfolio for example.
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