A Diversified ETF Portfolio on the Web 12-31-2012 Scans

I am still waiting on 2013 Market Data and found an interesting diversified ETF portfolio and ran scans with 3yr and 5yr market data.  The Red data are with covariance and the Blue without covariance.  What a difference 2008 makes.

2013 401k Plans Balanced Portfolios

This year all the 401k Plan scans included covariance in the calulation of standard deviation to account for the fact that  all portfolio investment options performance are correlated in their market performance.  That increased the average standard deviation by almost 100% as you can see. In prior years I was unable to compute the correlation matrix for the thousands of investment options in 401k Plans.

Norfolk Southern 401k Plan PSDS Scan 12-31-2012

This is the last scan with 2012 Market data as the 2013 Market database will be available next week. It is an example of a "lifeboat" portfolio that occurs when the Stable Value Fund (here VRST) has very low volatility (STD) producing very high  Sharpe ratios. That overweights the Stable Value Fund in the Balanced portfolio in my opinion and others. Professor Sharpe has said that at the origin (0,0) the Sharpe ratio is 1 meaning in effect nothing ventured nothing gained. In 2014 I plan with others to reduce the asset allocation to Stable Value funds in the Balanced portfolio.

     
To illustrate what happens when you place a 25% Cap on the Stable Value Fund and reallocate the money to the other Plan options based on their Sharpe ratios I ran a Scan with that portfolio and compared the new and old Balanced portfolio asset allocation.                                                                                                                                                

LifePoint Hospitals Inc. 401k PSDS Scan 12-31-2012

This 401k was scanned earlier without the Bond fund SSBMX. This post includes SSBMX.

A Preview of 2013 Top 401k Companies