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.
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