IBM 401k Plan PSDS Scan 12/31/2008

The April scan had a Forbes recommended subset of the over 200 funds in the plan plus a few Vanguard funds I added. After the Black Swan market that killed 2008 for everyone I added a few more funds and IBM stock to the scan. The ticker symbols are in the correlation chart and the new tend to be those toward the right side of the chart. The only funds in the Balanced portfolio have 5yr positive Sharpe ratios and they are FISMX, DODIX, FGMNX, PTTRX, and VFIRX. IBM is a fine company and I still use a ThinkPad but the stock is pretty volatile for most retirees.

Raytheon 401k Plan PSDS Scan 12/31/2008

The Black Swan market effects are stark, as they are for all 401k plans I have scanned. Only four funds have positive 5yr returns, OAKBX, PTTRX, SGOVX and DODFX. By rule they are the only funds in the Balanced Portfolio and I have three of them in at least one of my IRA accounts. The 12/31/2007 Raytheon 11-k indicates company stock, RTN, was by far the largest holding in the 401k at 1.9B and FEQIX was next at 0.867B. Raytheon stock was down -14.2% in 2008 but up 9.57% annualized the last 5 years. Using the 5% holdings data in the 11-k the actual employee 5yr APR was slightly negative.

Google 401k Plan PSDS Scan 12/31/2008

What a difference 11 months made in 2008. The scan with 1/31/2008 data had an APR = 14.35, STD = 2.89 and PSR = 3.69. The above 12/31/2008 scan was for the same funds as the 1/31/2008 scan; VMMXX, VBISX, VBMFX, VWINX, VWELX, CAAPX, FLPSX, TASCX, VFINX, VQNPX, VIMSX, VISGX, ARTIX, FDIVX, VGSTX and VGSIX. Google company stock, GOOG, is now in the plan but does not yet have 5yr data. Also, no SEC 11-k report has been filed yet according to the SEC Edgar web site so it is NOT in this 12/31/2008 scan.

Lockheed Martin 401k PSDS Scan 11/30/2008

This scan includes company stock, LMT. The funds in the scan were VBMFX, VFINX, AIVSX, VWNDX, TWCGX, RIMSX, ANWPX, EFA, MCARX, MMACX, MIAGX, and LMT. The company stock was down 18.6% in 2008 but up over 12% for 5yr which is why I added it to the scan. The Balanced portfolio is about half way between VBMFX and LMT.

Marshall & Ilsley 401k Plan Scan 11/30/2008

The stable asset fund AACCX was not included in the scan. It does not yet have 5yr data and OAKBX is a good proxy for the fund. The funds in the scan were JBSEX, JDVSX, OAKBX, AMSTX, ACQIX, BIGRX, TWCUX, AGTHX, BUFSX, MCVAX, IWN, RYLPX, TWIEX where IWN is a proxy for JPSOX which does not yet have 5yr data.

Goodrich 401k (ESP) PSDS Scan 11/30/2008

The funds in this scan did not include 240M held in a JP Morgan Stable Value fund. The funds in the scan were FMAGX, FCNTX, FGRIX, FLVCX, FICDX, FEMKX, FDIVX, FLATX, FSEAX, FFFCX, FFFDX, FFFEX, FFFFX, JAOSX, IWS, JMIBX, TRLGX, EFA, SPY, ELV, NAESX, and GR. IWS was a proxy for a SMA mid-cap fund, NAESX was a proxy for a SMA small-cap fund and EFA and SPY were proxies for other SMA funds. The employees have 297M invested in company stock, GR, which was down 46% in 2008 but still had a positive 5yr return.

Northrop Grumman 401k (FSSP) Scan 9/30/2008

All the Northrop Grumman funds are seperately managed funds with no exchange ticker symbol. The data for the funds are published quarterly on the Web. The funds in the scan were a Stable Value Fund (SVF), a U.S. Fixed Income Fund (FIF), a Balanced Fund (BF), a U.S. Equity Fund (EQF), an International Equity Fund (IEQF), a Small Cap Equity Fund (SCEQF), an Emerging Markets Equity Fund (EMEQF), and a Northrop Grumman Stock Fund (NGSF) that tracks the S&P 500. Like the U.S. Government 401k stable value Fund G the SVF fund has a very low standard deviation (0.10) hence very high Sharpe ratio. This forces the Balanced portfolio to have most of the money in that fund. The uniform portfolio is probably closer to the acutal employee portfolio. A scan of just the other 7 funds has a Balanced portfolio APR = 9.15 and Sharpe ratio of 0.87. A straight line between the SVF fund and this portfolio, the so called Capital Market Line, is a way to compute the return of any combination of the two.