The Balanced portfolio is invested in Fund G (75.62%) and Fund F (24.38%) which are the federal stable value fund and the federal bond income fund. The other three funds have negative 5yr Sharpe ratios. It would be nice if US taxpayers had better access to these two funds.
The Oracle 401k has done well thanks in part to company stock which has a 5yr APR of 6.02%. The employee portfolio from the 11-k has more money in FCNTX than ORCL which reduced their 5yr performance. It is nice to see company stock do so well but having over 8% in company stock breaks my 5% rule for retirement money.
The collapse of markets worldwide in 2008 is seen in this scan. Intel has over 50 funds in its plan and the top 40 in terms of employee investments plus Intel stock were in the scan. I also ran a scan without company stock and it had a small positve effect, the APR increased to o.77%. The Balanced portfolio was invested in the 11 funds with positive 5yr Sharpe ratios. They were AEPGX 3.3%, MDLOX 11.6%, DPIEX 3.6%, GOLDX 3%, GECMX 4.3%, PEBIX 4.6%, PTTRX 17.9%, VMVXX 23.2%, VIPSX 4.6%, VTRIX 10% and VFITX 22.8% where VMVXX is a proxy for the Reserve Primary Institutional fund. The employees own over 18 million shares of INTC in the plan and it was down 13% on a 5yr APR basis. The correlation chart only shows the label every other fund because there are so many. The 40 fund ticker symbols were PFMAX, REACX, ASVIX, ASCQX, AEPGX, AGTHX, MDLOX, BSQCX, BLUEX, DPIEX, DODGX, FAGIX, FCNTX, FDGRX, FLPSX, FMCSX, FPURX, FKIVX, GOLDX, GECMX, GSMCX, LMVTX, LLPFX, LSBDX, MSISX, PENNX, PEBIX, PYYRX, VMVXX, PRGFX, TEPLX, VIGRX, VIPSX, VINIX, VTRIX, VIMSX, VISGX, VISVX, VSEQX, and VFITX.
The Medtronic 401k data are from the 4/30/2008 SEC 11-K filing. The largest employee investment is in company stock, MDT, at 1.17B dollars. The stock has a negative 5yr return of minus 7.5% and only one fund VBMFX has a positive 5yr Sharpe ratio. The Balanced portfolio by rule has all the money invested in that fund. The employee portfolio from the 11-K has a negative 5yr return of minus 3.27%
The empolyee asset allocation was taken from the 12/31/2007 SEC 11-K which only shows the investments that exceed 5% of the Master Trust. Company stock, PH, was the third largest holding. The Balanced portfolio only has money in investments with positive 5yr Sharpe ratios. These were FBIDX, FDRXX, PTTRX, and DODFX where FDRXX is a proxy for the Contract Income Fund.
The Coca Cola 401k faired better that most in 2008. As you can see in the correlation chart 7 funds had positive 5yr Sharpe ratios; BGIBX, AIIEX, PCVAX, MDLOX, BYUSX, PTTRX, and TGVAX. Of these MDLOX had the largest positive contribution and KO still has a positive 5yr return but just barely.
The impact of Q4 2008 on the plan performance is stark. In this scan I included the Fidelity money market fund FIDXX and that is where most of the Balanced portfolio is invested. Only three funds had positve 5yr Sharpe ratios, FIDXX, OAKBX and PTTRX. This is a good plan but a very bad Black Swan market is what you see here. MSFT was down -44.4% in 2008.
