The Sortino Framework for Constructing Portfolios
Focusing on Desired Target Return™ to Optimize Upside Potential Relative to Downside Risk
- 1st Edition - October 26, 2009
- Latest edition
- Author: Frank A. Sortino
- Language: English
The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client’s risk appetite to a weighted allocation strategy of fixed… Read more
The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client’s risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on future returns.The Sortino method presents an innovative change from this traditional approach. Rather than using the client’s risk as the main factor, this method uses the client’s desired return.
- Only book to describe the Sortino method and Desired Target Return™ in a way that enables portfolio managers to adopt the method
- Software to implement the portfolio construction method is included free of charge to book buyers on a password protected Elsevier website. Book buyers can use the software to construct portfolios using this method right away, in real time. They can also load in their current portfolios and measure them against these measures
- The Sortino method has been tested over 20 years at the Pension Research Institute. Portfolio managers can be confident of the success of the method, even returns in the economic crisis, in which the method has still beaten all S&P benchmarks
Portfolio managers of high net worth individuals and institutional investors, Wealth Managers and Financial Advisors in Private Bank, Money Management Firms, and Wealth Management Firms, Portfolio Managers and Investment Officers in Money Management Firms, Private Banks, and Wealth Management Firms
Part 1. Building the Framework 1. The Big Picture2. Getting All The Pieces of the Puzzle3. Beyond the Sortino Ratio 4. Optimization & Portfolio Selection Part 2. Applications 5. Birth of the DTRTM 401(k) Plan: 6. A Reality Check From An Institutional Investor7. Integrating the DTR Framework into a Complex Corporate Structure8. The Role of Regulation in the Next Financial Market Evolution9. Sharing Downside Risk in Defined Benefit Pension Plans: 10. (Reprint) On the Foundation of Performance Measures under Asymmetric ReturnsAppendix 1. Formal Definitions and Procedures
- Edition: 1
- Latest edition
- Published: October 26, 2009
- Language: English
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Frank A. Sortino
Dr. Sortino founded the Pension Research Institute in 1981, focusisng on problems facing fiduciaries. He is also Professor of Finance Emeritus at San Francisco State University.
He is known internationally for his published research on measuring and managing investment risk and the widely used Sortino Ratio.
Affiliations and expertise
Chairman and Chief Investment Officer, Pension Research InstituteRead The Sortino Framework for Constructing Portfolios on ScienceDirect