The Sortino Framework for Constructing Portfolios

Focusing on Desired Target Return™ to Optimize Upside Potential Relative to Downside Risk

  • Ron Surz
    • David Hand
      • Robert van der Meer
        • Neil Riddles
          • James Pupillo
            • Auke Plantinga
            • By

              • Frank Sortino, Chairman and Chief Investment Officer, Pension Research Institute

              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.
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              Audience

              Primary: 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

 

Book information

  • Published: October 2009
  • Imprint: ELSEVIER
  • ISBN: 978-0-12-374992-5


Table of Contents

Building the Framework

Chapter 1. The Big Picture.

Chapter 2. Getting All The Pieces of the Puzzle.

Chapter 3. Beyond the Sortino Ratio

Chapter 4. Optimization & Portfolio Selection

Applications

Chapter 5. Birth of the DTRTM 401(k) Plan:

Chapter 6. A Reality Check From An Institutional Investor:

Chapter 7. Integrating the DTR Framework into a Complex Corporate Structure:

Chapter 8. The Role of Regulation in the Next Financial Market Evolution:

Chapter 9. Sharing Downside Risk in Defined Benefit Pension Plans:

Chapter 10. (Reprint) On the Foundation of Performance Measures under Asymmetric Returns, Christian S. Pedersen and Stephen E. Satchell

Appendix 1. Formal Definitions and Procedures