Portfolio Theory for the 21st Century will be AI Driven.

Begin by unlearning the false assumptions of CAPM that led to these false conclusions:

  1. No one can beat the market on a risk adjusted basis.
  2. No one can time the market more often than not.
  3. No one can actively manage asset allocations.
  4. The best strategy is to buy and hold.

Our research refutes all of the above.

Who are we:



Forget about alpha and beta and focus on the Tipping point (T) that separates good outcomes from bad outcomes. Maximize the Upside Potential above T relative to the downside risk below T and forget the Sortino and Sharpe ratios. TPR is the New Sortino Ratio.


Of course, past results from back tests do not guarantee future results anymore than Big Blue’s results guaranteed it would beat the world chess champion, or that Google’s AI model would beat Big Blue, or that another Google AI model would beat the world’s GO champion.

For more details contact The R42 Institute, Palo Alto, California

About Frank Sortino

Frank Sortino is finance professor emeritus from San Francisco State University and Director of the Pension Research Institute which he founded in 1981. For 10 years he wrote a quarterly analysis of mutual funds for Pensions and Investments Magazine and he has written two books on the subject of Post Modern Portfolio Theory. He has been a featured speaker at many conferences in the U.S., Europe, South Africa, and the Pacific Basin. Dr. Sortino received his Ph.D in Finance from the University of Oregon and has carried out research projects with many institutions like Shell Oil, Netherlands and The City and County of San Francisco Retirement System.
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