Author Archives: Frank Sortino

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.

1st R42 AI Fund Launched

In 1981, Dr. Hal Forsey and I launched Post Modern Portfolio Theory. Now I have taken a quantum leap forward to join Dr. Ronjon Nag and Dr. Jeremy Sosabowski in launching this new framework for constructing and managing portfolios. Frank … Continue reading

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

Begin by unlearning the false assumptions of CAPM that led to these false conclusions: No one can beat the market on a risk adjusted basis. No one can time the market more often than not. No one can actively manage … Continue reading

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PMPT Marries AI

Yesterday I posted a brief note to let you know I got back in the market due to some Flags posted by an AI firm. The company is AlgoDynamics in London and they are sponsoring a webinar in New York. … Continue reading

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Flags are Up

This morning I received notice that Flags were Up for SPY and QQQ and I invested 30% of the 37% cash position I took at the time of my last posting. I will be speaking at a program by the … Continue reading

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Stop Loss Time in America

As of today I have entered stop loss orders on all my US equities and a couple of Chinese stocks, but not CQQQ. Why? I have seen no evidence that America has changed course in its Foreign policy and I … Continue reading

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Back to the Future

A few years ago (seems like a few to me (2012/01/25), I posted a paper comparing the body of work Hal Forsey and I developed (Post Modern Portfolio Theory) with Prospect Theory, developed by Daniel Kahneman and Amos Tversky. An … Continue reading

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Upside Potential Ratio Revisited

I have reposted this for the benefit of some people at R42 Institute: The Cost of Assuming Symmetry in a Skewed World Posted on June 24, 2017by Frank Sortino      Frank Sortino & Kal Salama  In an Uncertain World If you believe the uncertainty … Continue reading

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The Other Side of the Coin

In an attempt to maintain a balanced approach to the conflict between China and the US, I recommend “Ill Winds” by Larry Diamond. He provides a well documented, scathing expose of China’s threat to the world as opposed to the … Continue reading

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Bad and Worst Case Scenarios

I have a 20.79? gain in my portfolio for the year and I’m taking it. Will the students riot in Hong Kong? Will China take control?  Is there a steer in Texas? Cash is an asset category!

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The Inmates are Running the Asylum

As of the open I am 37% in equity, 63% cash.

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