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.

Compared to Whom? Stephens’ Diatribe About Musk

Bret Stephens’ May 25th article in the N.Y. Times comparing Elon Musk to Donald Trump was the most reprehensible attack yet, claiming they are both tweeters, both con artists who are hawking seriously flawed products and both are supported by … Continue reading

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On Embracing Complexity

Recently deceased scientist, Stephen Hawking, said to a graduating class, “The next century [21st] will be the century of complexity” and encouraged them to embrace it.  Yes, we should not fear it, but embrace it by gaining knowledge of a … Continue reading

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Who Knew?

  Figure 1   Who knew last November that the market would crash in February? That was the beginning of the Trump rally which just collapsed (Figure 1). In June of last year Kal Salama and I posted an article … Continue reading

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The Cost of Assuming Symmetry in a Skewed World

     Frank Sortino & Kal Salama  In an Uncertain World If you believe the uncertainty associated with investing in the indexes shown in Figure 1 is bell shaped, and it is not, all your metrics for performance measurement and asset allocation … Continue reading

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DTR Calculator Download

DTR® Calculator Dr. Hal Forsey, and I, are pleased to offer another model we developed that will calculate the return a Defined Contribution participant needs to earn in order to achieve a desired pay-out.  We call this the Desired Target … Continue reading

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A New Beginning

The Upside Potential Ratio 2017 update with this link to: The Forsey-Sortino Model-1 software  This dropbox link may ask you to sign in but at the bottom you can skip this step. This zip file contains two files: Forsey-Sortino.exe and a Microsoft … Continue reading

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The Facts about Who Developed PMPT & The Sortino Ratio

PRI-Rom Contract The term, “Post-modern portfolio theory (PMPT)” was first used by Brian Rom to describe the underlying theory of an asset allocation model developed by The Pension Research Institute (PRI) called Primix. Mr. Rom wrote a very favorable article … Continue reading

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