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.

Reassembling the Atoms of Uncertainty

What can the past tell us about today’s market? Is the risk of nuclear war with North Korea just like the old cold war with Russia? No, that was worse.  Is the political risk the same as Nixon’s exit from … 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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Portfolio Navigation For DB Plans

By Frank Sortino & Hal Forsey[1]                           `Would you tell me, please, which way I ought to go from here?’                           `That depends a good deal on where you want to get to,’ said the Cat.                                                                                                             Lewis Carroll   … Continue reading

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Defining Risk Video

Many people are talking about risk in a way that has nothing to do with what is at stake.  The myRA  bond introduced by President Obama at his state of the union address is the latest example.  This 3 minute … Continue reading

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