Author Archives: Frank Sortino

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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.

Defining Risk Video

Posted on February 4, 2014 by Frank Sortino

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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Portfolio Navigation Update

Posted on January 9, 2014 by Frank Sortino

Dr. Frank Sortino discusses a better way to make asset allocation changes than either rebalancing or LDI. (SEE Also November 2012 under Archives) This is a 5 minute clip from a 30 minute video produced at KMVT Studios in Silicon Valley. … Continue reading →

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PMPT Interviews with Clare Murphy and Dr. Sam Savage

Posted on December 10, 2013 by Frank Sortino

This video is another clip from a half hour program produced at KMVT in Silicon Valley. The clip is an interview with the former Executive Director of the City and County of San Francisco Retirement System, Clare Murphy; and Dr. Sam Savage … Continue reading →

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It’s Called Portfolio Navigation, Stupid

Posted on April 21, 2013 by Frank Sortino

Below is the posting we made on April 21, 2013. It provides the underlying principles of this approach to portfolio management.  An empirical investigation conducted for a DB plan titled “Portfolio Navigation for DB Plans” was published on this site … Continue reading →

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Real Engineering versus Financial Engineering

Posted on March 6, 2013 by Frank Sortino

Here are two clips from e-mails I have received. The first is from a leading European University that teaches financial engineering. The second is from the prospectus of a fixed income mutual fund company. The first is a theoretical argument. … Continue reading →

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The Glidepath Obfuscation

Posted on November 26, 2012 by Frank Sortino

Much attention has been given to the matter of the proper glidepath for 401(k) participants.  Most recently Rob Arnott, founder of Research Affiliates, has weighed in on this subject.  Arnott’s criticism of any mechanistic glidepath,[1] was in turn criticized by … Continue reading →

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A Solution to the Discount Rate Fallacy

Posted on July 18, 2012 by Frank Sortino

The key pad is mightier than the pen.  Because we don’t know what is going to happen in a world of uncertainty we make assumptions.  That is reasonable and rational behavior.  Then we start treating those assumptions like facts and … Continue reading →

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Evidence Trumps Emotion

Posted on June 13, 2012 by Frank Sortino

Evidence Based Management Revisited Dr. Frank A. Sortino, Founder & Director of PRI Since 1981 The Pension Research Institute (PRI) has been providing evidence that Post Modern Portfolio Theory (PMPT) is a better way to construct and manage portfolios.  In … Continue reading →

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Some Thoughts on Volatility Strategies

Posted on May 22, 2012 by Frank Sortino

This is a critique of a front page article in Pensions & Investments on April 16, 2012 and an Investment News article about Dr. Robert Haugen’s strategy.  It seems all one needs to know is what the volatility WAS of … Continue reading →

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PMPT Marries Prospect Theory

Posted on January 25, 2012 by Frank Sortino

Introduction:  Believing in a theory as evidence mounts disproving its merits will lead at first to disappointment and then to a better theory.  Concocting a strategy that solved the previous market fiasco without any theoretical foundation will lead nowhere.  All … Continue reading →

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