A growing number of academics and practitioners are claiming that standard deviation and
beta are not relevant measures of risk for many investment situations because they do not …

1. A principal of RCM Capital Management in San Francisco, where he is an equity portfolio
manager. He is also president of the Security Analysts of Sun Francisco and co-chairman of …

… -in-Publication Data The Sortino framework for portfolio construction: focusing on desired
target return to optimize upside potential relative to downside risk/Frank Sortino...[et al.]. p. cm. …

This article looks at the developing role of the integrated advisor, their common characteristics,
and the opportunities and challenges of providing integrated management to ultra-high …

Quantitative methods have revolutionized the area of trading, regulation, risk management,
portfolio construction, asset pricing and treasury activities, and governmental activity such as …

Shows how downside risk on investments can provide additional insights to standard deviation
when it is calculated correctly. Factors affecting calculation errors; Reduction of errors by …

… Chapter 1 From alpha to omega FRANK A. SORTINO SUMMARY This chapter is intended
to provide a brief history of the research carried out at the Pension Research Institute (PRI) …

… Sortino ratio improves on the Sharpe ratio in a few areas. The purpose of this article, however,
is not necessarily to extol the virtues of the Sortino … Frank Sortino had undertaken research …

From peak to trough, the three top funds in the UP strategy were up an average of 13% in a
market that saw a 32% decline in the NASDAQ. All three of the funds in the High Return …

Many performance measures, such as the classic Sharpe ratio have difficulty in evaluating
the performance of mutual funds with skewed return distributions. Common causes for …