Sortino Framework for Constructing Portfolios (eBook)

Focusing on Desired Target Return(TM) to Optimize Upside Potential Relative to Downside Risk

Frank A. Sortino (Autor)

eBook Download: EPUB

2009 | 1. Auflage
192 Seiten
Elsevier Science (Verlag)
978-0-08-096168-2 (ISBN)

Infos

"The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client's risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on future returns.

The Sortino method presents an innovative change from this traditional approach. Rather than using the client's risk as the main factor, this method uses the client's desired return.
The goal is what the investor is trying to accomplish financially, such as a certain level of income in retirement or putting children through college.

.Feature: Only book to describe the Sortino method and Desired Target ReturnT in a way that enables portfolio managers to adopt the method.
.Benefit: Gives a new way of constructing portfolios into the hands of portfolio managers

.Feature: Software to implement the portfolio construction method is included free of charge to bookbuyers on a password protected Elsevier website
.Benefit: Book buyers can use the software to construct portfolios using this method right away, in real time. They can also load in their current portfolios and measure them against these measures.

.Feature: The Sortino method has been tested over 20 years at the Pension Research Institute
.Benefit: Portfolio managers can be confident of the success of the method, even returns in the economic crisis, where the method has still beaten all S&P benchmarks."

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The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client's risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on future returns.The Sortino method presents an innovative change from this traditional approach. Rather than using the client's risk as the main factor, this method uses the client's desired return. - Only book to describe the Sortino method and Desired Target Return in a way that enables portfolio managers to adopt the method- Software to implement the portfolio construction method is included free of charge to book buyers on a password protected Elsevier website. Book buyers can use the software to construct portfolios using this method right away, in real time. They can also load in their current portfolios and measure them against these measures- The Sortino method has been tested over 20 years at the Pension Research Institute. Portfolio managers can be confident of the success of the method, even returns in the economic crisis, in which the method has still beaten all S&P benchmarks

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Contributors

Hal Forsey earned a Ph.D. in mathematics at the University of Southern California and a Masters in operations research from the University of California–Berkley. He is a professor emeritus of mathematics at San Francisco State University and has worked closely with Dr. Sortino for over 25 years. Dr. Forsey wrote the source code for all of the models developed at the Pension Research Institute, including the software on the CD in the book Managing Downside Risk in Financial Markets, edited by Sortino and Satchell. He has co-authored many articles with Dr. Sortino, and his wide consulting experience in applied mathematics has been invaluable to the SIA executive team.

William David Hand has been the CEO of Hand Benefits & Trust since 1991 and is an executive vice president of Benefit Plan Administrators, Inc. David is a graduate of Auburn University with a Bachelor's degree in mechanical engineering. He is an Enrolled Actuary (EA), a member of the American Society of Pension Professionals and Actuaries (ASPPA), a member of the American Academy of Actuaries (AAA), a registered securities representative, and a registered general securities principal. An active member in his community and a recognized leader in the pension industry, David has served as past chairman of the ASPPA Business Owners Conference and currently serves on the ASPPA board of directors for the Counsel for Independent 401(k) Recordkeepers (CIKR). David frequently speaks before professional organizations on such timely topics as the impact of legislative and regulatory changes in the public and private pension and employee-benefit industry and the impact of technology on the delivery of benefit services. David has most recently been featured in an article with Dr. Sortino on 401(k) retirement income risk that has appeared in national publications.

David Hopelain has a degree in economics from Stanford and a Ph.D. in organizational studies from the University of California–Los Angeles. He spent a year as a postdoctoral fellow in Stanford's organizational studies program and 14 years as an adjunct professor of management at the Annenberg School for Communication at the University of Southern California. As a management consultant for over 20 years, he has a long successful record of advising clients on the interaction between changing markets and developing technologies. His clients have included American Airlines, AT&T, ICL (U.K.), Fujitsu, Ltd., U.S. Department of Defense, Citicorp, Pacbell, GTE, Baxter Corp., Babcock & Wilcox, U.S. Department of Energy, and several large professional groups adapting to changing business conditions. Dr. Hopelain also has technical management experience as a supervisor and project manager at the Jet Propulsion Laboratory, California Institute of Technology, and as a project manager at Lawrence Berkeley Laboratory, University of California. Dr. Hopelain is the founder of an early-stage company, Synergy Automotive Designs, Inc., that is heading into its technical development phase. He and his wife, Patricia, live in North Fork, California, where they raise Arabian horses.

Bernardo Kuan received his B.S. in electrical engineering from the University of North Dakota, a graduate degree in engineering from Santa Clara University, and an M.B.A. in finance from San Francisco State University. He has been with DAL Investment Company (money management, NoLoad FundX newsletter publisher, and upgrader mutual fund advisors) since 1997, working in the technology, operations, data, research, and compliance departments.

Christian S. Pedersen was awarded a B.Sc. in economics with first-class honors and an M.Sc. in discrete and applicable mathematics from the London School of Economics and Political Science. He attended Trinity College and Cambridge University, where he was awarded a M.Phil. in economics and a Ph.D. for a thesis entitled “Four Essays on Risk in Finance.” He has published articles in the fields of financial risk and decision theory, and he has acted as referee for the Journal of Applied Econometrics. His current research interests include relating decision theory and theoretical risk analysis to empirical finance, in particular asset pricing, risk measurement, and performance measurement. He is a member of the Decision Analysis Society, a subsidiary of the Institute for Operational Research and Management Science (InfORMS). In 1999, he joined the financial consulting firm Oliver, Wyman & Company in London as an associate consultant.

Auke Plantinga is an associate professor in finance. He is involved in research and teaching in the field of finance, in particular portfolio management. He specializes in methods of performance measurement of investment portfolios and has experience from past positions in ALM modeling and pension funds. He is also a partner in HEAP Consulting, a firm specializing in financial consulting and web-based solutions in finance.

James A. Pupillo, CIMA®, CIMC® is an Institutional Consulting Director for a major investment firm. These directors are recognized for providing extraordinary investment consulting services and being qualified to serve the firm's Institutional and ultra-high-net-worth private family office clients.

Jim was chosen as one of America's Top 100 out of 7000 Investment Management Consultants screened in 2006, 2007, and 2008 and ranked #1 in Arizona for 2009 by Barron's Magazine, selection related to ethical standards, professionalism and success. Jim earned the Certified Investment Management Analyst (CIMA) designation in 1997, and Investment Strategist Certification, both offered by the Investment Management Consultants Association (IMCA) through the Wharton Business School, University of Pennsylvania. In 2006 he completed as valedictorian the Accredited Investment Fiduciary (AIF) Program conducted by the Center for Fiduciary Studies.

Jim earned the Certified Investment Management Consultant (CIMC) designation in 1994 from the Institute for Certified Investment Management Consultants. He has also obtained the Certified Investment Management Analyst (CIMA) designation and the Investment Strategist Certification, both offered by the Investment Management Consultants Association (IMCA) through the Wharton Business School, University of Pennsylvania. He successfully completed as valedictorian, the Accredited Investment Fiduciary (AIF) Program in 2006 conducted by the Center for Fiduciary Studies, an internationally recognized training organization for fiduciaries.

Jim was past President of the Association of Professional Investment Management Consultants (APIC) and the Certified Investment Management Consultants (ICIMC). Jim has written several published articles on portfolio construction and fiduciary responsibility. Additionally, he contributed a chapter to the book Core Satellite Portfolio Management, which addresses the topic of optimally blending active and passive investment strategies regarding portfolio construction for fiduciaries. Jim graduated with a Bachelor of Science degree in Management-Administration and Marketing from Indiana University, Bloomington.

Neil Riddles is the founder of Riddles Investment Consulting, a resource to the investment management industry that offers expertise in performance measurement, performance standards (GIPS), benchmarking, and risk modeling. Neil has served as director of performance measurement for a large money manager specializing in international investments. He has held the positions of chief operating officer and chief risk officer of a smaller investment advisory firm. In the past, Neil worked for a pension consulting firm and has worked on the floor of the American Stock Exchange with an options market-making firm. He has served on various committees and subcommittees of the Association for Investment Management and Research (AIMR) Performance Presentation Standards (PPS) and Global Investment Performance Standards (GIPS) continuously since 1993. Currently, he is chairman of the GIPS council and is a member of the GIPS executive committee. He is a chartered financial analyst and holds a certificate in Investment Performance Measurement. Neil is a frequent speaker and writer about investment performance and risk related topics.

Stephen Satchell is a fellow of Trinity College, reader in Financial Econometrics at the University of Cambridge, and visiting professor at Birkbeck College, City University Business School, and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk. Dr. Satchell was the editor of the first issue of Journal of Asset Management (July, 2000) and the series editor of the book series Quantitative Finance (Elsevier). He is also the editor of the journal Derivatives, Use, Trading, and Regulation and is a member of the editorial boards of Applied Financial Economics, Journal of Financial Services Marketing, Journal of Financial Econometrics, Journal of Bond Trading and Management, and European Journal of Finance.

Frank A. Sortino, chairman and chief investment officer of Sortino Investment Advisors, is professor emeritus of finance at San Francisco State University. He founded the Pension Research Institute (PRI) in 1980 as a nonprofit organization, focusing on problems facing fiduciaries. When Dr. Sortino retired from teaching in 1997, the University authorized PRI's privatization as a for-profit think tank. PRI has conducted research projects with firms such as Shell Oil Pension Funds, Netherlands;...

Produkt-Details

• Erscheint lt. Verlag: 27.11.2009
• Co-Autor: David Hand, Robert Van der Meer, Auke Plantinga, James Pupillo, Neil Riddles, Ron Surz
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• ISBN-10: 0-08-096168-1 / 0080961681
• ISBN-13: 978-0-08-096168-2 / 9780080961682