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The Sortino Framework for Constructing Portfolios by Frank A. Sortino

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Chapter 2. Getting All the Pieces of the Puzzle
Ron Surz

Executive Summary

Ron Surz, president of PPCA, Inc., explains why comparing managers to a single index like the Standard & Poor's (S&P) 500 is seriously flawed because it fails to recognize a core sector that does not behave like value or growth. Failure to recognize this piece of the puzzle distorts the final picture.
He who stops being better stops being good.
—Oliver Cromwell
A solid investment program evolves from the integration of various interrelated disciplines, or puzzle pieces. Asset allocation is paramount and involves not only the assignment to asset classes but also the make-up of asset classes, specifically the types of stocks, bonds, etc. The active–passive decision—allocating ...

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