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The Sortino Framework for Constructing Portfolios by Frank A. Sortino

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Chapter 3. Beyond the Sortino Ratio
Frank Sortino, Robert van der Meer, Auke Plantinga and Bernardo Kuan

Executive Summary

This chapter begins with the development of the Sortino ratio and why I discarded it for the upside potential ratio and Desired Target Return™ (DTR™). * Professors Robert van der Meer and Auke Plantinga of Groningen University then worked with me to develop the upside potential ratio. The chapter ends with Bernardo Kuan's research on the predictive power of DTR.
*DTR and Desired Target Return are trademarks of Sortino Investment Advisors.

The Sortino Ratio

It was Brian Rom's idea at Investment Technologies to call it the Sortino ratio. I wanted to call it the “mean-lower partial moment ranking ratio,” but Brian didn't think that ...

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