The Sortino Framework for Constructing Portfolios

Chapter 7. Integrating the DTR™ Framework into a Complex Corporate Structure

James A. Pupillo

The views expressed herein are those of the author and do not represent the views of the broker-dealer for which he is employed, its officers, directors, or its employees.

Executive Summary

James Pupillo, senior vice president of a global investment management company, provides a case study in managerial finance. The reader will come to understand why it is so difficult for large institutions to be innovative.

Introduction

In Chapter 1, Frank Sortino and Hal Forsey presented a formal portfolio construction and monitoring framework for constructing DTR™^* portfolios. Ron Surz has shown the importance of using indexes with the proper characteristics for asset ...