November 2009
Intermediate to advanced
192 pages
4h 4m
English
Content preview from The Sortino Framework for Constructing PortfoliosBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Appendix. Formal Definitions and Procedures
Overview
Our portfolio selection is mostly based on an analysis of return data. Each fund has a style blend described by a portfolio of passive indexes obtained by a quadratic fit of return data. As a result we are able to compare the fund with its style blend. We summarize this comparison with a difference in risk-adjusted returns called the Desired Target Return™-alpha (DTR™-α). * The DTR-α is a measure of added value and is key to our final selection process; however, before making this calculation possible, funds are carefully screened. One part of the screening process is based on an analysis of risk and return statistics defined in terms of a DTR. The purpose of this Appendix is to give formal definitions ...
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