This Gift From A Legend Is Priceless

by: Ronald Surz

Dr Frank Sortino’s legacy is now available to all for free in the form of optimization software developed over the past 40 years.

Dr. Sortino is the father of post-modern portfolio theory (PMPT) that revolutionized objective-based investing.

His software (1) identifies the best managers and (2) integrates them into a portfolio optimized to achieve objectives.

Like Peter Lynch and Bill Gross before him, Dr Frank Sortino is leaving the investment profession to enjoy a well-deserved retirement, and he has given us a departing gift. Now everyone can benefit from his years of research and software development by downloading his excellent software for free from Sortino-Metrics - Google Drive (open with Google Chrome or IE). It’s the Sortino legacy, including the code so you can customize to your liking, available upon request.

I’ve written about Dr. Sortino in the past, in Schools of Thought (summarized below) and Two Underrecognized Pioneers Who Revolutionized Investing. Best known for his Sortino Ratio, Frank re-defined risk as the possibility of failing to meet your objective, rather than return volatility. Volatility is not all bad if some of it is generated by returns above your objective.

Goals-based Optimizer Goes Beyond MPT

What most don’t know is Dr. Sortino’s biggest contribution to the investment industry is not his ratio – it’s his portfolio optimizer. He has written 2 books on this subject:

The Sortino Framework for Constructing Portfolios: Focusing on Desired Target Return™ to Optimize Upside Potential Relative to Downside Risk


Managing Downside Risk in Financial Markets

He also has several videos, like this one.

The Farewell

Dr. Sortino’s sincerest wish is that as many people as possible will use his life’s work and benefit from it.

Appendix: Schools of Thought

Disclosure: I/we have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it. I have no business relationship with any company whose stock is mentioned in this article.