Talk:Sortino ratio

More appropriate phrasing

Instead of "Thus, the ratio is the actual rate of return in excess of the investor's rate of return, per unit of downside risk.", would it be more appropriate to say "Thus, the ratio is the actual rate of return in excess of the investor's targeted rate of return, per unit of downside risk."? - PH/070516

Previous Discussion Message

I removed to proposed deletion message as I object to the deletion of this article. I'm not sure whether or nor the sortino ratio counts as "original research". However, I work in finance and work through lots of documents regarding funds and other financial instruments. Many of these quote sharpe and sortino ratios. I found this article very useful for finding out what the Sortino ratio was, and believe this article should not be deleted as the Sortino Ratio is a very common term in investment banking and fund research.

This article is simply wrong. That probability integral looks all kinds of fancy and all, but having spent my life in finance I( have never yet known anybody who claimed to know the pdf of the returns. I suppose that if I knew such a pdf, I would not be very interested in calculating statistics. The Sortino ratio is a statistic and everything except the target return that goes into it is a statistic. That DR in this vapid article is a functional of some unknown pdf which is completely useless for anything practical. You could fix this up by making that some "empirical pdf" but that is pedantic and stupid. 67.82.64.174 (talk) 21:18, 21 June 2013 (UTC)

More Previous Discussion Message

This message is partially incomprehensible, although the author appears to be trying to say that he wants a previous deletion request eliminated. While I concur with this position, it would be appropriate if someone were to clean this to proper English. If the meaning is, in fact, something else, I will respond to whatever he/she is really trying to say. --BMR 13:36, 9 April 2007 (UTC)

About the correctness of DR formula

The following formula is not correct.

$DR={\sqrt {\int _{-\infty }^{t}(T-r)^{2}f(r)\,dr}}$

As the expression "An intuitive way to view downside risk is the annualized standard deviation of returns below the target" puts it, the downside risk should be calculated as the standard deviation of $T-r$ when $r\in ]-\infty ,T]$, that is to say

$DR={\frac {\sqrt {\int _{-\infty }^{T}(T-r)^{2}f(r)\,dr}}{\int _{-\infty }^{T}f(r)\,dr}}$ — Preceding unsigned comment added by 213.41.70.212 (talk) 09:29, 5 December 2013 (UTC)

I suggest you use the Fishburn formula on page 116 in "The American Economic Review vol 67 No 2 page 116. It is also on page 9 of "Managing downside risk in financial maekets", Butterworth-Heinemann, 2001. Authors: Sortino and Satchell. — Preceding unsigned comment added by Special:Contributions/2601:647:4D00:CC7C:A1CA:A43:16CF:2D8D (talk) 7 September 2015

Claims on the development of PMPT

User:FSortino posted the following earlier on the page. As it has not been substantiated at this time, nor is it written in the language appropriate for an encyclopedia I undid the post. However, someone with more knowledge on this matter should look into this and decided how to proceed. I am appending the initial post below:

In the “Post-modern portfolio posting page Rom states: “The Sortino ratio, developed by Investment Technologies (new name for SSI), was the first new element in the PMPT rubric”. In this posting titled, “Sortino ratio”, Rom states: “The Sortino ratio was created in 1993 by Brian Rom.” The fact is: At the direction of Dr. Sortino, Dr. Forsey wrote the source code to calculate the Sortino ratio for the PRI software Rom was marketing long before Rom’s 1993 article. He could not have made any calculations for any article without the PRI software. Some may wonder, why didn’t Sortino mention the Sortino ratio in his many publications in dozens of journals and personal appearances prior to 1993? Dr. Sortino opposed calling it the Sortino ratio and wanted to call it the Lower Partial Moment Ranking ratio. Sortino also opposed using his name on the cover of his second book. He wanted the title to be, Advancements in Post Modern Portfolio Theory, “not, The Sortino Framework”. In both cases, Sortino acquiesced to the demands of people marketing his research efforts.

Zfeinst (talk) 22:23, 2 September 2015 (UTC) I would like to propose the following introduction to this post: The term, “Post-modern portfolio theory (PMPT)” was first used by Brian Rom to describe the underlying theory of an asset allocation model developed by The Pension Research Institute (PRI) called Primix. Mr. Rom wrote a very favorable article about Primix in Pensions and Investments magazine, May 2, 1988, page 34. The article noted that Premix “exactly calculates the risk of falling below the target return “ and users should “request a white paper titled Risk and Relevance by the Institutes Director, Frank Sortino.” A few weeks later Mr. Rom signed an agreement with PRI to market PRI’s software. The agreement required Rom’s firm “include the following words on the opening screen: “This product is an extension of a model developed by the Pension Research Institute;” furthermore, Rom’s firm was limited to “designing all Non-Technical Features” , meaning the user interface. Therefore, all of the body of knowledge constituting PMPT (including all equations) prior to 1995, when Rom terminated the agreement, were developed by PRI.

I don't know how to insert these Frank A. Sortino, Director The Pension Research Institutue — Preceding unsigned comment added by FSortino (talk • contribs) 21:29, 7 September 2015 (UTC)