Sortino Investment Analytics (SIA) and VPM Partners have partnered together to provide the most sophisticated portfolio design and risk management solution in the industry.
Our Sortino portfolio series utilizes the rigorous research methods of SIA and the quantitative investment management process of VPM to provide unparalleled portfolio construction.
Bootstrapping
SIA is the only firm to bootstrap data which more rigorously examines not only what DID happen but what COULD happen by providing one of the most thorough techniques to develop better estimates of risk and return.
Actual historical performance is randomly selected to generate a hypothetical 12 month period of returns. A number is randomly drawn out of the basket, much like Bingo, to create a new 12 month return. Once a number is drawn out, it is returned to the basket for possible re-selection. SIA repeats this process an additional 2499 times for every security evaluated.
Out of this analysis, they are able to construct a more accurate estimation of what could happen moving forward.
Living in an Upside Downside World
Sortino Investment Analytics (SIA) utilizes a revolutionary approach that combines leading financial research and academic theory to evaluate the bootstrapping results with a focus on minimizing downside risk.
Key Metrics
Upside Potential Ratio
The Upside Potential Ratio they use determines how far and frequent a position is likely to perform above its benchmark. This captures an investor’s perception of risks when comparing gains and losses
Downside Risk Deviation
Downside Risk Deviation is a measure that distinguishes “good” returns which are greater than the benchmark, and “bad” returns which fall at or below the target.
