Pension Research Institute: Perf-DOS

New Performance Model

After the article in Forbes (2/22/99) we had a lot of questions about how to calculate downside risk and the Sortino ratio. In response, we made a model available free of charge to make those calculations. Because of improvements in our approach to performance measurement, we are now removing that model from our web site.

To facilitate the use of the upside potential ratio (U-P), we will give a free copy of a model that will calculate the upside potential and downside risk of any manager. We will also give the source code for this model, written in Visual Basic 5.0. Any and all institutions are welcome to use this source code in their software free of charge. All we require is that they let users know the statistics are calculated using source code provided by Forsey and Sortino of PRI.

The new model will be given free with each copy of "Managing Downside Risk in Financial Markets", published by Butterworth & Heinemann in London. For information on the publishing date please contact the publisher.

In the United States: Phone 800 366 2665, FAX 800 446 6520, e-mail orders@bhusa.com.

In Europe: Phone 44 (0) 1865 888180, FAX 1865 314290, e-mail bh.orders@repp.co.uk.

Also available on Amazon .com

In order to reduce possible misuse of the model and/or misinterpretation of the output, we ask that a copy of the book be available in each branch office of each institution using this model. It is our sincere hope that this free software will lead to further improvements in portfolio management.

For information on the contents of the book, go to Book On Downside Risk.

In the "Omega returns" article we discuss in detail why we think the style analysis procedure developed by Bill Sharpe enables one to calculate much more reliable estimates than those provided in PRIPER. The style-adjusted calculations of downside risk are only available in commercial products provided by LCG Associates and Mobius Group.

For Information On Comercial Versions of Our Software Please Call One of the Following:

LCG Associates .............800 753 2326 (Jared Shope, Director)

Be aware that PRI does not provide updated data files or customer support of any kind. We are a research institute and do not have the staff to provide support.