Sharpe & Sortino Portfolios

What is the objective of these portfolios?
These portfolios have the objective of maximizing risk-adjusted returns by utilizing dynamic asset allocation strategies. By optimizing either the Sharpe or Sortino ratio, these portfolios aim to achieve the best possible returns relative to the amount of risk taken.

What qualifies as a Sharpe & Sortino Portfolios?
These portfolios qualify as "Sharpe & Sortino Portfolios" because they are specifically designed to maximize well-known risk-adjusted performance metrics. The Sharpe Ratio focuses on total risk, while the Sortino Ratio emphasizes downside risk. This targeted approach helps investors manage risk more effectively while seeking optimal returns.

Why is this family of portfolios rebalanced and tracked each month?
The Sharpe & Sortino Portfolio family was created and tracked to offer investors a way to systematically manage risk and reward using established quantitative metrics. Tracking these portfolios enables investors to compare how well they optimize returns relative to their risk, helping them make informed investment decisions tailored to their risk tolerance and performance goals.

What portfolio recipes are included in the Sharpe & Sortino Portfolios family?
RecipeInvesting tracks the following Portfolio Recipes in the category of Sharpe & Sortino Portfolios:

• Maximum Sharpe Portfolio (t.shar): chooses an allocation from a set of 8 asset class ETFs. The algorithm maximizes the Sharpe ratio of the entire portfolio. The Sharpe ratio uses standard deviation to measure risk.
• Maximum Sortino Portfolio (t.sort): chooses an allocation from a set of 8 asset class ETFs. The algorithm maximizes the Sortino ratio of the entire portfolio based. The Sortino ratio uses downside deviation to measure risk.

What do Sharpe & Sortino Portfolios have in common?
All of the Portfolio Recipes in the Sharpe & Sortino Portfolios Family share the following characteristics:

• Tactical / Dynamic approach
• Rebalance frequency
• Number of possible asset class ETFs used

How do Sharpe & Sortino Portfolios differ?
Despite their similarities, Portfolio Recipes in the Sharpe & Sortino Portfolios Family can differ based on these attributes:

• Method in using to measure risk-adjusted returns

Comparison of Sharpe & Sortino Portfolios