ASSET ALLOCATION OPTIMIZATION USING DOWNSIDE RISK ANALYSIS
By UNIFIED TRUST COMPANY
We used Sortino downside risk analysis to examine which mixes of various asset classes produced higher return and lower risk. We examined more than 10,000 different portfolio allocation mixes over the 1926-2004 time period, with particular emphasis placed on the most recent twenty years (1984-2004). In addition we describe how this downside risk analysis can be used to evaluate individual mutual fund risk.