What is the PivotalRating System?

The PivotalRating System systematically analyzes key features of sustainable manager performance including quality of alpha, drawdown management and other critical performance attributes. Alpha, Drawdown and Momentum Scores are assigned to quartiles based on how a fund ranks against its strategy peers, thereby enabling meaningful comparisons across funds. The proprietary rating is a forward-looking assessment of a fund's ability to outperform its peer group in the near-term on a risk-adjusted basis and is updated monthly as new returns populate PivotalBase.  

Rating Methodology

Each score is generated by evaluating the fund both on an absolute basis as well as relative to its strategy peers. The overall rating is an equal-weighted composite of the three scores and should be assessed within an academic framework.  

  • Alpha Score – measures the statistical significance of Jensen’s Alpha relative to risk factors as defined within the PivotalClassification™ system and rewards funds accordingly

  • Drawdown Score – measures the statistical significance of realized drawdowns and penalizes funds accordingly

  • Momentum Score – measures the statistical significance of past performance and rewards funds accordingly