Methodology
A high-level overview of the models and calculations used across QVM Research.
Last updated: July 14, 2026
QVM Score
A relative quantitative score that ranks a security against its peer cohort using a blend of quality, value, and momentum inputs. Scores are normalized within cohorts so that a security is compared to similar securities rather than to the entire universe.
QVM Health
An absolute assessment focused on the security’s own risk-adjusted characteristics such as drawdown behavior, return consistency, and volatility profile. QVM Health is computed independently of QVM Score.
Performance calculations
- Cumulative returns are used for horizons under one year.
- Annualized returns (CAGR) are used for horizons of one year or more.
- All returns use adjusted prices where available.
Risk analytics
- Annualized Standard Deviation across 1M, 3M, 6M, 1Y, 3Y, 5Y and 10Y horizons.
- Sharpe Ratio — excess return per unit of total risk.
- Sortino Ratio — excess return per unit of downside risk.
- Maximum Drawdown — largest peak-to-trough decline in the window.
- Ulcer Index and Martin Ratio — depth and duration of drawdowns.
- Calmar Ratio — CAGR relative to maximum drawdown.
Benchmark-relative analytics
Each security is compared to an assigned benchmark. Where a fund’s stated benchmark is not covered, a proxy benchmark is used and labeled as such. Beta, Alpha, R², Tracking Error, Information Ratio, and up/down capture are computed against the assigned benchmark.
Peer, category, sector and industry ranks
Ranks are computed within a cohort of comparable securities. Peer cohorts are defined by purity-focused rules (for example, sector-specific groupings for sector ETFs). Ranks depend on cohort composition and are recomputed as inputs change.
Style Box
Style classification uses holdings-level fundamentals aggregated up to the fund, applying cap-cohort ranks for size and net-margin/growth-relative ranks for style. Classifications are shown only when data confidence gates are met; otherwise the panel indicates a pending state.
Similar securities and replacement candidates
Similarity blends mandate, sector, risk profile, benchmark, and structural characteristics. Replacement candidates surface funds with comparable mandates. This is a comparison tool, not a suitability determination.
Data confidence and pending states
- Values shown as “pending” are not yet published because inputs are missing or unverified.
- Missing data is not converted to zero.
- Proxy benchmarks are labeled.
- Methodologies are versioned; results may change as models evolve.