Magnum Experiment 99N

Asset Allocation

Position	Category/Sector	Target Weight
ABBV AbbVie Inc.	Healthcare	12.25%
AMGN Amgen Inc.	Healthcare	8.15%
BKE The Buckle, Inc.	Consumer Cyclical	3.75%
CF CF Industries Holdings, Inc.	Basic Materials	1.40%
CSCO Cisco Systems, Inc.	Technology	3.54%
CTRA Coterra Energy Inc.	Energy	4.77%
CWEN Clearway Energy, Inc.	Utilities	0.28%
DKS DICK'S Sporting Goods, Inc.	Consumer Cyclical	3.58%
DRI Darden Restaurants, Inc.	Consumer Cyclical	0.55%
FAST Fastenal Company	Industrials	6.61%
HD The Home Depot, Inc.	Consumer Cyclical	0.69%
HRB H&R Block, Inc.	Consumer Cyclical	5.88%
HSY The Hershey Company	Consumer Defensive	13.81%
LMT Lockheed Martin Corporation	Industrials	7.16%
OFG OFG Bancorp	Financial Services	11.17%
TXN Texas Instruments Incorporated	Technology	2.79%
WSO Watsco, Inc.	Industrials	13.62%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Magnum Experiment 99N, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

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The earliest data available for this chart is Jul 17, 2013, corresponding to the inception date of CWEN

Returns By Period

As of Apr 11, 2026, the Magnum Experiment 99N returned 10.74% Year-To-Date and 18.17% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-0.11%	2.16%	-0.42%	4.03%	27.10%	18.38%	10.55%	12.70%
Portfolio Magnum Experiment 99N	-1.25%	1.94%	10.74%	9.30%	19.13%	15.14%	16.25%	18.17%
Portfolio components:
HSY The Hershey Company	-4.05%	-6.12%	11.90%	6.81%	25.88%	-5.33%	7.42%	10.79%
WSO Watsco, Inc.	1.29%	12.45%	22.38%	13.32%	-17.29%	12.52%	11.25%	15.30%
ABBV AbbVie Inc.	-2.10%	-7.73%	-8.26%	-8.41%	22.77%	12.82%	18.55%	18.04%
OFG OFG Bancorp	-1.43%	10.00%	5.22%	4.79%	26.26%	24.47%	15.75%	23.54%
AMGN Amgen Inc.	-1.29%	-4.56%	7.99%	22.69%	26.59%	15.32%	10.53%	11.54%
LMT Lockheed Martin Corporation	-1.63%	-5.99%	27.56%	23.08%	32.76%	10.89%	12.71%	13.47%
FAST Fastenal Company	0.14%	8.66%	23.20%	8.56%	24.51%	26.21%	17.24%	18.90%
HRB H&R Block, Inc.	-3.47%	-1.39%	-30.70%	-39.97%	-47.61%	-1.13%	9.05%	6.14%
CTRA Coterra Energy Inc.	-0.21%	4.47%	27.86%	49.18%	37.34%	12.34%	19.67%	6.70%
BKE The Buckle, Inc.	-1.58%	8.23%	9.25%	11.40%	71.34%	27.75%	13.65%	16.91%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jul 18, 2013, Magnum Experiment 99N's average daily return is +0.06%, while the average monthly return is +1.26%. At this rate, an investment would double in approximately 4.6 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2020 with a return of +11.8%, while the worst month was Mar 2020 at -11.4%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Magnum Experiment 99N closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +8.0%, while the worst single day was Mar 16, 2020 at -10.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	6.80%	6.35%	-4.84%	2.46%									10.74%
2025	0.92%	4.45%	-0.71%	-3.39%	0.56%	2.01%	2.78%	1.86%	1.83%	-5.43%	2.45%	-0.71%	6.37%
2024	-0.26%	1.58%	5.40%	-3.05%	3.88%	-0.70%	9.24%	1.51%	0.50%	-2.67%	3.76%	-6.55%	12.32%
2023	2.26%	2.02%	0.77%	1.18%	-5.77%	5.62%	5.41%	-1.37%	-1.08%	-2.21%	5.43%	7.89%	21.12%
2022	-0.83%	2.14%	6.03%	-3.67%	3.17%	-5.39%	7.26%	0.43%	-5.31%	11.28%	3.75%	-4.81%	13.19%
2021	1.53%	3.36%	8.67%	3.79%	2.97%	-0.29%	0.97%	1.64%	-1.99%	3.48%	0.16%	7.83%	36.58%

Benchmark Metrics

Magnum Experiment 99N has an annualized alpha of 5.82%, beta of 0.80, and R² of 0.68 versus S&P 500 Index. Calculated based on daily prices since July 18, 2013.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (91.70%) than losses (70.25%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 5.82% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 5.82%

Beta: 0.80

R²: 0.68

Upside Capture: 91.70%

Downside Capture: 70.25%

Expense Ratio

Magnum Experiment 99N has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Return for Risk

Risk / Return Rank

Magnum Experiment 99N ranks 22 for risk / return — below 22% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.59	2.23	-0.65
Sortino ratio Return per unit of downside risk	2.36	3.12	-0.76
Omega ratio Gain probability vs. loss probability	1.27	1.42	-0.14
Calmar ratio Return relative to maximum drawdown	3.29	4.05	-0.76
Martin ratio Return relative to average drawdown	8.43	17.91	-9.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
HSY The Hershey Company	60	1.01	1.61	1.19	1.83	5.43
WSO Watsco, Inc.	19	-0.49	-0.48	0.94	-0.25	-0.42
ABBV AbbVie Inc.	56	0.93	1.39	1.18	1.50	3.48
OFG OFG Bancorp	58	1.02	1.44	1.20	1.55	3.56
AMGN Amgen Inc.	62	1.03	1.65	1.20	2.35	5.37
LMT Lockheed Martin Corporation	68	1.39	1.83	1.26	2.71	6.86
FAST Fastenal Company	64	1.33	1.92	1.24	1.87	4.03
HRB H&R Block, Inc.	3	-1.46	-2.23	0.73	-0.81	-1.56
CTRA Coterra Energy Inc.	66	1.38	1.82	1.24	2.61	5.62
BKE The Buckle, Inc.	84	2.52	3.37	1.41	4.30	10.23

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Magnum Experiment 99N Sharpe ratios as of Apr 11, 2026 (values are recalculated daily):

1-Year: 1.59
5-Year: 1.10
10-Year: 1.07
All Time: 0.92

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 2.14 to 3.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Magnum Experiment 99N compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Magnum Experiment 99N provided a 3.05% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.05%	3.13%	2.98%	3.04%	2.98%	2.89%	3.39%	2.97%	3.38%	2.71%	2.77%	3.18%
Portfolio components:
HSY The Hershey Company	2.75%	3.01%	3.24%	2.39%	1.67%	1.76%	2.07%	2.03%	2.57%	2.24%	2.32%	2.50%
WSO Watsco, Inc.	2.93%	3.47%	2.23%	2.29%	3.43%	2.44%	3.06%	3.55%	4.02%	2.71%	2.43%	2.39%
ABBV AbbVie Inc.	3.20%	2.87%	3.49%	3.82%	3.49%	3.84%	4.41%	4.83%	3.89%	2.65%	3.64%	3.41%
OFG OFG Bancorp	2.92%	2.93%	2.36%	2.35%	2.54%	1.51%	1.51%	1.19%	1.52%	2.55%	1.83%	4.92%
AMGN Amgen Inc.	2.75%	2.91%	3.45%	2.96%	2.95%	3.13%	2.78%	2.41%	2.71%	2.65%	2.74%	1.95%
LMT Lockheed Martin Corporation	2.20%	2.76%	2.62%	2.68%	2.34%	2.98%	2.76%	2.31%	3.13%	2.32%	2.71%	2.83%
FAST Fastenal Company	1.83%	2.18%	2.17%	2.75%	2.62%	1.75%	2.87%	2.35%	2.95%	2.34%	2.55%	2.74%
HRB H&R Block, Inc.	5.49%	3.65%	2.63%	2.52%	3.07%	4.54%	6.56%	4.39%	3.90%	3.59%	3.74%	2.40%
CTRA Coterra Energy Inc.	2.63%	3.34%	3.29%	4.58%	8.47%	5.89%	2.46%	2.01%	1.12%	0.59%	0.34%	0.45%
BKE The Buckle, Inc.	8.02%	7.30%	7.68%	8.52%	2.32%	3.17%	14.21%	7.40%	14.22%	8.42%	8.77%	11.99%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Magnum Experiment 99N. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Magnum Experiment 99N was 32.46%, occurring on Mar 23, 2020. Recovery took 85 trading sessions.

The current Magnum Experiment 99N drawdown is 2.84%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-32.46%	Jan 17, 2020	45	Mar 23, 2020	85	Jul 23, 2020	130
-20.94%	Apr 17, 2015	191	Jan 19, 2016	124	Jul 15, 2016	315
-13.09%	Aug 22, 2018	86	Dec 24, 2018	45	Mar 1, 2019	131
-12.62%	Nov 26, 2024	90	Apr 8, 2025	68	Jul 17, 2025	158
-11.09%	Aug 19, 2022	30	Sep 30, 2022	29	Nov 10, 2022	59

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 17 assets, with an effective number of assets of 10.87, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	Benchmark	HSY	CTRA	CF	CWEN	LMT	ABBV	HRB	BKE	OFG	DRI	AMGN	DKS	WSO	TXN	CSCO	HD	FAST	Portfolio
Benchmark	1.00	0.31	0.31	0.33	0.38	0.39	0.42	0.39	0.41	0.44	0.44	0.48	0.46	0.55	0.69	0.66	0.60	0.59	0.74
HSY	0.31	1.00	0.11	0.12	0.21	0.30	0.26	0.18	0.09	0.10	0.22	0.31	0.13	0.22	0.19	0.23	0.27	0.25	0.45
CTRA	0.31	0.11	1.00	0.30	0.21	0.18	0.17	0.19	0.21	0.25	0.17	0.17	0.22	0.21	0.22	0.23	0.16	0.24	0.41
CF	0.33	0.12	0.30	1.00	0.20	0.24	0.18	0.21	0.23	0.26	0.21	0.17	0.21	0.20	0.23	0.26	0.21	0.25	0.38
CWEN	0.38	0.21	0.21	0.20	1.00	0.17	0.20	0.19	0.21	0.25	0.24	0.22	0.23	0.28	0.27	0.29	0.27	0.29	0.38
LMT	0.39	0.30	0.18	0.24	0.17	1.00	0.28	0.26	0.18	0.22	0.22	0.29	0.17	0.29	0.24	0.31	0.29	0.31	0.48
ABBV	0.42	0.26	0.17	0.18	0.20	0.28	1.00	0.21	0.18	0.19	0.22	0.52	0.19	0.23	0.28	0.33	0.30	0.29	0.55
HRB	0.39	0.18	0.19	0.21	0.19	0.26	0.21	1.00	0.28	0.28	0.33	0.25	0.28	0.29	0.27	0.28	0.31	0.33	0.51
BKE	0.41	0.09	0.21	0.23	0.21	0.18	0.18	0.28	1.00	0.37	0.36	0.19	0.48	0.32	0.30	0.28	0.38	0.35	0.51
OFG	0.44	0.10	0.25	0.26	0.25	0.22	0.19	0.28	0.37	1.00	0.31	0.22	0.32	0.30	0.33	0.31	0.30	0.33	0.62
DRI	0.44	0.22	0.17	0.21	0.24	0.22	0.22	0.33	0.36	0.31	1.00	0.21	0.35	0.31	0.33	0.32	0.38	0.33	0.46
AMGN	0.48	0.31	0.17	0.17	0.22	0.29	0.52	0.25	0.19	0.22	0.21	1.00	0.20	0.29	0.36	0.37	0.34	0.34	0.56
DKS	0.46	0.13	0.22	0.21	0.23	0.17	0.19	0.28	0.48	0.32	0.35	0.20	1.00	0.36	0.33	0.31	0.44	0.36	0.52
WSO	0.55	0.22	0.21	0.20	0.28	0.29	0.23	0.29	0.32	0.30	0.31	0.29	0.36	1.00	0.41	0.37	0.47	0.57	0.66
TXN	0.69	0.19	0.22	0.23	0.27	0.24	0.28	0.27	0.30	0.33	0.33	0.36	0.33	0.41	1.00	0.52	0.46	0.47	0.55
CSCO	0.66	0.23	0.23	0.26	0.29	0.31	0.33	0.28	0.28	0.31	0.32	0.37	0.31	0.37	0.52	1.00	0.43	0.45	0.55
HD	0.60	0.27	0.16	0.21	0.27	0.29	0.30	0.31	0.38	0.30	0.38	0.34	0.44	0.47	0.46	0.43	1.00	0.49	0.57
FAST	0.59	0.25	0.24	0.25	0.29	0.31	0.29	0.33	0.35	0.33	0.33	0.34	0.36	0.57	0.47	0.45	0.49	1.00	0.66
Portfolio	0.74	0.45	0.41	0.38	0.38	0.48	0.55	0.51	0.51	0.62	0.46	0.56	0.52	0.66	0.55	0.55	0.57	0.66	1.00

The correlation results are calculated based on daily price changes starting from Jul 18, 2013

Magnum Experiment 99N

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table