Magnum Experiment 99O modified

Asset Allocation

Position	Category/Sector	Target Weight
XOM Exxon Mobil Corporation	Energy	27.70%
LLY Eli Lilly and Company	Healthcare	27.10%
PM Philip Morris International Inc.	Consumer Defensive	11.30%
UNH UnitedHealth Group Incorporated	Healthcare	8.50%
NVDA NVIDIA Corporation	Technology	7.70%
GE General Electric Company	Industrials	7.20%
COST Costco Wholesale Corporation	Consumer Defensive	4.30%
ORCL Oracle Corporation	Technology	3.40%
WMT Walmart Inc.	Consumer Defensive	2.80%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Magnum Experiment 99O modified, 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 year.

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Returns By Period

As of Jun 6, 2026, the Magnum Experiment 99O modified returned 15.33% Year-To-Date and 26.93% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Magnum Experiment 99O modified	0.80%	7.69%	15.33%	20.65%	36.45%	33.38%	34.34%	26.93%
Portfolio components:
COST Costco Wholesale Corporation	0.30%	-3.37%	13.35%	10.14%	-3.42%	25.18%	22.05%	22.25%
GE General Electric Company	-1.82%	8.38%	4.70%	12.43%	26.65%	56.82%	36.95%	9.67%
LLY Eli Lilly and Company	1.57%	21.37%	7.29%	15.58%	50.32%	38.07%	39.75%	33.71%
NVDA NVIDIA Corporation	1.73%	-2.94%	12.01%	12.58%	47.43%	75.35%	64.54%	68.47%
ORCL Oracle Corporation	-0.87%	8.10%	9.34%	-3.36%	22.94%	25.94%	21.81%	20.30%
PM Philip Morris International Inc.	-1.25%	2.97%	10.74%	20.88%	0.31%	29.53%	18.20%	11.05%
UNH UnitedHealth Group Incorporated	1.78%	7.00%	24.12%	26.61%	37.87%	-4.40%	2.00%	13.15%
WMT Walmart Inc.	0.80%	-8.13%	7.98%	6.15%	23.97%	34.37%	22.47%	19.62%
XOM Exxon Mobil Corporation	1.22%	5.68%	27.80%	32.61%	50.17%	16.03%	23.83%	10.04%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 18, 2008, Magnum Experiment 99O modified's average daily return is +0.08%, while the average monthly return is +1.58%. At this rate, an investment would double in approximately 3.7 years.

Historically, 67% of months were positive and 33% were negative. The best month was Oct 2022 with a return of +18.0%, while the worst month was Feb 2009 at -13.9%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Magnum Experiment 99O modified closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +14.8%, while the worst single day was Mar 16, 2020 at -10.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.36%	4.20%	-2.66%	1.06%	4.97%	2.71%							15.33%
2025	4.11%	6.94%	-2.29%	-0.92%	-2.82%	5.74%	-0.84%	1.37%	3.47%	2.65%	5.47%	1.82%	26.99%
2024	5.79%	9.51%	6.97%	1.13%	6.17%	5.01%	-0.95%	7.47%	-0.93%	-0.81%	2.19%	-6.37%	39.87%
2023	4.78%	-2.63%	6.38%	6.71%	3.06%	7.91%	2.02%	7.10%	-2.42%	-2.52%	6.29%	0.68%	43.29%
2022	2.08%	1.74%	6.57%	-1.50%	6.83%	-5.44%	7.85%	-3.87%	-5.16%	18.04%	3.68%	-2.05%	29.81%
2021	7.19%	8.01%	0.64%	2.93%	5.32%	8.16%	-0.55%	2.87%	-3.27%	10.10%	-1.23%	4.69%	53.91%

Benchmark Metrics

Magnum Experiment 99O modified has an annualized alpha of 10.36%, beta of 0.84, and R2 of 0.73 versus S&P 500 Index. Calculated based on daily prices since March 18, 2008.

This portfolio captured 105.33% of S&P 500 Index gains but only 64.81% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 10.36% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 10.36%

Beta: 0.84

R²: 0.73

Upside Capture: 105.33%

Downside Capture: 64.81%

Expense Ratio

Magnum Experiment 99O modified 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 99O modified ranks 79 for risk / return — better than 79% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

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

The table below presents risk-adjusted performance metrics for Magnum Experiment 99O modified and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.67	1.94	+0.73
Sortino ratioReturn per unit of downside risk	3.73	2.63	+1.10
Omega ratioGain probability vs. loss probability	1.48	1.35	+0.13
Calmar ratioReturn relative to maximum drawdown	5.29	2.59	+2.70
Martin ratioReturn relative to average drawdown	16.19	11.84	+4.35
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
COST Costco Wholesale Corporation	32	-0.18	-0.13	0.98	-0.22	-0.51
GE General Electric Company	66	0.85	1.32	1.17	1.28	3.45
LLY Eli Lilly and Company	77	1.33	1.90	1.26	2.14	5.32
NVDA NVIDIA Corporation	77	1.37	1.94	1.24	2.36	5.73
ORCL Oracle Corporation	54	0.35	1.12	1.13	0.40	0.66
PM Philip Morris International Inc.	39	0.01	0.20	1.03	0.02	0.03
UNH UnitedHealth Group Incorporated	68	0.95	1.42	1.22	1.31	2.88
WMT Walmart Inc.	71	1.02	1.54	1.20	1.53	5.02
XOM Exxon Mobil Corporation	86	2.07	2.63	1.34	3.21	8.97

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 99O modified Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 2.67
5-Year: 2.04
10-Year: 1.45
All Time: 0.99

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 1.64 to 2.53, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Magnum Experiment 99O modified 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 99O modified provided a 1.58% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.58%	1.81%	1.94%	2.20%	2.01%	2.73%	3.85%	3.09%	3.27%	2.93%	2.73%	2.94%
Portfolio components:
COST Costco Wholesale Corporation	0.55%	0.59%	0.49%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%
GE General Electric Company	0.48%	0.47%	0.67%	0.25%	0.38%	0.34%	0.37%	4.12%	4.89%	4.81%	2.94%	2.95%
LLY Eli Lilly and Company	0.56%	0.56%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.94%	2.46%	2.77%	2.37%
NVDA NVIDIA Corporation	0.14%	0.02%	0.03%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%
ORCL Oracle Corporation	0.94%	0.97%	0.96%	1.44%	1.57%	1.38%	1.48%	1.72%	1.68%	1.52%	1.56%	1.56%
PM Philip Morris International Inc.	3.27%	3.52%	4.40%	5.46%	4.98%	5.16%	5.73%	5.43%	6.73%	3.99%	4.50%	4.60%
UNH UnitedHealth Group Incorporated	2.17%	2.64%	1.62%	1.38%	1.21%	1.12%	1.38%	1.41%	1.38%	1.30%	1.48%	1.59%
WMT Walmart Inc.	0.81%	0.84%	0.92%	1.45%	1.58%	1.52%	1.50%	1.78%	2.23%	2.07%	2.89%	3.20%
XOM Exxon Mobil Corporation	2.69%	3.32%	3.57%	3.68%	3.22%	5.70%	8.44%	4.92%	4.74%	3.66%	3.30%	3.69%

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 99O modified. 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 99O modified was 43.37%, occurring on Mar 5, 2009. Recovery took 471 trading sessions.

The current Magnum Experiment 99O modified drawdown is 0.82%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-43.37%Mar 2009	9mo 19d	1y 10mo	2y 7moMay 2008 - Jan 2011
COVID crash2020	-30.70%Mar 2020	1mo 2d	5mo 13d	6mo 15dFeb 2020 - Sep 2020
Rate-hike selloffLate 2018	-19.83%Dec 2018	2mo 15d	2mo 19d	5mo 4dOct 2018 - Mar 2019
2011 correction2011	-16.45%Aug 2011	2mo 10d	4mo 12d	6mo 22dJun 2011 - Dec 2011
2018 correction2018	-14.00%Mar 2018	1mo 23d	4mo 17d	6mo 10dJan 2018 - Aug 2018

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 9 assets, with an effective number of assets of 5.40, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	2.26	2.01	1.85	1.64	1.50

The portfolio has a diversification ratio of 1.50, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Magnum Experiment 99O modified correlation to the S&P 500 Index

Magnum Experiment 99O modified has a 0.24 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.55
Correlation (5Y) Calculated over the trailing 5-year period	0.62
Correlation (10Y) Calculated over the trailing 10-year period	0.68
Correlation (All Time) Calculated using the full available price history since Mar 18, 2008	0.77

Benchmark Correlations

Correlation vs. S&P 500 Index. ORCL has the highest benchmark correlation at 0.65, while WMT has the lowest at 0.41.

WMT

0.41

0.42

0.46

0.47

0.52

0.54

0.60

NVDA

0.60

ORCL

0.65

Portfolio Correlations

Correlation vs. Magnum Experiment 99O modified. LLY has the highest portfolio correlation at 0.70, while WMT has the lowest at 0.40.

WMT

0.40

COST

0.48

0.49

UNH

0.50

NVDA

0.53

ORCL

0.55

0.57

XOM

0.68

LLY

0.70

Asset Correlations Table

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

	PM	WMT	UNH	NVDA	LLY	XOM	COST	GE	ORCL
PM	1.00	0.31	0.28	0.15	0.30	0.35	0.31	0.31	0.27
WMT	0.31	1.00	0.27	0.19	0.29	0.24	0.56	0.27	0.29
UNH	0.28	0.27	1.00	0.23	0.34	0.29	0.31	0.28	0.31
NVDA	0.15	0.19	0.23	1.00	0.23	0.23	0.33	0.34	0.45
LLY	0.30	0.29	0.34	0.23	1.00	0.26	0.32	0.29	0.33
XOM	0.35	0.24	0.29	0.23	0.26	1.00	0.25	0.42	0.33
COST	0.31	0.56	0.31	0.33	0.32	0.25	1.00	0.31	0.36
GE	0.31	0.27	0.28	0.34	0.29	0.42	0.31	1.00	0.40
ORCL	0.27	0.29	0.31	0.45	0.33	0.33	0.36	0.40	1.00

The correlation results are calculated based on daily price changes starting from Mar 18, 2008

Diversification Analysis

Find what Magnum Experiment 99O modified is missing

See which holdings overlap, where Magnum Experiment 99O modified is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification