Magnum Fund Test #11
Backtest from 3/29/24
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ED Consolidated Edison, Inc. | Utilities | 70.54% |
HSY The Hershey Company | Consumer Defensive | 39.32% |
NOC Northrop Grumman Corporation | Industrials | 23.36% |
USD=X USD Cash | -33.22% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Magnum Fund Test #11, 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 when any position deviates by more than 0.0% from its target allocation.
The earliest data available for this chart is Jul 1, 1985, corresponding to the inception date of HSY
Returns By Period
As of Apr 8, 2025, the Magnum Fund Test #11 returned 12.72% Year-To-Date and 13.04% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -13.93% | -12.27% | -11.13% | -2.73% | 13.04% | 9.21% |
| Magnum Fund Test #11 | 12.72% | -4.02% | -2.51% | 11.12% | 10.62% | 13.04% |
| Portfolio components: | ||||||
ED Consolidated Edison, Inc. | 19.18% | 1.70% | 6.05% | 21.66% | 8.32% | 9.25% |
HSY The Hershey Company | -3.16% | -12.14% | -11.84% | -13.49% | 4.80% | 7.20% |
NOC Northrop Grumman Corporation | 3.08% | -1.02% | -9.03% | 7.78% | 9.34% | 12.64% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Monthly Returns
The table below presents the monthly returns of Magnum Fund Test #11, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.56% | 11.81% | 8.54% | -6.59% | 12.72% | ||||||||
| 2024 | 0.43% | -2.21% | 5.27% | 3.03% | 0.19% | -7.29% | 12.12% | 4.77% | 1.82% | -5.37% | -0.94% | -10.17% | -0.36% |
| 2023 | -5.54% | -0.49% | 7.56% | 4.96% | -6.07% | -2.64% | -0.15% | -6.84% | -5.01% | 1.04% | 3.20% | -0.02% | -10.61% |
| 2022 | 0.71% | 5.86% | 10.49% | -0.23% | 4.78% | -1.80% | 5.46% | -0.88% | -9.83% | 8.95% | 7.65% | -2.01% | 30.98% |
| 2021 | -4.52% | -3.64% | 16.06% | 6.24% | 3.69% | -5.00% | 3.06% | 2.67% | -5.00% | 4.06% | 3.04% | 13.29% | 36.43% |
| 2020 | 7.15% | -16.09% | -6.13% | 2.76% | -0.97% | -6.57% | 11.11% | -2.01% | 2.86% | -2.93% | 2.89% | -2.38% | -12.39% |
| 2019 | 3.59% | 8.45% | 1.79% | 6.38% | 4.41% | 3.28% | 4.42% | 7.43% | 4.05% | -5.07% | -2.95% | 2.06% | 43.94% |
| 2018 | -2.55% | -7.60% | 3.23% | -2.71% | -2.42% | 1.17% | 2.61% | 1.82% | -0.43% | -2.56% | 5.39% | -5.10% | -9.49% |
| 2017 | 1.09% | 6.44% | 0.13% | 1.90% | 7.90% | -4.50% | 1.61% | 2.82% | -0.17% | 4.23% | 6.04% | -2.31% | 27.39% |
| 2016 | 4.60% | 3.87% | 7.89% | -0.48% | 0.24% | 17.14% | -1.82% | -7.57% | -1.47% | 4.71% | -4.76% | 5.11% | 28.39% |
| 2015 | 4.38% | -3.57% | -4.14% | -3.92% | 2.63% | -6.26% | 11.03% | -2.40% | 5.78% | 0.44% | -4.00% | 4.06% | 2.58% |
| 2014 | -0.04% | 7.02% | -3.09% | 2.10% | -2.12% | 3.13% | -5.09% | 5.72% | 1.04% | 9.65% | 3.15% | 5.80% | 29.62% |
Expense Ratio
Magnum Fund Test #11 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 79, Magnum Fund Test #11 is among the top 21% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
ED Consolidated Edison, Inc. | 1.09 | 1.64 | 1.20 | 1.15 | 2.66 |
HSY The Hershey Company | -0.36 | -0.36 | 0.96 | -0.21 | -0.69 |
NOC Northrop Grumman Corporation | 0.39 | 0.70 | 1.09 | 0.40 | 0.93 |
USD=X USD Cash | — | — | — | — | — |
Dividends
Dividend yield
Magnum Fund Test #11 provided a 3.96% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.96% | 4.30% | 3.82% | 3.29% | 3.63% | 4.24% | 3.46% | 4.10% | 3.47% | 3.83% | 4.22% | 3.89% |
| Portfolio components: | ||||||||||||
ED Consolidated Edison, Inc. | 3.17% | 3.72% | 3.56% | 3.32% | 3.63% | 4.23% | 3.27% | 3.74% | 3.25% | 3.64% | 4.05% | 3.82% |
HSY The Hershey Company | 3.37% | 3.24% | 2.39% | 1.67% | 1.76% | 2.07% | 2.03% | 2.57% | 2.24% | 2.32% | 2.50% | 1.96% |
NOC Northrop Grumman Corporation | 1.71% | 1.72% | 1.57% | 1.24% | 1.59% | 1.86% | 1.50% | 1.92% | 1.27% | 1.50% | 1.64% | 1.84% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Magnum Fund Test #11. 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 Fund Test #11 was 51.78%, occurring on Mar 10, 2000. Recovery took 380 trading sessions.
The current Magnum Fund Test #11 drawdown is 7.45%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -51.78% | Oct 6, 1998 | 373 | Mar 10, 2000 | 380 | Aug 27, 2001 | 753 |
| -46.33% | Apr 9, 2007 | 501 | Mar 9, 2009 | 293 | Apr 22, 2010 | 794 |
| -37.86% | Jan 31, 2020 | 37 | Mar 23, 2020 | 444 | Dec 3, 2021 | 481 |
| -31.85% | Oct 8, 1987 | 8 | Oct 19, 1987 | 425 | Jun 5, 1989 | 433 |
| -25.99% | May 24, 2002 | 43 | Jul 23, 2002 | 6 | Jul 31, 2002 | 49 |
Volatility
Volatility Chart
The current Magnum Fund Test #11 volatility is 9.59%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| USD=X | NOC | HSY | ED | |
|---|---|---|---|---|
| USD=X | 0.00 | 0.00 | 0.00 | 0.00 |
| NOC | 0.00 | 1.00 | 0.24 | 0.24 |
| HSY | 0.00 | 0.24 | 1.00 | 0.33 |
| ED | 0.00 | 0.24 | 0.33 | 1.00 |