Magic formula screener
Testing the Magic formula
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BCC Boise Cascade Company | Basic Materials | 20% |
BLDR Builders FirstSource, Inc. | Industrials | 20% |
MATX Matson, Inc. | Industrials | 20% |
MLI Mueller Industries, Inc. | Industrials | 20% |
SKY Skyline Champion Corporation | Consumer Cyclical | 20% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Magic formula screener, 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 Quarterly
The earliest data available for this chart is Feb 6, 2013, corresponding to the inception date of BCC
Returns By Period
As of Oct 15, 2024, the Magic formula screener returned 31.89% Year-To-Date and 36.27% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.85% | 4.16% | 15.77% | 35.40% | 14.46% | 12.04% |
| Magic formula screener | 31.89% | 3.78% | 24.44% | 72.96% | 44.07% | 36.27% |
| Portfolio components: | ||||||
MATX Matson, Inc. | 25.72% | 3.04% | 26.84% | 54.01% | 31.37% | 20.36% |
SKY Skyline Champion Corporation | 28.39% | -0.24% | 25.81% | 54.70% | 25.46% | 39.17% |
BCC Boise Cascade Company | 15.68% | 5.24% | 7.56% | 66.81% | 42.98% | 21.82% |
MLI Mueller Industries, Inc. | 57.35% | 4.50% | 41.88% | 102.37% | 40.82% | 20.58% |
BLDR Builders FirstSource, Inc. | 17.83% | 7.32% | 8.03% | 66.73% | 54.24% | 43.49% |
Monthly Returns
The table below presents the monthly returns of Magic formula screener, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.02% | 8.00% | 5.59% | -7.69% | 2.33% | -5.42% | 17.23% | 4.19% | 5.28% | 31.89% | |||
| 2023 | 12.70% | 5.96% | -0.05% | 5.01% | 3.37% | 17.82% | 8.05% | -0.23% | -6.40% | -6.27% | 13.62% | 18.69% | 94.70% |
| 2022 | -8.24% | 9.87% | -7.11% | -6.33% | 3.94% | -14.22% | 26.18% | -12.27% | -6.20% | 10.40% | 0.28% | -4.77% | -14.38% |
| 2021 | 0.90% | 17.32% | 4.84% | 4.21% | 1.37% | -3.49% | 1.14% | 13.16% | -3.68% | 10.84% | 12.83% | 10.50% | 92.76% |
| 2020 | -6.51% | -6.53% | -28.56% | 22.36% | 10.16% | 1.80% | 16.90% | 9.03% | -3.75% | 4.96% | 16.00% | 4.75% | 34.04% |
| 2019 | 15.06% | 10.45% | -3.67% | 4.13% | -5.20% | 17.14% | 2.18% | 0.26% | 6.23% | 4.46% | 8.00% | 0.08% | 73.96% |
| 2018 | 18.19% | -10.64% | 0.47% | 4.23% | 15.74% | 2.64% | -5.24% | 0.06% | -5.52% | -15.20% | 0.43% | -16.76% | -16.56% |
| 2017 | -4.48% | 8.34% | -3.47% | -3.97% | -11.81% | 9.61% | 4.70% | 12.26% | 9.12% | 0.23% | 6.48% | 3.11% | 30.87% |
| 2016 | -6.77% | -5.70% | 45.53% | 0.14% | 3.11% | -3.03% | 10.70% | 7.10% | -1.62% | -12.46% | 12.23% | 3.81% | 52.39% |
| 2015 | -3.96% | 2.01% | 5.07% | 15.70% | -2.36% | 0.89% | 2.05% | -2.47% | -11.05% | 11.76% | 7.38% | -13.91% | 7.30% |
| 2014 | 6.58% | -1.53% | 1.34% | -9.98% | -1.05% | 2.72% | -2.53% | -0.99% | -2.71% | 9.04% | 6.12% | 4.18% | 10.15% |
| 2013 | -0.09% | 9.61% | -6.57% | 1.63% | -7.84% | 9.88% | -5.39% | 5.05% | 4.77% | -0.90% | 5.62% | 14.78% |
Expense Ratio
Magic formula screener has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Magic formula screener is 55, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
MATX Matson, Inc. | 1.84 | 2.58 | 1.30 | 1.85 | 9.16 |
SKY Skyline Champion Corporation | 1.31 | 1.99 | 1.25 | 1.58 | 5.97 |
BCC Boise Cascade Company | 1.79 | 2.45 | 1.30 | 2.70 | 6.63 |
MLI Mueller Industries, Inc. | 3.62 | 4.28 | 1.53 | 4.47 | 31.33 |
BLDR Builders FirstSource, Inc. | 1.55 | 2.03 | 1.29 | 1.85 | 4.27 |
Dividends
Dividend yield
Magic formula screener granted a 1.90% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Magic formula screener | 1.90% | 1.83% | 2.07% | 1.93% | 1.38% | 1.42% | 2.79% | 2.47% | 0.59% | 0.53% | 0.54% | 0.62% |
| Portfolio components: | ||||||||||||
MATX Matson, Inc. | 0.95% | 1.15% | 1.95% | 1.18% | 1.58% | 2.11% | 2.56% | 2.61% | 2.09% | 1.64% | 1.91% | 2.37% |
SKY Skyline Champion Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 4.25% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
BCC Boise Cascade Company | 7.55% | 6.73% | 5.84% | 7.61% | 4.18% | 3.75% | 5.45% | 0.18% | 0.00% | 0.00% | 0.00% | 0.00% |
MLI Mueller Industries, Inc. | 1.02% | 1.27% | 2.54% | 0.88% | 1.14% | 1.26% | 1.71% | 9.57% | 0.87% | 1.02% | 0.81% | 0.73% |
BLDR Builders FirstSource, Inc. | 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 Magic formula screener. 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 Magic formula screener was 47.31%, occurring on Apr 3, 2020. Recovery took 87 trading sessions.
The current Magic formula screener drawdown is 1.13%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -47.31% | Jan 17, 2020 | 54 | Apr 3, 2020 | 87 | Aug 7, 2020 | 141 |
| -42.44% | Jun 13, 2018 | 135 | Dec 24, 2018 | 207 | Oct 21, 2019 | 342 |
| -29.07% | Nov 9, 2015 | 69 | Feb 18, 2016 | 26 | Mar 28, 2016 | 95 |
| -28.86% | Mar 21, 2022 | 66 | Jun 23, 2022 | 207 | Apr 20, 2023 | 273 |
| -22.92% | Mar 3, 2017 | 62 | May 31, 2017 | 68 | Sep 6, 2017 | 130 |
Volatility
Volatility Chart
The current Magic formula screener volatility is 5.96%, 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
| SKY | MATX | BLDR | BCC | MLI | |
|---|---|---|---|---|---|
| SKY | 1.00 | 0.28 | 0.38 | 0.34 | 0.34 |
| MATX | 0.28 | 1.00 | 0.42 | 0.42 | 0.53 |
| BLDR | 0.38 | 0.42 | 1.00 | 0.57 | 0.50 |
| BCC | 0.34 | 0.42 | 0.57 | 1.00 | 0.54 |
| MLI | 0.34 | 0.53 | 0.50 | 0.54 | 1.00 |