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Magic formula

Last updated Mar 2, 2024

Magic formula investing

Asset Allocation


AMR 10%GPOR 10%CALM 10%VRRM 10%CNX 10%SWN 10%BTU 10%NOG 10%ARCH 10%CEIX 10%EquityEquity
PositionCategory/SectorWeight
AMR
Alpha Metallurgical Resources, Inc.
Basic Materials

10%

GPOR
Gulfport Energy Corporation
Energy

10%

CALM
Cal-Maine Foods, Inc.
Consumer Defensive

10%

VRRM
Verra Mobility Corporation
Industrials

10%

CNX
CNX Resources Corporation
Energy

10%

SWN
Southwestern Energy Company
Energy

10%

BTU
Peabody Energy Corporation
Energy

10%

NOG
Northern Oil and Gas, Inc.
Energy

10%

ARCH
Arch Resources, Inc.
Energy

10%

CEIX
CONSOL Energy Inc.
Energy

10%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Magic formula , 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


0.00%50.00%100.00%150.00%200.00%250.00%OctoberNovemberDecember2024FebruaryMarch
255.21%
24.45%
Magic formula
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 18, 2021, corresponding to the inception date of GPOR

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Magic formula 2.34%1.64%16.00%33.83%N/AN/A
AMR
Alpha Metallurgical Resources, Inc.
13.90%-4.34%81.74%113.08%45.99%N/A
GPOR
Gulfport Energy Corporation
6.61%14.09%15.04%72.75%N/AN/A
CALM
Cal-Maine Foods, Inc.
-2.57%-2.00%17.24%3.91%7.35%9.29%
VRRM
Verra Mobility Corporation
-0.65%-2.22%30.37%29.12%16.65%N/A
CNX
CNX Resources Corporation
5.45%6.03%-6.97%29.23%13.81%-4.49%
SWN
Southwestern Energy Company
6.56%8.22%3.10%23.10%8.94%-16.25%
BTU
Peabody Energy Corporation
3.24%-5.75%12.77%-9.53%-3.06%N/A
NOG
Northern Oil and Gas, Inc.
-1.67%13.37%-13.51%12.72%10.58%-12.02%
ARCH
Arch Resources, Inc.
2.84%-2.50%24.69%9.59%19.14%N/A
CEIX
CONSOL Energy Inc.
-11.56%-5.83%-1.62%41.15%19.99%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.38%-0.56%
20235.91%10.39%-4.31%5.44%4.57%

Sharpe Ratio

The current Magic formula Sharpe ratio is 1.70. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.70

The Sharpe ratio of Magic formula lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.70
2.44
Magic formula
Benchmark (^GSPC)
Portfolio components

Dividend yield

Magic formula granted a 1.80% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Magic formula 1.80%2.16%3.10%0.14%0.11%2.98%0.45%1.63%0.28%0.60%0.30%0.21%
AMR
Alpha Metallurgical Resources, Inc.
0.50%0.57%4.23%0.00%0.00%0.00%0.00%15.15%0.00%0.00%0.00%0.00%
GPOR
Gulfport Energy Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CALM
Cal-Maine Foods, Inc.
5.51%7.51%3.17%0.09%0.00%0.98%1.03%0.00%2.70%4.10%2.26%1.15%
VRRM
Verra Mobility Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CNX
CNX Resources Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.07%1.90%0.74%0.98%
SWN
Southwestern Energy Company
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BTU
Peabody Energy Corporation
1.20%0.93%0.00%0.00%0.00%26.34%1.50%0.00%0.00%0.00%0.00%0.00%
NOG
Northern Oil and Gas, Inc.
4.09%4.02%2.86%1.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ARCH
Arch Resources, Inc.
5.44%6.42%17.59%0.27%1.14%2.51%1.93%1.13%0.00%0.00%0.00%0.00%
CEIX
CONSOL Energy Inc.
1.24%2.19%3.15%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Magic formula 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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Magic formula
1.70
AMR
Alpha Metallurgical Resources, Inc.
2.51
GPOR
Gulfport Energy Corporation
2.44
CALM
Cal-Maine Foods, Inc.
0.13
VRRM
Verra Mobility Corporation
1.50
CNX
CNX Resources Corporation
1.40
SWN
Southwestern Energy Company
0.81
BTU
Peabody Energy Corporation
-0.26
NOG
Northern Oil and Gas, Inc.
0.53
ARCH
Arch Resources, Inc.
0.32
CEIX
CONSOL Energy Inc.
1.28

Asset Correlations Table

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

CALMVRRMGPORAMRBTUARCHSWNNOGCNXCEIX
CALM1.000.120.150.080.130.120.150.150.190.13
VRRM0.121.000.210.180.120.190.250.280.260.17
GPOR0.150.211.000.380.400.400.630.590.590.44
AMR0.080.180.381.000.630.710.400.430.380.64
BTU0.130.120.400.631.000.710.440.470.450.76
ARCH0.120.190.400.710.711.000.420.450.420.69
SWN0.150.250.630.400.440.421.000.620.740.48
NOG0.150.280.590.430.470.450.621.000.650.49
CNX0.190.260.590.380.450.420.740.651.000.48
CEIX0.130.170.440.640.760.690.480.490.481.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-0.88%
0
Magic formula
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Magic formula . 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 was 27.31%, occurring on Jul 6, 2022. Recovery took 268 trading sessions.

The current Magic formula drawdown is 0.88%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.31%Jun 8, 202219Jul 6, 2022268Jul 31, 2023287
-23.34%Oct 19, 202131Dec 1, 202150Feb 11, 202281
-13.25%Apr 19, 202215May 9, 202213May 26, 202228
-10.45%Jul 12, 20216Jul 19, 20215Jul 26, 202111
-10.44%Sep 13, 20217Sep 21, 20218Oct 1, 202115

Volatility Chart

The current Magic formula volatility is 7.14%, 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.


2.00%4.00%6.00%8.00%OctoberNovemberDecember2024FebruaryMarch
7.14%
3.47%
Magic formula
Benchmark (^GSPC)
Portfolio components
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