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Magic formula
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart

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 Every 3 months.


0.00%100.00%200.00%300.00%400.00%December2025FebruaryMarchAprilMay
364.25%
37.62%
Magic formula
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 19, 2021, corresponding to the inception date of GPOR

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.70%13.67%-5.18%9.18%14.14%10.43%
Magic formula -11.75%10.42%4.06%25.06%N/AN/A
AMR
Alpha Metallurgical Resources, Inc.
-38.05%10.57%-48.13%-58.74%108.41%N/A
GPOR
Gulfport Energy Corporation
2.18%18.66%23.85%21.90%N/AN/A
CALM
Cal-Maine Foods, Inc.
-7.34%4.16%6.71%69.95%20.32%9.22%
VRRM
Verra Mobility Corporation
0.41%16.45%4.39%-9.64%21.90%N/A
CNX
CNX Resources Corporation
-15.60%10.02%-18.12%31.37%23.75%1.64%
SWN
Southwestern Energy Company
0.00%0.00%0.00%-2.07%N/AN/A
BTU
Peabody Energy Corporation
-32.06%25.75%-50.91%-34.47%31.62%N/A
NOG
Northern Oil and Gas, Inc.
-28.18%27.67%-33.39%-31.62%32.05%-8.40%
ARCH
Arch Resources, Inc.
6.15%0.00%214.02%385.41%N/AN/A
CEIX
CONSOL Energy Inc.
-4.47%0.00%-20.01%19.44%N/AN/A
*Annualized

Monthly Returns

The table below presents the monthly returns of Magic formula , with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025-4.53%-8.29%0.47%-4.10%4.61%-11.75%
2024-1.41%4.15%4.25%-3.75%9.85%-4.67%6.78%-3.71%3.19%0.79%32.15%-4.03%46.33%
20237.52%-0.76%0.78%-3.72%-0.98%17.77%12.73%26.35%-2.37%-3.77%9.96%4.74%86.10%
2022-2.56%22.29%28.53%1.28%6.89%-15.41%11.93%5.92%-10.33%8.90%4.01%-13.13%46.70%
20213.26%11.31%3.21%10.40%8.39%-1.62%-10.20%5.00%31.68%

Expense Ratio

Magic formula 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.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Magic formula is 71, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Magic formula is 7171
Overall Rank
The Sharpe Ratio Rank of Magic formula is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of Magic formula is 7878
Sortino Ratio Rank
The Omega Ratio Rank of Magic formula is 7373
Omega Ratio Rank
The Calmar Ratio Rank of Magic formula is 7777
Calmar Ratio Rank
The Martin Ratio Rank of Magic formula is 4848
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AMR
Alpha Metallurgical Resources, Inc.
-1.17-2.030.77-0.77-1.50
GPOR
Gulfport Energy Corporation
0.631.031.131.062.35
CALM
Cal-Maine Foods, Inc.
1.962.451.372.366.72
VRRM
Verra Mobility Corporation
-0.28-0.130.98-0.24-0.46
CNX
CNX Resources Corporation
0.911.271.170.861.77
SWN
Southwestern Energy Company
-0.13-0.180.97-0.08-0.33
BTU
Peabody Energy Corporation
-0.68-0.800.91-0.51-1.09
NOG
Northern Oil and Gas, Inc.
-0.66-0.750.90-0.62-1.62
ARCH
Arch Resources, Inc.
3.804.241.588.5216.70
CEIX
CONSOL Energy Inc.
0.601.241.170.891.46

The current Magic formula Sharpe ratio is 0.97. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 0.44 to 0.96, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Magic formula with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.97
0.48
Magic formula
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Magic formula provided a 3.21% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio3.21%4.26%14.23%6.69%0.53%0.00%2.74%0.26%1.70%0.28%0.60%0.30%
AMR
Alpha Metallurgical Resources, Inc.
0.00%0.00%0.57%4.23%0.00%0.00%0.00%0.00%15.15%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.
7.42%2.82%7.51%3.17%0.09%0.00%0.98%1.03%0.00%2.70%4.10%2.26%
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%1.86%0.05%1.85%0.74%
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
2.12%1.43%0.93%0.00%0.00%0.00%26.43%1.59%0.00%0.00%0.00%0.00%
NOG
Northern Oil and Gas, Inc.
6.43%4.41%4.02%2.86%1.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ARCH
Arch Resources, Inc.
15.56%33.44%127.04%53.48%4.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CEIX
CONSOL Energy Inc.
0.59%0.47%2.19%3.15%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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-15.30%
-7.82%
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 27.35%, occurring on Jul 6, 2022. Recovery took 250 trading sessions.

The current Magic formula drawdown is 15.30%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.35%Jun 8, 202219Jul 6, 2022250Jul 5, 2023269
-23.3%Dec 2, 202487Apr 8, 2025
-22.26%Oct 19, 202131Dec 1, 202160Feb 28, 202291
-16.08%Jul 17, 202439Sep 10, 202441Nov 6, 202480
-14.01%Apr 19, 202215May 9, 202213May 26, 202228

Volatility

Volatility Chart

The current Magic formula volatility is 7.82%, 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%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
7.82%
11.21%
Magic formula
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 10 assets, with an effective number of assets of 10.00, 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.

^GSPCCALMARCHVRRMAMRBTUGPORCEIXSWNCNXNOGPortfolio
^GSPC1.000.200.370.500.250.220.330.260.370.350.360.48
CALM0.201.000.110.160.090.150.170.140.130.200.180.30
ARCH0.370.111.000.280.120.060.160.100.180.130.150.42
VRRM0.500.160.281.000.170.130.240.180.230.250.280.38
AMR0.250.090.120.171.000.640.360.620.350.340.400.68
BTU0.220.150.060.130.641.000.370.710.390.410.440.71
GPOR0.330.170.160.240.360.371.000.410.570.580.580.63
CEIX0.260.140.100.180.620.710.411.000.440.430.450.73
SWN0.370.130.180.230.350.390.570.441.000.670.570.64
CNX0.350.200.130.250.340.410.580.430.671.000.600.65
NOG0.360.180.150.280.400.440.580.450.570.601.000.68
Portfolio0.480.300.420.380.680.710.630.730.640.650.681.00
The correlation results are calculated based on daily price changes starting from May 20, 2021