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Magic formula
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Magic formula

Last updated Jul 25, 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%

ARCH
Arch Resources, Inc.		Energy

10%

BTU
Peabody Energy Corporation		Energy

10%

CALM
Cal-Maine Foods, Inc.		Consumer Defensive

10%

CEIX
CONSOL Energy Inc.		Energy

10%

CNX
CNX Resources Corporation		Energy

10%

GPOR
Gulfport Energy Corporation		Energy

10%

NOG
Northern Oil and Gas, Inc.		Energy

10%

SWN
Southwestern Energy Company		Energy

10%

VRRM
Verra Mobility Corporation		Industrials

10%

S&P 500

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 Quarterly

0.00%50.00%100.00%150.00%200.00%250.00%300.00%FebruaryMarchAprilMayJuneJuly
267.68%
30.80%
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 By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
Magic formula 5.93%1.75%3.70%36.11%N/AN/A
Portfolio components:
AMR
Alpha Metallurgical Resources, Inc.		-12.64%5.26%-23.31%76.99%52.27%N/A
GPOR
Gulfport Energy Corporation		11.48%-3.38%13.32%49.70%N/AN/A
CALM
Cal-Maine Foods, Inc.		26.25%17.24%29.01%63.89%15.82%8.99%
VRRM
Verra Mobility Corporation		30.26%9.17%27.28%50.00%16.59%N/A
CNX
CNX Resources Corporation		25.05%4.08%21.64%33.24%31.05%-2.53%
SWN
Southwestern Energy Company		-3.21%-6.07%-2.46%1.44%25.52%-17.04%
BTU
Peabody Energy Corporation		-9.53%-0.55%-18.66%2.21%-0.17%N/A
NOG
Northern Oil and Gas, Inc.		8.68%3.65%15.57%6.67%22.86%-11.99%
ARCH
Arch Resources, Inc.		-13.61%-6.45%-19.64%21.38%15.39%N/A
CEIX
CONSOL Energy Inc.		-4.41%-4.74%1.26%34.63%35.89%N/A

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
20241.38%-0.61%4.52%-2.31%8.29%-6.68%5.93%
20232.27%-0.20%-0.41%-1.28%-5.85%14.71%7.68%5.91%10.39%-4.31%5.44%4.57%43.97%
20222.64%23.40%26.16%3.79%7.10%-13.91%7.67%9.29%-9.37%10.78%6.15%-11.56%69.62%
20212.48%11.23%4.73%11.80%11.55%1.67%-12.05%6.77%42.13%

Expense Ratio

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

Risk-Adjusted Performance Rank

The current rank of Magic formula is 71, 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.

The Risk-Adjusted Performance Rank of Magic formula is 7171
Magic formula
The Sharpe Ratio Rank of Magic formula is 6262Sharpe Ratio Rank
The Sortino Ratio Rank of Magic formula is 6060Sortino Ratio Rank
The Omega Ratio Rank of Magic formula is 5858Omega Ratio Rank
The Calmar Ratio Rank of Magic formula is 9292Calmar Ratio Rank
The Martin Ratio Rank of Magic formula is 8282Martin 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.

Magic formula
Sharpe ratio
The chart of Sharpe ratio for Magic formula , currently valued at 1.64, compared to the broader market-1.000.001.002.003.004.001.64
Sortino ratio
The chart of Sortino ratio for Magic formula , currently valued at 2.31, compared to the broader market-2.000.002.004.006.002.31
Omega ratio
The chart of Omega ratio for Magic formula , currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for Magic formula , currently valued at 4.16, compared to the broader market0.002.004.006.008.004.16
Martin ratio
The chart of Martin ratio for Magic formula , currently valued at 10.73, compared to the broader market0.0010.0020.0030.0040.0010.73
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AMR
Alpha Metallurgical Resources, Inc.		1.452.001.282.033.94
GPOR
Gulfport Energy Corporation		1.592.311.283.869.37
CALM
Cal-Maine Foods, Inc.		2.223.061.402.4415.36
VRRM
Verra Mobility Corporation		1.752.361.312.656.89
CNX
CNX Resources Corporation		1.442.141.251.704.33
SWN
Southwestern Energy Company		0.040.291.030.030.14
BTU
Peabody Energy Corporation		-0.050.181.02-0.05-0.16
NOG
Northern Oil and Gas, Inc.		0.270.571.070.310.68
ARCH
Arch Resources, Inc.		0.611.101.130.902.24
CEIX
CONSOL Energy Inc.		0.791.281.161.022.07

Sharpe Ratio

The current Magic formula Sharpe ratio is 1.68. 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 1.24 to 1.94, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.64
1.58
Magic formula
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Magic formula granted a 1.39% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Magic formula 1.39%2.16%3.10%0.14%0.11%2.98%0.45%1.81%0.28%0.60%0.30%0.21%
Portfolio components:
AMR
Alpha Metallurgical Resources, Inc.		0.34%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.		2.64%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%1.86%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		1.37%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.		4.00%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.		5.57%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.		0.00%2.19%3.15%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.

-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-5.58%
-4.73%
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 5.48%.

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

Volatility Chart

The current Magic formula volatility is 6.23%, 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%3.00%4.00%5.00%6.00%7.00%8.00%FebruaryMarchAprilMayJuneJuly
6.23%
3.80%
Magic formula
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
CALMVRRMAMRGPORARCHSWNCNXNOGBTUCEIX
CALM1.000.120.070.140.110.140.180.160.140.13
VRRM0.121.000.170.230.170.250.270.280.120.16
AMR0.070.171.000.360.710.380.360.420.620.63
GPOR0.140.230.361.000.390.630.580.590.390.43
ARCH0.110.170.710.391.000.410.400.430.720.69
SWN0.140.250.380.630.411.000.740.620.430.46
CNX0.180.270.360.580.400.741.000.640.440.46
NOG0.160.280.420.590.430.620.641.000.460.48
BTU0.140.120.620.390.720.430.440.461.000.76
CEIX0.130.160.630.430.690.460.460.480.761.00
The correlation results are calculated based on daily price changes starting from May 19, 2021