Magic formula

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.

Based on dividend-adjusted daily data since May 20, 2021, Magic formula 's average daily return is +0.13%, while the average monthly return is +2.65%. At this rate, an investment would double in approximately 2.2 years.

Historically, 67% of months were positive and 33% were negative. The best month was Mar 2022 with a return of +26.2%, while the worst month was Jun 2022 at -13.9%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Magic formula closed higher 53% of trading days. The best single day was Nov 6, 2024 with a return of +7.5%, while the worst single day was May 9, 2022 at -9.5%.

Magic formula has an annualized alpha of 28.05%, beta of 0.76, and R² of 0.17 versus S&P 500 Index. Calculated based on daily prices since May 20, 2021.

• This portfolio captured 117.00% of S&P 500 Index gains but only 20.03% of its losses — a favorable profile for investors.
• R² of 0.17 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

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.

Magic formula ranks 23 for risk / return — below 23% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Magic formula Sharpe ratios as of Apr 11, 2026 (values are recalculated daily):

• 1-Year: 1.51
• All Time: 1.08

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 2.14 to 3.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Magic formula compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Magic formula provided a 1.86% dividend yield over the last twelve months.

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.

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 31.10%, occurring on Apr 8, 2025. Recovery took 243 trading sessions.

The current Magic formula drawdown is 8.52%.

The chart below shows the rolling one-month volatility.