Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Magnum Experiment 33, 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.
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The earliest data available for this chart is May 28, 2020, corresponding to the inception date of SGOV
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 2.16% | -0.42% | 4.03% | 27.10% | 18.38% | 10.55% | 12.70% |
Portfolio Magnum Experiment 33 | -0.11% | 0.13% | 0.23% | 0.77% | 5.33% | 3.48% | 0.58% | — |
| Portfolio components: | ||||||||
AGG iShares Core U.S. Aggregate Bond ETF | -0.17% | 0.37% | 0.42% | 0.85% | 6.45% | 3.58% | 0.28% | 1.67% |
MUB iShares National AMT-Free Muni Bond ETF | -0.15% | 0.14% | 0.54% | 1.59% | 7.82% | 2.59% | 0.92% | 1.99% |
BSV Vanguard Short-Term Bond Index Fund ETF Shares | -0.06% | 0.21% | 0.30% | 1.19% | 4.69% | 4.29% | 1.70% | 1.98% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | -0.26% | 0.99% | 0.22% | 0.30% | 8.56% | 4.30% | 0.18% | 2.69% |
IUSB iShares Core Universal USD Bond ETF | -0.17% | 0.36% | 0.42% | 1.03% | 6.92% | 4.12% | 0.60% | 2.07% |
VGIT Vanguard Intermediate-Term Treasury ETF | -0.12% | -0.01% | 0.10% | 0.60% | 5.23% | 3.21% | 0.31% | 1.32% |
GOVT iShares U.S. Treasury Bond ETF | -0.07% | 0.06% | 0.22% | 0.32% | 4.63% | 2.47% | -0.24% | 0.95% |
SGOV iShares 0-3 Month Treasury Bond ETF | 0.04% | 0.30% | 0.99% | 1.86% | 4.04% | 4.80% | 3.43% | — |
USHY iShares Broad USD High Yield Corporate Bond ETF | -0.38% | 1.26% | 0.63% | 2.93% | 10.96% | 8.81% | 4.30% | — |
Monthly Returns
Based on dividend-adjusted daily data since May 29, 2020, Magnum Experiment 33's average daily return is 0.00%, while the average monthly return is +0.03%. At this rate, an investment would double in approximately 192.6 years.
Historically, 56% of months were positive and 44% were negative. The best month was Nov 2023 with a return of +3.2%, while the worst month was Sep 2022 at -3.2%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Magnum Experiment 33 closed higher 51% of trading days. The best single day was Nov 10, 2022 with a return of +1.6%, while the worst single day was Jun 13, 2022 at -1.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.07% | 1.48% | -1.50% | 0.20% | 0.23% | ||||||||
| 2025 | 0.29% | 1.80% | 0.37% | 0.97% | -0.67% | 1.17% | -0.32% | 1.31% | 0.51% | 0.54% | 0.68% | -0.17% | 6.65% |
| 2024 | 0.14% | -1.30% | 0.60% | -1.87% | 1.37% | 0.89% | 2.16% | 1.23% | 1.12% | -2.12% | 0.76% | -0.83% | 2.08% |
| 2023 | 2.37% | -2.20% | 2.70% | 0.59% | -0.95% | -0.83% | 0.00% | -0.22% | -1.66% | -0.86% | 3.18% | 2.71% | 4.74% |
| 2022 | -1.65% | -0.66% | -2.83% | -2.49% | 0.64% | -0.92% | 1.83% | -2.53% | -3.17% | -0.79% | 2.58% | -0.60% | -10.26% |
| 2021 | -0.43% | -1.23% | -0.97% | 0.59% | 0.25% | 0.31% | 0.98% | -0.20% | -0.82% | -0.45% | 0.31% | -0.26% | -1.93% |
Benchmark Metrics
Magnum Experiment 33 has an annualized alpha of -0.06%, beta of 0.03, and R² of 0.01 versus S&P 500 Index. Calculated based on daily prices since May 29, 2020.
- This portfolio participated in 25.79% of S&P 500 Index downside but only 10.13% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.03 may look defensive, but with R² of 0.01 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.01 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.
- Alpha
- -0.06%
- Beta
- 0.03
- R²
- 0.01
- Upside Capture
- 10.13%
- Downside Capture
- 25.79%
Expense Ratio
Magnum Experiment 33 has an expense ratio of 0.05%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Magnum Experiment 33 ranks 15 for risk / return — in the bottom 15% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.54 | 2.23 | -0.69 |
Sortino ratioReturn per unit of downside risk | 2.33 | 3.12 | -0.79 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.42 | -0.14 |
Calmar ratioReturn relative to maximum drawdown | 2.04 | 4.05 | -2.01 |
Martin ratioReturn relative to average drawdown | 6.65 | 17.91 | -11.26 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | 31 | 1.58 | 2.36 | 1.28 | 2.28 | 7.42 |
MUB iShares National AMT-Free Muni Bond ETF | 54 | 2.21 | 3.22 | 1.46 | 2.78 | 11.67 |
BSV Vanguard Short-Term Bond Index Fund ETF Shares | 60 | 2.34 | 3.72 | 1.46 | 3.24 | 12.30 |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 31 | 1.51 | 2.19 | 1.27 | 2.54 | 7.83 |
IUSB iShares Core Universal USD Bond ETF | 38 | 1.83 | 2.74 | 1.33 | 2.52 | 8.78 |
VGIT Vanguard Intermediate-Term Treasury ETF | 25 | 1.32 | 1.98 | 1.23 | 1.67 | 5.25 |
GOVT iShares U.S. Treasury Bond ETF | 22 | 1.17 | 1.74 | 1.20 | 1.58 | 4.33 |
SGOV iShares 0-3 Month Treasury Bond ETF | 100 | 20.58 | 285.86 | 202.33 | 412.76 | 4,634.34 |
USHY iShares Broad USD High Yield Corporate Bond ETF | 83 | 2.80 | 4.36 | 1.60 | 5.02 | 21.87 |
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Dividends
Dividend yield
Magnum Experiment 33 provided a 3.85% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.85% | 3.80% | 3.58% | 2.77% | 1.84% | 1.58% | 2.11% | 2.33% | 2.18% | 1.80% | 1.77% | 1.75% |
| Portfolio components: | ||||||||||||
AGG iShares Core U.S. Aggregate Bond ETF | 3.94% | 3.89% | 3.74% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.72% | 2.32% | 2.39% | 2.45% |
MUB iShares National AMT-Free Muni Bond ETF | 3.17% | 3.14% | 3.01% | 2.65% | 2.11% | 1.81% | 2.11% | 2.42% | 2.46% | 2.26% | 2.21% | 2.51% |
BSV Vanguard Short-Term Bond Index Fund ETF Shares | 3.93% | 3.83% | 3.38% | 2.46% | 1.50% | 1.45% | 1.79% | 2.29% | 1.99% | 1.65% | 1.48% | 1.40% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.54% | 4.48% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% |
IUSB iShares Core Universal USD Bond ETF | 4.23% | 4.17% | 4.04% | 3.46% | 2.53% | 1.74% | 2.68% | 3.04% | 2.98% | 2.56% | 2.60% | 1.95% |
VGIT Vanguard Intermediate-Term Treasury ETF | 3.82% | 3.79% | 3.67% | 2.73% | 1.74% | 1.69% | 2.23% | 2.24% | 2.05% | 1.67% | 1.69% | 1.69% |
GOVT iShares U.S. Treasury Bond ETF | 3.52% | 3.49% | 3.14% | 2.65% | 1.77% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.95% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
USHY iShares Broad USD High Yield Corporate Bond ETF | 6.90% | 6.79% | 6.89% | 6.63% | 6.08% | 5.07% | 5.30% | 5.92% | 6.30% | 0.73% | 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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Magnum Experiment 33. 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 Magnum Experiment 33 was 15.14%, occurring on Oct 20, 2022. Recovery took 825 trading sessions.
The current Magnum Experiment 33 drawdown is 1.30%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -15.14% | Aug 5, 2020 | 558 | Oct 20, 2022 | 825 | Feb 5, 2026 | 1383 |
| -2.17% | Mar 2, 2026 | 19 | Mar 26, 2026 | — | — | — |
| -0.67% | Jun 1, 2020 | 5 | Jun 5, 2020 | 6 | Jun 15, 2020 | 11 |
| -0.19% | Feb 11, 2026 | 1 | Feb 11, 2026 | 1 | Feb 12, 2026 | 2 |
| -0.15% | Feb 17, 2026 | 2 | Feb 18, 2026 | 3 | Feb 23, 2026 | 5 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 9 assets, with an effective number of assets of 3.23, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | SGOV | USHY | MUB | BSV | GOVT | VGIT | LQD | AGG | IUSB | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.02 | 0.72 | 0.17 | 0.12 | 0.03 | 0.04 | 0.31 | 0.16 | 0.21 | 0.08 |
| SGOV | -0.02 | 1.00 | -0.01 | 0.03 | 0.07 | 0.04 | 0.03 | 0.00 | 0.03 | 0.02 | 0.03 |
| USHY | 0.72 | -0.01 | 1.00 | 0.42 | 0.43 | 0.34 | 0.37 | 0.60 | 0.48 | 0.52 | 0.41 |
| MUB | 0.17 | 0.03 | 0.42 | 1.00 | 0.67 | 0.73 | 0.72 | 0.72 | 0.76 | 0.76 | 0.74 |
| BSV | 0.12 | 0.07 | 0.43 | 0.67 | 1.00 | 0.83 | 0.92 | 0.76 | 0.86 | 0.85 | 0.92 |
| GOVT | 0.03 | 0.04 | 0.34 | 0.73 | 0.83 | 1.00 | 0.95 | 0.85 | 0.95 | 0.92 | 0.97 |
| VGIT | 0.04 | 0.03 | 0.37 | 0.72 | 0.92 | 0.95 | 1.00 | 0.83 | 0.94 | 0.92 | 0.99 |
| LQD | 0.31 | 0.00 | 0.60 | 0.72 | 0.76 | 0.85 | 0.83 | 1.00 | 0.94 | 0.94 | 0.87 |
| AGG | 0.16 | 0.03 | 0.48 | 0.76 | 0.86 | 0.95 | 0.94 | 0.94 | 1.00 | 0.98 | 0.97 |
| IUSB | 0.21 | 0.02 | 0.52 | 0.76 | 0.85 | 0.92 | 0.92 | 0.94 | 0.98 | 1.00 | 0.95 |
| Portfolio | 0.08 | 0.03 | 0.41 | 0.74 | 0.92 | 0.97 | 0.99 | 0.87 | 0.97 | 0.95 | 1.00 |