magic and intrinsic - 11 aug 2024

Asset Allocation

Position	Category/Sector	Target Weight
MLI Mueller Industries, Inc.	Industrials	12.50%
ANF Abercrombie & Fitch Co.	Consumer Cyclical	12.50%
AVGO Broadcom Inc.	Technology	12.50%
GDDY GoDaddy Inc.	Technology	12.50%
META Meta Platforms, Inc.	Communication Services	12.50%
VST Vistra Corp.	Utilities	12.50%
LLY Eli Lilly and Company	Healthcare	12.50%
ENSG The Ensign Group, Inc.	Healthcare	12.50%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in magic and intrinsic - 11 aug 2024, 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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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	-0.93%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio magic and intrinsic - 11 aug 2024	0.15%	-1.83%	-7.50%	-5.76%	12.64%	46.00%	33.98%	—
Portfolio components:
ANF Abercrombie & Fitch Co.	-0.06%	25.24%	-28.04%	-19.20%	21.31%	37.30%	16.01%	19.26%
AVGO Broadcom Inc.	-0.91%	-13.12%	10.62%	6.58%	54.87%	67.17%	55.09%	40.96%
ENSG The Ensign Group, Inc.	1.52%	-16.67%	-14.23%	-14.89%	-1.09%	17.27%	12.36%	23.42%
GDDY GoDaddy Inc.	1.42%	-10.27%	-38.56%	-38.91%	-56.62%	0.78%	-1.63%	8.82%
LLY Eli Lilly and Company	-2.41%	12.74%	5.78%	10.64%	39.26%	37.45%	39.59%	33.45%
META Meta Platforms, Inc.	-0.26%	-8.32%	-14.03%	-11.84%	-16.71%	28.18%	11.52%	17.39%
MLI Mueller Industries, Inc.	1.92%	-0.61%	20.99%	21.99%	87.91%	51.41%	44.58%	26.81%
VST Vistra Corp.	1.12%	4.31%	-8.13%	-12.74%	-14.37%	83.39%	54.40%	—

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 4, 2016, magic and intrinsic - 11 aug 2024's average daily return is +0.12%, while the average monthly return is +2.40%. At this rate, an investment would double in approximately 2.4 years.

Historically, 72% of months were positive and 28% were negative. The best month was Feb 2024 with a return of +17.2%, while the worst month was Mar 2020 at -13.2%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 3 months.

On a daily basis, magic and intrinsic - 11 aug 2024 closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +11.4%, while the worst single day was Mar 16, 2020 at -14.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-3.16%	-0.59%	-8.06%	7.80%	0.96%	-3.98%							-7.50%
2025	4.07%	-6.85%	-9.69%	2.63%	9.91%	9.02%	3.02%	0.37%	1.21%	0.19%	8.47%	0.52%	23.08%
2024	6.48%	17.24%	5.13%	-0.63%	14.23%	2.59%	0.12%	7.76%	3.45%	2.01%	5.74%	1.27%	86.30%
2023	8.52%	1.60%	6.77%	0.87%	8.54%	10.77%	2.57%	7.25%	-0.63%	1.74%	14.64%	9.90%	100.06%
2022	-7.06%	0.41%	1.52%	-2.31%	-4.48%	-9.13%	8.85%	-4.16%	-6.12%	5.06%	12.28%	-3.33%	-10.29%
2021	4.36%	4.35%	6.27%	2.90%	2.24%	6.34%	-1.30%	-0.24%	-6.46%	8.28%	0.09%	11.05%	43.50%

Benchmark Metrics

magic and intrinsic - 11 aug 2024 has an annualized alpha of 14.41%, beta of 1.11, and R2 of 0.72 versus S&P 500 Index. Calculated based on daily prices since October 04, 2016.

This portfolio captured 144.97% of S&P 500 Index gains but only 78.51% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 14.41% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.11 and R2 of 0.72, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha: 14.41%

Beta: 1.11

R²: 0.72

Upside Capture: 144.97%

Downside Capture: 78.51%

See how alpha, beta & R² have trended over time →

Expense Ratio

magic and intrinsic - 11 aug 2024 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.

Return for Risk

Risk / Return Rank

magic and intrinsic - 11 aug 2024 ranks 9 for risk / return — in the bottom 9% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for magic and intrinsic - 11 aug 2024 and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	0.61	1.86	-1.25
Sortino ratioReturn per unit of downside risk	1.01	2.53	-1.52
Omega ratioGain probability vs. loss probability	1.12	1.34	-0.22
Calmar ratioReturn relative to maximum drawdown	0.70	2.53	-1.83
Martin ratioReturn relative to average drawdown	2.11	11.37	-9.26

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
ANF Abercrombie & Fitch Co.	51	0.24	0.89	1.11	0.33	0.62
AVGO Broadcom Inc.	73	1.11	1.69	1.22	1.77	4.11
ENSG The Ensign Group, Inc.	38	-0.04	0.16	1.02	-0.03	-0.12
GDDY GoDaddy Inc.	2	-1.51	-2.49	0.69	-0.98	-1.54
LLY Eli Lilly and Company	72	1.07	1.62	1.22	1.72	4.28
META Meta Platforms, Inc.	20	-0.51	-0.54	0.93	-0.54	-1.12
MLI Mueller Industries, Inc.	91	2.75	3.27	1.47	3.72	10.31
VST Vistra Corp.	29	-0.30	-0.11	0.99	-0.38	-0.70

Sharpe Ratio

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.

The current magic and intrinsic - 11 aug 2024 Sharpe ratio is 0.61 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.54 to 2.41, 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 and intrinsic - 11 aug 2024 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

magic and intrinsic - 11 aug 2024 provided a 0.41% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.41%	0.39%	0.47%	0.76%	1.14%	0.90%	1.24%	1.75%	1.40%	2.41%	3.44%	1.03%
Portfolio components:
ANF Abercrombie & Fitch Co.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.98%	4.63%	3.99%	4.59%	6.67%	2.96%
AVGO Broadcom Inc.	0.65%	0.70%	0.94%	1.71%	3.02%	2.24%	3.05%	3.54%	3.11%	1.87%	1.43%	1.13%
ENSG The Ensign Group, Inc.	0.17%	0.14%	0.18%	0.21%	0.24%	0.25%	0.28%	0.40%	0.47%	0.78%	0.73%	0.67%
GDDY GoDaddy Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
LLY Eli Lilly and Company	0.57%	0.56%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.94%	2.46%	2.77%	2.37%
META Meta Platforms, Inc.	0.37%	0.32%	0.34%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MLI Mueller Industries, Inc.	0.87%	0.87%	1.01%	1.27%	1.69%	0.88%	1.14%	1.26%	1.71%	9.60%	0.94%	1.11%
VST Vistra Corp.	0.61%	0.56%	0.63%	2.13%	3.12%	2.64%	2.75%	2.17%	0.00%	0.00%	14.97%	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 magic and intrinsic - 11 aug 2024. 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 and intrinsic - 11 aug 2024 was 38.78%, occurring on Mar 18, 2020. Recovery took 110 trading sessions.

The current magic and intrinsic - 11 aug 2024 drawdown is 8.76%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-38.78%Mar 2020	29d	5mo 9d	6mo 8dFeb 2020 - Aug 2020
2025 selloff2025	-25.89%Apr 2025	2mo 11d	2mo 19d	5moJan 2025 - Jun 2025
Bear market2022	-22.18%Jun 2022	5mo 18d	7mo 21d	1y 1moDec 2021 - Feb 2023
Rate-hike selloffLate 2018	-16.56%Dec 2018	6mo 6d	1mo 8d	7mo 14dJun 2018 - Jan 2019
2019 correction2019	-16.55%Oct 2019	5mo 11d	4mo 9d	9mo 20dApr 2019 - Feb 2020

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 8 assets, with an effective number of assets of 8.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	2.27	1.80	1.74	1.66

The portfolio has a diversification ratio of 1.66, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

magic and intrinsic - 11 aug 2024 correlation to the S&P 500 Index

magic and intrinsic - 11 aug 2024 has a 0.72 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (All Time) Calculated using the full available price history since Oct 4, 2016	0.78

Benchmark Correlations

Correlation vs. S&P 500 Index. AVGO has the highest benchmark correlation at 0.66, while LLY has the lowest at 0.36.

0.36

0.38

0.40

0.42

0.53

0.58

Portfolio Correlations

Correlation vs. magic and intrinsic - 11 aug 2024. AVGO has the highest portfolio correlation at 0.62, while LLY has the lowest at 0.38.

0.38

0.53

0.53

0.56

Asset Correlations Table

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

	LLY	ANF	VST	ENSG	GDDY	MLI	META	AVGO
LLY	1.00	0.10	0.17	0.22	0.17	0.16	0.22	0.20
ANF	0.10	1.00	0.21	0.23	0.22	0.35	0.22	0.24
VST	0.17	0.21	1.00	0.22	0.23	0.29	0.24	0.28
ENSG	0.22	0.23	0.22	1.00	0.28	0.38	0.24	0.24
GDDY	0.17	0.22	0.23	0.28	1.00	0.27	0.43	0.37
MLI	0.16	0.35	0.29	0.38	0.27	1.00	0.28	0.35
META	0.22	0.22	0.24	0.24	0.43	0.28	1.00	0.48
AVGO	0.20	0.24	0.28	0.24	0.37	0.35	0.48	1.00

The correlation results are calculated based on daily price changes starting from Oct 4, 2016

Diversification Analysis

Find what magic and intrinsic - 11 aug 2024 is missing

See which holdings overlap, where magic and intrinsic - 11 aug 2024 is concentrated, and which low-correlation assets could fill the gaps.

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