Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AAPL Apple Inc | Technology | 59.70% |
JPM JPMorgan Chase & Co. | Financial Services | 11.67% |
PG The Procter & Gamble Company | Consumer Defensive | 5.91% |
SO The Southern Company | Utilities | 22.72% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Magnum Experiment 97E, 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 Dec 30, 1983, corresponding to the inception date of JPM
Returns By Period
As of Apr 11, 2026, the Magnum Experiment 97E returned 0.38% Year-To-Date and 22.89% of annualized return in the last 10 years.
| 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 97E | -0.18% | 1.96% | 0.38% | 4.85% | 26.09% | 19.66% | 15.67% | 22.89% |
| Portfolio components: | ||||||||
AAPL Apple Inc | -0.00% | 1.85% | -4.10% | 6.40% | 32.03% | 18.01% | 14.99% | 26.40% |
JPM JPMorgan Chase & Co. | -0.15% | 10.10% | -2.90% | 3.98% | 33.74% | 37.18% | 17.61% | 21.17% |
PG The Procter & Gamble Company | -1.02% | -3.55% | 2.01% | -1.66% | -10.64% | 1.32% | 3.84% | 8.70% |
SO The Southern Company | -0.45% | -0.71% | 12.29% | 0.44% | 11.66% | 14.59% | 13.29% | 11.24% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 3, 1984, Magnum Experiment 97E's average daily return is +0.09%, while the average monthly return is +1.95%. At this rate, an investment would double in approximately 3.0 years.
Historically, 59% of months were positive and 41% were negative. The best month was Jan 2001 with a return of +26.6%, while the worst month was Sep 2000 at -35.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Magnum Experiment 97E closed higher 53% of trading days. The best single day was Aug 6, 1997 with a return of +22.1%, while the worst single day was Sep 29, 2000 at -30.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -2.32% | 3.92% | -3.49% | 2.46% | 0.38% | ||||||||
| 2025 | -1.58% | 3.48% | -5.02% | -2.81% | -2.24% | 2.65% | 1.38% | 7.25% | 7.04% | 3.32% | 1.46% | -2.33% | 12.44% |
| 2024 | -1.87% | -0.69% | -0.35% | -0.20% | 10.75% | 5.07% | 5.56% | 3.96% | 1.37% | -1.18% | 4.79% | 0.73% | 30.86% |
| 2023 | 5.73% | 0.38% | 8.84% | 4.17% | 1.00% | 7.10% | 2.74% | -4.71% | -6.68% | 0.56% | 9.79% | 1.31% | 33.01% |
| 2022 | -1.37% | -5.26% | 5.59% | -6.52% | -1.48% | -8.10% | 13.21% | -1.88% | -11.39% | 8.64% | 0.81% | -6.26% | -15.62% |
| 2021 | -1.47% | -3.82% | 3.76% | 6.18% | -2.83% | 4.05% | 5.28% | 4.06% | -5.26% | 4.32% | 5.48% | 7.95% | 30.15% |
Benchmark Metrics
Magnum Experiment 97E has an annualized alpha of 14.28%, beta of 1.00, and R² of 0.40 versus S&P 500 Index. Calculated based on daily prices since January 03, 1984.
- This portfolio captured 141.70% of S&P 500 Index gains but only 85.30% of its losses — a favorable profile for investors.
- R² of 0.40 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 14.28%
- Beta
- 1.00
- R²
- 0.40
- Upside Capture
- 141.70%
- Downside Capture
- 85.30%
Expense Ratio
Magnum Experiment 97E 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.
Return for Risk
Risk / Return Rank
Magnum Experiment 97E ranks 34 for risk / return — below 34% 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 2.23 | -0.27 |
Sortino ratioReturn per unit of downside risk | 2.94 | 3.12 | -0.17 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.42 | -0.06 |
Calmar ratioReturn relative to maximum drawdown | 4.56 | 4.05 | +0.51 |
Martin ratioReturn relative to average drawdown | 13.13 | 17.91 | -4.78 |
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 | |
|---|---|---|---|---|---|---|
AAPL Apple Inc | 75 | 1.57 | 2.32 | 1.30 | 3.75 | 9.07 |
JPM JPMorgan Chase & Co. | 75 | 1.83 | 2.40 | 1.32 | 2.95 | 8.07 |
PG The Procter & Gamble Company | 17 | -0.49 | -0.58 | 0.93 | -0.33 | -0.62 |
SO The Southern Company | 51 | 0.81 | 1.24 | 1.15 | 1.04 | 2.56 |
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Dividends
Dividend yield
Magnum Experiment 97E provided a 1.32% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.32% | 1.37% | 1.39% | 1.62% | 1.77% | 1.55% | 1.77% | 1.91% | 2.78% | 2.35% | 2.61% | 2.69% |
| Portfolio components: | ||||||||||||
AAPL Apple Inc | 0.40% | 0.38% | 0.40% | 0.49% | 0.70% | 0.49% | 0.61% | 1.04% | 1.79% | 1.45% | 1.93% | 1.93% |
JPM JPMorgan Chase & Co. | 1.90% | 1.72% | 1.92% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% |
PG The Procter & Gamble Company | 2.91% | 2.91% | 2.36% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.31% |
SO The Southern Company | 3.05% | 3.37% | 3.47% | 3.96% | 3.78% | 3.82% | 4.13% | 3.86% | 5.42% | 4.78% | 4.52% | 4.60% |
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 97E. 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 97E was 52.37%, occurring on Dec 7, 2000. Recovery took 712 trading sessions.
The current Magnum Experiment 97E drawdown is 2.82%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -52.37% | Sep 8, 2000 | 64 | Dec 7, 2000 | 712 | Oct 13, 2003 | 776 |
| -47.84% | Dec 27, 2007 | 301 | Mar 9, 2009 | 133 | Sep 16, 2009 | 434 |
| -43.54% | Jun 23, 1995 | 512 | Jul 1, 1997 | 174 | Mar 11, 1998 | 686 |
| -40.14% | Jan 15, 1993 | 186 | Oct 8, 1993 | 427 | Jun 19, 1995 | 613 |
| -38.36% | Oct 6, 1987 | 15 | Oct 26, 1987 | 404 | Jun 1, 1989 | 419 |
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 4 assets, with an effective number of assets of 2.35, 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 | SO | PG | JPM | AAPL | Portfolio | |
|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.37 | 0.47 | 0.63 | 0.51 | 0.62 |
| SO | 0.37 | 1.00 | 0.35 | 0.24 | 0.14 | 0.33 |
| PG | 0.47 | 0.35 | 1.00 | 0.28 | 0.21 | 0.32 |
| JPM | 0.63 | 0.24 | 0.28 | 1.00 | 0.29 | 0.44 |
| AAPL | 0.51 | 0.14 | 0.21 | 0.29 | 1.00 | 0.96 |
| Portfolio | 0.62 | 0.33 | 0.32 | 0.44 | 0.96 | 1.00 |