Magnum Experiment 97B

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Magnum Experiment 97B

Currency in USD · Last updated Jun 2, 2025

Asset Allocation

Position	Category/Sector	Target Weight
ABBV AbbVie Inc.	Healthcare	4.92%
AVGO Broadcom Inc.	Technology	5.22%
GE General Electric Company	Industrials	10.14%
GOOGL Alphabet Inc Class A	Communication Services	6.47%
NFLX Netflix, Inc.	Communication Services	12.14%
NVDA NVIDIA Corporation	Technology	4.33%
PM Philip Morris International Inc.	Consumer Defensive	29.58%
UNH UnitedHealth Group Incorporated	Healthcare	3.11%
WMT Walmart Inc.	Consumer Defensive	23.54%
XOM Exxon Mobil Corporation	Energy	0.55%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Jan 2, 2013, corresponding to the inception date of ABBV

Returns By Period

As of Jun 2, 2025, the Magnum Experiment 97B returned 25.96% Year-To-Date and 23.41% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.92%	4.38%	-1.84%	12.48%	13.71%	10.99%
Magnum Experiment 97B	27.21%	6.39%	25.09%	61.87%	32.89%	23.69%
Portfolio components:
ABBV AbbVie Inc.	7.20%	-5.78%	4.80%	20.19%	20.35%	15.46%
AVGO Broadcom Inc.	7.60%	22.13%	50.22%	89.49%	55.62%	36.45%
GE General Electric Company	48.65%	19.15%	37.63%	50.86%	47.17%	8.14%
GOOGL Alphabet Inc Class A	-10.61%	3.05%	-1.21%	-1.54%	18.74%	19.98%
NFLX Netflix, Inc.	36.76%	5.40%	35.78%	89.98%	23.64%	29.70%
NVDA NVIDIA Corporation	2.31%	19.98%	-0.89%	25.34%	73.50%	74.04%
PM Philip Morris International Inc.	53.19%	6.96%	42.28%	88.36%	26.19%	14.31%
UNH UnitedHealth Group Incorporated	-39.50%	-23.80%	-49.52%	-37.50%	1.44%	11.79%
WMT Walmart Inc.	11.00%	1.28%	8.49%	53.28%	21.09%	17.39%
XOM Exxon Mobil Corporation	-2.45%	-2.08%	-10.96%	-9.05%	21.31%	6.60%

*Annualized

Monthly Returns

The table below presents the monthly returns of Magnum Experiment 97B, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	8.12%	5.02%	-3.59%	7.50%	7.04%	0.99%							27.21%
2024	4.06%	6.26%	4.81%	0.85%	8.34%	3.69%	4.57%	6.98%	2.34%	3.60%	5.37%	-1.81%	61.13%
2023	7.97%	-2.24%	6.59%	1.25%	2.50%	7.38%	3.52%	-0.37%	-3.94%	-0.27%	5.15%	3.94%	35.40%
2022	-3.52%	-1.47%	1.48%	-8.76%	-1.02%	-7.51%	8.43%	-2.42%	-6.89%	12.65%	8.69%	-2.79%	-5.51%
2021	-1.88%	3.37%	3.76%	4.41%	2.12%	2.70%	0.83%	4.67%	-4.42%	6.71%	-4.44%	5.13%	24.62%
2020	-0.05%	-2.53%	-6.14%	5.66%	2.46%	0.71%	5.29%	6.92%	-2.74%	-0.44%	12.31%	4.39%	27.43%
2019	12.71%	6.33%	1.76%	1.59%	-7.79%	6.48%	1.06%	-7.03%	3.76%	5.94%	5.34%	2.35%	35.45%
2018	9.34%	-4.95%	-3.26%	-3.99%	1.33%	2.47%	1.75%	0.35%	0.63%	-2.57%	-3.35%	-9.84%	-12.58%
2017	2.64%	6.16%	3.19%	1.32%	6.42%	-2.16%	4.15%	-0.46%	0.38%	2.28%	1.89%	1.09%	30.06%
2016	-1.80%	0.63%	7.87%	-2.63%	5.40%	0.99%	1.76%	0.93%	0.09%	1.80%	-0.81%	3.80%	19.03%
2015	2.14%	5.19%	-5.24%	7.15%	2.38%	-1.88%	6.10%	-4.71%	-1.33%	4.92%	3.19%	2.22%	20.98%
2014	-3.98%	4.56%	-1.76%	1.36%	5.04%	-0.58%	-3.06%	5.95%	-0.47%	1.27%	2.88%	-2.53%	8.38%

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Magnum Experiment 97B 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.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 99, Magnum Experiment 97B is among the top 1% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
ABBV AbbVie Inc.	0.72	1.24	1.19	1.22	2.77
AVGO Broadcom Inc.	1.43	2.03	1.27	1.97	5.43
GE General Electric Company	1.50	1.99	1.30	2.45	7.77
GOOGL Alphabet Inc Class A	-0.05	0.06	1.01	-0.12	-0.24
NFLX Netflix, Inc.	2.80	3.42	1.46	4.50	14.74
NVDA NVIDIA Corporation	0.43	0.86	1.11	0.53	1.30
PM Philip Morris International Inc.	3.57	4.82	1.73	8.35	25.16
UNH UnitedHealth Group Incorporated	-0.85	-0.90	0.84	-0.65	-1.96
WMT Walmart Inc.	2.23	3.05	1.42	2.52	8.16
XOM Exxon Mobil Corporation	-0.38	-0.20	0.98	-0.33	-0.68

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.

Magnum Experiment 97B Sharpe ratios as of Jun 2, 2025 (values are recalculated daily):

1-Year: 3.60
5-Year: 2.02
10-Year: 1.33
All Time: 1.42

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 0.59 to 1.13, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Magnum Experiment 97B compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Magnum Experiment 97B provided a 1.48% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.48%	1.90%	2.32%	2.27%	2.29%	2.55%	2.57%	3.45%	2.46%	2.65%	2.76%	2.61%
Portfolio components:
ABBV AbbVie Inc.	3.41%	3.49%	3.82%	3.49%	3.84%	4.41%	4.83%	3.89%	2.65%	3.64%	3.41%	2.54%
AVGO Broadcom Inc.	0.90%	0.94%	1.71%	3.02%	2.24%	3.05%	3.54%	3.11%	1.87%	1.43%	1.13%	1.22%
GE General Electric Company	0.48%	0.67%	0.25%	0.38%	0.34%	0.37%	0.36%	4.89%	4.81%	2.94%	2.95%	3.52%
GOOGL Alphabet Inc Class A	0.47%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
NFLX Netflix, 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%
NVDA NVIDIA Corporation	0.02%	0.02%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%	1.70%
PM Philip Morris International Inc.	2.93%	4.40%	5.46%	4.98%	5.16%	5.73%	5.43%	6.73%	3.99%	4.50%	4.60%	4.76%
UNH UnitedHealth Group Incorporated	2.76%	1.62%	1.38%	1.21%	1.12%	1.38%	1.41%	1.38%	1.30%	1.48%	1.59%	1.39%
WMT Walmart Inc.	0.89%	0.92%	1.45%	1.58%	1.52%	1.50%	1.78%	2.23%	2.07%	2.89%	3.20%	2.24%
XOM Exxon Mobil Corporation	3.80%	3.57%	3.68%	3.22%	5.70%	8.44%	4.92%	4.74%	3.66%	3.30%	3.69%	2.92%

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 97B. 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 97B was 26.90%, occurring on Dec 24, 2018. Recovery took 217 trading sessions.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-26.9%	Jan 30, 2018	228	Dec 24, 2018	217	Nov 4, 2019	445
-24.27%	Feb 20, 2020	22	Mar 20, 2020	80	Jul 15, 2020	102
-21.7%	Jan 18, 2022	123	Jul 14, 2022	133	Jan 24, 2023	256
-13.21%	Feb 18, 2025	36	Apr 8, 2025	14	Apr 29, 2025	50
-12.08%	Aug 6, 2015	14	Aug 25, 2015	63	Nov 23, 2015	77

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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 10 assets, with an effective number of assets of 5.55, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

	^GSPC	WMT	XOM	ABBV	PM	UNH	NFLX	GE	NVDA	AVGO	GOOGL	Portfolio
^GSPC	1.00	0.41	0.48	0.44	0.41	0.45	0.49	0.53	0.62	0.64	0.69	0.78
WMT	0.41	1.00	0.20	0.24	0.30	0.28	0.19	0.23	0.20	0.21	0.26	0.57
XOM	0.48	0.20	1.00	0.28	0.30	0.26	0.13	0.41	0.19	0.25	0.25	0.37
ABBV	0.44	0.24	0.28	1.00	0.30	0.35	0.19	0.23	0.19	0.24	0.27	0.43
PM	0.41	0.30	0.30	0.30	1.00	0.29	0.14	0.28	0.13	0.18	0.24	0.62
UNH	0.45	0.28	0.26	0.35	0.29	1.00	0.19	0.23	0.21	0.25	0.31	0.41
NFLX	0.49	0.19	0.13	0.19	0.14	0.19	1.00	0.21	0.44	0.39	0.46	0.62
GE	0.53	0.23	0.41	0.23	0.28	0.23	0.21	1.00	0.30	0.34	0.30	0.54
NVDA	0.62	0.20	0.19	0.19	0.13	0.21	0.44	0.30	1.00	0.60	0.51	0.55
AVGO	0.64	0.21	0.25	0.24	0.18	0.25	0.39	0.34	0.60	1.00	0.47	0.57
GOOGL	0.69	0.26	0.25	0.27	0.24	0.31	0.46	0.30	0.51	0.47	1.00	0.60
Portfolio	0.78	0.57	0.37	0.43	0.62	0.41	0.62	0.54	0.55	0.57	0.60	1.00

The correlation results are calculated based on daily price changes starting from Jan 3, 2013

Go to the full Correlations tool for more customization options

Performance Analysis

Risk Analysis

Optimization

Factor Model

Magnum Experiment 97B

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community