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CR15
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


NVDA 15%MSFT 13%LLY 11%ABBV 10%GOOGL 10%AAPL 9%AMZN 9%COST 8%JPM 8%TSM 7%EquityEquity
PositionCategory/SectorTarget Weight
AAPL
Apple Inc
Technology
9%
ABBV
AbbVie Inc.
Healthcare
10%
AMZN
Amazon.com, Inc.
Consumer Cyclical
9%
COST
Costco Wholesale Corporation
Consumer Defensive
8%
GOOGL
Alphabet Inc.
Communication Services
10%
JPM
JPMorgan Chase & Co.
Financial Services
8%
LLY
Eli Lilly and Company
Healthcare
11%
MSFT
Microsoft Corporation
Technology
13%
NVDA
NVIDIA Corporation
Technology
15%
TSM
Taiwan Semiconductor Manufacturing Company Limited
Technology
7%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in CR15, 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.


-20.00%-10.00%0.00%10.00%20.00%AugustSeptemberOctoberNovemberDecember
9.22%
7.89%
CR15
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Dec 31, 2024, the CR15 returned 139.98% Year-To-Date and 48.85% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
23.84%-2.08%7.89%23.84%12.86%11.15%
CR15139.98%-0.19%9.22%139.98%64.87%48.85%
NVDA
NVIDIA Corporation
177.71%-0.54%10.63%177.71%88.26%76.20%
MSFT
Microsoft Corporation
13.82%0.32%-6.63%13.82%23.07%26.68%
LLY
Eli Lilly and Company
33.62%-2.70%-15.11%33.62%44.54%29.67%
ABBV
AbbVie Inc.
17.86%-3.68%5.21%17.86%19.84%15.04%
AAPL
Apple Inc
31.63%6.27%16.62%31.63%28.87%26.41%
GOOGL
Alphabet Inc.
37.40%13.32%4.77%37.40%23.50%21.96%
AMZN
Amazon.com, Inc.
45.65%6.45%12.22%45.65%19.14%30.60%
COST
Costco Wholesale Corporation
40.53%-5.11%9.35%40.53%27.91%23.23%
JPM
JPMorgan Chase & Co.
44.05%-4.16%17.85%44.05%14.72%17.55%
TSM
Taiwan Semiconductor Manufacturing Company Limited
95.41%8.86%17.08%95.41%30.68%27.90%
*Annualized

Monthly Returns

The table below presents the monthly returns of CR15, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
202419.13%23.81%11.85%-4.01%23.02%12.00%-5.07%2.48%1.37%7.62%3.85%139.98%
202321.36%10.34%16.18%1.23%26.54%9.90%8.21%4.74%-9.91%-4.21%13.15%5.12%154.80%
2022-13.19%-0.80%9.58%-24.85%0.02%-13.13%15.27%-12.22%-14.28%7.46%16.29%-11.00%-40.56%
20211.27%3.15%-1.56%9.69%4.24%15.90%-0.19%10.94%-7.04%17.86%18.44%-5.84%84.38%
20202.39%2.83%-3.33%12.99%11.54%7.72%9.66%17.61%-2.05%-5.20%8.08%1.03%80.69%
20195.72%4.02%9.72%3.23%-14.14%10.57%2.49%-0.59%3.13%9.01%5.98%6.41%52.75%
201819.15%-0.78%-4.86%-0.66%8.55%-3.10%5.05%11.18%0.04%-17.81%-8.91%-12.09%-9.62%
20173.21%-0.55%4.19%-0.05%17.25%-0.19%6.75%3.37%4.13%11.46%0.22%-1.59%57.99%
2016-6.91%-1.90%8.06%-1.33%10.99%-0.45%11.52%2.28%5.16%-0.10%10.06%8.45%53.89%
2015-2.22%7.25%-2.56%5.92%1.76%-2.22%5.70%-2.96%0.26%11.84%4.30%1.05%30.54%
2014-2.49%6.11%-0.24%-0.39%3.26%1.95%-1.60%5.89%-0.10%3.43%5.24%-3.30%18.61%
20130.44%2.09%1.84%5.56%2.56%-2.50%3.66%-1.72%2.90%6.26%4.63%1.82%30.79%

Expense Ratio

CR15 has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 94, CR15 is among the top 6% 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.


The Risk-Adjusted Performance Rank of CR15 is 9494
Overall Rank
The Sharpe Ratio Rank of CR15 is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of CR15 is 9393
Sortino Ratio Rank
The Omega Ratio Rank of CR15 is 9292
Omega Ratio Rank
The Calmar Ratio Rank of CR15 is 9595
Calmar Ratio Rank
The Martin Ratio Rank of CR15 is 9494
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.


Sharpe ratio
The chart of Sharpe ratio for CR15, currently valued at 3.12, compared to the broader market-1.000.001.002.003.004.003.121.86
The chart of Sortino ratio for CR15, currently valued at 3.51, compared to the broader market-2.000.002.004.003.512.50
The chart of Omega ratio for CR15, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.441.34
The chart of Calmar ratio for CR15, currently valued at 5.67, compared to the broader market0.002.004.006.008.0010.005.672.77
The chart of Martin ratio for CR15, currently valued at 18.13, compared to the broader market0.0010.0020.0030.0018.1311.99
CR15
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVDA
NVIDIA Corporation
3.393.611.466.5720.21
MSFT
Microsoft Corporation
0.701.021.140.912.06
LLY
Eli Lilly and Company
1.131.721.221.413.94
ABBV
AbbVie Inc.
0.761.071.170.952.52
AAPL
Apple Inc
1.362.011.251.864.87
GOOGL
Alphabet Inc.
1.321.861.251.674.04
AMZN
Amazon.com, Inc.
1.582.191.281.977.39
COST
Costco Wholesale Corporation
2.122.691.383.889.87
JPM
JPMorgan Chase & Co.
1.872.591.384.3312.46
TSM
Taiwan Semiconductor Manufacturing Company Limited
2.333.051.373.5412.85

The current CR15 Sharpe ratio is 3.12. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 2.01, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of CR15 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.002.003.004.005.00AugustSeptemberOctoberNovemberDecember
3.12
1.86
CR15
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

CR15 provided a 0.86% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.86%1.16%1.16%1.00%1.44%1.49%1.59%1.65%1.66%1.96%1.70%1.97%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
MSFT
Microsoft Corporation
0.72%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
LLY
Eli Lilly and Company
0.67%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%
ABBV
AbbVie Inc.
3.52%3.82%3.49%3.84%4.41%4.83%3.89%2.65%3.64%3.41%2.54%3.03%
AAPL
Apple Inc
0.39%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
GOOGL
Alphabet Inc.
0.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AMZN
Amazon.com, 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%
COST
Costco Wholesale Corporation
0.49%2.87%0.76%0.54%3.38%0.86%1.08%4.81%1.09%4.06%0.97%1.01%
JPM
JPMorgan Chase & Co.
1.92%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%
TSM
Taiwan Semiconductor Manufacturing Company Limited
1.17%1.78%2.48%1.56%1.58%3.49%3.55%2.32%2.61%2.54%1.79%2.30%

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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember
-6.48%
-3.01%
CR15
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the CR15. 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 CR15 was 52.59%, occurring on Oct 14, 2022. Recovery took 153 trading sessions.

The current CR15 drawdown is 6.48%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.59%Nov 30, 2021221Oct 14, 2022153May 25, 2023374
-39.58%Oct 2, 201858Dec 24, 2018257Jan 2, 2020315
-30.3%Feb 20, 202018Mar 16, 202039May 11, 202057
-24.65%Jul 11, 202420Aug 7, 202447Oct 14, 202467
-17.1%Mar 26, 202418Apr 19, 202418May 15, 202436

Volatility

Volatility Chart

The current CR15 volatility is 8.51%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%AugustSeptemberOctoberNovemberDecember
8.51%
4.19%
CR15
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

ABBVLLYJPMCOSTTSMAAPLNVDAAMZNGOOGLMSFT
ABBV1.000.410.320.250.180.220.200.230.290.29
LLY0.411.000.240.300.190.240.220.260.290.32
JPM0.320.241.000.290.340.330.320.310.370.36
COST0.250.300.291.000.320.390.360.410.410.46
TSM0.180.190.340.321.000.460.560.420.450.47
AAPL0.220.240.330.390.461.000.480.500.540.57
NVDA0.200.220.320.360.560.481.000.520.510.55
AMZN0.230.260.310.410.420.500.521.000.650.60
GOOGL0.290.290.370.410.450.540.510.651.000.65
MSFT0.290.320.360.460.470.570.550.600.651.00
The correlation results are calculated based on daily price changes starting from Jan 3, 2013
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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