CR15
Asset Allocation
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.
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.
YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
---|---|---|---|---|---|---|
S&P 500 | 23.84% | -2.08% | 7.89% | 23.84% | 12.86% | 11.15% |
CR15 | 139.98% | -0.19% | 9.22% | 139.98% | 64.87% | 48.85% |
Portfolio components: | ||||||
NVIDIA Corporation | 177.71% | -0.54% | 10.63% | 177.71% | 88.26% | 76.20% |
Microsoft Corporation | 13.82% | 0.32% | -6.63% | 13.82% | 23.07% | 26.68% |
Eli Lilly and Company | 33.62% | -2.70% | -15.11% | 33.62% | 44.54% | 29.67% |
AbbVie Inc. | 17.86% | -3.68% | 5.21% | 17.86% | 19.84% | 15.04% |
Apple Inc | 31.63% | 6.27% | 16.62% | 31.63% | 28.87% | 26.41% |
Alphabet Inc. | 37.40% | 13.32% | 4.77% | 37.40% | 23.50% | 21.96% |
Amazon.com, Inc. | 45.65% | 6.45% | 12.22% | 45.65% | 19.14% | 30.60% |
Costco Wholesale Corporation | 40.53% | -5.11% | 9.35% | 40.53% | 27.91% | 23.23% |
JPMorgan Chase & Co. | 44.05% | -4.16% | 17.85% | 44.05% | 14.72% | 17.55% |
Taiwan Semiconductor Manufacturing Company Limited | 95.41% | 8.86% | 17.08% | 95.41% | 30.68% | 27.90% |
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 19.13% | 23.81% | 11.85% | -4.01% | 23.02% | 12.00% | -5.07% | 2.48% | 1.37% | 7.62% | 3.85% | 139.98% | |
2023 | 21.36% | 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% |
2021 | 1.27% | 3.15% | -1.56% | 9.69% | 4.24% | 15.90% | -0.19% | 10.94% | -7.04% | 17.86% | 18.44% | -5.84% | 84.38% |
2020 | 2.39% | 2.83% | -3.33% | 12.99% | 11.54% | 7.72% | 9.66% | 17.61% | -2.05% | -5.20% | 8.08% | 1.03% | 80.69% |
2019 | 5.72% | 4.02% | 9.72% | 3.23% | -14.14% | 10.57% | 2.49% | -0.59% | 3.13% | 9.01% | 5.98% | 6.41% | 52.75% |
2018 | 19.15% | -0.78% | -4.86% | -0.66% | 8.55% | -3.10% | 5.05% | 11.18% | 0.04% | -17.81% | -8.91% | -12.09% | -9.62% |
2017 | 3.21% | -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% |
2013 | 0.44% | 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.
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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
NVIDIA Corporation | 3.39 | 3.61 | 1.46 | 6.57 | 20.21 |
Microsoft Corporation | 0.70 | 1.02 | 1.14 | 0.91 | 2.06 |
Eli Lilly and Company | 1.13 | 1.72 | 1.22 | 1.41 | 3.94 |
AbbVie Inc. | 0.76 | 1.07 | 1.17 | 0.95 | 2.52 |
Apple Inc | 1.36 | 2.01 | 1.25 | 1.86 | 4.87 |
Alphabet Inc. | 1.32 | 1.86 | 1.25 | 1.67 | 4.04 |
Amazon.com, Inc. | 1.58 | 2.19 | 1.28 | 1.97 | 7.39 |
Costco Wholesale Corporation | 2.12 | 2.69 | 1.38 | 3.88 | 9.87 |
JPMorgan Chase & Co. | 1.87 | 2.59 | 1.38 | 4.33 | 12.46 |
Taiwan Semiconductor Manufacturing Company Limited | 2.33 | 3.05 | 1.37 | 3.54 | 12.85 |
Dividends
Dividend yield
CR15 provided a 0.86% dividend yield over the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 0.86% | 1.16% | 1.16% | 1.00% | 1.44% | 1.49% | 1.59% | 1.65% | 1.66% | 1.96% | 1.70% | 1.97% |
Portfolio components: | ||||||||||||
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% |
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% |
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% |
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% |
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% |
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% |
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% |
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% |
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% |
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.
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, 2021 | 221 | Oct 14, 2022 | 153 | May 25, 2023 | 374 |
-39.58% | Oct 2, 2018 | 58 | Dec 24, 2018 | 257 | Jan 2, 2020 | 315 |
-30.3% | Feb 20, 2020 | 18 | Mar 16, 2020 | 39 | May 11, 2020 | 57 |
-24.65% | Jul 11, 2024 | 20 | Aug 7, 2024 | 47 | Oct 14, 2024 | 67 |
-17.1% | Mar 26, 2024 | 18 | Apr 19, 2024 | 18 | May 15, 2024 | 36 |
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.
Diversification
Asset Correlations Table
ABBV | LLY | JPM | COST | TSM | AAPL | NVDA | AMZN | GOOGL | MSFT | |
---|---|---|---|---|---|---|---|---|---|---|
ABBV | 1.00 | 0.41 | 0.32 | 0.25 | 0.18 | 0.22 | 0.20 | 0.23 | 0.29 | 0.29 |
LLY | 0.41 | 1.00 | 0.24 | 0.30 | 0.19 | 0.24 | 0.22 | 0.26 | 0.29 | 0.32 |
JPM | 0.32 | 0.24 | 1.00 | 0.29 | 0.34 | 0.33 | 0.32 | 0.31 | 0.37 | 0.36 |
COST | 0.25 | 0.30 | 0.29 | 1.00 | 0.32 | 0.39 | 0.36 | 0.41 | 0.41 | 0.46 |
TSM | 0.18 | 0.19 | 0.34 | 0.32 | 1.00 | 0.46 | 0.56 | 0.42 | 0.45 | 0.47 |
AAPL | 0.22 | 0.24 | 0.33 | 0.39 | 0.46 | 1.00 | 0.48 | 0.50 | 0.54 | 0.57 |
NVDA | 0.20 | 0.22 | 0.32 | 0.36 | 0.56 | 0.48 | 1.00 | 0.52 | 0.51 | 0.55 |
AMZN | 0.23 | 0.26 | 0.31 | 0.41 | 0.42 | 0.50 | 0.52 | 1.00 | 0.65 | 0.60 |
GOOGL | 0.29 | 0.29 | 0.37 | 0.41 | 0.45 | 0.54 | 0.51 | 0.65 | 1.00 | 0.65 |
MSFT | 0.29 | 0.32 | 0.36 | 0.46 | 0.47 | 0.57 | 0.55 | 0.60 | 0.65 | 1.00 |