Cockroach Portfolio
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BND Vanguard Total Bond Market ETF | Total Bond Market | 25% |
GLD SPDR Gold Trust | Precious Metals, Gold | 25% |
SHY iShares 1-3 Year Treasury Bond ETF | Government Bonds | 25% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 25% |
Performance
Performance Chart
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The earliest data available for this chart is Apr 10, 2007, corresponding to the inception date of BND
Returns By Period
As of May 15, 2025, the Cockroach Portfolio returned 6.24% Year-To-Date and 6.57% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.19% | 9.00% | -1.55% | 12.31% | 15.59% | 10.78% |
| Cockroach Portfolio | 6.24% | 1.69% | 6.71% | 13.35% | 7.52% | 6.57% |
| Portfolio components: | ||||||
GLD SPDR Gold Trust | 21.08% | -1.55% | 23.69% | 32.72% | 12.38% | 9.60% |
SPY SPDR S&P 500 ETF | 0.56% | 9.30% | -0.34% | 12.32% | 17.23% | 12.64% |
BND Vanguard Total Bond Market ETF | 1.46% | -0.46% | 1.33% | 3.70% | -1.08% | 1.42% |
SHY iShares 1-3 Year Treasury Bond ETF | 1.65% | -0.11% | 2.39% | 4.98% | 1.00% | 1.36% |
Monthly Returns
The table below presents the monthly returns of Cockroach Portfolio, 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 | 2.62% | 0.87% | 1.22% | 1.45% | -0.05% | 6.24% | |||||||
| 2024 | 0.08% | 1.00% | 3.27% | -0.96% | 2.24% | 1.19% | 2.53% | 1.70% | 2.37% | 0.07% | 1.01% | -1.32% | 13.87% |
| 2023 | 4.04% | -2.87% | 4.00% | 0.83% | -0.60% | 0.93% | 1.44% | -0.80% | -3.03% | 0.99% | 4.25% | 2.63% | 12.09% |
| 2022 | -2.42% | 0.44% | 0.18% | -3.81% | -0.42% | -2.94% | 2.35% | -2.68% | -4.45% | 1.24% | 4.61% | -0.97% | -8.88% |
| 2021 | -1.27% | -1.24% | 0.62% | 2.45% | 2.18% | -1.18% | 1.58% | 0.68% | -2.27% | 2.04% | -0.35% | 1.85% | 5.05% |
| 2020 | 1.75% | -1.48% | -2.97% | 5.72% | 2.06% | 1.31% | 4.57% | 1.46% | -2.12% | -0.91% | 1.66% | 2.63% | 14.15% |
| 2019 | 3.07% | 0.70% | 0.70% | 0.90% | -0.59% | 4.14% | 0.40% | 2.43% | -0.58% | 1.35% | 0.10% | 1.66% | 15.14% |
| 2018 | 1.83% | -1.74% | -0.30% | -0.38% | 0.58% | -0.73% | 0.34% | 0.56% | -0.16% | -1.37% | 0.78% | -0.13% | -0.77% |
| 2017 | 1.87% | 1.96% | -0.07% | 0.93% | 0.52% | -0.39% | 1.24% | 1.39% | -0.53% | 0.38% | 0.79% | 0.97% | 9.39% |
| 2016 | 0.59% | 3.09% | 1.53% | 1.49% | -1.21% | 2.96% | 1.55% | -0.92% | 0.22% | -1.42% | -1.89% | 0.19% | 6.21% |
| 2015 | 2.18% | -0.63% | -0.73% | 0.13% | 0.35% | -1.16% | -0.85% | -0.78% | -0.77% | 2.70% | -1.72% | -0.63% | -2.00% |
| 2014 | 0.41% | 2.84% | -0.69% | 0.53% | 0.14% | 2.05% | -1.34% | 1.41% | -2.03% | 0.07% | 0.82% | 0.19% | 4.39% |
Expense Ratio
Cockroach Portfolio has an expense ratio of 0.17%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 95, Cockroach Portfolio is among the top 5% 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 | |
|---|---|---|---|---|---|
GLD SPDR Gold Trust | 1.95 | 2.60 | 1.33 | 4.19 | 10.93 |
SPY SPDR S&P 500 ETF | 0.68 | 1.13 | 1.17 | 0.76 | 2.93 |
BND Vanguard Total Bond Market ETF | 0.83 | 1.31 | 1.15 | 0.38 | 2.29 |
SHY iShares 1-3 Year Treasury Bond ETF | 3.12 | 5.34 | 1.69 | 5.47 | 15.13 |
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Dividends
Dividend yield
Cockroach Portfolio provided a 2.24% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.24% | 2.20% | 1.87% | 1.39% | 0.85% | 1.17% | 1.65% | 1.64% | 1.33% | 1.31% | 1.29% | 1.25% |
| Portfolio components: | ||||||||||||
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.22% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
BND Vanguard Total Bond Market ETF | 3.78% | 3.67% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.96% | 3.92% | 2.99% | 1.30% | 0.24% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% | 0.36% |
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 Cockroach Portfolio. 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 Cockroach Portfolio was 17.22%, occurring on Nov 20, 2008. Recovery took 205 trading sessions.
The current Cockroach Portfolio drawdown is 0.99%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -17.22% | Feb 29, 2008 | 186 | Nov 20, 2008 | 205 | Sep 16, 2009 | 391 |
| -13.84% | Nov 19, 2021 | 231 | Oct 20, 2022 | 280 | Dec 1, 2023 | 511 |
| -10.79% | Feb 24, 2020 | 19 | Mar 19, 2020 | 41 | May 18, 2020 | 60 |
| -6.66% | Oct 5, 2012 | 181 | Jun 27, 2013 | 160 | Feb 14, 2014 | 341 |
| -5.88% | Jan 23, 2015 | 249 | Jan 19, 2016 | 40 | Mar 16, 2016 | 289 |
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 4.00, 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
| ^GSPC | GLD | BND | SHY | SPY | Portfolio | |
|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.05 | -0.16 | -0.22 | 0.99 | 0.62 |
| GLD | 0.05 | 1.00 | 0.25 | 0.26 | 0.05 | 0.72 |
| BND | -0.16 | 0.25 | 1.00 | 0.72 | -0.16 | 0.25 |
| SHY | -0.22 | 0.26 | 0.72 | 1.00 | -0.21 | 0.19 |
| SPY | 0.99 | 0.05 | -0.16 | -0.21 | 1.00 | 0.62 |
| Portfolio | 0.62 | 0.72 | 0.25 | 0.19 | 0.62 | 1.00 |