Asset Allocation
Find the right asset allocation for S Thig Test 2 Cockroach Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in S Thig Test 2 Cockroach Portfolio, 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.
Loading charts...
Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio S Thig Test 2 Cockroach Portfolio | -0.48% | -1.41% | 1.99% | 3.51% | 13.19% | 12.07% | 7.90% | — |
| Portfolio components: | ||||||||
GLDM SPDR Gold MiniShares Trust | 0.25% | -8.41% | 0.30% | 3.19% | 30.55% | 30.08% | 17.89% | — |
GOVT iShares U.S. Treasury Bond ETF | -0.11% | -0.70% | -0.44% | -0.15% | 3.62% | 2.77% | -0.59% | 0.79% |
XLP State Street Consumer Staples Select Sector SPDR ETF | -0.44% | -1.32% | 7.54% | 8.22% | 4.50% | 7.23% | 6.10% | 7.21% |
XLU State Street Utilities Select Sector SPDR ETF | -1.87% | -2.68% | 2.66% | 3.35% | 10.26% | 12.85% | 9.10% | 8.99% |
XLV State Street Health Care Select Sector SPDR ETF | -0.24% | 6.38% | -0.98% | 1.65% | 15.62% | 7.16% | 6.05% | 9.65% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 26, 2018, S Thig Test 2 Cockroach Portfolio's average daily return is +0.04%, while the average monthly return is +0.80%. At this rate, an investment would double in approximately 7.2 years.
Historically, 62% of months were positive and 38% were negative. The best month was Dec 2021 with a return of +6.6%, while the worst month was Mar 2026 at -6.6%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.
On a daily basis, S Thig Test 2 Cockroach Portfolio closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +5.0%, while the worst single day was Mar 12, 2020 at -6.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.25% | 6.46% | -6.62% | 0.58% | -1.20% | -0.97% | 1.99% | ||||||
| 2025 | 3.00% | 2.46% | 1.47% | 0.53% | -0.29% | 0.48% | -0.16% | 2.16% | 3.32% | 1.48% | 4.26% | -1.16% | 18.87% |
| 2024 | -0.07% | 1.12% | 4.30% | -0.76% | 3.40% | -0.73% | 3.75% | 3.84% | 2.51% | -1.47% | 1.11% | -3.97% | 13.43% |
| 2023 | 0.72% | -4.10% | 4.49% | 2.03% | -3.78% | 1.12% | 1.55% | -2.53% | -4.06% | 0.56% | 4.13% | 2.67% | 2.28% |
| 2022 | -3.16% | 0.25% | 3.10% | -2.38% | -0.36% | -2.47% | 2.22% | -2.49% | -5.79% | 3.47% | 5.77% | -0.61% | -3.02% |
| 2021 | -1.62% | -3.51% | 4.13% | 2.85% | 1.83% | -1.40% | 3.01% | 1.47% | -4.05% | 2.95% | -1.25% | 6.56% | 10.90% |
Benchmark Metrics
S Thig Test 2 Cockroach Portfolio has an annualized alpha of 4.52%, beta of 0.37, and R2 of 0.47 versus S&P 500 Index. Calculated based on daily prices since June 26, 2018.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (43.49%) than losses (38.49%) - typical of diversified or defensive assets.
- Beta of 0.37 may look defensive, but with R2 of 0.47 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.47 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
- 4.52%
- Beta
- 0.37
- R²
- 0.47
- Upside Capture
- 43.49%
- Downside Capture
- 38.49%
Expense Ratio
S Thig Test 2 Cockroach Portfolio has an expense ratio of 0.08%, 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.
Return for Risk
Risk / Return Rank
S Thig Test 2 Cockroach Portfolio ranks 17 for risk / return — in the bottom 17% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for S Thig Test 2 Cockroach Portfolio and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.41 | 1.94 | -0.53 |
| Sortino ratioReturn per unit of downside risk | 1.95 | 2.63 | -0.68 |
| Omega ratioGain probability vs. loss probability | 1.25 | 1.35 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 1.51 | 2.59 | -1.07 |
| Martin ratioReturn relative to average drawdown | 3.77 | 11.84 | -8.07 |
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.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
GLDM SPDR Gold MiniShares Trust | 34 | 1.15 | 1.54 | 1.23 | 1.53 | 3.85 |
GOVT iShares U.S. Treasury Bond ETF | 29 | 1.02 | 1.54 | 1.17 | 1.27 | 3.66 |
XLP State Street Consumer Staples Select Sector SPDR ETF | 15 | 0.36 | 0.60 | 1.07 | 0.47 | 0.91 |
XLU State Street Utilities Select Sector SPDR ETF | 22 | 0.71 | 1.04 | 1.13 | 1.12 | 2.47 |
XLV State Street Health Care Select Sector SPDR ETF | 32 | 1.05 | 1.68 | 1.19 | 1.50 | 3.60 |
Loading charts...
Dividends
Dividend yield
S Thig Test 2 Cockroach Portfolio provided a 2.12% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.12% | 2.11% | 2.11% | 2.05% | 1.72% | 1.47% | 1.86% | 1.93% | 1.98% | 1.80% | 1.79% | 1.78% |
| Portfolio components: | ||||||||||||
GLDM SPDR Gold MiniShares 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% |
GOVT iShares U.S. Treasury Bond ETF | 3.60% | 3.49% | 3.14% | 2.65% | 1.77% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 2.62% | 2.75% | 2.77% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% |
XLU State Street Utilities Select Sector SPDR ETF | 2.73% | 2.71% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% |
XLV State Street Health Care Select Sector SPDR ETF | 1.64% | 1.60% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.57% | 1.47% | 1.60% | 1.43% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the S Thig Test 2 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 S Thig Test 2 Cockroach Portfolio was 17.63%, occurring on Mar 23, 2020. Recovery took 81 trading sessions.
The current S Thig Test 2 Cockroach Portfolio drawdown is 8.10%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -17.63%Mar 2020 | 28d | 3mo 26d | 4mo 24dFeb 2020 - Jul 2020 |
Bear market2022 | -13.69%Oct 2022 | 6mo 2d | 1y 4mo | 1y 10moApr 2022 - Mar 2024 |
2026 pullback2026 | -8.75%Mar 2026 | 21d | — | 3mo 9dMar 2026 - now |
2021 pullback2021 | -6.45%Mar 2021 | 3mo 17d | 1mo 12d | 4mo 29dNov 2020 - Apr 2021 |
Rate-hike selloffLate 2018 | -6.04%Dec 2018 | 20d | 1mo 16d | 2mo 6dDec 2018 - Feb 2019 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.58 | 1.52 | 1.47 | 1.43 |
The portfolio has a diversification ratio of 1.43, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
S Thig Test 2 Cockroach Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.39 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Jun 26, 2018 | 0.54 |
Benchmark Correlations
Correlation vs. S&P 500 Index. XLV has the highest benchmark correlation at 0.66, while GOVT has the lowest at -0.07.
Asset Correlations Table
Find what S Thig Test 2 Cockroach Portfolio is missing
See which holdings overlap, where S Thig Test 2 Cockroach Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification