US Kakerlake

Asset Allocation

Position	Category/Sector	Target Weight
AMLP Alerian MLP ETF	MLPs	1.50%
AQMIX AQR Managed Futures Strategy Fund	Systematic Trend	20%
EWJ iShares MSCI Japan ETF	Japan Equities	1.75%
FEZ SPDR EURO STOXX 50 ETF	Europe Equities	3.50%
GLD SPDR Gold Shares	Gold, Precious Metals	15%
IEF iShares 7-10 Year Treasury Bond ETF	Government Bonds	11%
IEMG iShares Core MSCI Emerging Markets ETF	Emerging Markets Diversified	12.25%
RSP Invesco S&P 500 Equal Weight ETF	S&P 500	5.25%
SPY State Street SPDR S&P 500 ETF	S&P 500	8.75%
TIP iShares TIPS Bond ETF	Inflation-Protected Bonds	13%
VGK Vanguard FTSE Europe ETF	Europe Equities	3.50%
XLE State Street Energy Select Sector SPDR ETF	Energy Equities	4.50%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in US Kakerlake, 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 week.

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The earliest data available for this chart is Oct 24, 2012, corresponding to the inception date of IEMG

Returns By Period

As of Apr 4, 2026, the US Kakerlake returned 5.44% Year-To-Date and 8.48% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-4.18%	-3.84%	-1.98%	21.98%	16.86%	10.37%	12.29%
Portfolio US Kakerlake	-0.33%	-2.14%	5.44%	8.85%	23.61%	15.05%	10.53%	8.48%
Portfolio components:
FEZ SPDR EURO STOXX 50 ETF	-0.94%	-3.97%	-2.86%	-0.65%	19.98%	14.64%	9.84%	9.77%
VGK Vanguard FTSE Europe ETF	-0.48%	-3.44%	-0.00%	3.75%	23.35%	14.38%	8.89%	9.07%
RSP Invesco S&P 500 Equal Weight ETF	0.29%	-4.42%	1.23%	1.80%	17.90%	11.92%	7.94%	11.31%
IEMG iShares Core MSCI Emerging Markets ETF	-1.02%	-4.02%	3.48%	5.73%	34.75%	15.85%	4.31%	8.31%
GLD SPDR Gold Shares	-1.92%	-8.98%	8.35%	20.07%	49.92%	32.51%	21.53%	13.97%
XLE State Street Energy Select Sector SPDR ETF	0.47%	6.14%	33.39%	35.30%	41.00%	14.70%	23.16%	11.36%
AMLP Alerian MLP ETF	0.54%	-0.48%	13.62%	17.01%	12.21%	19.26%	20.26%	8.79%
IEF iShares 7-10 Year Treasury Bond ETF	0.23%	-1.27%	0.01%	0.69%	2.78%	2.14%	-0.73%	0.79%
SPY State Street SPDR S&P 500 ETF	0.09%	-4.02%	-3.56%	-1.44%	23.60%	18.37%	11.88%	14.11%
EWJ iShares MSCI Japan ETF	-1.38%	-3.73%	5.64%	8.19%	36.37%	16.48%	6.84%	8.89%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 25, 2012, US Kakerlake's average daily return is +0.03%, while the average monthly return is +0.58%. At this rate, your investment would double in approximately 10.0 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2020 with a return of +6.9%, while the worst month was Mar 2020 at -6.4%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.

On a daily basis, US Kakerlake closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +4.1%, while the worst single day was Mar 16, 2020 at -4.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	5.29%	4.11%	-3.95%	0.14%									5.44%
2025	2.66%	1.94%	1.38%	0.23%	1.56%	2.41%	0.26%	2.62%	4.27%	1.65%	1.09%	1.05%	23.21%
2024	-0.68%	3.00%	3.94%	-0.59%	1.52%	0.33%	0.98%	0.95%	2.55%	-1.59%	1.20%	-1.43%	10.46%
2023	4.12%	-2.29%	1.80%	1.19%	-0.85%	1.83%	1.73%	-1.12%	-1.78%	-0.23%	3.59%	2.17%	10.39%
2022	0.49%	0.60%	1.70%	-2.26%	0.76%	-3.66%	2.12%	-1.29%	-4.82%	2.77%	4.65%	-0.97%	-0.33%
2021	-0.14%	1.19%	0.77%	2.25%	2.64%	-0.98%	-0.49%	0.36%	-1.17%	2.99%	-2.37%	2.16%	7.28%

Benchmark Metrics

US Kakerlake has an annualized alpha of 2.31%, beta of 0.37, and R² of 0.63 versus S&P 500 Index. Calculated based on daily prices since October 25, 2012.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (40.16%) than losses (37.74%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 2.31% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.37 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 2.31%

Beta: 0.37

R²: 0.63

Upside Capture: 40.16%

Downside Capture: 37.74%

Expense Ratio

US Kakerlake has an expense ratio of 0.42%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Top 10 holdings

AQMIX

AQR Managed Futures Strategy Fund

AMLP

Alerian MLP ETF

EWJ

iShares MSCI Japan ETF

GLD

SPDR Gold Shares

FEZ

SPDR EURO STOXX 50 ETF

RSP

Invesco S&P 500 Equal Weight ETF

TIP

iShares TIPS Bond ETF

IEF

iShares 7-10 Year Treasury Bond ETF

SPY

State Street SPDR S&P 500 ETF

IEMG

iShares Core MSCI Emerging Markets ETF

Return for Risk

Risk / Return Rank

US Kakerlake ranks 90 for risk / return — in the top 90% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.23	0.88	+1.35
Sortino ratio Return per unit of downside risk	2.97	1.37	+1.61
Omega ratio Gain probability vs. loss probability	1.47	1.21	+0.26
Calmar ratio Return relative to maximum drawdown	3.23	1.39	+1.84
Martin ratio Return relative to average drawdown	14.16	6.43	+7.73
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
FEZ SPDR EURO STOXX 50 ETF	41	0.86	1.33	1.18	1.30	4.69
VGK Vanguard FTSE Europe ETF	62	1.23	1.76	1.25	1.82	6.86
RSP Invesco S&P 500 Equal Weight ETF	35	0.72	1.13	1.16	1.05	4.68
IEMG iShares Core MSCI Emerging Markets ETF	77	1.62	2.21	1.32	2.43	9.12
GLD SPDR Gold Shares	78	1.77	2.19	1.32	2.57	9.28
XLE State Street Energy Select Sector SPDR ETF	53	1.19	1.58	1.23	1.60	4.21
AMLP Alerian MLP ETF	23	0.50	0.75	1.11	0.61	1.55
IEF iShares 7-10 Year Treasury Bond ETF	31	0.72	1.06	1.12	1.16	2.87
SPY State Street SPDR S&P 500 ETF	52	0.92	1.45	1.22	1.51	7.11
EWJ iShares MSCI Japan ETF	71	1.40	2.01	1.28	2.27	8.26

Sharpe Ratio

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.

US Kakerlake Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 2.23
5-Year: 1.32
10-Year: 1.02
All Time: 0.88

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 0.99 to 1.69, 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 US Kakerlake compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

US Kakerlake provided a 2.21% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.21%	2.38%	2.61%	3.43%	4.77%	3.13%	2.38%	2.39%	1.81%	1.45%	1.41%	2.68%
Portfolio components:
FEZ SPDR EURO STOXX 50 ETF	2.78%	2.78%	2.94%	2.75%	3.06%	2.61%	2.13%	2.61%	3.45%	2.44%	3.35%	3.03%
VGK Vanguard FTSE Europe ETF	2.97%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%
RSP Invesco S&P 500 Equal Weight ETF	1.61%	1.64%	1.52%	1.64%	1.82%	1.28%	1.64%	1.69%	2.02%	1.52%	1.20%	1.70%
IEMG iShares Core MSCI Emerging Markets ETF	2.66%	2.75%	3.20%	2.89%	2.71%	3.06%	1.87%	3.15%	2.76%	2.35%	2.28%	2.53%
GLD SPDR Gold Shares	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
XLE State Street Energy Select Sector SPDR ETF	2.52%	3.28%	3.36%	3.55%	3.68%	4.21%	5.62%	6.72%	3.54%	3.03%	2.26%	3.39%
AMLP Alerian MLP ETF	7.58%	8.36%	7.70%	7.86%	7.70%	8.55%	12.31%	9.12%	9.29%	7.97%	8.09%	9.84%
IEF iShares 7-10 Year Treasury Bond ETF	3.84%	3.77%	3.62%	2.91%	1.96%	0.83%	1.08%	2.08%	2.24%	1.82%	1.81%	1.90%
SPY State Street SPDR S&P 500 ETF	1.13%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%
EWJ iShares MSCI Japan ETF	4.28%	4.52%	2.34%	2.03%	1.23%	2.08%	1.04%	2.03%	1.71%	1.25%	1.95%	1.27%

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 US Kakerlake. 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 US Kakerlake was 17.34%, occurring on Mar 18, 2020. Recovery took 75 trading sessions.

The current US Kakerlake drawdown is 3.81%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-17.34%	Jan 21, 2020	41	Mar 18, 2020	75	Jul 6, 2020	116
-12.64%	Jan 29, 2018	229	Dec 24, 2018	245	Dec 13, 2019	474
-12.04%	Apr 28, 2015	185	Jan 20, 2016	133	Jul 29, 2016	318
-9.78%	Mar 31, 2022	124	Sep 27, 2022	81	Jan 24, 2023	205
-7.84%	May 9, 2013	32	Jun 24, 2013	174	Mar 4, 2014	206

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 12 assets, with an effective number of assets of 8.20, 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.

	Benchmark	AQMIX	TIP	GLD	IEF	AMLP	XLE	EWJ	IEMG	FEZ	VGK	SPY	RSP	Portfolio
Benchmark	1.00	0.05	-0.02	0.01	-0.16	0.46	0.52	0.66	0.69	0.75	0.76	1.00	0.91	0.74
AQMIX	0.05	1.00	-0.12	-0.02	-0.16	-0.01	0.02	0.02	0.02	0.02	0.00	0.04	0.00	0.22
TIP	-0.02	-0.12	1.00	0.37	0.80	0.03	-0.04	0.03	0.03	0.02	0.04	-0.02	-0.01	0.24
GLD	0.01	-0.02	0.37	1.00	0.35	0.08	0.07	0.08	0.18	0.11	0.15	0.01	0.02	0.44
IEF	-0.16	-0.16	0.80	0.35	1.00	-0.13	-0.24	-0.08	-0.10	-0.11	-0.09	-0.16	-0.16	0.07
AMLP	0.46	-0.01	0.03	0.08	-0.13	1.00	0.68	0.36	0.39	0.40	0.43	0.46	0.54	0.52
XLE	0.52	0.02	-0.04	0.07	-0.24	0.68	1.00	0.40	0.46	0.46	0.48	0.52	0.63	0.59
EWJ	0.66	0.02	0.03	0.08	-0.08	0.36	0.40	1.00	0.63	0.66	0.68	0.67	0.65	0.65
IEMG	0.69	0.02	0.03	0.18	-0.10	0.39	0.46	0.63	1.00	0.71	0.74	0.69	0.66	0.80
FEZ	0.75	0.02	0.02	0.11	-0.11	0.40	0.46	0.66	0.71	1.00	0.96	0.75	0.74	0.75
VGK	0.76	0.00	0.04	0.15	-0.09	0.43	0.48	0.68	0.74	0.96	1.00	0.76	0.76	0.78
SPY	1.00	0.04	-0.02	0.01	-0.16	0.46	0.52	0.67	0.69	0.75	0.76	1.00	0.92	0.74
RSP	0.91	0.00	-0.01	0.02	-0.16	0.54	0.63	0.65	0.66	0.74	0.76	0.92	1.00	0.74
Portfolio	0.74	0.22	0.24	0.44	0.07	0.52	0.59	0.65	0.80	0.75	0.78	0.74	0.74	1.00

The correlation results are calculated based on daily price changes starting from Oct 25, 2012

US Kakerlake

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Top 10 holdings

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table