Cockroach Portfolio
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GLD SPDR Gold Trust | Precious Metals, Gold | 20% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 20% |
XLP Consumer Staples Select Sector SPDR Fund | Consumer Staples Equities | 20% |
XLU Utilities Select Sector SPDR Fund | Utilities Equities | 20% |
XLV Health Care Select Sector SPDR Fund | Health & Biotech Equities | 20% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 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.
The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD
Returns By Period
As of May 8, 2025, the Cockroach Portfolio returned 8.40% Year-To-Date and 7.83% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -4.26% | 11.24% | -5.02% | 8.55% | 14.02% | 10.31% |
| Cockroach Portfolio | 8.40% | 5.80% | 6.14% | 14.57% | 8.24% | 7.83% |
| Portfolio components: | ||||||
XLP Consumer Staples Select Sector SPDR Fund | 4.20% | 5.07% | 3.74% | 8.92% | 9.89% | 8.03% |
XLU Utilities Select Sector SPDR Fund | 7.44% | 10.03% | 5.73% | 19.67% | 11.00% | 9.80% |
XLV Health Care Select Sector SPDR Fund | -1.23% | 0.66% | -7.80% | -3.52% | 8.09% | 8.08% |
IEF iShares 7-10 Year Treasury Bond ETF | 4.08% | -0.08% | 3.84% | 6.27% | -2.69% | 0.91% |
GLD SPDR Gold Trust | 28.34% | 13.53% | 26.48% | 45.07% | 14.20% | 10.58% |
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 | 3.51% | 2.56% | 1.49% | 0.59% | 0.02% | 8.40% | |||||||
| 2024 | -0.03% | 0.96% | 4.30% | -0.91% | 3.48% | -0.69% | 3.88% | 3.85% | 2.54% | -1.67% | 1.14% | -4.57% | 12.54% |
| 2023 | 0.90% | -4.31% | 4.66% | 2.08% | -3.84% | 1.03% | 1.47% | -2.58% | -4.24% | 0.41% | 4.33% | 2.76% | 2.12% |
| 2022 | -3.07% | 0.33% | 2.92% | -2.63% | -0.26% | -2.48% | 2.47% | -2.75% | -6.04% | 3.44% | 5.96% | -0.77% | -3.48% |
| 2021 | -1.75% | -3.61% | 3.94% | 2.91% | 1.90% | -1.41% | 3.19% | 1.37% | -4.13% | 2.86% | -1.16% | 6.38% | 10.37% |
| 2020 | 2.47% | -4.45% | -3.01% | 6.09% | 2.43% | -0.95% | 6.37% | 0.67% | -1.39% | -0.67% | 2.18% | 2.48% | 12.26% |
| 2019 | 3.40% | 1.18% | 1.64% | -0.02% | -0.39% | 4.82% | 0.13% | 3.71% | 0.27% | 1.34% | 0.18% | 2.39% | 20.13% |
| 2018 | 1.23% | -3.82% | 0.32% | -0.66% | -0.53% | 1.12% | 1.87% | 1.03% | 0.36% | -0.19% | 3.03% | -2.90% | 0.65% |
| 2017 | 2.17% | 4.06% | -0.28% | 1.25% | 1.65% | -0.63% | 1.32% | 1.93% | -1.50% | 0.11% | 2.25% | -0.47% | 12.37% |
| 2016 | 1.31% | 2.99% | 2.79% | 0.81% | -0.42% | 5.14% | 1.12% | -2.74% | -0.17% | -2.19% | -4.07% | 1.36% | 5.71% |
| 2015 | 3.13% | -1.37% | -0.68% | -0.62% | 1.21% | -2.27% | 1.94% | -2.89% | -0.43% | 3.24% | -2.07% | 1.25% | 0.21% |
| 2014 | 1.05% | 4.04% | 0.07% | 1.52% | 0.47% | 2.43% | -2.78% | 3.31% | -1.57% | 3.07% | 2.23% | 0.54% | 15.13% |
Expense Ratio
Cockroach Portfolio has an expense ratio of 0.19%, 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 92, Cockroach Portfolio is among the top 8% 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 | |
|---|---|---|---|---|---|
XLP Consumer Staples Select Sector SPDR Fund | 0.77 | 1.16 | 1.15 | 1.22 | 3.25 |
XLU Utilities Select Sector SPDR Fund | 1.26 | 1.74 | 1.23 | 2.06 | 5.26 |
XLV Health Care Select Sector SPDR Fund | -0.16 | -0.11 | 0.99 | -0.16 | -0.37 |
IEF iShares 7-10 Year Treasury Bond ETF | 1.01 | 1.51 | 1.17 | 0.33 | 2.12 |
GLD SPDR Gold Trust | 2.64 | 3.52 | 1.45 | 5.65 | 15.14 |
Dividends
Dividend yield
Cockroach Portfolio provided a 2.15% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.15% | 2.20% | 2.10% | 1.76% | 1.45% | 1.64% | 1.95% | 2.04% | 1.85% | 1.87% | 1.91% | 1.80% |
| Portfolio components: | ||||||||||||
XLP Consumer Staples Select Sector SPDR Fund | 2.50% | 2.77% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.53% | 2.40% |
XLU Utilities Select Sector SPDR Fund | 2.82% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.42% | 3.67% | 3.19% |
XLV Health Care Select Sector SPDR Fund | 1.73% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.57% | 1.47% | 1.60% | 1.43% | 1.35% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.69% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% |
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% |
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 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 21.85%, occurring on Mar 9, 2009. Recovery took 181 trading sessions.
The current Cockroach Portfolio drawdown is 0.05%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -21.85% | Jan 15, 2008 | 289 | Mar 9, 2009 | 181 | Nov 23, 2009 | 470 |
| -17.47% | Feb 24, 2020 | 21 | Mar 23, 2020 | 79 | Jul 15, 2020 | 100 |
| -14% | Apr 21, 2022 | 127 | Oct 20, 2022 | 345 | Mar 7, 2024 | 472 |
| -9.82% | Jul 11, 2016 | 102 | Dec 1, 2016 | 123 | May 31, 2017 | 225 |
| -7.78% | Jan 23, 2015 | 157 | Sep 4, 2015 | 117 | Feb 24, 2016 | 274 |
Volatility
Volatility Chart
The current Cockroach Portfolio volatility is 3.83%, 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
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. 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
| ^GSPC | GLD | IEF | XLU | XLV | XLP | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.06 | -0.27 | 0.51 | 0.75 | 0.68 | 0.64 |
| GLD | 0.06 | 1.00 | 0.22 | 0.11 | 0.02 | 0.03 | 0.46 |
| IEF | -0.27 | 0.22 | 1.00 | 0.00 | -0.19 | -0.13 | 0.11 |
| XLU | 0.51 | 0.11 | 0.00 | 1.00 | 0.47 | 0.60 | 0.76 |
| XLV | 0.75 | 0.02 | -0.19 | 0.47 | 1.00 | 0.65 | 0.70 |
| XLP | 0.68 | 0.03 | -0.13 | 0.60 | 0.65 | 1.00 | 0.74 |
| Portfolio | 0.64 | 0.46 | 0.11 | 0.76 | 0.70 | 0.74 | 1.00 |