Cockroach Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
GLD SPDR Gold Shares	Gold, Precious Metals	14.29%
IEF iShares 7-10 Year Treasury Bond ETF	Government Bonds	14.29%
UUP Invesco DB US Dollar Index Bullish Fund	Currency	14.29%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	14.29%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	14.29%
XLU Utilities Select Sector SPDR Fund	Utilities Equities	14.29%
XLV State Street Health Care Select Sector SPDR ETF	Health & Biotech Equities	14.29%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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 year.

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The earliest data available for this chart is Mar 1, 2007, corresponding to the inception date of UUP

Returns By Period

As of Apr 2, 2026, the Cockroach Portfolio returned 2.37% Year-To-Date and 9.99% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio Cockroach Portfolio	-0.02%	-3.32%	2.37%	5.88%	16.22%	13.29%	10.26%	9.99%
Portfolio components:
XLP State Street Consumer Staples Select Sector SPDR ETF	0.53%	-6.14%	6.01%	6.51%	3.19%	5.77%	6.56%	7.15%
XLU Utilities Select Sector SPDR Fund	0.50%	-0.86%	9.31%	6.98%	20.02%	14.75%	11.01%	9.89%
XLV State Street Health Care Select Sector SPDR ETF	-0.62%	-5.95%	-4.77%	3.39%	3.55%	5.64%	6.45%	9.60%
IEF iShares 7-10 Year Treasury Bond ETF	0.23%	-1.48%	0.01%	0.50%	3.83%	2.14%	-0.73%	0.79%
GLD SPDR Gold Shares	-1.92%	-8.27%	8.35%	21.03%	49.02%	32.51%	21.53%	13.97%
XLK State Street Technology Select Sector SPDR ETF	0.80%	-0.98%	-5.43%	-4.69%	30.55%	22.58%	15.84%	21.15%
UUP Invesco DB US Dollar Index Bullish Fund	0.47%	1.46%	3.07%	4.62%	1.27%	4.90%	5.26%	3.13%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 2, 2007, Cockroach Portfolio's average daily return is +0.04%, while the average monthly return is +0.75%. At this rate, your investment would double in approximately 7.7 years.

Historically, 68% of months were positive and 32% were negative. The best month was Apr 2020 with a return of +6.0%, while the worst month was Oct 2008 at -8.0%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Cockroach Portfolio closed higher 56% of trading days. The best single day was Oct 28, 2008 with a return of +5.2%, while the worst single day was Mar 16, 2020 at -5.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.87%	4.44%	-5.17%	0.48%									2.37%
2025	2.45%	1.48%	-0.40%	0.20%	1.00%	1.46%	0.91%	1.42%	3.82%	2.53%	2.35%	-0.76%	17.67%
2024	0.76%	1.50%	3.30%	-1.19%	3.30%	0.87%	2.07%	2.65%	2.22%	-0.85%	1.85%	-2.96%	14.16%
2023	1.81%	-2.52%	4.65%	1.33%	-0.73%	1.60%	1.39%	-1.66%	-3.67%	0.48%	4.86%	2.46%	10.06%
2022	-3.04%	-0.42%	2.78%	-2.62%	-0.48%	-2.49%	3.45%	-2.22%	-5.15%	3.18%	4.12%	-1.79%	-5.06%
2021	-1.27%	-2.32%	3.39%	2.51%	0.89%	0.45%	2.86%	1.65%	-3.69%	3.36%	0.11%	5.13%	13.47%

Benchmark Metrics

Cockroach Portfolio has an annualized alpha of 5.39%, beta of 0.38, and R² of 0.72 versus S&P 500 Index. Calculated based on daily prices since March 02, 2007.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (48.58%) than losses (33.01%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 5.39% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.38 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: 5.39%

Beta: 0.38

R²: 0.72

Upside Capture: 48.58%

Downside Capture: 33.01%

Expense Ratio

Cockroach Portfolio has an expense ratio of 0.24%, 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.

UUP

Invesco DB US Dollar Index Bullish Fund

GLD

SPDR Gold Shares

IEF

iShares 7-10 Year Treasury Bond ETF

XLU

Utilities Select Sector SPDR Fund

XLP

State Street Consumer Staples Select Sector SPDR ETF

XLV

State Street Health Care Select Sector SPDR ETF

XLK

State Street Technology Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

Cockroach Portfolio ranks 76 for risk / return — better than 76% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

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	1.74	0.88	+0.86
Sortino ratio Return per unit of downside risk	2.43	1.37	+1.06
Omega ratio Gain probability vs. loss probability	1.35	1.21	+0.14
Calmar ratio Return relative to maximum drawdown	2.45	1.39	+1.06
Martin ratio Return relative to average drawdown	9.77	6.43	+3.34
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
XLP State Street Consumer Staples Select Sector SPDR ETF	16	0.23	0.43	1.05	0.30	0.71
XLU Utilities Select Sector SPDR Fund	62	1.27	1.73	1.24	2.24	5.38
XLV State Street Health Care Select Sector SPDR ETF	16	0.20	0.40	1.05	0.39	0.83
IEF iShares 7-10 Year Treasury Bond ETF	32	0.72	1.06	1.12	1.16	2.87
GLD SPDR Gold Shares	80	1.77	2.19	1.32	2.57	9.28
XLK State Street Technology Select Sector SPDR ETF	61	1.13	1.71	1.24	1.98	6.27
UUP Invesco DB US Dollar Index Bullish Fund	14	0.17	0.28	1.04	0.15	0.30

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.

Cockroach Portfolio Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.74
5-Year: 1.24
10-Year: 1.11
All Time: 1.02

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 0.98 to 1.66, 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 Cockroach Portfolio 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

Cockroach Portfolio provided a 2.09% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.09%	2.12%	2.31%	2.53%	1.53%	1.13%	1.30%	1.85%	1.84%	1.53%	1.59%	1.62%
Portfolio components:
XLP State Street Consumer Staples Select Sector SPDR ETF	2.66%	2.75%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%
XLU Utilities Select Sector SPDR Fund	2.57%	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	1.71%	1.60%	1.67%	1.59%	1.47%	1.33%	1.49%	2.17%	1.57%	1.47%	1.60%	1.43%
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%
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%
XLK State Street Technology Select Sector SPDR ETF	0.56%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%
UUP Invesco DB US Dollar Index Bullish Fund	3.33%	3.43%	4.48%	6.44%	0.89%	0.00%	0.00%	2.03%	1.08%	0.10%	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.

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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 19.92%, occurring on Mar 9, 2009. Recovery took 176 trading sessions.

The current Cockroach Portfolio drawdown is 4.69%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-19.92%	Dec 11, 2007	312	Mar 9, 2009	176	Nov 16, 2009	488
-16.27%	Feb 20, 2020	23	Mar 23, 2020	78	Jul 14, 2020	101
-10.78%	Apr 11, 2022	130	Oct 14, 2022	166	Jun 14, 2023	296
-7.08%	Dec 4, 2018	14	Dec 24, 2018	33	Feb 12, 2019	47
-6.84%	Jan 23, 2015	149	Aug 25, 2015	125	Feb 24, 2016	274

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 7 assets, with an effective number of assets of 7.00, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	Benchmark	IEF	GLD	UUP	XLU	XLP	XLK	XLV	Portfolio
Benchmark	1.00	-0.28	0.06	-0.20	0.49	0.64	0.88	0.74	0.80
IEF	-0.28	1.00	0.23	-0.13	-0.00	-0.13	-0.23	-0.19	-0.01
GLD	0.06	0.23	1.00	-0.44	0.12	0.04	0.04	0.04	0.33
UUP	-0.20	-0.13	-0.44	1.00	-0.16	-0.17	-0.16	-0.15	-0.21
XLU	0.49	-0.00	0.12	-0.16	1.00	0.61	0.37	0.47	0.72
XLP	0.64	-0.13	0.04	-0.17	0.61	1.00	0.50	0.64	0.75
XLK	0.88	-0.23	0.04	-0.16	0.37	0.50	1.00	0.59	0.72
XLV	0.74	-0.19	0.04	-0.15	0.47	0.64	0.59	1.00	0.76
Portfolio	0.80	-0.01	0.33	-0.21	0.72	0.75	0.72	0.76	1.00

The correlation results are calculated based on daily price changes starting from Mar 2, 2007

Cockroach Portfolio

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

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