Cockroach Portfolio at a glance
Cockroach Portfolio is a fixed-allocation portfolio by Tony Dong across Consumer Staples, Utilities, Healthcare, US Treasuries, rebalanced quarterly. Backtested 1993-03-31 to 2026-04-24 (33.1 years): 10.0% CAGR, 1.05 Sharpe, -20.9% max drawdown, 9.4% volatility.
- Type
- Fixed Allocation
- Author
- Tony Dong
- Rebalancing
- Quarterly
- Risk
- Conservative
- Period
- 1993-03-31 to 2026-04-24
- CAGR
- 10.0%
- Sharpe
- 1.05
- Max Drawdown
- -20.9%
- Volatility
- 9.4%
Cockroach Portfolio — Fixed Allocation Portfolio
Tony Dong's Cockroach Portfolio uses defensive sectors instead of broad-market equities: XLP (staples), XLU (utilities), XLV (healthcare) at 20% each, plus GOVT (treasuries) 20% and GLD 20%. Designed for maximum survivability.
Backtest Performance (1993-03-31 to 2026-04-24)
| Metric | Cockroach Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.0% |
| Maximum Drawdown | -20.9% |
| Sharpe Ratio | 1.05 |
| Sortino Ratio | 1.42 |
| Annualized Volatility | 9.4% |
| Calmar Ratio | 0.48 |
| Total Return | 2229.2% |
| Backtest Period | 33.1 years |
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- quarterly
- Risk Level
- conservative
- Variants
- 1
- Author
- Tony Dong
- Source
- Dong, Tony. Cockroach Portfolio
Asset Classes
- Consumer Staples
- Utilities
- Healthcare
- US Treasuries
- Gold
Categories
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