Cockroach Portfolio
20% each: XLP, XLU, XLV, GOVT, GLD. Rebalance quarterly. Backtest max drawdown: -21.8%.
Strategy & methodology
20% each: XLP, XLU, XLV, GOVT, GLD; Rebalance quarterly.
- Strategy type:
- Fixed allocation
- Rebalance frequency:
- Quarterly
- Original publication:
- 2025-02-12; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (4)
- GOVT: IEF before Feb 24, 2012
- XLV: FSPHX before Dec 22, 1998
- XLU: FSUTX before Dec 22, 1998
- XLP: FDFAX before Dec 22, 1998
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
20% each: XLP, XLU, XLV, GOVT, GLD. Rebalance quarterly. Backtest max drawdown: -21.8%. This is a fixed-allocation portfolio. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The quarterly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 141a0a03, published 2026-10-01
Is Cockroach Portfolio still working in 2026?
Cockroach Portfolio returned 4.60% over the trailing 12 months and 46.04% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 9.06%. Its full-backtest maximum drawdown was -21.75%. The full sample contains 10253 daily NAV observations from 1986-06-30. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -9.06% below its high-water mark of 2026-02-27, 7 months ago, and its longest run below a previous high was 1.9 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 4.60% | Not annualized | -9.13% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 46.04% | Not annualized | -9.13% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 3182.15% | 9.06% | -21.75% | 10253 | 1986-06-30 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-02-27, 7 months before 2026-10-01, and it is -9.06% below that level now. The longest run below a previous high in the full backtest was 1.9 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 1986-06-30 to 2026-10-01 (40.3 years): 9.1% CAGR, 1.08 Sharpe, -21.8% max drawdown, 9.0% volatility.
- Type
- Fixed Allocation
- Author
- Tony Dong
- Rebalancing
- Quarterly
- Risk
- Conservative
- Period
- 1986-06-30 to 2026-10-01
- CAGR
- 9.1%
- Sharpe
- 1.08
- Max Drawdown
- -21.8%
- Volatility
- 9.0%
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.
Cockroach Portfolio: frequently asked questions
- What is Cockroach Portfolio?
- Defensive 5-ETF portfolio using defensive equity sectors (staples, utilities, healthcare) plus treasuries and gold.
- Who created the Cockroach Portfolio strategy?
- Cockroach Portfolio was developed by Tony Dong. It is based on Dong, Tony. Cockroach Portfolio.
- What is the historical return and maximum drawdown of Cockroach Portfolio?
- Backtested from 1986-06-30 to 2026-10-01, Cockroach Portfolio returned 9.1% CAGR with a -21.8% maximum drawdown and a Sharpe ratio of 1.08. Past performance does not guarantee future results.
- How often is Cockroach Portfolio rebalanced?
- Cockroach Portfolio is rebalanced quarterly. BestFolio publishes the updated allocation signal each period.
- Is Cockroach Portfolio a fixed or tactical strategy?
- Cockroach Portfolio is a fixed-allocation (strategic) portfolio: it holds a set allocation and rebalances on schedule rather than rotating based on market signals.
Backtest Performance (1986-06-30 to 2026-10-01)
| Metric | Cockroach Portfolio |
|---|---|
| CAGR | 9.1% |
| Max Drawdown | -21.8% |
| Sharpe | 1.08 |
| Sortino | 1.79 |
| Volatility | 9.0% |
| Calmar | 0.42 |
| Total Return | 3182.2% |
| Backtest Period | 40.3 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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
Further reading
Holding Cockroach Portfolio alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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