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 2026-07-03 (40.0 years): 9.3% CAGR, 1.10 Sharpe, -20.9% max drawdown, 9.2% volatility.
- Type
- Fixed Allocation
- Author
- Tony Dong
- Rebalancing
- Quarterly
- Risk
- Conservative
- Period
- 1986-06-30 to 2026-07-03
- CAGR
- 9.3%
- Sharpe
- 1.10
- Max Drawdown
- -20.9%
- Volatility
- 9.2%
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 2026-07-03, Cockroach Portfolio returned 9.3% CAGR with a -20.9% maximum drawdown and a Sharpe ratio of 1.10. 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 2026-07-03)
| Metric | Cockroach Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.3% |
| Maximum Drawdown | -20.9% |
| Sharpe Ratio | 1.10 |
| Sortino Ratio | 1.57 |
| Annualized Volatility | 9.2% |
| Calmar Ratio | 0.44 |
| Total Return | 3351.8% |
| Backtest Period | 40.0 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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