Cockroach Portfolio
Backtest results
Metrics
1Y · since Oct 2025Cockroach Portfolio | |
|---|---|
| Total Return | +9.87% |
| CAGR | +9.95% |
| Sharpe | 0.93 |
| Calmar | 2.16 |
| Max DD | -4.60% |
| Volatility | 10.87% |
| Win Rate | 52.6% |
Last year of a hypothetical backtest, Oct 30, 2025 to Oct 30, 2026. Create an account to see the full history.
About this strategy
Dynamic and diversified, the portfolio keeps a core of bonds (BND, BNDX, REM) while it switches to leveraged equity (UPRO) when the S&P 500 trend is positive and to risk-off assets (SHV, GLD, UUP) when short-term returns lag Treasury bonds. It also balances commodity and dollar exposure through equal-weight DBMF and UUP, and protects against volatility by moving into long-term Treasury (TMF) when bond volatility rises.
Current allocation
What the rules select as of Oct 30, 2026.
- UPRO25%
ProShares UltraPro S&P 500
- BND20%
Vanguard Total Bond Market ETF
- SHV18.8%
iShares Trust iShares 0-1 Year Treasury Bond ETF
- DBMF12.5%
iMGP DBi Managed Futures Strategy ETF
- UUP12.5%
Invesco DB US Dollar Index Bullish Fund
- DBO3.1%
Invesco DB Oil Fund
- SPY3.1%
State Street SPDR S&P 500 ETF Trust
- BNDX2.5%
Vanguard Charlotte Funds Vanguard Total International Bond ETF
- REM2.5%
iShares Mortgage Real Estate ETF
Frequently asked questions
What is Cockroach Portfolio?
Dynamic and diversified, the portfolio keeps a core of bonds (BND, BNDX, REM) while it switches to leveraged equity (UPRO) when the S&P 500 trend is positive and to risk-off assets (SHV, GLD, UUP) when short-term returns lag Treasury bonds. It also balances commodity and dollar exposure through equal-weight DBMF and UUP, and protects against volatility by moving into long-term Treasury (TMF) when bond volatility rises.
What is Cockroach Portfolio holding today?
As of Oct 30, 2026, Cockroach Portfolio allocates to UPRO 25%, BND 20%, SHV 18.8%, DBMF 12.5%, UUP 12.5%, DBO 3.1%, SPY 3.1%, BNDX 2.5%, REM 2.5%.
How has Cockroach Portfolio performed over the past year?
From Oct 30, 2025 to Oct 30, 2026, Cockroach Portfolio returned +9.9% in a hypothetical backtest. Past performance does not guarantee future results.
What is the maximum drawdown of Cockroach Portfolio?
From Oct 30, 2025 to Oct 30, 2026, the largest peak-to-trough decline of Cockroach Portfolio in a hypothetical backtest was -4.6%.
How do I use Cockroach Portfolio?
Open Cockroach Portfolio in Quantly to rerun the backtest, adjust the rules, and paper trade it. You can also connect a supported brokerage to trade your version live.
Backtest results are hypothetical and do not guarantee future returns. Strategies are shared by Quantly users for research only and are not investment advice.