A couple of years ago I proclaimed that I Cracked The Cockroach! Maybe! Finominal took a run at dissecting the Cockroach Portfolio this week. It came via email, I don't have a link. As a quick reminder, the Cockroach comes from Jason Buck and Mutiny Funds and is allocated as follows.
Here's how Finominal replicated it versus my post from November, 2024.
Finominal's version is obviously much simpler but I think my version is truer to the complete allocation as laid out in the circular chart. The way Finominal modeled it, they have most of the outperformance being attributed to massive outperformance in 2022 and that it was pretty close to 40% ACWI/60% LQD that they used to benchmark against the rest of the time. They didn't actually specify LQD, they described the fixed income sleeve as US Investment Grade Bonds.
There's been some differentiation along the way but you can see that the outperformance in 2022 is a big part of the story. That's not a knock. Looking like a benchmark except when the benchmark tanks is a pretty good outcome.
The backtest goes back to when testfol.io first has data for EBSIX which is a fund we used to use more frequently for blogging purposes. I included the 40/60 benchmark but I also threw in a more typical 60/40 too. My thought on benchmarking might be a little unusual but in this context, the exercise is about trying to get close to the return of 60/40 where 60% is in equities but with less volatility, hopefully a lot less or maybe smaller drawdowns or some measure of all-weather/crisis alpha.
This next table cuts off to when I wrote the blog post on 11/27/2024. The volatility numbers stand up about the same which makes sense and you see the CAGR pretty close to the 60/40 we're working with today.
My version probably violates the idea of a lot of simplicity hedged with a lot of complexity. There's probably a lot of complexity there.
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