PortfoliosLab logo

Roger Gibson Five Asset Portfolio

Last updated Dec 3, 2022

This is a lazy portfolio introduced by Roger Gibson, a chief investment officer of Gibson Capital, in his famous book Asset Allocation: Balancing Financial Risks. The portfolio follows a simple yet diversified asset allocation strategy. It consists of five equally weighted asset classes: US stocks, international stocks, real estate, commodity, and bonds. Bonds are further divided into 70% US and 30% international.

Expense Ratio

Rank 50 of 54

0.22%
0.00%0.94%
Dividend Yield

Rank 20 of 54

2.33%
0.00%4.45%
10Y Annualized Return

Rank 49 of 54

5.49%
3.67%55.26%
Sharpe Ratio

Rank 20 of 54

-0.52
-1.010.60
Maximum Drawdown

Rank 25 of 54

-30.10%
-91.88%-19.55%

Roger Gibson Five Asset PortfolioAsset Allocation


Roger Gibson Five Asset PortfolioPerformance

The chart shows the growth of $10,000 invested in Roger Gibson Five Asset Portfolio in Jun 2013 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $16,392 for a total return of roughly 63.92%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-15.00%-10.00%-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-6.13%
-1.20%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Roger Gibson Five Asset PortfolioReturns

As of Dec 3, 2022, the Roger Gibson Five Asset Portfolio returned -12.90% Year-To-Date and 5.49% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark5.59%-2.52%-14.57%-9.78%9.04%10.11%
Roger Gibson Five Asset Portfolio5.23%-6.68%-8.16%-3.05%6.07%5.34%
VXUS
Vanguard Total International Stock ETF
12.50%-4.40%-13.72%-10.20%2.08%4.15%
BNDX
Vanguard Total International Bond ETF
3.05%-1.08%-9.71%-10.47%0.47%1.95%
VTI
Vanguard Total Stock Market ETF
5.46%-1.68%-14.55%-10.04%10.30%11.76%
VNQ
Vanguard Real Estate ETF
5.64%-10.50%-22.74%-13.82%4.57%6.49%
BND
Vanguard Total Bond Market ETF
4.85%-2.37%-11.31%-11.78%0.37%1.36%
DBC
Invesco DB Commodity Index Tracking Fund
-1.61%-15.24%20.74%29.93%9.66%-0.18%

Roger Gibson Five Asset PortfolioSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Roger Gibson Five Asset Portfolio Sharpe ratio is -0.52. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.00JulyAugustSeptemberOctoberNovemberDecember
-0.28
-0.46
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Roger Gibson Five Asset PortfolioDividends

Roger Gibson Five Asset Portfolio granted a 2.33% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

2.33%1.91%1.96%2.71%3.11%2.55%2.85%2.69%2.81%2.87%2.92%3.07%2.27%

Roger Gibson Five Asset PortfolioDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2022FebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecember
-9.92%
-15.11%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Roger Gibson Five Asset PortfolioWorst Drawdowns

The table below shows the maximum drawdowns of the Roger Gibson Five Asset Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Roger Gibson Five Asset Portfolio is 27.82%, recorded on Mar 23, 2020. It took 166 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.82%Jan 21, 202044Mar 23, 2020166Nov 16, 2020210
-18.31%Apr 5, 2022134Oct 14, 2022
-17.45%Jul 2, 2014407Feb 11, 2016251Feb 9, 2017658
-12.61%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-7.04%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147
-5.23%Nov 10, 202115Dec 1, 202117Dec 27, 202132
-4.78%Jun 19, 20134Jun 24, 201312Jul 11, 201316
-4.68%Jan 5, 202216Jan 27, 202237Mar 22, 202253
-3.86%Jul 11, 201918Aug 5, 201929Sep 16, 201947
-3.5%Apr 15, 201933May 31, 201913Jun 19, 201946

Roger Gibson Five Asset PortfolioVolatility Chart

Current Roger Gibson Five Asset Portfolio volatility is 6.80%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


10.00%15.00%20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovemberDecember
14.44%
20.47%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components