Roger Gibson Five Asset Portfolio
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.
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Roger Gibson Five Asset Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX
Returns By Period
As of Dec 20, 2024, the Roger Gibson Five Asset Portfolio returned 6.72% Year-To-Date and 5.78% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.66% | 0.49% | 8.64% | 26.56% | 13.06% | 11.10% |
| Roger Gibson Five Asset Portfolio | 6.72% | -2.24% | 2.76% | 7.20% | 6.49% | 5.78% |
| Portfolio components: | ||||||
VXUS Vanguard Total International Stock ETF | 3.12% | -3.05% | -1.64% | 4.42% | 4.03% | 4.83% |
BNDX Vanguard Total International Bond ETF | 3.50% | 0.50% | 3.46% | 3.38% | 0.07% | 1.93% |
VTI Vanguard Total Stock Market ETF | 24.48% | -0.24% | 9.67% | 25.07% | 14.02% | 12.48% |
VNQ Vanguard Real Estate ETF | 4.31% | -5.60% | 8.83% | 5.49% | 3.17% | 4.88% |
BND Vanguard Total Bond Market ETF | 1.17% | -0.54% | 1.10% | 1.36% | -0.41% | 1.33% |
DBC Invesco DB Commodity Index Tracking Fund | -0.73% | -2.23% | -5.69% | -1.75% | 7.82% | 2.24% |
Monthly Returns
The table below presents the monthly returns of Roger Gibson Five Asset Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.92% | 1.50% | 2.79% | -3.02% | 2.80% | 0.95% | 2.40% | 1.86% | 2.02% | -1.81% | 2.00% | 6.72% | |
| 2023 | 5.97% | -3.88% | 1.21% | 0.60% | -2.83% | 3.94% | 3.64% | -2.09% | -3.13% | -2.51% | 6.28% | 4.19% | 11.14% |
| 2022 | -2.27% | -0.51% | 3.39% | -3.56% | 0.39% | -6.47% | 4.48% | -3.81% | -8.59% | 3.87% | 5.83% | -3.44% | -11.23% |
| 2021 | 0.50% | 3.54% | 1.79% | 4.81% | 1.68% | 1.83% | 1.52% | 0.91% | -1.95% | 4.47% | -3.27% | 4.65% | 22.11% |
| 2020 | -1.76% | -5.33% | -13.45% | 5.81% | 4.13% | 2.82% | 4.00% | 3.19% | -2.34% | -2.14% | 9.03% | 3.84% | 5.87% |
| 2019 | 7.25% | 1.76% | 1.59% | 1.56% | -3.26% | 3.90% | 0.10% | -0.47% | 1.44% | 1.73% | 0.65% | 2.76% | 20.34% |
| 2018 | 1.72% | -4.03% | 0.85% | 0.90% | 1.58% | 0.21% | 0.81% | 0.97% | 0.12% | -5.01% | -0.17% | -4.87% | -7.04% |
| 2017 | 1.00% | 1.82% | -0.49% | 0.27% | 0.53% | 0.59% | 2.19% | 0.34% | 1.17% | 1.45% | 1.45% | 1.28% | 12.19% |
| 2016 | -3.54% | -0.40% | 6.08% | 2.07% | 0.81% | 2.59% | 1.32% | -0.54% | 0.83% | -2.24% | 0.08% | 2.66% | 9.81% |
| 2015 | 0.17% | 2.13% | -1.26% | 1.23% | -0.76% | -1.69% | -0.99% | -4.20% | -1.13% | 4.11% | -1.59% | -1.58% | -5.65% |
| 2014 | -1.18% | 4.18% | 0.29% | 1.29% | 1.20% | 1.59% | -1.68% | 1.71% | -4.14% | 1.90% | -0.59% | -1.90% | 2.42% |
| 2013 | -2.54% | 2.96% | -1.95% | 2.46% | 2.66% | -0.71% | 0.89% | 3.67% |
Expense Ratio
Roger Gibson Five Asset Portfolio has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Roger Gibson Five Asset Portfolio is 20, meaning it’s performing worse than 80% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VXUS Vanguard Total International Stock ETF | 0.49 | 0.75 | 1.09 | 0.62 | 2.03 |
BNDX Vanguard Total International Bond ETF | 0.84 | 1.23 | 1.14 | 0.36 | 2.82 |
VTI Vanguard Total Stock Market ETF | 2.07 | 2.76 | 1.38 | 3.09 | 13.22 |
VNQ Vanguard Real Estate ETF | 0.40 | 0.64 | 1.08 | 0.25 | 1.37 |
BND Vanguard Total Bond Market ETF | 0.25 | 0.38 | 1.04 | 0.10 | 0.71 |
DBC Invesco DB Commodity Index Tracking Fund | -0.11 | -0.06 | 0.99 | -0.06 | -0.31 |
Dividends
Dividend yield
Roger Gibson Five Asset Portfolio provided a 1.89% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.89% | 3.41% | 2.31% | 1.87% | 1.87% | 2.55% | 2.83% | 2.22% | 2.40% | 2.20% | 2.24% | 2.19% |
| Portfolio components: | ||||||||||||
VXUS Vanguard Total International Stock ETF | 1.67% | 3.25% | 3.09% | 3.10% | 2.14% | 3.06% | 3.17% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
BNDX Vanguard Total International Bond ETF | 4.78% | 4.42% | 1.52% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% | 1.54% | 0.86% |
VTI Vanguard Total Stock Market ETF | 0.94% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
VNQ Vanguard Real Estate ETF | 2.88% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
BND Vanguard Total Bond Market ETF | 3.63% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% | 2.78% |
DBC Invesco DB Commodity Index Tracking Fund | 0.00% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the Roger Gibson Five Asset Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Roger Gibson Five Asset Portfolio was 27.82%, occurring on Mar 23, 2020. Recovery took 166 trading sessions.
The current Roger Gibson Five Asset Portfolio drawdown is 3.86%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -27.82% | Jan 21, 2020 | 44 | Mar 23, 2020 | 166 | Nov 16, 2020 | 210 |
| -18.31% | Apr 5, 2022 | 134 | Oct 14, 2022 | 364 | Mar 28, 2024 | 498 |
| -17.45% | Jul 2, 2014 | 407 | Feb 11, 2016 | 251 | Feb 9, 2017 | 658 |
| -12.62% | Aug 30, 2018 | 80 | Dec 24, 2018 | 59 | Mar 21, 2019 | 139 |
| -7.04% | Jan 29, 2018 | 9 | Feb 8, 2018 | 138 | Aug 27, 2018 | 147 |
Volatility
Volatility Chart
The current Roger Gibson Five Asset Portfolio volatility is 2.66%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| DBC | BNDX | BND | VNQ | VXUS | VTI | |
|---|---|---|---|---|---|---|
| DBC | 1.00 | -0.08 | -0.06 | 0.14 | 0.39 | 0.30 |
| BNDX | -0.08 | 1.00 | 0.73 | 0.18 | 0.01 | -0.01 |
| BND | -0.06 | 0.73 | 1.00 | 0.22 | 0.01 | -0.03 |
| VNQ | 0.14 | 0.18 | 0.22 | 1.00 | 0.52 | 0.61 |
| VXUS | 0.39 | 0.01 | 0.01 | 0.52 | 1.00 | 0.81 |
| VTI | 0.30 | -0.01 | -0.03 | 0.61 | 0.81 | 1.00 |