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Roger Gibson Five Asset Portfolio

Last updated Aug 13, 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 49 of 54

0.22%
0.00%0.94%
Dividend Yield

Rank 22 of 54

2.13%
0.00%4.34%
10Y Annualized Return

Rank 48 of 54

6.34%
4.13%64.70%
Sharpe Ratio

Rank 7 of 54

-0.22
-0.980.14
Maximum Drawdown

Rank 25 of 54

-30.10%
-91.88%-17.74%

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 $17,264 for a total return of roughly 72.64%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-15.00%-10.00%-5.00%0.00%5.00%MarchAprilMayJuneJulyAugust
-0.25%
-2.76%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Roger Gibson Five Asset PortfolioReturns

As of Aug 13, 2022, the Roger Gibson Five Asset Portfolio returned -7.72% Year-To-Date and 6.34% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark12.08%-4.97%-10.20%-3.65%11.89%11.07%
Roger Gibson Five Asset Portfolio7.76%-0.96%-3.28%1.08%8.46%6.12%
VXUS
Vanguard Total International Stock ETF
8.18%-11.79%-13.09%-14.54%3.55%4.37%
BNDX
Vanguard Total International Bond ETF
2.06%-4.03%-7.26%-8.83%1.19%2.31%
VTI
Vanguard Total Stock Market ETF
12.82%-4.78%-10.34%-4.99%13.37%12.77%
VNQ
Vanguard Real Estate ETF
11.15%-1.24%-11.28%-1.33%8.37%8.33%
BND
Vanguard Total Bond Market ETF
1.49%-4.92%-8.75%-9.37%0.97%1.72%
DBC
Invesco DB Commodity Index Tracking Fund
5.03%14.48%25.55%35.53%12.71%0.24%

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 -0.22. 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.


-0.500.000.501.001.50MarchAprilMayJuneJulyAugust
0.09
-0.20
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Roger Gibson Five Asset PortfolioDividends

Roger Gibson Five Asset Portfolio granted a 2.13% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

2.13%1.89%1.95%2.70%3.09%2.53%2.82%2.67%2.79%2.84%2.90%3.04%2.25%

Roger Gibson Five Asset PortfolioDrawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2022FebruaryMarchAprilMayJuneJulyAugust
-5.13%
-10.77%
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
-17.45%Jul 2, 2014407Feb 11, 2016251Feb 9, 2017658
-12.67%Apr 5, 202269Jul 14, 2022
-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 10.32%. 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.


5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%MarchAprilMayJuneJulyAugust
10.94%
16.68%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

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