Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BND Vanguard Total Bond Market ETF | Total Bond Market | 14% |
BNDX Vanguard Total International Bond ETF | Global Bonds | 6% |
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 20% |
VNQ Vanguard Real Estate ETF | REIT | 20% |
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 20% |
VXUS Vanguard Total International Stock ETF | Global Equities | 20% |
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 Every 3 months.
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The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX
Returns By Period
As of Apr 11, 2026, the Roger Gibson Five Asset Portfolio returned 8.84% Year-To-Date and 8.56% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 2.78% | -0.42% | 4.03% | 27.10% | 18.38% | 10.55% | 12.70% |
Portfolio Roger Gibson Five Asset Portfolio | -0.10% | 2.43% | 8.84% | 12.57% | 26.59% | 12.44% | 8.19% | 8.56% |
| Portfolio components: | ||||||||
VXUS Vanguard Total International Stock ETF | 0.25% | 6.01% | 7.84% | 14.80% | 39.69% | 17.22% | 8.26% | 9.30% |
BNDX Vanguard Total International Bond ETF | -0.27% | 0.23% | 0.00% | -0.22% | 2.54% | 3.93% | 0.19% | 1.75% |
VTI Vanguard Total Stock Market ETF | -0.12% | 3.06% | 0.25% | 4.74% | 29.52% | 19.61% | 10.91% | 14.16% |
VNQ Vanguard Real Estate ETF | 0.22% | 1.97% | 6.20% | 7.60% | 15.60% | 8.09% | 3.71% | 5.16% |
BND Vanguard Total Bond Market ETF | -0.15% | 0.46% | 0.39% | 0.77% | 6.32% | 3.55% | 0.28% | 1.69% |
DBC Invesco DB Commodity Index Tracking Fund | -0.73% | -0.73% | 27.46% | 33.48% | 40.75% | 10.32% | 14.31% | 9.46% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 5, 2013, Roger Gibson Five Asset Portfolio's average daily return is +0.03%, while the average monthly return is +0.59%. At this rate, an investment would double in approximately 9.8 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +9.0%, while the worst month was Mar 2020 at -13.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Roger Gibson Five Asset Portfolio closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +5.5%, while the worst single day was Mar 16, 2020 at -8.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.86% | 2.90% | -0.86% | 2.72% | 8.84% | ||||||||
| 2025 | 2.26% | 1.11% | -1.20% | -1.65% | 2.67% | 3.10% | 0.84% | 1.95% | 1.86% | 0.72% | 0.84% | 0.03% | 13.16% |
| 2024 | -0.92% | 1.50% | 2.79% | -3.02% | 2.80% | 0.95% | 2.40% | 1.86% | 2.02% | -1.81% | 2.00% | -2.81% | 7.75% |
| 2023 | 5.97% | -3.88% | 1.21% | 0.60% | -2.83% | 3.93% | 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% | 4.67% | 22.13% |
Benchmark Metrics
Roger Gibson Five Asset Portfolio has an annualized alpha of -0.21%, beta of 0.59, and R² of 0.79 versus S&P 500 Index. Calculated based on daily prices since June 05, 2013.
- This portfolio participated in 72.63% of S&P 500 Index downside but only 59.84% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.59 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- -0.21%
- Beta
- 0.59
- R²
- 0.79
- Upside Capture
- 59.84%
- Downside Capture
- 72.63%
Expense Ratio
Roger Gibson Five Asset Portfolio has an expense ratio of 0.22%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Roger Gibson Five Asset Portfolio ranks 96 for risk / return — in the top 96% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.72 | 2.23 | +1.49 |
Sortino ratioReturn per unit of downside risk | 5.18 | 3.12 | +2.06 |
Omega ratioGain probability vs. loss probability | 1.72 | 1.42 | +0.31 |
Calmar ratioReturn relative to maximum drawdown | 10.32 | 4.05 | +6.28 |
Martin ratioReturn relative to average drawdown | 37.74 | 17.91 | +19.83 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VXUS Vanguard Total International Stock ETF | 78 | 3.04 | 4.07 | 1.56 | 4.52 | 18.15 |
BNDX Vanguard Total International Bond ETF | 16 | 0.77 | 1.11 | 1.14 | 0.82 | 3.09 |
VTI Vanguard Total Stock Market ETF | 66 | 2.36 | 3.28 | 1.44 | 4.38 | 19.06 |
VNQ Vanguard Real Estate ETF | 28 | 1.26 | 1.77 | 1.23 | 2.54 | 8.05 |
BND Vanguard Total Bond Market ETF | 31 | 1.58 | 2.36 | 1.28 | 2.29 | 7.38 |
DBC Invesco DB Commodity Index Tracking Fund | 67 | 2.44 | 3.20 | 1.43 | 6.54 | 14.58 |
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Dividends
Dividend yield
Roger Gibson Five Asset Portfolio provided a 2.88% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.88% | 3.11% | 3.51% | 3.41% | 2.31% | 1.89% | 1.90% | 2.55% | 2.83% | 2.22% | 2.40% | 2.20% |
| Portfolio components: | ||||||||||||
VXUS Vanguard Total International Stock ETF | 2.81% | 3.18% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% |
BNDX Vanguard Total International Bond ETF | 4.46% | 4.39% | 4.18% | 4.42% | 1.51% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% |
VTI Vanguard Total Stock Market ETF | 1.13% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
VNQ Vanguard Real Estate ETF | 3.75% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
BND Vanguard Total Bond Market ETF | 3.92% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
DBC Invesco DB Commodity Index Tracking Fund | 2.61% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 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.
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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 0.10%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -27.82% | Jan 21, 2020 | 44 | Mar 23, 2020 | 166 | Nov 16, 2020 | 210 |
| -18.3% | 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 |
| -11.15% | Feb 21, 2025 | 33 | Apr 8, 2025 | 42 | Jun 9, 2025 | 75 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 6 assets, with an effective number of assets of 5.46, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | BNDX | BND | DBC | VNQ | VXUS | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.01 | -0.01 | 0.27 | 0.58 | 0.80 | 0.99 | 0.83 |
| BNDX | 0.01 | 1.00 | 0.72 | -0.10 | 0.19 | 0.03 | 0.01 | 0.11 |
| BND | -0.01 | 0.72 | 1.00 | -0.08 | 0.24 | 0.04 | -0.01 | 0.13 |
| DBC | 0.27 | -0.10 | -0.08 | 1.00 | 0.12 | 0.35 | 0.28 | 0.56 |
| VNQ | 0.58 | 0.19 | 0.24 | 0.12 | 1.00 | 0.52 | 0.60 | 0.73 |
| VXUS | 0.80 | 0.03 | 0.04 | 0.35 | 0.52 | 1.00 | 0.80 | 0.85 |
| VTI | 0.99 | 0.01 | -0.01 | 0.28 | 0.60 | 0.80 | 1.00 | 0.84 |
| Portfolio | 0.83 | 0.11 | 0.13 | 0.56 | 0.73 | 0.85 | 0.84 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified, with a mix of asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that certain positions are quite closely correlated, potentially reducing diversification benefits. For example, VTI (a broad U.S. equity ETF) and VXUS (an international equity ETF) have a high correlation of 0.80, indicating that these equity exposures tend to move in tandem, which may concentrate equity risk within the portfolio. Similarly, VNQ (real estate) shows relatively strong correlations with VTI (0.60) and VXUS (0.52), suggesting that real estate exposure also shares some common risk factors with equities.
On the other hand, the commodity position (DBC) exhibits low or even slightly negative correlations with the bond positions (BNDX and BND) and only moderate correlations with the equity and real estate holdings. This low correlation of DBC with other assets enhances diversification by providing exposure to a different risk factor that is less tied to traditional equity and bond markets.
The bond positions BNDX (international bonds) and BND (U.S. bonds) are highly correlated at 0.72, which is expected given their similar fixed income nature, but this high correlation means that the bond allocation is somewhat concentrated within fixed income risk rather than diversified across different bond types.
Looking at the portfolio's correlation with individual positions, it is most strongly correlated with VXUS (0.85), VTI (0.84), and VNQ (0.73), indicating that the portfolio's overall performance is heavily influenced by equity and real estate components. The lower correlations with bond ETFs (BNDX at 0.11 and BND at 0.13) and commodities (DBC at 0.56) show that these assets contribute to reducing overall portfolio volatility.
In summary, while the portfolio benefits from including asset classes like commodities and bonds that have lower correlations with equities, the strong correlations among the equity and real estate holdings suggest a concentration of risk in these areas. The portfolio is not highly concentrated but leans toward equity-driven returns, with bonds and commodities providing some diversification. Further diversification could be achieved by reducing overlap among equity exposures or increasing allocations to less correlated assets.