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Roger Gibson Five Asset Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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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 May 15, 2025, the Roger Gibson Five Asset Portfolio returned 2.65% Year-To-Date and 5.90% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.60%9.64%-0.54%11.47%15.67%10.79%
Roger Gibson Five Asset Portfolio3.18%4.96%2.48%6.66%11.26%5.97%
VXUS
Vanguard Total International Stock ETF
12.69%8.51%11.51%10.02%11.81%5.23%
BNDX
Vanguard Total International Bond ETF
0.84%0.23%1.43%4.63%0.00%2.02%
VTI
Vanguard Total Stock Market ETF
0.62%10.20%-0.51%12.13%16.89%12.10%
VNQ
Vanguard Real Estate ETF
1.15%4.17%-2.96%9.33%9.46%5.14%
BND
Vanguard Total Bond Market ETF
2.01%0.07%1.88%4.26%-0.97%1.47%
DBC
Invesco DB Commodity Index Tracking Fund
-0.51%1.82%2.17%-4.29%16.18%2.84%
*Annualized

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.26%1.11%-1.20%-1.65%2.70%3.18%
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%
20235.97%-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%
20210.50%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%
20197.25%1.76%1.59%1.56%-3.26%3.91%0.10%-0.47%1.44%1.73%0.65%2.76%20.34%
20181.72%-4.03%0.85%0.90%1.58%0.21%0.81%0.97%0.12%-5.01%-0.17%-4.87%-7.04%
20171.00%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%
20150.17%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%

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.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Roger Gibson Five Asset Portfolio is 36, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Roger Gibson Five Asset Portfolio is 3636
Overall Rank
The Sharpe Ratio Rank of Roger Gibson Five Asset Portfolio is 2828
Sharpe Ratio Rank
The Sortino Ratio Rank of Roger Gibson Five Asset Portfolio is 3030
Sortino Ratio Rank
The Omega Ratio Rank of Roger Gibson Five Asset Portfolio is 3131
Omega Ratio Rank
The Calmar Ratio Rank of Roger Gibson Five Asset Portfolio is 3636
Calmar Ratio Rank
The Martin Ratio Rank of Roger Gibson Five Asset Portfolio is 5353
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VXUS
Vanguard Total International Stock ETF
0.601.091.150.872.75
BNDX
Vanguard Total International Bond ETF
1.251.991.240.596.18
VTI
Vanguard Total Stock Market ETF
0.601.111.160.732.76
VNQ
Vanguard Real Estate ETF
0.520.991.130.482.07
BND
Vanguard Total Bond Market ETF
0.811.431.170.422.51
DBC
Invesco DB Commodity Index Tracking Fund
-0.27-0.270.97-0.16-0.72

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Roger Gibson Five Asset Portfolio Sharpe ratios as of May 15, 2025 (values are recalculated daily):

  • 1-Year: 0.58
  • 5-Year: 0.94
  • 10-Year: 0.48
  • All Time: 0.49

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.55 to 1.03, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Roger Gibson Five Asset Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Roger Gibson Five Asset Portfolio provided a 3.50% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio3.50%3.51%3.41%2.31%1.87%1.87%2.55%2.83%2.22%2.40%2.20%2.24%
VXUS
Vanguard Total International Stock ETF
2.95%3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%
BNDX
Vanguard Total International Bond ETF
4.30%4.18%4.42%1.52%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%
VTI
Vanguard Total Stock Market ETF
1.29%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
VNQ
Vanguard Real Estate ETF
4.07%3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%
BND
Vanguard Total Bond Market ETF
3.76%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%
DBC
Invesco DB Commodity Index Tracking Fund
5.25%5.22%4.94%0.59%0.00%0.00%1.59%1.30%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.


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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 1.96%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.82%Jan 21, 202044Mar 23, 2020166Nov 16, 2020210
-18.31%Apr 5, 2022134Oct 14, 2022364Mar 28, 2024498
-17.45%Jul 2, 2014407Feb 11, 2016251Feb 9, 2017658
-12.62%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-11.15%Feb 21, 202533Apr 8, 2025

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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCBNDXBNDDBCVNQVXUSVTIPortfolio
^GSPC1.00-0.01-0.030.300.600.800.990.84
BNDX-0.011.000.72-0.080.180.01-0.010.10
BND-0.030.721.00-0.070.220.02-0.030.12
DBC0.30-0.08-0.071.000.140.380.300.57
VNQ0.600.180.220.141.000.520.610.74
VXUS0.800.010.020.380.521.000.810.86
VTI0.99-0.01-0.030.300.610.811.000.85
Portfolio0.840.100.120.570.740.860.851.00
The correlation results are calculated based on daily price changes starting from Jun 5, 2013

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, particularly VXUS (international stocks) and VTI (U.S. total stock market), are highly correlated with each other (0.81) and also show strong correlations with the portfolio overall (0.86 and 0.85 respectively). This suggests that these equity positions have a dominant influence on the portfolio’s behavior.

On the other hand, fixed income assets like BNDX (international bonds) and BND (U.S. bonds) show a strong positive correlation with each other (0.72) but relatively low correlations with the equity and commodity positions, which supports diversification. Commodities (DBC) have low or slightly negative correlations with bonds (around -0.07 to -0.08) and only moderate positive correlations with equities, indicating that commodities provide a useful diversification benefit by reducing overall portfolio correlation.

Real estate (VNQ) exhibits moderate correlations with both bonds and equities, but less so than the equity pair VXUS and VTI, contributing to diversification without dominating the portfolio.

The portfolio’s correlation with individual positions ranges from low (around 0.1 for BNDX and BND) to high (above 0.85 for VXUS and VTI), indicating that the portfolio’s returns are more influenced by equity markets than by bonds or commodities. This suggests a tilt toward equity risk, with fixed income and commodities playing a supportive diversification role rather than dominating.

Overall, while the portfolio benefits from lowly correlated assets like commodities and bonds, the strong correlations among equity positions imply that the portfolio is somewhat concentrated in equity risk. The presence of multiple asset classes with varied correlations does enhance diversification, but the dominance of VXUS and VTI means the portfolio is not fully balanced across all asset classes.

Last updated May 15, 2025