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

Asset Allocation


BND 14%BNDX 6%DBC 20%VXUS 20%VTI 20%VNQ 20%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

14%

BNDX
Vanguard Total International Bond ETF
Total Bond Market

6%

DBC
Invesco DB Commodity Index Tracking Fund
Commodities

20%

VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities

20%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

20%

VNQ
Vanguard Real Estate ETF
REIT

20%

S&P 500

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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
9.37%
17.14%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX

Returns By Period

As of Apr 13, 2024, the Roger Gibson Five Asset Portfolio returned 1.58% Year-To-Date and 5.26% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.41%-0.81%18.38%23.57%12.02%10.79%
Roger Gibson Five Asset Portfolio1.58%-0.13%9.37%8.84%6.91%5.20%
VXUS
Vanguard Total International Stock ETF
1.81%-1.34%11.98%8.11%5.05%4.15%
BNDX
Vanguard Total International Bond ETF
-0.45%0.35%6.06%5.36%0.33%2.11%
VTI
Vanguard Total Stock Market ETF
7.03%0.07%18.04%25.26%13.16%12.09%
VNQ
Vanguard Real Estate ETF
-6.74%-3.26%9.21%4.92%3.03%5.46%
BND
Vanguard Total Bond Market ETF
-2.35%-0.84%4.86%-0.12%0.09%1.28%
DBC
Invesco DB Commodity Index Tracking Fund
7.62%4.22%0.47%1.70%9.54%-0.33%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.92%1.50%2.79%
2023-3.13%-2.51%6.28%4.19%

Expense Ratio

The Roger Gibson Five Asset Portfolio has a high expense ratio of 0.22%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.85%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.03%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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.


Roger Gibson Five Asset Portfolio
Sharpe ratio
The chart of Sharpe ratio for Roger Gibson Five Asset Portfolio, currently valued at 0.95, compared to the broader market0.002.004.000.95
Sortino ratio
The chart of Sortino ratio for Roger Gibson Five Asset Portfolio, currently valued at 1.45, compared to the broader market-2.000.002.004.006.001.45
Omega ratio
The chart of Omega ratio for Roger Gibson Five Asset Portfolio, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for Roger Gibson Five Asset Portfolio, currently valued at 0.67, compared to the broader market0.002.004.006.008.0010.0012.000.67
Martin ratio
The chart of Martin ratio for Roger Gibson Five Asset Portfolio, currently valued at 3.13, compared to the broader market0.0010.0020.0030.0040.0050.003.13
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.0012.001.63
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.0050.008.76

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VXUS
Vanguard Total International Stock ETF
0.731.111.130.502.18
BNDX
Vanguard Total International Bond ETF
0.971.541.160.353.96
VTI
Vanguard Total Stock Market ETF
2.203.141.381.698.71
VNQ
Vanguard Real Estate ETF
0.160.371.040.090.46
BND
Vanguard Total Bond Market ETF
-0.09-0.080.99-0.03-0.22
DBC
Invesco DB Commodity Index Tracking Fund
0.130.271.030.070.29

Sharpe Ratio

The current Roger Gibson Five Asset Portfolio Sharpe ratio is 0.95. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.95

The Sharpe ratio of Roger Gibson Five Asset Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.95
2.15
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Roger Gibson Five Asset Portfolio granted a 3.46% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Roger Gibson Five Asset Portfolio3.46%3.41%2.31%1.87%1.87%2.55%2.83%2.22%2.40%2.20%2.24%2.19%
VXUS
Vanguard Total International Stock ETF
3.37%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
BNDX
Vanguard Total International Bond ETF
4.61%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%
VTI
Vanguard Total Stock Market ETF
1.40%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VNQ
Vanguard Real Estate ETF
4.23%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
3.34%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
4.59%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-1.96%
-2.49%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

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
-7.04%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147

Volatility

Volatility Chart

The current Roger Gibson Five Asset Portfolio volatility is 2.45%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.45%
3.24%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

DBCBNDXBNDVNQVXUSVTI
DBC1.00-0.08-0.060.150.390.31
BNDX-0.081.000.720.16-0.02-0.03
BND-0.060.721.000.20-0.01-0.05
VNQ0.150.160.201.000.530.62
VXUS0.39-0.02-0.010.531.000.82
VTI0.31-0.03-0.050.620.821.00