Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 20% |
VXUS Vanguard Total International Stock ETF | Global Equities | 20% |
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 20% |
VNQ Vanguard Real Estate ETF | REIT | 20% |
BND Vanguard Total Bond Market ETF | Total Bond Market | 14% |
BNDX Vanguard Total International Bond ETF | Global Bonds | 6% |
Benchmark: S&P 500 Index · Rebalance: Every 3 months
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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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Returns By Period
As of Aug 3, 2026, the Roger Gibson Five Asset Portfolio returned 14.72% Year-To-Date and 8.60% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.70% | 0.09% | 7.94% | 9.41% | 20.07% | 17.84% | 11.25% | 13.26% | 8.09% |
Portfolio Roger Gibson Five Asset Portfolio | 0.00% | 2.04% | 10.45% | 14.72% | 21.82% | 12.93% | 7.63% | 8.60% | 7.06% |
| Portfolio components: | |||||||||
BND Vanguard Total Bond Market ETF | -0.26% | -1.20% | -0.75% | -0.54% | 1.75% | 3.92% | -0.42% | 1.36% | 2.99% |
BNDX Vanguard Total International Bond ETF | -0.23% | -0.97% | -0.29% | 0.22% | 0.83% | 4.00% | -0.07% | 1.51% | 2.25% |
DBC Invesco DB Commodity Index Tracking Fund | 0.44% | 10.84% | 20.55% | 31.71% | 37.81% | 11.07% | 11.66% | 9.54% | 2.04% |
VNQ Vanguard Real Estate ETF | -0.54% | 0.95% | 11.11% | 14.01% | 15.59% | 9.39% | 2.44% | 4.90% | 7.72% |
VTI Vanguard Total Stock Market ETF | 0.53% | -0.15% | 8.77% | 10.49% | 21.84% | 18.92% | 11.74% | 14.63% | 9.58% |
VXUS Vanguard Total International Stock ETF | -0.21% | -0.29% | 6.78% | 12.75% | 27.56% | 17.23% | 8.78% | 9.44% | 6.55% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 4, 2013, Roger Gibson Five Asset Portfolio's average daily return is +0.03%, while the average monthly return is +0.62%. At this rate, an investment would double in approximately 9.3 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% | 6.89% | 0.76% | -1.50% | 2.06% | 14.72% | |||||
| 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 04, 2013.
- This portfolio participated in 71.87% of S&P 500 Index downside but only 59.10% 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
- 59.10%
- Downside Capture
- 71.87%
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 95 for risk / return — above 95% of Portfolios peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return Metrics
The table below presents risk-adjusted performance metrics for Roger Gibson Five Asset Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.76 | 1.42 | +1.35 |
| Sortino ratioReturn per unit of downside risk | 3.72 | 1.98 | +1.75 |
| Omega ratioGain probability vs. loss probability | 1.52 | 1.25 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 6.73 | 2.00 | +4.73 |
| Martin ratioReturn relative to average drawdown | 21.88 | 8.49 | +13.39 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 29 | 0.72 | 1.06 | 1.12 | 0.99 | 2.48 |
BNDX Vanguard Total International Bond ETF | 18 | 0.34 | 0.50 | 1.06 | 0.41 | 1.04 |
DBC Invesco DB Commodity Index Tracking Fund | 69 | 1.83 | 2.44 | 1.31 | 2.16 | 7.20 |
VNQ Vanguard Real Estate ETF | 46 | 1.11 | 1.62 | 1.20 | 1.84 | 5.97 |
VTI Vanguard Total Stock Market ETF | 65 | 1.52 | 2.12 | 1.27 | 2.23 | 9.62 |
VXUS Vanguard Total International Stock ETF | 69 | 1.62 | 2.24 | 1.30 | 2.42 | 8.87 |
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Dividends
Dividend yield
Roger Gibson Five Asset Portfolio provided a 2.71% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.71% | 3.11% | 3.51% | 3.41% | 2.31% | 1.89% | 1.90% | 2.55% | 2.83% | 2.22% | 2.40% | 2.20% |
| Portfolio components: | ||||||||||||
BND Vanguard Total Bond Market ETF | 3.69% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
BNDX Vanguard Total International Bond ETF | 4.31% | 4.39% | 4.18% | 4.42% | 1.51% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% |
DBC Invesco DB Commodity Index Tracking Fund | 2.53% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
VNQ Vanguard Real Estate ETF | 3.51% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTI Vanguard Total Stock Market ETF | 1.06% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
VXUS Vanguard Total International Stock ETF | 2.59% | 3.18% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% |
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 0.41%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-27.82%Mar 2020 | 2mo 2d | 7mo 28d | 10moJan 2020 - Nov 2020 | COVID crash2020 |
-18.30%Oct 2022 | 6mo 12d | 1y 5mo | 1y 11moApr 2022 - Mar 2024 | Bear market2022 |
-17.45%Feb 2016 | 1y 7mo | 12mo 4d | 2y 7moJul 2014 - Feb 2017 | — |
-12.62%Dec 2018 | 3mo 26d | 2mo 27d | 6mo 23dAug 2018 - Mar 2019 | Rate-hike selloffLate 2018 |
-11.15%Apr 2025 | 1mo 16d | 2mo 2d | 3mo 18dFeb 2025 - Jun 2025 | 2025 selloff2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a six-sleeve attempt to combine global equities, real estate, bonds, and commodities, with diversification doing real work rather than merely appearing in the ticker list.
The numbers
- The 1Y diversification ratio of 1.76 ranks at the 82nd percentile, a strong recent benefit.
- Longer-term ratios remain meaningful: 1.31 over 10Y and 1.32 since inception, though only the 57th percentile overall.
- Effective asset count is 5.46 of 6; weights are spread, not secretly concentrated in one position.
The good
- Commodities, especially Invesco DB Commodity Index Tracking Fund (DBC), have supplied the portfolio’s most distinct return stream: correlations with BNDX and BND are -0.12 and -0.09.
- Vanguard Total International Stock ETF (VXUS) and Vanguard Total Stock Market ETF (VTI) cover different markets while preserving broad equity exposure.
The bad
- VXUS and VTI correlate at 0.80, so the two 20% sleeves are mostly one equity engine wearing different passports.
- Vanguard Real Estate ETF (VNQ) correlates more with equities than bonds, making the 20% real-estate allocation partly another equity-risk allocation.
The ugly
- An equity selloff could pull VXUS, VTI, and VNQ together; DBC may not offset that with precision, while BND and BNDX form their own correlated bond cluster.
Next steps
- Portfolios with this profile are typically complemented by exposures whose stress behavior differs from both equity and commodity cycles.
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. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.76 | 1.47 | 1.40 | 1.31 | 1.32 |
The portfolio has a diversification ratio of 1.32, in line with the typical range across portfolios.
Roger Gibson Five Asset Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.71 |
Correlation (3Y) Balances recent behavior with more history. | 0.75 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.80 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.82 |
Correlation (All Time) Calculated using the full available price history since Jun 4, 2013 | 0.82 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while BND has the lowest at -0.00.
Asset Correlations Table
Find what Roger Gibson Five Asset Portfolio is missing
See which holdings overlap, where Roger Gibson Five Asset Portfolio is concentrated, and which low-correlation assets could fill the gaps.
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