Roger Gibson Five Asset Portfolio
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.
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.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.60% | 9.64% | -0.54% | 11.47% | 15.67% | 10.79% |
| Roger Gibson Five Asset Portfolio | 3.18% | 4.96% | 2.48% | 6.66% | 11.26% | 5.97% |
| Portfolio components: | ||||||
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% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.26% | 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% |
| 2023 | 5.97% | -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% |
| 2021 | 0.50% | 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% |
| 2019 | 7.25% | 1.76% | 1.59% | 1.56% | -3.26% | 3.91% | 0.10% | -0.47% | 1.44% | 1.73% | 0.65% | 2.76% | 20.34% |
| 2018 | 1.72% | -4.03% | 0.85% | 0.90% | 1.58% | 0.21% | 0.81% | 0.97% | 0.12% | -5.01% | -0.17% | -4.87% | -7.04% |
| 2017 | 1.00% | 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% |
| 2015 | 0.17% | 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VXUS Vanguard Total International Stock ETF | 0.60 | 1.09 | 1.15 | 0.87 | 2.75 |
BNDX Vanguard Total International Bond ETF | 1.25 | 1.99 | 1.24 | 0.59 | 6.18 |
VTI Vanguard Total Stock Market ETF | 0.60 | 1.11 | 1.16 | 0.73 | 2.76 |
VNQ Vanguard Real Estate ETF | 0.52 | 0.99 | 1.13 | 0.48 | 2.07 |
BND Vanguard Total Bond Market ETF | 0.81 | 1.43 | 1.17 | 0.42 | 2.51 |
DBC Invesco DB Commodity Index Tracking Fund | -0.27 | -0.27 | 0.97 | -0.16 | -0.72 |
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Dividends
Dividend yield
Roger Gibson Five Asset Portfolio provided a 3.50% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.50% | 3.51% | 3.41% | 2.31% | 1.87% | 1.87% | 2.55% | 2.83% | 2.22% | 2.40% | 2.20% | 2.24% |
| Portfolio components: | ||||||||||||
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, 2020 | 44 | Mar 23, 2020 | 166 | Nov 16, 2020 | 210 |
| -18.31% | 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 | — | — | — |
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
| ^GSPC | BNDX | BND | DBC | VNQ | VXUS | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.01 | -0.03 | 0.30 | 0.60 | 0.80 | 0.99 | 0.84 |
| BNDX | -0.01 | 1.00 | 0.72 | -0.08 | 0.18 | 0.01 | -0.01 | 0.10 |
| BND | -0.03 | 0.72 | 1.00 | -0.07 | 0.22 | 0.02 | -0.03 | 0.12 |
| DBC | 0.30 | -0.08 | -0.07 | 1.00 | 0.14 | 0.38 | 0.30 | 0.57 |
| VNQ | 0.60 | 0.18 | 0.22 | 0.14 | 1.00 | 0.52 | 0.61 | 0.74 |
| VXUS | 0.80 | 0.01 | 0.02 | 0.38 | 0.52 | 1.00 | 0.81 | 0.86 |
| VTI | 0.99 | -0.01 | -0.03 | 0.30 | 0.61 | 0.81 | 1.00 | 0.85 |
| Portfolio | 0.84 | 0.10 | 0.12 | 0.57 | 0.74 | 0.86 | 0.85 | 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, 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.