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Roger Gibson Five Asset Portfolio

Last updated Mar 25, 2023

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.

Expense Ratio

Rank 51 of 55

0.22%
0.00%0.94%
Dividend Yield

Rank 17 of 55

2.71%
0.00%4.38%
10Y Annualized Return

Rank 46 of 55

4.82%
2.63%52.74%
Sharpe Ratio

Rank 51 of 55

-0.74
-0.920.71
Maximum Drawdown

Rank 18 of 55

-27.82%
-82.98%-16.15%

Asset Allocation


Performance

The chart shows the growth of $10,000 invested in Roger Gibson Five Asset Portfolio in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $15,903 for a total return of roughly 59.03%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


40.00%60.00%80.00%100.00%120.00%140.00%160.00%NovemberDecember2023FebruaryMarch
59.03%
143.81%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Returns

As of Mar 25, 2023, the Roger Gibson Five Asset Portfolio returned 0.07% Year-To-Date and 4.82% of annualized return in the last 10 years.


1 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Benchmark0.19%3.59%7.70%-12.45%8.78%9.52%
Roger Gibson Five Asset Portfolio-1.31%0.38%4.47%-11.84%5.77%4.85%
VXUS
Vanguard Total International Stock ETF
0.27%4.05%16.67%-7.43%2.21%4.14%
BNDX
Vanguard Total International Bond ETF
2.21%3.34%2.79%-4.93%0.30%1.87%
VTI
Vanguard Total Stock Market ETF
-0.63%3.68%8.10%-11.95%9.89%11.11%
VNQ
Vanguard Real Estate ETF
-7.26%-3.63%-3.39%-22.81%5.18%5.38%
BND
Vanguard Total Bond Market ETF
2.28%2.65%3.36%-4.29%0.80%1.37%
DBC
Invesco DB Commodity Index Tracking Fund
-1.18%-5.11%-2.00%-13.36%7.47%-0.83%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Roger Gibson Five Asset Portfolio Sharpe ratio is -0.74. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.80-0.60-0.40-0.20NovemberDecember2023FebruaryMarch
-0.73
-0.52
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Roger Gibson Five Asset Portfolio granted a 2.71% dividend yield in the last twelve months.


PeriodTTM20222021202020192018201720162015201420132012

Dividend yield

2.71%2.32%1.94%1.99%2.75%3.16%2.59%2.89%2.74%2.86%2.91%2.96%

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-25.00%-20.00%-15.00%-10.00%NovemberDecember2023FebruaryMarch
-12.60%
-17.08%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Roger Gibson Five Asset Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Roger Gibson Five Asset Portfolio is 27.82%, recorded on Mar 23, 2020. It took 166 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.82%Jan 21, 202044Mar 23, 2020166Nov 16, 2020210
-18.31%Apr 5, 2022134Oct 14, 2022
-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
-5.23%Nov 10, 202115Dec 1, 202117Dec 27, 202132
-4.78%Jun 19, 20134Jun 24, 201312Jul 11, 201316
-4.68%Jan 5, 202216Jan 27, 202237Mar 22, 202253
-3.86%Jul 11, 201918Aug 5, 201929Sep 16, 201947
-3.5%Apr 15, 201933May 31, 201913Jun 19, 201946

Volatility Chart

Current Roger Gibson Five Asset Portfolio volatility is 11.15%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%NovemberDecember2023FebruaryMarch
11.12%
17.88%
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components