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 30, 2025, the Roger Gibson Five Asset Portfolio returned 3.34% Year-To-Date and 6.16% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.51% | 6.15% | -2.00% | 12.92% | 14.19% | 10.85% |
| Roger Gibson Five Asset Portfolio | 3.15% | 2.67% | 0.25% | 8.46% | 9.84% | 6.13% |
| Portfolio components: | ||||||
VXUS Vanguard Total International Stock ETF | 13.93% | 4.82% | 10.66% | 13.38% | 10.46% | 5.58% |
BNDX Vanguard Total International Bond ETF | 1.66% | 0.01% | 0.88% | 6.64% | 0.05% | 2.09% |
VTI Vanguard Total Stock Market ETF | 0.38% | 6.25% | -2.68% | 13.67% | 15.23% | 12.13% |
VNQ Vanguard Real Estate ETF | 1.30% | 1.12% | -7.18% | 13.84% | 6.90% | 5.35% |
BND Vanguard Total Bond Market ETF | 2.49% | -0.67% | 0.77% | 5.82% | -1.00% | 1.54% |
DBC Invesco DB Commodity Index Tracking Fund | -2.34% | 1.51% | -0.66% | -5.93% | 14.53% | 2.94% |
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% | 2.67% | 3.15% | |||||||
| 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 45, 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 | 0.80 | 1.12 | 1.15 | 0.90 | 2.86 |
BNDX Vanguard Total International Bond ETF | 1.80 | 2.49 | 1.31 | 0.74 | 7.84 |
VTI Vanguard Total Stock Market ETF | 0.68 | 0.98 | 1.14 | 0.63 | 2.36 |
VNQ Vanguard Real Estate ETF | 0.77 | 1.17 | 1.15 | 0.60 | 2.46 |
BND Vanguard Total Bond Market ETF | 1.10 | 1.60 | 1.19 | 0.47 | 2.79 |
DBC Invesco DB Commodity Index Tracking Fund | -0.37 | -0.62 | 0.93 | -0.30 | -1.39 |
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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 | 2.92% | 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 | 4.26% | 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 | 3.74% | 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 | 5.34% | 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 1.30%.
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 | 0.29 | 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 | 0.23 | 0.02 | -0.02 | 0.12 |
| DBC | 0.29 | -0.08 | -0.07 | 1.00 | 0.14 | 0.38 | 0.30 | 0.57 |
| VNQ | 0.60 | 0.18 | 0.23 | 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 | -0.02 | 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 showing varying degrees of correlation that influence overall diversification.
Examining the correlation matrix, the highest correlations are observed among VXUS (international equities), VTI (U.S. equities), and VNQ (real estate), with correlations ranging from 0.61 to 0.86. This cluster indicates that these equity-related positions move somewhat in tandem, which reduces diversification benefits within that segment. The strong correlation of VXUS (0.86) and VTI (0.85) with the portfolio suggests that equities dominate the portfolio’s behavior and risk profile.
Conversely, DBC (commodities) exhibits low or slightly negative correlations with the bond positions (BNDX and BND) and minimal correlation with equities, with values around -0.07 to 0.38. This low correlation helps enhance diversification by providing exposure to an asset class that behaves differently from stocks and bonds. Similarly, BNDX (international bonds) and BND (U.S. bonds) are highly correlated with each other (0.72), which slightly limits diversification within the fixed income portion but still offers a defensive anchor relative to equities and commodities.
The portfolio’s correlations with individual positions range from 0.10 (BNDX) to 0.86 (VXUS), indicating that while bonds have a smaller influence on the portfolio’s movements, equities and real estate have a more significant impact. This suggests that the portfolio is equity-heavy, with fixed income and commodities playing a smaller, though important, role in risk mitigation.
Overall, the portfolio is not highly concentrated but leans toward equity exposure, with moderate diversification benefits coming from the inclusion of commodities and bonds. The presence of highly correlated equity and real estate holdings somewhat limits diversification, but the low correlations of commodities and bonds help balance the portfolio’s risk profile.