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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%
VNQ
Vanguard Real Estate ETF
REIT
20%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
20%
VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities
20%

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%JulyAugustSeptemberOctoberNovemberDecember
2.77%
8.81%
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 Dec 20, 2024, the Roger Gibson Five Asset Portfolio returned 6.72% Year-To-Date and 5.78% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.66%0.49%8.64%26.56%13.06%11.10%
Roger Gibson Five Asset Portfolio6.72%-2.24%2.76%7.20%6.49%5.78%
VXUS
Vanguard Total International Stock ETF
3.12%-3.05%-1.64%4.42%4.03%4.83%
BNDX
Vanguard Total International Bond ETF
3.50%0.50%3.46%3.38%0.07%1.93%
VTI
Vanguard Total Stock Market ETF
24.48%-0.24%9.67%25.07%14.02%12.48%
VNQ
Vanguard Real Estate ETF
4.31%-5.60%8.83%5.49%3.17%4.88%
BND
Vanguard Total Bond Market ETF
1.17%-0.54%1.10%1.36%-0.41%1.33%
DBC
Invesco DB Commodity Index Tracking Fund
-0.73%-2.23%-5.69%-1.75%7.82%2.24%
*Annualized

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.92%1.50%2.79%-3.02%2.80%0.95%2.40%1.86%2.02%-1.81%2.00%6.72%
20235.97%-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%
20210.50%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%
20197.25%1.76%1.59%1.56%-3.26%3.90%0.10%-0.47%1.44%1.73%0.65%2.76%20.34%
20181.72%-4.03%0.85%0.90%1.58%0.21%0.81%0.97%0.12%-5.01%-0.17%-4.87%-7.04%
20171.00%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%
20150.17%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%
2013-2.54%2.96%-1.95%2.46%2.66%-0.71%0.89%3.67%

Expense Ratio

Roger Gibson Five Asset Portfolio has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for BNDX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Roger Gibson Five Asset Portfolio is 20, meaning it’s performing worse than 80% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Roger Gibson Five Asset Portfolio is 2020
Overall Rank
The Sharpe Ratio Rank of Roger Gibson Five Asset Portfolio is 1818
Sharpe Ratio Rank
The Sortino Ratio Rank of Roger Gibson Five Asset Portfolio is 1616
Sortino Ratio Rank
The Omega Ratio Rank of Roger Gibson Five Asset Portfolio is 1717
Omega Ratio Rank
The Calmar Ratio Rank of Roger Gibson Five Asset Portfolio is 2626
Calmar Ratio Rank
The Martin Ratio Rank of Roger Gibson Five Asset Portfolio is 2323
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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
The chart of Sharpe ratio for Roger Gibson Five Asset Portfolio, currently valued at 0.98, compared to the broader market-6.00-4.00-2.000.002.004.000.982.12
The chart of Sortino ratio for Roger Gibson Five Asset Portfolio, currently valued at 1.36, compared to the broader market-6.00-4.00-2.000.002.004.006.001.362.83
The chart of Omega ratio for Roger Gibson Five Asset Portfolio, currently valued at 1.17, compared to the broader market0.400.600.801.001.201.401.601.801.171.39
The chart of Calmar ratio for Roger Gibson Five Asset Portfolio, currently valued at 1.51, compared to the broader market0.002.004.006.008.0010.0012.001.513.13
The chart of Martin ratio for Roger Gibson Five Asset Portfolio, currently valued at 5.83, compared to the broader market0.0010.0020.0030.0040.0050.005.8313.67
Roger Gibson Five Asset Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VXUS
Vanguard Total International Stock ETF
0.490.751.090.622.03
BNDX
Vanguard Total International Bond ETF
0.841.231.140.362.82
VTI
Vanguard Total Stock Market ETF
2.072.761.383.0913.22
VNQ
Vanguard Real Estate ETF
0.400.641.080.251.37
BND
Vanguard Total Bond Market ETF
0.250.381.040.100.71
DBC
Invesco DB Commodity Index Tracking Fund
-0.11-0.060.99-0.06-0.31

The current Roger Gibson Five Asset Portfolio Sharpe ratio is 0.98. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.26 to 2.06, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Roger Gibson Five Asset Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.98
2.12
Roger Gibson Five Asset Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Roger Gibson Five Asset Portfolio provided a 1.89% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.89%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
1.67%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%
BNDX
Vanguard Total International Bond ETF
4.78%4.42%1.52%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%
VTI
Vanguard Total Stock Market ETF
0.94%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VNQ
Vanguard Real Estate ETF
2.88%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
3.63%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
0.00%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. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.86%
-2.37%
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 3.86%.


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 2.66%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.66%
3.87%
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
DBC1.00-0.08-0.060.140.390.30
BNDX-0.081.000.730.180.01-0.01
BND-0.060.731.000.220.01-0.03
VNQ0.140.180.221.000.520.61
VXUS0.390.010.010.521.000.81
VTI0.30-0.01-0.030.610.811.00
The correlation results are calculated based on daily price changes starting from Jun 5, 2013
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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