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% |
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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 Jun 24, 2026, the Roger Gibson Five Asset Portfolio returned 12.02% Year-To-Date and 8.67% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -1.44% | -1.45% | 7.60% | 6.59% | 22.24% | 19.20% | 11.54% | 13.71% |
Portfolio Roger Gibson Five Asset Portfolio | -0.85% | -1.88% | 12.02% | 11.56% | 19.84% | 13.84% | 7.47% | 8.67% |
| Portfolio components: | ||||||||
BND Vanguard Total Bond Market ETF | 0.11% | 0.64% | 0.49% | 0.57% | 4.23% | 3.96% | 0.05% | 1.56% |
BNDX Vanguard Total International Bond ETF | 0.23% | 0.90% | 1.27% | 1.25% | 2.23% | 4.22% | 0.46% | 1.74% |
DBC Invesco DB Commodity Index Tracking Fund | -1.06% | -11.20% | 21.29% | 19.79% | 25.15% | 10.58% | 10.32% | 7.89% |
VNQ Vanguard Real Estate ETF | 1.31% | 1.13% | 11.77% | 12.16% | 11.59% | 11.30% | 2.83% | 5.44% |
VTI Vanguard Total Stock Market ETF | -1.39% | -0.84% | 8.82% | 7.71% | 24.22% | 20.62% | 11.90% | 15.14% |
VXUS Vanguard Total International Stock ETF | -3.04% | 0.39% | 12.51% | 12.35% | 29.41% | 18.90% | 8.35% | 10.23% |
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 +0.60%. At this rate, an investment would double in approximately 9.7 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% | -1.83% | 12.02% | ||||||
| 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 -0.34%, 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 72.60% 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
- -0.34%
- Beta
- 0.59
- R²
- 0.79
- Upside Capture
- 59.10%
- Downside Capture
- 72.60%
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 83 for risk / return — in the top 83% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by 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 | 2.59 | 1.78 | +0.81 |
| Sortino ratioReturn per unit of downside risk | 3.46 | 2.44 | +1.03 |
| Omega ratioGain probability vs. loss probability | 1.48 | 1.32 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 6.35 | 2.46 | +3.89 |
| Martin ratioReturn relative to average drawdown | 21.88 | 10.92 | +10.96 |
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 | 32 | 1.14 | 1.70 | 1.20 | 1.59 | 4.52 |
BNDX Vanguard Total International Bond ETF | 18 | 0.65 | 0.94 | 1.12 | 0.76 | 2.11 |
DBC Invesco DB Commodity Index Tracking Fund | 40 | 1.38 | 1.92 | 1.24 | 1.75 | 7.61 |
VNQ Vanguard Real Estate ETF | 26 | 0.85 | 1.23 | 1.15 | 1.40 | 4.37 |
VTI Vanguard Total Stock Market ETF | 59 | 1.90 | 2.59 | 1.34 | 2.73 | 12.14 |
VXUS Vanguard Total International Stock ETF | 55 | 1.81 | 2.46 | 1.34 | 2.62 | 10.07 |
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Dividends
Dividend yield
Roger Gibson Five Asset Portfolio provided a 2.81% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.81% | 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 | 3.96% | 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 | 4.46% | 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 | 2.74% | 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 | 3.56% | 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 | 1.04% | 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 2.30%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -27.82%Mar 2020 | 2mo 2d | 7mo 28d | 10moJan 2020 - Nov 2020 |
Bear market2022 | -18.30%Oct 2022 | 6mo 12d | 1y 5mo | 1y 11moApr 2022 - Mar 2024 |
2016 correction2016 | -17.45%Feb 2016 | 1y 7mo | 12mo 4d | 2y 7moJul 2014 - Feb 2017 |
Rate-hike selloffLate 2018 | -12.62%Dec 2018 | 3mo 26d | 2mo 27d | 6mo 23dAug 2018 - Mar 2019 |
2025 selloff2025 | -11.15%Apr 2025 | 1mo 16d | 2mo 2d | 3mo 18dFeb 2025 - Jun 2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is betting on three things at once: broad equities, income assets, and commodities, with the interesting wrinkle that the equity sleeve is really one U.S./global stock bet wearing two tickers.
The numbers
- Effective asset count: 5.46 of 6; that is close to full participation, so concentration is not the main issue here.
- Diversification ratio: 1.69 (79.8th percentile, 1Y), easing to 1.31 over 10Y/incept; the portfolio has diversified reasonably well, though not in a permanently heroic way.
- Mean pairwise correlation is 0.25, with a tight bond cluster (BNDX and BND) and a tight equity cluster (VTI and VXUS).
The good
- The portfolio has genuinely different economic sleeves: equities, Treasuries/credit-like bonds, REITs, and commodities.
- DBC provides the most distinct return driver in the set, which helps the portfolio avoid becoming a dressed-up stock index.
- The 1Y DR improvement suggests the cross-asset mix has recently offered more separation than the longer history.
The bad
- VTI and VXUS are highly correlated at 0.80; in market stress, that is two ways to own the same risk.
- BNDX and BND form another near-duplicate cluster, so the bond sleeve is more global versus domestic than truly different.
- VNQ sits closer to equities than to a ballast asset, so its diversification help is real but limited.
The ugly
- In an inflationary growth scare, VTI, VXUS, and VNQ can all move together while BND and BNDX fail to provide much offset, leaving DBC as the main separate sleeve.
Next steps
- Portfolios with this structure are usually read as a core multi-asset allocation, not a high-conviction hedge fund of everything.
- The correlation data fits a portfolio whose diversification comes mostly from mixing asset classes, not from having many independent equity bets.
- The recent 1Y versus longer-window DR gap suggests the separation among sleeves has improved, though such as it is, the equity block still behaves like one market.
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 | 1.69 | 1.44 | 1.39 | 1.31 | 1.31 |
The portfolio has a diversification ratio of 1.31, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Roger Gibson Five Asset Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.71 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Jun 4, 2013 | 0.83 |
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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