Data Source: from January 1985 to October 2022 (~38 years)
Consolidated Returns as of 31 October 2022
Live Update: Nov 29 2022, 04:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.67%
1 Day
Nov 29 2022, 04:00PM Eastern Time
3.69%
Current Month
November 2022

The Roger Gibson Five Asset Portfolio is a Very High Risk portfolio and can be implemented with 6 ETFs.

It's exposed for 60% on the Stock Market and for 20% on Commodities.

In the last 30 Years, the Roger Gibson Five Asset Portfolio obtained a 7.47% compound annual return, with a 11.11% standard deviation.

Asset Allocation and ETFs

The Roger Gibson Five Asset Portfolio has the following asset allocation:

60% Stocks
20% Fixed Income
20% Commodities

The Roger Gibson Five Asset Portfolio can be implemented with the following ETFs:

Weight Ticker ETF Name Investment Themes
20.00 %
VTI Vanguard Total Stock Market Equity, U.S., Large Cap
20.00 %
VEU Vanguard FTSE All-World ex-US Equity, Global ex-US, Large Cap
20.00 %
VNQ Vanguard Real Estate Real Estate, U.S.
14.00 %
BND Vanguard Total Bond Market Bond, U.S., All-Term
6.00 %
BNDX Vanguard Total International Bond Bond, Developed Markets, All-Term
20.00 %
DBC Invesco DB Commodity Tracking Commodity, Broad Diversified
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns as of Oct 31, 2022

The Roger Gibson Five Asset Portfolio guaranteed the following returns.

Portfolio returns are calculated in USD, assuming: November 2022 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
ROGER GIBSON FIVE ASSET PORTFOLIO RETURNS
Consolidated returns as of 31 October 2022
Live Update: Nov 29 2022, 04:00PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%)
Return (%) as of Oct 31, 2022
  1 Day Time ET(*) Nov 2022 1M 6M 1Y 5Y 10Y 30Y MAX
(~38Y)
Roger Gibson Five Asset Portfolio 0.67 3.69 3.89 -10.37 -11.48 5.32 5.32 7.47 8.89
US Inflation Adjusted return 3.47 -13.05 -17.84 1.41 2.69 4.84 5.94
Components
VTI
Vanguard Total Stock Market
-0.15 03:59PM
Nov 29 2022
2.04 8.11 -5.43 -16.87 9.80 12.41 9.79 10.34
VEU
Vanguard FTSE All-World ex-US
0.79 03:59PM
Nov 29 2022
10.81 3.40 -13.38 -24.31 -0.30 3.59 5.18 6.31
VNQ
Vanguard Real Estate
1.59 04:00PM
Nov 29 2022
3.71 3.51 -18.78 -21.44 4.00 6.69 9.03 10.60
BND
Vanguard Total Bond Market
-0.37 04:00PM
Nov 29 2022
2.87 -1.16 -6.55 -15.59 -0.50 0.65 4.32 6.25
BNDX
Vanguard Total International Bond
0.29 04:00PM
Nov 29 2022
2.16 0.54 -5.17 -12.15 -0.04 1.61 5.17 6.62
DBC
Invesco DB Commodity Tracking
1.28 03:59PM
Nov 29 2022
-0.78 5.06 -8.75 17.66 10.06 -0.64 3.97 8.53
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)

US Inflation is updated to Oct 2022. Current inflation (annualized) is 1Y: 7.75% , 5Y: 3.85% , 10Y: 2.57% , 30Y: 2.51%

Portfolio Metrics as of Oct 31, 2022

Metrics of Roger Gibson Five Asset Portfolio, updated as of 31 October 2022.

Portfolio metrics are calculated based on monthly returns, assuming:
ROGER GIBSON FIVE ASSET PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1985 - 31 October 2022 (~38 years)
Swipe left to see all data
Metrics as of Oct 31, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~38Y)
Portfolio
Return (%)
3.89 -8.11 -10.37 -11.48 5.29 5.32 5.32 7.28 7.47 8.89
US Inflation (%) 0.41 0.59 3.08 7.75 5.01 3.85 2.57 2.52 2.51 2.79
Infl. Adjusted
Return (%)
3.47 -8.64 -13.05 -17.84 0.26 1.41 2.69 4.65 4.84 5.94
Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 14.35 14.98 12.95 10.41 12.24 11.11 10.62
Sharpe Ratio -0.85 0.33 0.33 0.46 0.51 0.48 0.46
Sortino Ratio -1.18 0.41 0.42 0.59 0.64 0.61 0.59
MAXIMUM DRAWDOWN
Drawdown Depth (%) -16.29 -19.30 -19.30 -19.30 -44.75 -44.75 -44.75
Start (yyyy mm) 2022 04 2020 01 2020 01 2020 01 2008 06 2008 06 2008 06
Bottom (yyyy mm) 2022 09 2020 03 2020 03 2020 03 2009 02 2009 02 2009 02
Start to Bottom (# months) 6 3 3 3 9 9 9
Start to Recovery (# months) in progress
> 7
11
11
11
33
33
33
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 47.13 22.84 19.77 12.83 11.98 9.94
Worst Return (%) -40.59 -10.40 -1.76 3.26 5.41 7.04
% Positive Periods 83% 93% 99% 100% 100% 100%
MONTHS
Positive 1 1 3 5 23 41 78 160 238 309
Negative 0 2 3 7 13 19 42 80 122 145
% Positive 100% 33% 50% 42% 64% 68% 65% 67% 66% 68%
WITHDRAWAL RATES (WR)
Safe WR (%) 36.87 21.79 11.88 9.10 7.23 9.80
Perpetual WR (%) 0.26 1.39 2.62 4.44 4.61 5.61
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
  • Standard Deviation: it's a measure of the dispersion of returns around the mean
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).

Portfolio Components Correlation

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1.

If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.

Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 October 2022
Swipe left to see all data
 
 
 
 
 
 
Asset VTI VEU VNQ BND BNDX DBC
VTI
1.00
0.91
0.87
0.69
0.73
0.28
VEU
0.91
1.00
0.82
0.69
0.63
0.53
VNQ
0.87
0.82
1.00
0.54
0.57
0.38
BND
0.69
0.69
0.54
1.00
0.89
-0.07
BNDX
0.73
0.63
0.57
0.89
1.00
-0.14
DBC
0.28
0.53
0.38
-0.07
-0.14
1.00
 
 
 
 
 
 
Asset VTI VEU VNQ BND BNDX DBC
VTI
1.00
0.90
0.82
0.39
0.42
0.53
VEU
0.90
1.00
0.74
0.36
0.36
0.65
VNQ
0.82
0.74
1.00
0.48
0.51
0.47
BND
0.39
0.36
0.48
1.00
0.87
-0.11
BNDX
0.42
0.36
0.51
0.87
1.00
-0.12
DBC
0.53
0.65
0.47
-0.11
-0.12
1.00
 
 
 
 
 
 
Asset VTI VEU VNQ BND BNDX DBC
VTI
1.00
0.86
0.71
0.28
0.33
0.44
VEU
0.86
1.00
0.62
0.30
0.29
0.54
VNQ
0.71
0.62
1.00
0.52
0.55
0.24
BND
0.28
0.30
0.52
1.00
0.86
-0.14
BNDX
0.33
0.29
0.55
0.86
1.00
-0.18
DBC
0.44
0.54
0.24
-0.14
-0.18
1.00
 
 
 
 
 
 
Asset VTI VEU VNQ BND BNDX DBC
VTI
1.00
0.82
0.62
0.11
0.12
0.34
VEU
0.82
1.00
0.58
0.11
0.14
0.45
VNQ
0.62
0.58
1.00
0.28
0.26
0.27
BND
0.11
0.11
0.28
1.00
0.65
0.03
BNDX
0.12
0.14
0.26
0.65
1.00
0.07
DBC
0.34
0.45
0.27
0.03
0.07
1.00
 
 
 
 
 
 
Asset VTI VEU VNQ BND BNDX DBC
VTI
1.00
0.73
0.62
0.17
0.18
0.24
VEU
0.73
1.00
0.52
0.15
0.19
0.33
VNQ
0.62
0.52
1.00
0.26
0.25
0.19
BND
0.17
0.15
0.26
1.00
0.74
0.01
BNDX
0.18
0.19
0.25
0.74
1.00
0.02
DBC
0.24
0.33
0.19
0.01
0.02
1.00

Portfolio Dividends

In 2021, the Roger Gibson Five Asset Portfolio granted a 2.16% dividend yield. If you are interested in getting periodic income, please refer to the Roger Gibson Five Asset Portfolio: Dividend Yield page.

Capital Growth as of Oct 31, 2022

An investment of 1000$, since November 1992, now would be worth 8672.01$, with a total return of 767.20% (7.47% annualized).

The Inflation Adjusted Capital now would be 4126.32$, with a net total return of 312.63% (4.84% annualized).
An investment of 1000$, since January 1985, now would be worth 25118.16$, with a total return of 2411.82% (8.89% annualized).

The Inflation Adjusted Capital now would be 8875.29$, with a net total return of 787.53% (5.94% annualized).

Drawdowns

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-44.75% Jun 2008 Feb 2009 9 Feb 2011 24 33
-19.30% Jan 2020 Mar 2020 3 Nov 2020 8 11
-16.29% Apr 2022 Sep 2022 6 in progress 1 7
-15.14% May 2011 Sep 2011 5 Aug 2012 11 16
-13.25% Apr 1998 Aug 1998 5 Apr 1999 8 13
-13.03% Sep 2014 Feb 2016 18 Jan 2017 11 29
-11.36% Feb 2001 Oct 2001 9 May 2003 19 28
-10.00% Oct 2018 Dec 2018 3 Apr 2019 4 7
-6.61% Feb 1994 Nov 1994 10 May 1995 6 16
-5.79% Apr 2004 Apr 2004 1 Sep 2004 5 6
-5.25% Nov 2007 Jan 2008 3 Apr 2008 3 6
-4.90% Oct 1993 Nov 1993 2 Jan 1994 2 4
-4.34% May 2013 Jun 2013 2 Oct 2013 4 6
-4.04% Feb 2018 Feb 2018 1 Jul 2018 5 6
-3.75% Jun 2007 Jul 2007 2 Sep 2007 2 4
-3.59% Oct 2005 Oct 2005 1 Dec 2005 2 3
-3.55% Nov 2021 Nov 2021 1 Dec 2021 1 2
-3.37% Oct 1997 Nov 1997 2 Mar 1998 4 6
-3.32% May 2019 May 2019 1 Jun 2019 1 2
-2.94% Sep 2000 Oct 2000 2 Jan 2001 3 5
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-44.75% Jun 2008 Feb 2009 9 Feb 2011 24 33
-19.30% Jan 2020 Mar 2020 3 Nov 2020 8 11
-16.29% Apr 2022 Sep 2022 6 in progress 1 7
-15.14% May 2011 Sep 2011 5 Aug 2012 11 16
-13.25% Apr 1998 Aug 1998 5 Apr 1999 8 13
-13.03% Sep 2014 Feb 2016 18 Jan 2017 11 29
-11.38% Sep 1987 Nov 1987 3 Jun 1988 7 10
-11.36% Feb 2001 Oct 2001 9 May 2003 19 28
-10.00% Oct 2018 Dec 2018 3 Apr 2019 4 7
-7.29% Jan 1990 Apr 1990 4 Jan 1991 9 13
-6.61% Feb 1994 Nov 1994 10 May 1995 6 16
-5.79% Apr 2004 Apr 2004 1 Sep 2004 5 6
-5.25% Nov 2007 Jan 2008 3 Apr 2008 3 6
-4.90% Oct 1993 Nov 1993 2 Jan 1994 2 4
-4.34% May 2013 Jun 2013 2 Oct 2013 4 6
-4.04% Feb 2018 Feb 2018 1 Jul 2018 5 6
-3.75% Jun 2007 Jul 2007 2 Sep 2007 2 4
-3.59% Oct 2005 Oct 2005 1 Dec 2005 2 3
-3.55% Nov 2021 Nov 2021 1 Dec 2021 1 2
-3.37% Oct 1997 Nov 1997 2 Mar 1998 4 6

Rolling Returns ( more details)

Roger Gibson Five Asset Portfolio: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
9.76 47.13
Mar 2009 - Feb 2010
-40.59
Mar 2008 - Feb 2009
16.93%
2 Years
9.14 34.54
Mar 2009 - Feb 2011
-20.89
Mar 2007 - Feb 2009
10.90%
3 Years
8.64 22.84
Mar 2009 - Feb 2012
-10.40
Mar 2006 - Feb 2009
6.92%
5 Years
8.36 19.77
Jan 1985 - Dec 1989
-1.76
Mar 2004 - Feb 2009
0.51%
7 Years
8.20 16.13
Jan 1985 - Dec 1991
1.70
Apr 2013 - Mar 2020
0.00%
10 Years
8.22 12.83
Jan 1985 - Dec 1994
3.26
Dec 2006 - Nov 2016
0.00%
15 Years
8.19 12.69
Jan 1985 - Dec 1999
4.02
Nov 2007 - Oct 2022
0.00%
20 Years
8.35 11.98
Jan 1985 - Dec 2004
5.41
Apr 2000 - Mar 2020
0.00%
30 Years
8.16 9.94
Jan 1985 - Dec 2014
7.04
Apr 1990 - Mar 2020
0.00%
(*) Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the Roger Gibson Five Asset Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Roger Gibson Five Asset Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.11
60%
-0.93
40%
-1.13
80%
2.02
80%
0.88
80%
0.41
80%
2.01
100%
0.19
60%
-2.12
40%
0.66
60%
1.42
60%
1.54
80%
 Capital Growth on monthly avg returns
100
101.11
100.16
99.03
101.02
101.92
102.34
104.39
104.59
102.37
103.05
104.51
106.12
Best 7.2
2019
3.5
2021
3.3
2022
5.6
2020
3.8
2020
4.0
2019
3.9
2020
3.1
2020
1.5
2019
4.7
2021
8.9
2020
5.0
2021
Worst -2.2
2022
-5.3
2020
-13.2
2020
-3.0
2022
-3.3
2019
-6.6
2022
0.2
2019
-3.5
2022
-8.3
2022
-5.0
2018
-3.5
2021
-5.0
2018
Monthly Seasonality over the period Nov 2017 - Oct 2022
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.45
60%
0.25
50%
0.07
70%
1.68
90%
0.43
70%
0.27
70%
1.39
80%
-0.40
50%
-1.14
50%
1.17
70%
0.58
50%
0.99
70%
 Capital Growth on monthly avg returns
100
100.45
100.70
100.77
102.47
102.91
103.19
104.62
104.20
103.02
104.22
104.83
105.87
Best 7.2
2019
4.2
2014
6.1
2016
5.6
2020
3.8
2020
4.0
2019
3.9
2020
3.1
2020
2.6
2013
4.7
2021
8.9
2020
5.0
2021
Worst -3.6
2016
-5.3
2020
-13.2
2020
-3.0
2022
-3.3
2019
-6.6
2022
-1.6
2014
-4.3
2015
-8.3
2022
-5.0
2018
-3.5
2021
-5.0
2018
Monthly Seasonality over the period Nov 2012 - Oct 2022
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.67
63%
0.60
66%
1.21
74%
1.66
82%
0.65
66%
0.34
63%
1.13
71%
0.27
66%
0.03
61%
0.19
58%
0.54
59%
1.88
89%
 Capital Growth on monthly avg returns
100
100.67
101.27
102.50
104.20
104.87
105.23
106.42
106.70
106.73
106.93
107.51
109.52
Best 7.5
1987
4.5
1991
6.1
2016
9.8
2009
8.1
2009
4.2
1986
6.7
2010
5.7
1986
6.3
2010
8.7
2011
8.9
2020
5.6
2010
Worst -8.8
2009
-8.9
2009
-13.2
2020
-5.8
2004
-6.6
2010
-6.6
2022
-3.6
2002
-8.8
1998
-9.0
2011
-20.1
2008
-8.8
2008
-5.0
2018
Monthly Seasonality over the period Jan 1985 - Oct 2022

Monthly/Yearly Returns

Roger Gibson Five Asset Portfolio data source starts from January 1985: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1985 - Oct 2022
309 Positive Months (68%) - 145 Negative Months (32%)
MONTHLY RETURNS TABLE
Jan 1985 - Oct 2022
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2022
-12.59 -18.23 -2.2 -0.5 3.3 -3.0 0.7 -6.6 3.7 -3.5 -8.3 3.9
2021
+22.77 +14.70 0.5 3.5 1.8 4.9 1.7 1.9 1.5 0.9 -1.8 4.7 -3.5 5.0
2020
+5.29 +3.87 -1.8 -5.3 -13.2 5.6 3.8 2.7 3.9 3.1 -2.2 -2.0 8.9 3.7
2019
+20.35 +17.66 7.2 1.8 1.6 1.6 -3.3 4.0 0.2 -0.5 1.5 1.7 0.7 2.6
2018
-7.26 -8.99 1.7 -4.0 0.8 0.9 1.5 0.1 0.8 1.0 0.2 -5.0 -0.3 -5.0
2017
+12.32 +10.00 1.0 1.8 -0.5 0.3 0.6 0.5 2.2 0.4 1.2 1.4 1.5 1.3
2016
+9.61 +7.38 -3.6 -0.4 6.1 2.0 0.9 2.6 1.1 -0.5 0.8 -2.2 0.1 2.7
2015
-5.77 -6.45 0.1 2.1 -1.2 1.1 -0.7 -1.8 -0.9 -4.3 -1.3 4.2 -1.4 -1.6
2014
+3.39 +2.62 -1.2 4.2 0.3 1.4 1.2 1.5 -1.6 1.7 -4.1 2.3 -0.3 -1.7
2013
+8.12 +6.52 2.7 -0.6 1.7 2.0 -2.1 -2.3 3.0 -2.2 2.6 2.7 -0.5 1.0
2012
+12.31 +10.39 4.6 2.8 1.0 0.0 -6.6 3.7 2.1 2.2 0.8 -1.2 0.9 1.8
2011
+0.22 -2.66 2.0 3.2 0.2 4.0 -1.5 -2.2 0.7 -3.8 -9.0 8.7 -1.4 0.5
2010
+15.28 +13.58 -4.2 2.9 4.6 2.6 -6.6 -2.6 6.7 -2.0 6.3 3.4 -1.4 5.6
2009
+23.98 +20.69 -8.8 -8.9 5.4 9.8 8.1 -1.3 6.5 3.5 3.6 -0.9 4.6 2.1
2008
-29.02 -29.08 -2.0 1.3 0.8 4.5 2.0 -2.7 -2.8 -1.7 -6.6 -20.1 -8.8 5.1
2007
+8.47 +4.21 1.8 0.4 0.5 1.8 1.1 -1.9 -1.9 1.1 4.9 4.0 -3.4 0.1
2006
+15.69 +12.82 3.8 -1.0 1.8 1.7 -2.0 0.6 2.1 1.6 -0.2 3.8 3.7 -1.0
2005
+11.50 +7.82 -2.3 3.2 -0.6 -0.4 1.5 1.8 3.3 1.7 2.1 -3.6 2.3 2.1
2004
+17.11 +13.42 2.4 3.1 2.1 -5.8 2.4 0.6 -0.5 2.2 2.3 2.9 2.8 1.9
2003
+28.11 +25.74 -0.2 1.4 -2.1 4.3 5.9 0.6 0.8 2.3 2.2 3.7 1.8 4.7
2002
+3.88 +1.47 -1.6 1.2 5.6 -0.1 -0.6 -0.7 -3.6 2.2 -2.4 0.1 2.7 1.3
2001
-8.31 -9.71 0.4 -3.9 -3.1 4.4 -0.4 -1.1 -0.7 -0.4 -6.2 -0.2 2.2 0.8
2000
+12.13 +8.46 -0.6 2.3 2.5 -1.0 1.5 4.1 -1.0 4.3 -1.3 -1.7 0.6 2.1
1999
+18.03 +14.94 0.5 -2.8 5.1 4.7 -2.4 2.7 -0.1 1.2 0.4 0.3 2.2 5.0
1998
-0.41 -1.99 0.3 1.4 2.1 -0.6 -1.8 0.2 -2.8 -8.8 4.4 2.9 0.9 2.0
1997
+8.02 +6.21 0.1 -1.1 -0.8 0.9 3.8 2.3 3.6 -2.5 5.1 -2.4 -1.0 0.0
1996
+19.46 +15.62 0.8 1.2 1.9 2.4 0.5 1.3 -2.5 2.1 2.9 0.9 5.0 1.7
1995
+18.27 +15.34 -1.1 0.7 2.1 2.1 1.8 0.4 2.7 0.4 1.7 -0.9 2.6 4.4
1994
+0.49 -2.13 4.9 -1.3 -3.2 1.2 0.3 -0.2 1.4 0.0 -2.0 0.3 -3.2 2.6
1993
+11.92 +8.92 2.0 2.5 4.8 0.5 0.6 -0.1 1.3 2.9 0.4 -0.3 -4.6 1.6
1992
+4.38 +1.44 0.7 -1.0 -2.1 0.8 3.2 -1.3 1.2 1.0 0.6 -1.5 1.2 1.4
1991
+17.71 +14.21 1.9 4.5 2.2 1.6 1.1 -3.3 3.4 0.6 2.0 1.2 -2.6 4.1
1990
-1.78 -7.44 -3.4 -1.1 -1.1 -1.9 4.2 0.2 1.9 -1.9 1.3 0.1 -0.4 0.5
1989
+20.20 +14.86 2.5 0.4 1.5 2.8 0.3 1.2 4.3 0.3 2.0 -1.5 1.7 3.1
1988
+18.43 +13.42 3.9 3.2 1.8 1.3 -0.3 0.9 0.5 -2.0 1.3 2.7 1.7 2.2
1987
+11.07 +6.35 7.5 1.1 4.3 2.2 0.9 1.6 1.7 1.7 -1.1 -9.7 -0.7 2.0
1986
+22.93 +21.60 -0.2 4.1 6.0 2.5 -1.2 4.2 0.6 5.7 -2.9 0.0 2.1 0.4
1985
+26.81 +22.17 5.4 0.8 1.8 0.1 4.3 1.0 0.1 0.2 -0.5 4.3 3.7 2.9

Portofolio Returns, up to December 2013, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

  • VTI - Vanguard Total Stock Market: simulated historical serie, up to December 2001
  • VEU - Vanguard FTSE All-World ex-US: simulated historical serie, up to December 2007
  • VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004
  • BND - Vanguard Total Bond Market: simulated historical serie, up to December 2007
  • BNDX - Vanguard Total International Bond: simulated historical serie, up to December 2013
  • DBC - Invesco DB Commodity Tracking: simulated historical serie, up to December 2006

Portfolio efficiency

Compared to the Roger Gibson Five Asset Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 80/20 Momentum
+11.15 12.13 -43.61 80 20 0
US Stocks Minimum Volatility
+9.77 13.59 -43.27 100 0 0
Stocks/Bonds 60/40 Momentum
+9.67 9.35 -32.52 60 40 0
Robust
Alpha Architect
+9.06 10.90 -44.20 70 20 10
Stocks/Bonds 80/20
+8.97 12.23 -41.09 80 20 0
Simple Path to Wealth
JL Collins
+8.74 11.50 -38.53 75 25 0
Seven Value
Scott Burns
+8.41 11.18 -41.22 71.5 28.5 0
Late Sixties and Beyond
Burton Malkiel
+8.41 11.45 -41.80 71 29 0
Yale Endowment
David Swensen
+8.35 10.67 -39.48 70 30 0
Talmud Portfolio
Roger Gibson
+8.27 10.53 -40.17 66.7 33.3 0
Six Ways from Sunday
Scott Burns
+8.16 10.79 -39.14 66.7 33.3 0
Sheltered Sam 70/30
Bill Bernstein
+8.10 10.51 -39.73 67.9 30 2.1
Couch Potato
Scott Burns
+8.06 8.58 -27.04 50 50 0
Stocks/Bonds 40/60 Momentum
+8.04 6.77 -21.11 40 60 0
Lazy Portfolio
David Swensen
+8.02 10.64 -40.89 70 30 0
Family Taxable Portfolio
Ted Aronson
+8.00 11.40 -38.46 70 30 0
Core Four
Rick Ferri
+8.00 11.94 -44.44 80 20 0
Stocks/Bonds 60/40
+8.00 9.35 -30.55 60 40 0
Edge Select Moderately Aggressive
Merrill Lynch
+7.87 10.89 -38.23 69 31 0
Four Funds
Bogleheads
+7.84 12.22 -44.08 80 20 0
Jane Bryant Quinn Portfolio
Jane Bryant Quinn
+7.82 10.53 -39.55 70 30 0
Gone Fishin' Portfolio
Alexander Green
+7.82 11.89 -43.02 65 30 5
Coffeehouse
Bill Schultheis
+7.78 9.41 -33.93 60 40 0
Three Funds
Bogleheads
+7.72 12.15 -43.68 80 20 0
Golden Butterfly
+7.70 7.36 -17.79 40 40 20
LifeStrategy Growth Fund
Vanguard
+7.68 12.18 -44.18 80 20 0
No Brainer Portfolio
Bill Bernstein
+7.65 11.54 -40.40 75 25 0
Sheltered Sam 60/40
Bill Bernstein
+7.60 9.07 -34.12 58.2 40 1.8
Five Fold
Scott Burns
+7.54 9.53 -37.94 60 40 0
Robo Advisor 50
Betterment
+7.53 9.11 -30.72 49.9 50.1 0
Pinwheel
+7.53 10.28 -36.89 65 25 10
Tilt Toward Value
Time Inc
+7.53 9.16 -34.63 60 40 0
Five Asset
Roger Gibson
+7.47 11.11 -44.75 60 20 20

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Return Dev.Std Drawdown Stocks Bonds Comm
Technology
+13.06 23.81 -81.08 100 0 0
US Stocks Momentum
+12.44 15.06 -53.85 100 0 0
Stocks/Bonds 80/20 Momentum
+11.15 12.13 -43.61 80 20 0
US Stocks
+9.79 15.27 -50.84 100 0 0
US Stocks Minimum Volatility
+9.77 13.59 -43.27 100 0 0
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