Consolidated Returns as of 28 February 2023
Live Update: Mar 20 2023, 04:00PM Eastern Time
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 7.34% compound annual return, with a 11.23% standard deviation.
Asset Allocation and ETFs
The Roger Gibson Five Asset Portfolio has the following asset allocation:
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 |
Portfolio and ETF Returns as of Feb 28, 2023
The Roger Gibson Five Asset Portfolio guaranteed the following returns.
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
Chg (%) | Return (%) | Return (%) as of Feb 28, 2023 |
||||||||
---|---|---|---|---|---|---|---|---|---|---|
1 Day | Time ET(*) | Mar 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~38Y) |
|
Roger Gibson Five Asset Portfolio | 0.62 | -1.98 | -3.94 | -1.24 | -6.87 | 6.02 | 5.20 | 7.34 | 8.92 | |
US Inflation Adjusted return | -4.47 | -2.77 | -12.17 | 2.08 | 2.51 | 4.71 | 5.96 | |||
Components | ||||||||||
VTI Vanguard Total Stock Market |
0.87 |
04:00PM Mar 20 2023 |
-1.32 | -2.40 | 1.41 | -8.31 | 9.34 | 11.82 | 9.64 | 9.03 |
VEU Vanguard FTSE All-World ex-US |
1.01 |
04:00PM Mar 20 2023 |
-1.77 | -4.39 | 7.42 | -7.28 | 1.97 | 4.24 | 5.50 | 8.03 |
VNQ Vanguard Real Estate |
1.14 |
04:00PM Mar 20 2023 |
-4.96 | -5.86 | -5.50 | -13.27 | 7.07 | 6.31 | 8.64 | 7.02 |
BND Vanguard Total Bond Market |
-0.43 |
04:00PM Mar 20 2023 |
2.08 | -2.90 | -2.30 | -9.97 | 0.49 | 1.05 | 4.25 | 4.49 |
BNDX Vanguard Total International Bond |
-0.08 |
04:00PM Mar 20 2023 |
2.83 | -1.50 | -1.94 | -9.67 | 0.01 | 1.50 | 4.87 | 6.58 |
DBC Invesco DB Commodity Tracking |
0.40 |
04:00PM Mar 20 2023 |
-4.17 | -4.46 | -7.06 | 0.14 | 8.19 | -0.97 | 3.76 | 2.63 |
US Inflation is updated to Feb 2023. Current inflation (annualized) is 1Y: 6.04% , 5Y: 3.86% , 10Y: 2.63% , 30Y: 2.51%
Portfolio Metrics as of Feb 28, 2023
Metrics of Roger Gibson Five Asset Portfolio, updated as of 28 February 2023.
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
Metrics as of Feb 28, 2023 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~38Y) |
|
Portfolio Return (%) |
-3.94 | -1.58 | -1.24 | -6.87 | 7.99 | 6.02 | 5.20 | 7.20 | 7.34 | 8.92 |
US Inflation (%) | 0.56 | 1.05 | 1.58 | 6.04 | 5.16 | 3.86 | 2.63 | 2.51 | 2.51 | 2.79 |
Infl. Adjusted Return (%) |
-4.47 | -2.60 | -2.77 | -12.17 | 2.69 | 2.08 | 2.51 | 4.57 | 4.71 | 5.96 |
Returns / Inflation rates over 1 year are annualized. | ||||||||||
RISK INDICATORS | ||||||||||
Standard Deviation (%) | 16.18 | 15.44 | 13.44 | 10.79 | 12.41 | 11.23 | 10.68 | |||
Sharpe Ratio | -0.55 | 0.47 | 0.36 | 0.42 | 0.49 | 0.46 | 0.46 | |||
Sortino Ratio | -0.77 | 0.59 | 0.46 | 0.55 | 0.62 | 0.59 | 0.59 | |||
MAXIMUM DRAWDOWN | ||||||||||
Drawdown Depth (%) | -16.29 | -16.29 | -19.30 | -19.30 | -44.75 | -44.75 | -44.75 | |||
Start (yyyy mm) | 2022 04 | 2022 04 | 2020 01 | 2020 01 | 2008 06 | 2008 06 | 2008 06 | |||
Bottom (yyyy mm) | 2022 09 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
Start to Bottom (# months) | 6 | 6 | 3 | 3 | 9 | 9 | 9 | |||
Start to Recovery (# months) in progress |
> 11
|
> 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 | 82% | 93% | 99% | 100% | 100% | 100% | ||||
MONTHS | ||||||||||
Positive | 0 | 1 | 3 | 6 | 23 | 40 | 77 | 159 | 236 | 311 |
Negative | 1 | 2 | 3 | 6 | 13 | 20 | 43 | 81 | 124 | 147 |
% Positive | 0% | 33% | 50% | 50% | 64% | 67% | 64% | 66% | 66% | 68% |
WITHDRAWAL RATES (WR) | ||||||||||
Safe WR (%) | 38.84 | 22.44 | 11.80 | 9.28 | 7.30 | 9.70 | ||||
Perpetual WR (%) | 2.62 | 2.04 | 2.45 | 4.37 | 4.50 | 5.63 |
- 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.
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.
|
|
|
|
|
|
||
---|---|---|---|---|---|---|---|
Asset | VTI | VEU | VNQ | BND | BNDX | DBC | |
VTI |
1.00
|
0.84
|
0.90
|
0.72
|
0.84
|
0.43
|
|
VEU |
0.84
|
1.00
|
0.83
|
0.89
|
0.84
|
0.41
|
|
VNQ |
0.90
|
0.83
|
1.00
|
0.72
|
0.79
|
0.53
|
|
BND |
0.72
|
0.89
|
0.72
|
1.00
|
0.89
|
0.10
|
|
BNDX |
0.84
|
0.84
|
0.79
|
0.89
|
1.00
|
0.11
|
|
DBC |
0.43
|
0.41
|
0.53
|
0.10
|
0.11
|
1.00
|
|
|
|
|
|
|
||
---|---|---|---|---|---|---|---|
Asset | VTI | VEU | VNQ | BND | BNDX | DBC | |
VTI |
1.00
|
0.88
|
0.85
|
0.44
|
0.48
|
0.53
|
|
VEU |
0.88
|
1.00
|
0.77
|
0.49
|
0.46
|
0.61
|
|
VNQ |
0.85
|
0.77
|
1.00
|
0.53
|
0.58
|
0.48
|
|
BND |
0.44
|
0.49
|
0.53
|
1.00
|
0.88
|
-0.06
|
|
BNDX |
0.48
|
0.46
|
0.58
|
0.88
|
1.00
|
-0.07
|
|
DBC |
0.53
|
0.61
|
0.48
|
-0.06
|
-0.07
|
1.00
|
|
|
|
|
|
|
||
---|---|---|---|---|---|---|---|
Asset | VTI | VEU | VNQ | BND | BNDX | DBC | |
VTI |
1.00
|
0.85
|
0.72
|
0.33
|
0.38
|
0.44
|
|
VEU |
0.85
|
1.00
|
0.64
|
0.40
|
0.36
|
0.53
|
|
VNQ |
0.72
|
0.64
|
1.00
|
0.57
|
0.59
|
0.25
|
|
BND |
0.33
|
0.40
|
0.57
|
1.00
|
0.87
|
-0.09
|
|
BNDX |
0.38
|
0.36
|
0.59
|
0.87
|
1.00
|
-0.13
|
|
DBC |
0.44
|
0.53
|
0.25
|
-0.09
|
-0.13
|
1.00
|
|
|
|
|
|
|
||
---|---|---|---|---|---|---|---|
Asset | VTI | VEU | VNQ | BND | BNDX | DBC | |
VTI |
1.00
|
0.82
|
0.62
|
0.14
|
0.14
|
0.34
|
|
VEU |
0.82
|
1.00
|
0.58
|
0.15
|
0.16
|
0.45
|
|
VNQ |
0.62
|
0.58
|
1.00
|
0.29
|
0.28
|
0.27
|
|
BND |
0.14
|
0.15
|
0.29
|
1.00
|
0.66
|
0.04
|
|
BNDX |
0.14
|
0.16
|
0.28
|
0.66
|
1.00
|
0.08
|
|
DBC |
0.34
|
0.45
|
0.27
|
0.04
|
0.08
|
1.00
|
|
|
|
|
|
|
||
---|---|---|---|---|---|---|---|
Asset | VTI | VEU | VNQ | BND | BNDX | DBC | |
VTI |
1.00
|
0.73
|
0.62
|
0.18
|
0.19
|
0.24
|
|
VEU |
0.73
|
1.00
|
0.52
|
0.17
|
0.20
|
0.33
|
|
VNQ |
0.62
|
0.52
|
1.00
|
0.28
|
0.26
|
0.19
|
|
BND |
0.18
|
0.17
|
0.28
|
1.00
|
0.74
|
0.01
|
|
BNDX |
0.19
|
0.20
|
0.26
|
0.74
|
1.00
|
0.03
|
|
DBC |
0.24
|
0.33
|
0.19
|
0.01
|
0.03
|
1.00
|
Portfolio Dividends
In 2022, the Roger Gibson Five Asset Portfolio granted a 1.88% 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 Feb 28, 2023
The Inflation Adjusted Capital now would be 3981.03$, with a net total return of 298.10% (4.71% annualized).
The Inflation Adjusted Capital now would be 9114.41$, with a net total return of 811.44% (5.96% annualized).
Drawdowns
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 | 5 | 11 |
-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 |
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 | 5 | 11 |
-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
Rolling Period |
Return (*) | Negative Periods |
||
---|---|---|---|---|
Average (%) | Best (%) | Worst (%) | ||
1 Year |
9.62 |
47.13 Mar 2009 - Feb 2010 |
-40.59 Mar 2008 - Feb 2009 |
17.67% |
2 Years |
9.11 |
34.54 Mar 2009 - Feb 2011 |
-20.89 Mar 2007 - Feb 2009 |
10.80% |
3 Years |
8.62 |
22.84 Mar 2009 - Feb 2012 |
-10.40 Mar 2006 - Feb 2009 |
6.86% |
5 Years |
8.34 |
19.77 Jan 1985 - Dec 1989 |
-1.76 Mar 2004 - Feb 2009 |
0.50% |
7 Years |
8.19 |
16.13 Jan 1985 - Dec 1991 |
1.70 Apr 2013 - Mar 2020 |
0.00% |
10 Years |
8.18 |
12.83 Jan 1985 - Dec 1994 |
3.26 Dec 2006 - Nov 2016 |
0.00% |
15 Years |
8.14 |
12.69 Jan 1985 - Dec 1999 |
4.02 Nov 2007 - Oct 2022 |
0.00% |
20 Years |
8.33 |
11.98 Jan 1985 - Dec 2004 |
5.41 Apr 2000 - Mar 2020 |
0.00% |
30 Years |
8.13 |
9.94 Jan 1985 - Dec 2014 |
7.04 Apr 1990 - Mar 2020 |
0.00% |
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?
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
1.96
60% |
-0.91
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% |
2.20
60% |
0.62
60% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
101.96
|
101.03
|
99.88
|
101.90
|
102.80
|
103.22
|
105.30
|
105.50
|
103.26
|
103.94
|
106.23
|
106.88
|
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 Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.78
60% |
-0.09
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% |
1.02
50% |
0.48
60% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.78
|
100.69
|
100.77
|
102.46
|
102.90
|
103.18
|
104.61
|
104.19
|
103.01
|
104.22
|
105.28
|
105.79
|
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 Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.80
64% |
0.49
64% |
1.21
74% |
1.66
82% |
0.65
66% |
0.34
63% |
1.13
71% |
0.27
66% |
0.03
61% |
0.19
58% |
0.67
61% |
1.74
87% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.80
|
101.29
|
102.52
|
104.22
|
104.90
|
105.25
|
106.44
|
106.72
|
106.75
|
106.95
|
107.66
|
109.54
|
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/Yearly Returns
Roger Gibson Five Asset Portfolio data source starts from January 1985: let's focus on monthly and yearly returns.
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
2023 |
+1.82 | +0.45 | 6.0 | -3.9 | ||||||||||
2022 |
-11.00 | -16.40 | -2.2 | -0.5 | 3.3 | -3.0 | 0.7 | -6.6 | 3.7 | -3.5 | -8.3 | 3.9 | 5.3 | -3.3 |
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.
30 Years Stats (%) |
% Allocation |
|||||||
---|---|---|---|---|---|---|---|---|
Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
Stocks/Bonds 80/20 Momentum |
+10.78 | 12.19 | -43.61 | 80 | 20 | 0 | ||
US Stocks Minimum Volatility |
+9.51 | 13.66 | -43.27 | 100 | 0 | 0 | ||
Stocks/Bonds 60/40 Momentum |
+9.38 | 9.41 | -32.52 | 60 | 40 | 0 | ||
Stocks/Bonds 80/20 |
+8.84 | 12.34 | -41.09 | 80 | 20 | 0 | ||
Robust Alpha Architect |
+8.81 | 10.97 | -44.20 | 70 | 20 | 10 | ||
Simple Path to Wealth JL Collins |
+8.61 | 11.61 | -38.53 | 75 | 25 | 0 | ||
Late Sixties and Beyond Burton Malkiel |
+8.34 | 11.59 | -41.80 | 71 | 29 | 0 | ||
Yale Endowment David Swensen |
+8.23 | 10.84 | -39.48 | 70 | 30 | 0 | ||
Seven Value Scott Burns |
+8.14 | 11.26 | -41.22 | 71.5 | 28.5 | 0 | ||
Talmud Portfolio Roger Gibson |
+8.06 | 10.67 | -40.17 | 66.7 | 33.3 | 0 | ||
Core Four Rick Ferri |
+7.96 | 12.09 | -44.44 | 80 | 20 | 0 | ||
Sheltered Sam 70/30 Bill Bernstein |
+7.95 | 10.60 | -39.73 | 67.9 | 30 | 2.1 | ||
Family Taxable Portfolio Ted Aronson |
+7.94 | 11.56 | -38.46 | 70 | 30 | 0 | ||
Six Ways from Sunday Scott Burns |
+7.90 | 10.87 | -39.14 | 66.7 | 33.3 | 0 | ||
Stocks/Bonds 60/40 |
+7.88 | 9.46 | -30.55 | 60 | 40 | 0 | ||
Lazy Portfolio David Swensen |
+7.88 | 10.78 | -40.89 | 70 | 30 | 0 | ||
Edge Select Moderately Aggressive Merrill Lynch |
+7.86 | 11.04 | -38.23 | 69 | 31 | 0 | ||
Couch Potato Scott Burns |
+7.85 | 8.66 | -27.04 | 50 | 50 | 0 | ||
Four Funds Bogleheads |
+7.83 | 12.36 | -44.08 | 80 | 20 | 0 | ||
Stocks/Bonds 40/60 Momentum |
+7.82 | 6.84 | -21.11 | 40 | 60 | 0 | ||
Gone Fishin' Portfolio Alexander Green |
+7.77 | 12.03 | -43.02 | 65 | 30 | 5 | ||
Jane Bryant Quinn Portfolio Jane Bryant Quinn |
+7.75 | 10.66 | -39.55 | 70 | 30 | 0 | ||
Three Funds Bogleheads |
+7.73 | 12.29 | -43.68 | 80 | 20 | 0 | ||
LifeStrategy Growth Fund Vanguard |
+7.68 | 12.32 | -44.18 | 80 | 20 | 0 | ||
Golden Butterfly |
+7.66 | 7.52 | -17.79 | 40 | 40 | 20 | ||
Coffeehouse Bill Schultheis |
+7.64 | 9.53 | -33.93 | 60 | 40 | 0 | ||
No Brainer Portfolio Bill Bernstein |
+7.60 | 11.65 | -40.40 | 75 | 25 | 0 | ||
Pinwheel |
+7.51 | 10.43 | -36.89 | 65 | 25 | 10 | ||
Sheltered Sam 60/40 Bill Bernstein |
+7.45 | 9.15 | -34.12 | 58.2 | 40 | 1.8 | ||
Gretchen Tai Portfolio Gretchen Tai |
+7.45 | 11.61 | -41.80 | 70 | 30 | 0 | ||
Robo Advisor 50 Betterment |
+7.45 | 9.24 | -30.72 | 49.9 | 50.1 | 0 | ||
Tilt Toward Value Time Inc |
+7.42 | 9.30 | -34.63 | 60 | 40 | 0 | ||
Marc Faber Portfolio Marc Faber |
+7.39 | 9.55 | -28.82 | 50 | 25 | 25 | ||
Five Fold Scott Burns |
+7.37 | 9.66 | -37.94 | 60 | 40 | 0 | ||
Dimensional 2030 Retirement Income DFA |
+7.36 | 9.17 | -31.78 | 55.9 | 44.1 | 0 | ||
Five Asset Roger Gibson |
+7.34 | 11.23 | -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.
30 Years Stats (%) |
% Allocation |
|||||||
---|---|---|---|---|---|---|---|---|
Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
Technology |
+13.03 | 23.91 | -81.08 | 100 | 0 | 0 | ||
US Stocks Momentum |
+11.99 | 15.12 | -53.85 | 100 | 0 | 0 | ||
Stocks/Bonds 80/20 Momentum |
+10.78 | 12.19 | -43.61 | 80 | 20 | 0 | ||
US Stocks |
+9.64 | 15.38 | -50.84 | 100 | 0 | 0 | ||
US Stocks Value |
+9.57 | 15.20 | -55.41 | 100 | 0 | 0 |