Roger Gibson Five Asset Portfolio: Rebalancing Strategy

Data Source: from January 1985 to February 2024
Consolidated Returns as of 29 February 2024

Managing the Roger Gibson Five Asset Portfolio with a yearly rebalancing, you would have obtained a 7.30% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 7.18%.

How do returns and drawdowns change, implementing different rebalancing strategies?

Rebalancing Strategies

In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Feb 29, 2024

Implementing different rebalancing strategies, the Roger Gibson Five Asset Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1985.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
ROGER GIBSON FIVE ASSET PORTFOLIO RETURNS
Period: January 1985 - February 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Feb 29, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~39Y)
Yearly Rebalancing 9.48 (1) 7.18 (5) 5.25 (10) 7.30 (30) 8.93 (40)
Half Yearly Rebalancing 9.32 (2) 7.22 (10) 5.26 (20) 7.23 (60) 8.86 (79)
Quarterly Rebalancing 9.71 (4) 7.17 (20) 5.17 (40) 7.18 (120) 8.88 (157)
5% Tolerance per asset 9.33 (0) 6.90 (2) 5.12 (4) 7.29 (18) 8.96 (24)
10% Tolerance per asset 9.94 (0) 8.11 (2) 5.94 (3) 7.63 (8) 9.20 (10)

In order to have complete information about the portfolio, please refer to the Roger Gibson Five Asset Portfolio: ETF allocation and returns page.

Performances as of Feb 29, 2024

Historical returns and stats of Roger Gibson Five Asset Portfolio, after implementing different rebalancing strategies.

ROGER GIBSON FIVE ASSET PORTFOLIO PERFORMANCES
Period: January 1985 - February 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
Yearly Rebalancing 8.93 (40) 10.68 0.84 -44.75 0.20
Half Yearly Rebalancing 8.86 (79) 10.66 0.83 -43.46 0.20
Quarterly Rebalancing 8.88 (157) 10.70 0.83 -44.10 0.20
5% Tolerance per asset 8.96 (24) 10.74 0.83 -43.92 0.20
10% Tolerance per asset 9.20 (10) 10.84 0.85 -42.75 0.22
(*) Since Jan 1985 (~39 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Feb 29, 2024

Historical Drawdowns of Roger Gibson Five Asset Portfolio, after implementing different rebalancing strategies.

ROGER GIBSON FIVE ASSET PORTFOLIO DRAWDOWNS
Period: January 1985 - February 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-44.75
Jun 2008 - Feb 2011
-43.46
Jun 2008 - Jan 2011
-44.10
Jun 2008 - Feb 2011
-43.92
Jun 2008 - Feb 2011
-42.75
Jun 2008 - Dec 2010
-19.30
Jan 2020 - Nov 2020
-19.30
Jan 2020 - Nov 2020
-19.30
Jan 2020 - Nov 2020
-19.42
Jan 2020 - Nov 2020
-19.37
Jan 2020 - Nov 2020
-16.29
Apr 2022 - In progress
-16.15
Apr 2022 - In progress
-16.81
Apr 2022 - In progress
-16.84
Apr 2022 - In progress
-16.53
May 2011 - Sep 2012
-15.14
May 2011 - Aug 2012
-15.04
May 2011 - Aug 2012
-14.96
May 2011 - Aug 2012
-15.39
May 2011 - Aug 2012
-16.02
Apr 2022 - In progress
-13.25
Apr 1998 - Apr 1999
-13.25
Sep 2014 - Jan 2017
-13.78
Sep 2014 - Feb 2017
-13.35
Apr 1998 - Apr 1999
-14.17
Sep 2000 - Aug 2003
5 Worst Drawdowns - Average
-21.74 -21.44 -21.79 -21.78 -21.77
10 Worst Drawdowns - Average
-16.18 -16.09 -16.29 -16.20 -16.28

For a deeper insight, please refer to the Roger Gibson Five Asset Portfolio: ETF allocation and returns page.