Roger Gibson Five Asset Portfolio: ETF allocation and returns

Data Source: from January 1985 to May 2023 (~38 years)
Consolidated Returns as of 31 May 2023
Live Update: Jun 02 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
1.26%
1 Day
Jun 02 2023
2.16%
Current Month
June 2023

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 7.10% compound annual return, with a 11.23% 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 May 31, 2023

The Roger Gibson Five Asset Portfolio guaranteed the following returns.

Portfolio returns are calculated in USD, assuming: June 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
ROGER GIBSON FIVE ASSET PORTFOLIO
Consolidated returns as of 31 May 2023
Live Update: Jun 02 2023
Swipe left to see all data
    Chg (%) Return (%) Return (%) as of May 31, 2023
    1 Day Time ET(*) Jun 2023 1M 6M 1Y 5Y 10Y 30Y MAX
(~38Y)
Roger Gibson Five Asset Portfolio 1.26 2.16 -2.74 -2.53 -8.62 5.13 4.94 7.10 8.83
US Inflation Adjusted return -2.74 -4.34 -11.95 1.27 2.21 4.48 5.87
Components
VTI
Vanguard Total Stock Market 1.65 Jun 02 2023 2.67 0.43 2.44 2.13 9.99 11.40 9.70 9.04
VEU
Vanguard FTSE All-World ex-US 1.42 Jun 02 2023 3.02 -3.41 2.88 -0.80 2.60 4.27 4.75 8.02
VNQ
Vanguard Real Estate 2.44 Jun 02 2023 2.45 -3.96 -6.98 -15.87 4.07 5.34 8.35 6.94
BND
Vanguard Total Bond Market -0.56 Jun 02 2023 -0.29 -1.16 1.58 -2.40 0.80 1.34 4.28 4.50
BNDX
Vanguard Total International Bond -0.39 Jun 02 2023 -0.28 0.14 0.92 -1.31 0.44 1.86 4.93 6.61
DBC
Invesco DB Commodity Tracking 1.29 Jun 02 2023 2.95 -6.41 -12.97 -22.97 4.84 -1.24 3.56 2.57
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Apr 2023. Waiting for updates, inflation of May 2023 is set to 0%. Current inflation (annualized) is 1Y: 3.79% , 5Y: 3.81% , 10Y: 2.68% , 30Y: 2.51%
Live update: World Markets and Indexes

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.

Portfolio Metrics as of May 31, 2023

Metrics of Roger Gibson Five Asset Portfolio, updated as of 31 May 2023.

Portfolio metrics are calculated based on monthly returns, assuming:
ROGER GIBSON FIVE ASSET PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1985 - 31 May 2023 (~38 years)
Swipe left to see all data
Metrics as of May 31, 2023
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~38Y)
Portfolio Return (%) -2.74 -0.96 -2.53 -8.62 9.44 5.13 4.94 6.73 7.10 8.83
US Inflation (%) 0.00 0.84 1.90 3.79 5.77 3.81 2.68 2.55 2.51 2.79
Infl. Adjusted Return (%) -2.74 -1.78 -4.34 -11.95 3.47 1.27 2.21 4.08 4.48 5.87
Waiting for updates, inflation of May 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 15.76 12.90 13.51 10.79 12.33 11.23 10.66
Sharpe Ratio -0.75 0.65 0.28 0.39 0.45 0.44 0.45
Sortino Ratio -1.06 0.87 0.36 0.51 0.57 0.56 0.58
MAXIMUM DRAWDOWN
Drawdown Depth (%) -14.33 -16.29 -19.30 -19.30 -44.75 -44.75 -44.75
Start (yyyy mm) 2022 06 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) 4 6 3 3 9 9 9
Start to Recovery (# months) in progress
> 12
> 14
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% 100% 100% 100% 100%
MONTHS
Positive 0 2 3 6 23 39 77 159 235 313
Negative 1 1 3 6 13 21 43 81 125 148
% Positive 0% 67% 50% 50% 64% 65% 64% 66% 65% 68%
WITHDRAWAL RATES (WR)
Safe WR (%) 40.82 21.72 11.63 8.59 6.90 9.70
Perpetual WR (%) 3.36 1.25 2.16 3.92 4.29 5.55
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 May 2023
Swipe left to see all data
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.83
0.92
0.74
0.87
0.76
VEU
0.83
-
0.90
0.90
0.81
0.79
VNQ
0.92
0.90
-
0.84
0.84
0.71
BND
0.74
0.90
0.84
-
0.89
0.56
BNDX
0.87
0.81
0.84
0.89
-
0.52
DBC
0.76
0.79
0.71
0.56
0.52
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.88
0.85
0.44
0.49
0.52
VEU
0.88
-
0.78
0.50
0.47
0.61
VNQ
0.85
0.78
-
0.51
0.54
0.48
BND
0.44
0.50
0.51
-
0.88
-0.05
BNDX
0.49
0.47
0.54
0.88
-
-0.07
DBC
0.52
0.61
0.48
-0.05
-0.07
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.86
0.73
0.34
0.39
0.45
VEU
0.86
-
0.63
0.40
0.35
0.54
VNQ
0.73
0.63
-
0.54
0.55
0.27
BND
0.34
0.40
0.54
-
0.86
-0.08
BNDX
0.39
0.35
0.55
0.86
-
-0.14
DBC
0.45
0.54
0.27
-0.08
-0.14
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.83
0.62
0.14
0.15
0.34
VEU
0.83
-
0.59
0.15
0.16
0.45
VNQ
0.62
0.59
-
0.29
0.28
0.27
BND
0.14
0.15
0.29
-
0.66
0.05
BNDX
0.15
0.16
0.28
0.66
-
0.08
DBC
0.34
0.45
0.27
0.05
0.08
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.73
0.62
0.18
0.19
0.24
VEU
0.73
-
0.52
0.18
0.20
0.33
VNQ
0.62
0.52
-
0.28
0.26
0.20
BND
0.18
0.18
0.28
-
0.74
0.02
BNDX
0.19
0.20
0.26
0.74
-
0.03
DBC
0.24
0.33
0.20
0.02
0.03
-

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Readings that may interest you

Capital Growth as of May 31, 2023

An investment of 1000$, since June 1993, now would be worth 7828.12$, with a total return of 682.81% (7.10% annualized).

The Inflation Adjusted Capital now would be 3721.00$, with a net total return of 272.10% (4.48% annualized).
An investment of 1000$, since January 1985, now would be worth 25789.77$, with a total return of 2478.98% (8.83% annualized).

The Inflation Adjusted Capital now would be 8951.86$, with a net total return of 795.19% (5.87% annualized).

Drawdowns

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.

ROGER GIBSON FIVE ASSET PORTFOLIO
Drawdown periods
Updated to May 2023
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 8 14
-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 8 14
-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)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ROGER GIBSON FIVE ASSET PORTFOLIO
Annualized Rolling Returns
Data Source: from January 1985 to May 2023
Swipe left to see all data
Rolling
Period		 Annualized Return (%) Negative
Periods
Average Latest Best Worst
1 Year
 9.50 -8.62 47.13
Mar 2009 - Feb 2010 		-40.59
Mar 2008 - Feb 2009 		18.22%
2 Years
 9.06 -1.25 34.54
Mar 2009 - Feb 2011 		-20.89
Mar 2007 - Feb 2009 		10.96%
3 Years
 8.64 9.44 22.84
Mar 2009 - Feb 2012 		-10.40
Mar 2006 - Feb 2009 		6.81%
5 Years
 8.32 5.13 19.77
Jan 1985 - Dec 1989 		-1.76
Mar 2004 - Feb 2009 		0.50%
7 Years
 8.18 6.17 16.13
Jan 1985 - Dec 1991 		1.70
Apr 2013 - Mar 2020 		0.00%
10 Years
 8.16 4.94 12.83
Jan 1985 - Dec 1994 		3.26
Dec 2006 - Nov 2016 		0.00%
15 Years
 8.10 3.99 12.69
Jan 1985 - Dec 1999 		3.99
Jun 2008 - May 2023 		0.00%
20 Years
 8.32 6.73 11.98
Jan 1985 - Dec 2004 		5.41
Apr 2000 - Mar 2020 		0.00%
30 Years
 8.10 7.10 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.

Previous vs subsequent Returns

Considering all 10-year rolling periods, is there a relationship between past and future returns, at a given date?

In the following chart, we show how past returns (x-axis) and subsequent returns (y-axis) are related.

Neighboring data is aggregated and occurrences are indicated. It is possible to zoom by clicking or drawing the desired area

ROGER GIBSON FIVE ASSET PORTFOLIO
Previous vs Next Returns - 10 Years annualized
Updated to May 2023

The annualized return of the last 10 years has been 4.94% (updated at May 31, 2023).

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
1.96
60%
-0.91
40%
-1.06
80%
1.96
80%
0.04
60%
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
99.96
101.91
101.95
102.37
104.43
104.63
102.41
103.08
105.35
106.00
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 Jun 2018 - May 2023
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
0.78
60%
-0.09
50%
0.02
70%
1.55
90%
0.36
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
100.71
102.28
102.65
102.93
104.35
103.94
102.76
103.96
105.02
105.53
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 Jun 2013 - May 2023
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
0.80
64%
0.49
64%
1.21
74%
1.64
82%
0.56
64%
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
104.20
104.78
105.13
106.32
106.60
106.63
106.83
107.54
109.41
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 - May 2023

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 - May 2023
313 Positive Months (68%) - 148 Negative Months (32%)
MONTHLY RETURNS TABLE
Jan 1985 - May 2023
(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
2023
 +0.84 -1.34 6.0 -3.9 1.2 0.6 -2.7
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.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 80/20 Momentum +10.63 12.22 -43.61 80 20 0
US Stocks Minimum Volatility +9.47 13.67 -43.27 100 0 0
Stocks/Bonds 60/40 Momentum +9.28 9.43 -32.52 60 40 0
Stocks/Bonds 80/20 +8.89 12.33 -41.09 80 20 0
Simple Path to Wealth JL Collins +8.66 11.60 -38.53 75 25 0
Robust Alpha Architect +8.60 10.99 -44.20 70 20 10
Late Sixties and Beyond Burton Malkiel +8.19 11.57 -41.80 71 29 0
Dedalo Four Dedalo Invest +8.15 12.27 -43.94 80 20 0
Yale Endowment David Swensen +8.06 10.83 -39.48 70 30 0
Talmud Portfolio Roger Gibson +8.00 10.64 -40.17 66.7 33.3 0
Stocks/Bonds 60/40 +7.93 9.46 -30.55 60 40 0
Couch Potato Scott Burns +7.88 8.66 -27.04 50 50 0
Seven Value Scott Burns +7.85 11.26 -41.22 71.5 28.5 0
Core Four Rick Ferri +7.77 12.08 -44.44 80 20 0
Edge Select Moderately Aggressive Merrill Lynch +7.77 11.04 -38.23 69 31 0
Stocks/Bonds 40/60 Momentum +7.77 6.87 -21.11 40 60 0
Sheltered Sam 70/30 Bill Bernstein +7.72 10.60 -39.73 67.9 30 2.1
Lazy Portfolio David Swensen +7.71 10.76 -40.89 70 30 0
Family Taxable Portfolio Ted Aronson +7.65 11.54 -38.46 70 30 0
Four Funds Bogleheads +7.61 12.35 -44.08 80 20 0
Six Ways from Sunday Scott Burns +7.60 10.87 -39.14 66.7 33.3 0
Jane Bryant Quinn Portfolio Jane Bryant Quinn +7.59 10.65 -39.55 70 30 0
Golden Butterfly Tyler +7.52 7.52 -17.79 40 40 20
Three Funds Bogleheads +7.51 12.28 -43.68 80 20 0
LifeStrategy Growth Fund Vanguard +7.45 12.31 -44.18 80 20 0
Gone Fishin' Portfolio Alexander Green +7.44 12.00 -43.02 65 30 5
Coffeehouse Bill Schultheis +7.42 9.53 -33.93 60 40 0
No Brainer Portfolio Bill Bernstein +7.30 11.63 -40.40 75 25 0
Robo Advisor 50 Betterment +7.29 9.24 -30.72 49.9 50.1 0
Sheltered Sam 60/40 Bill Bernstein +7.25 9.15 -34.12 58.2 40 1.8
Pinwheel +7.25 10.41 -36.89 65 25 10
Dimensional 2030 Retirement Income DFA +7.25 9.17 -31.78 55.9 44.1 0
Tilt Toward Value Time Inc +7.25 9.29 -34.63 60 40 0
Marc Faber Portfolio Marc Faber +7.20 9.54 -28.82 50 25 25
All Weather Portfolio Ray Dalio +7.19 7.21 -20.19 30 55 15
Edge Select Moderate Merrill Lynch +7.18 8.84 -29.58 53 47 0
Five Fold Scott Burns +7.18 9.64 -37.94 60 40 0
Gretchen Tai Portfolio Gretchen Tai +7.17 11.59 -41.80 70 30 0
Five Asset Roger Gibson +7.10 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.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Technology +13.50 23.92 -81.08 100 0 0
US Stocks Momentum +11.80 15.15 -53.85 100 0 0
Stocks/Bonds 80/20 Momentum +10.63 12.22 -43.61 80 20 0
US Stocks +9.70 15.36 -50.84 100 0 0
US Stocks Value +9.50 15.19 -55.41 100 0 0