Roger Gibson Five Asset Portfolio: ETF allocation and returns

Data Source: from January 1985 to November 2023 (~39 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 11 2023, 10:00AM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.15%
1 Day
Dec 11 2023, 10:00AM Eastern Time
0.03%
Current Month
December 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 7.31% compound annual return, with a 11.30% standard deviation.

Table of contents

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 Currency ETF Name Investment Themes
20.00
VTI
USD Vanguard Total Stock Market Equity, U.S., Large Cap
20.00
VEU
USD Vanguard FTSE All-World ex-US Equity, Global ex-US, Large Cap
20.00
VNQ
USD Vanguard Real Estate Real Estate, U.S.
14.00
BND
USD Vanguard Total Bond Market Bond, U.S., All-Term
6.00
BNDX
USD Vanguard Total International Bond Bond, Developed Markets, All-Term
20.00
DBC
USD 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 Nov 30, 2023

The Roger Gibson Five Asset Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: December 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 30 November 2023
Live Update: Dec 11 2023, 10:00AM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Nov 30, 2023
  1 Day Time ET(*) Dec 2023 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
Roger Gibson Five Asset Portfolio -0.15 0.03 6.27 5.55 2.89 6.97 5.17 7.31 8.86
US Inflation Adjusted return 6.27 4.34 -0.44 2.79 2.29 4.67 5.90
Components
VTI
USD Vanguard Total Stock Market 0.02 10:00AM, Dec 11 2023 1.17 9.42 10.04 12.72 11.71 11.16 9.90 11.00
VEU
USD Vanguard FTSE All-World ex-US 0.06 09:59AM, Dec 11 2023 0.38 8.23 5.00 8.02 5.37 3.75 5.13 7.64
VNQ
USD Vanguard Real Estate -0.13 10:00AM, Dec 11 2023 2.20 12.08 4.30 -2.99 3.66 6.41 8.34 9.08
BND
USD Vanguard Total Bond Market -0.11 09:59AM, Dec 11 2023 0.72 4.54 -0.60 0.97 0.72 1.33 4.12 5.68
BNDX
USD Vanguard Total International Bond -0.06 09:59AM, Dec 11 2023 0.91 3.43 1.56 2.49 0.52 2.06 4.69 6.57
DBC
USD Invesco DB Commodity Tracking -0.59 09:59AM, Dec 11 2023 -4.37 -2.45 8.44 -5.63 10.12 -0.30 4.25 6.01
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023. Waiting for updates, inflation of Nov 2023 is set to 0%. Current inflation (annualized) is 1Y: 3.35% , 5Y: 4.07% , 10Y: 2.82% , 30Y: 2.52%

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 Nov 30, 2023

An investment of 1$, since December 1993, now would be worth 8.31$, with a total return of 730.94% (7.31% annualized).

The Inflation Adjusted Capital now would be 3.94$, with a net total return of 293.77% (4.67% annualized).
An investment of 1$, since January 1985, now would be worth 27.22$, with a total return of 2622.16% (8.86% annualized).

The Inflation Adjusted Capital now would be 9.32$, with a net total return of 831.66% (5.90% annualized).

Portfolio Metrics as of Nov 30, 2023

Metrics of Roger Gibson Five Asset Portfolio, updated as of 30 November 2023.

Metrics are calculated based on monthly returns, assuming:
ROGER GIBSON FIVE ASSET PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
Metrics as of Nov 30, 2023
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 6.27 0.22 5.55 2.89 6.45 6.97 5.17 6.42 7.31 8.86
Infl. Adjusted Return (%) details 6.27 0.01 4.34 -0.44 0.67 2.79 2.29 3.74 4.67 5.90
US Inflation (%) 0.00 0.21 1.17 3.35 5.74 4.07 2.82 2.59 2.52 2.79
Waiting for updates, inflation of Nov 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.73 -16.29 -19.30 -19.30 -44.75 -44.75 -44.75
Start to Recovery (# months) details 4* 20* 11 11 33 33 33
Start (yyyy mm) 2023 08 2022 04 2020 01 2020 01 2008 06 2008 06 2008 06
Start to Bottom (# months) 3 6 3 3 9 9 9
Bottom (yyyy mm) 2023 10 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 1 14 8 8 24 24 24
End (yyyy mm) - - 2020 11 2020 11 2011 02 2011 02 2011 02
Longest Drawdown Depth (%) -4.86
same as
deepest
-16.29 -13.03
same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 6 20* 29
Start (yyyy mm) 2023 02 2022 04 2022 04 2014 09 2008 06 2008 06 2008 06
Start to Bottom (# months) 4 6 6 18 9 9 9
Bottom (yyyy mm) 2023 05 2022 09 2022 09 2016 02 2009 02 2009 02 2009 02
Bottom to End (# months) 2 14 14 11 24 24 24
End (yyyy mm) 2023 07 - - 2017 01 2011 02 2011 02 2011 02
Longest negative period (# months) details 11 30 30 37 62 62 62
Period Start (yyyy mm) 2022 12 2021 05 2021 05 2017 03 2004 01 2004 01 2004 01
Period End (yyyy mm) 2023 10 2023 10 2023 10 2020 03 2009 02 2009 02 2009 02
Annualized Return (%) -3.47 -0.59 -0.59 -0.53 -0.67 -0.67 -0.67
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -8.32 -20.97 -20.97 -20.97 -43.87 -43.87 -43.87
Start to Recovery (# months) details 4* 23* 23* 23* 62 62 62
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 9 9 9 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 14 14 14 46 46 46
End (yyyy mm) - - - - 2012 12 2012 12 2012 12
Longest Drawdown Depth (%) -6.41
same as
deepest

same as
deepest
-12.76
same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 6 34
Start (yyyy mm) 2023 02 2022 01 2022 01 2014 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 4 9 9 18 16 16 16
Bottom (yyyy mm) 2023 05 2022 09 2022 09 2016 02 2009 02 2009 02 2009 02
Bottom to End (# months) 2 14 14 16 46 46 46
End (yyyy mm) 2023 07 - - 2017 06 2012 12 2012 12 2012 12
Longest negative period (# months) details 12* 35 48 76 100 104 104
Period Start (yyyy mm) 2022 12 2020 12 2019 11 2013 12 2007 11 2000 07 2000 07
Period End (yyyy mm) 2023 11 2023 10 2023 10 2020 03 2016 02 2009 02 2009 02
Annualized Return (%) -0.44 -1.39 -0.11 -0.23 -0.19 -0.18 -0.18
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 12.65 12.67 13.89 11.03 12.47 11.30 10.69
Sharpe Ratio -0.16 0.36 0.38 0.37 0.41 0.45 0.46
Sortino Ratio -0.24 0.48 0.49 0.49 0.52 0.57 0.58
Ulcer Index 3.52 6.57 6.53 5.60 9.71 8.28 7.37
Ratio: Return / Standard Deviation 0.23 0.51 0.50 0.47 0.51 0.65 0.83
Ratio: Return / Deepest Drawdown 0.37 0.40 0.36 0.27 0.14 0.16 0.20
% Positive Months details 50% 61% 63% 64% 65% 65% 67%
Positive Months 6 22 38 77 156 235 316
Negative Months 6 14 22 43 84 125 151
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.17 9.78 11.28 12.83
Worst 10 Years Return (%) - Annualized 3.26 3.26 3.26
Best 10 Years Return (%) - Annualized 2.29 7.87 8.64 8.93
Worst 10 Years Return (%) - Annualized 1.42 1.42 1.42
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 47.13 22.84 17.70 11.28 8.75 7.31
Worst Rolling Return (%) - Annualized -40.59 -10.40 -1.76 3.26 5.41
% Positive Periods 77% 91% 99% 100% 100% 100%
Best Rolling Return (%) - Annualized 44.05 19.99 14.41 8.64 6.30 4.67
Worst Rolling Return (%) - Annualized -40.73 -12.34 -4.29 1.42 3.27
% Positive Periods 71% 87% 96% 100% 100% 100%
Over all the available data source (Jan 1985 - Nov 2023)
Best Rolling Return (%) - Annualized 47.13 22.84 19.77 12.83 11.98 9.94
Worst Rolling Return (%) - Annualized -40.59 -10.40 -1.76 3.26 5.41 6.93
% Positive Periods 82% 93% 99% 100% 100% 100%
Best Rolling Return (%) - Annualized 44.05 19.99 15.53 8.93 8.72 7.04
Worst Rolling Return (%) - Annualized -40.73 -12.34 -4.29 1.42 3.27 4.30
% Positive Periods 74% 90% 97% 100% 100% 100%
WITHDRAWAL RATES (WR)
1Y 3Y 5Y 10Y 20Y 30Y MAX
Safe WR (%) 35.59 22.44 11.26 7.68 6.94 9.70
Perpetual WR (%) 0.67 2.71 2.24 3.60 4.47 5.57
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed
  • 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)
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum 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).
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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 30 November 2023
Swipe left to see all data
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.91
0.93
0.80
0.82
0.30
VEU
0.91
-
0.94
0.87
0.74
0.42
VNQ
0.93
0.94
-
0.83
0.75
0.28
BND
0.80
0.87
0.83
-
0.89
0.12
BNDX
0.82
0.74
0.75
0.89
-
0.05
DBC
0.30
0.42
0.28
0.12
0.05
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.89
0.87
0.48
0.53
0.51
VEU
0.89
-
0.82
0.54
0.51
0.61
VNQ
0.87
0.82
-
0.56
0.58
0.49
BND
0.48
0.54
0.56
-
0.89
-0.07
BNDX
0.53
0.51
0.58
0.89
-
-0.08
DBC
0.51
0.61
0.49
-0.07
-0.08
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.86
0.75
0.37
0.41
0.44
VEU
0.86
-
0.66
0.42
0.37
0.54
VNQ
0.75
0.66
-
0.57
0.58
0.27
BND
0.37
0.42
0.57
-
0.87
-0.10
BNDX
0.41
0.37
0.58
0.87
-
-0.15
DBC
0.44
0.54
0.27
-0.10
-0.15
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.84
0.63
0.16
0.16
0.34
VEU
0.84
-
0.60
0.16
0.17
0.45
VNQ
0.63
0.60
-
0.31
0.29
0.26
BND
0.16
0.16
0.31
-
0.67
0.04
BNDX
0.16
0.17
0.29
0.67
-
0.08
DBC
0.34
0.45
0.26
0.04
0.08
-
Asset
VTI
VEU
VNQ
BND
BNDX
DBC
VTI
-
0.73
0.63
0.20
0.20
0.24
VEU
0.73
-
0.53
0.19
0.21
0.33
VNQ
0.63
0.53
-
0.29
0.27
0.19
BND
0.20
0.19
0.29
-
0.74
0.01
BNDX
0.20
0.21
0.27
0.74
-
0.03
DBC
0.24
0.33
0.19
0.01
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.

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
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-44.75% Jun 2008 Feb 2009 9 Feb 2011 24 33 23.07
-19.30% Jan 2020 Mar 2020 3 Nov 2020 8 11 8.97
-16.29% Apr 2022 Sep 2022 6 in progress 14 20 8.65
-15.14% May 2011 Sep 2011 5 Aug 2012 11 16 5.99
-13.25% Apr 1998 Aug 1998 5 Apr 1999 8 13 5.68
-13.03% Sep 2014 Feb 2016 18 Jan 2017 11 29 5.79
-11.36% Feb 2001 Oct 2001 9 May 2003 19 28 6.61
-10.00% Oct 2018 Dec 2018 3 Apr 2019 4 7 4.59
-6.61% Feb 1994 Nov 1994 10 May 1995 6 16 3.46
-5.79% Apr 2004 Apr 2004 1 Sep 2004 5 6 3.17
-5.25% Nov 2007 Jan 2008 3 Apr 2008 3 6 3.31
-4.34% May 2013 Jun 2013 2 Oct 2013 4 6 2.36
-4.04% Feb 2018 Feb 2018 1 Jul 2018 5 6 2.19
-3.75% Jun 2007 Jul 2007 2 Sep 2007 2 4 2.24
-3.59% Oct 2005 Oct 2005 1 Dec 2005 2 3 1.92
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-43.87% Nov 2007 Feb 2009 16 Dec 2012 46 62 17.37
-20.97% Jan 2022 Sep 2022 9 in progress 14 23 13.59
-19.65% Jan 2020 Mar 2020 3 Nov 2020 8 11 9.28
-14.09% Oct 1997 Aug 1998 11 Apr 1999 8 19 5.69
-13.90% Sep 2000 Sep 2001 13 Aug 2003 23 36 8.64
-12.76% Sep 2014 Feb 2016 18 Jun 2017 16 34 5.44
-10.04% Feb 2018 Dec 2018 11 Sep 2019 9 20 3.54
-8.79% Feb 1994 Nov 1994 10 Jul 1995 8 18 5.02
-6.09% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.57
-4.74% May 2013 Jun 2013 2 Oct 2013 4 6 2.70
-4.02% Nov 2021 Nov 2021 1 Dec 2021 1 2 2.32
-3.92% Jun 2007 Jul 2007 2 Sep 2007 2 4 2.33
-3.79% Oct 2005 Oct 2005 1 Dec 2005 2 3 1.93
-2.70% Jul 1996 Jul 1996 1 Sep 1996 2 3 1.42
-2.66% Aug 1997 Aug 1997 1 Sep 1997 1 2 1.53
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-44.75% Jun 2008 Feb 2009 9 Feb 2011 24 33 23.07
-19.30% Jan 2020 Mar 2020 3 Nov 2020 8 11 8.97
-16.29% Apr 2022 Sep 2022 6 in progress 14 20 8.65
-15.14% May 2011 Sep 2011 5 Aug 2012 11 16 5.99
-13.25% Apr 1998 Aug 1998 5 Apr 1999 8 13 5.68
-13.03% Sep 2014 Feb 2016 18 Jan 2017 11 29 5.79
-11.38% Sep 1987 Nov 1987 3 Jun 1988 7 10 5.93
-11.36% Feb 2001 Oct 2001 9 May 2003 19 28 6.61
-10.00% Oct 2018 Dec 2018 3 Apr 2019 4 7 4.59
-7.29% Jan 1990 Apr 1990 4 Jan 1991 9 13 3.44
-6.61% Feb 1994 Nov 1994 10 May 1995 6 16 3.46
-5.79% Apr 2004 Apr 2004 1 Sep 2004 5 6 3.17
-5.25% Nov 2007 Jan 2008 3 Apr 2008 3 6 3.31
-4.90% Oct 1993 Nov 1993 2 Jan 1994 2 4 2.66
-4.34% May 2013 Jun 2013 2 Oct 2013 4 6 2.36
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-43.87% Nov 2007 Feb 2009 16 Dec 2012 46 62 17.37
-20.97% Jan 2022 Sep 2022 9 in progress 14 23 13.59
-19.65% Jan 2020 Mar 2020 3 Nov 2020 8 11 9.28
-14.09% Oct 1997 Aug 1998 11 Apr 1999 8 19 5.69
-13.90% Sep 2000 Sep 2001 13 Aug 2003 23 36 8.64
-12.76% Sep 2014 Feb 2016 18 Jun 2017 16 34 5.44
-12.15% Sep 1987 Nov 1987 3 Dec 1988 13 16 5.65
-10.04% Feb 2018 Dec 2018 11 Sep 2019 9 20 3.54
-9.31% Jan 1990 Apr 1990 4 Apr 1991 12 16 5.95
-8.79% Feb 1994 Nov 1994 10 Jul 1995 8 18 5.02
-6.09% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.57
-5.35% Oct 1993 Nov 1993 2 Jan 1994 2 4 2.96
-4.74% May 2013 Jun 2013 2 Oct 2013 4 6 2.70
-4.02% Nov 2021 Nov 2021 1 Dec 2021 1 2 2.32
-3.92% Feb 1992 Mar 1992 2 Sep 1992 6 8 1.91

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
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -40.59 03/2008
02/2009
0.59$ -3.40 0.96$ 8.47 1.08$ 19.56 1.19$ 47.13 03/2009
02/2010
1.47$ 2.89 22.06%
2Y -20.89 03/2007
02/2009
0.62$ -0.23 0.99$ 8.24 1.17$ 15.91 1.34$ 34.54 03/2009
02/2011
1.80$ -0.27 15.73%
3Y -10.40 03/2006
02/2009
0.71$ 2.04 1.06$ 7.99 1.25$ 13.92 1.47$ 22.84 03/2009
02/2012
1.85$ 6.45 8.92%
5Y -1.76 03/2004
02/2009
0.91$ 3.32 1.17$ 6.23 1.35$ 11.87 1.75$ 17.70 11/2002
10/2007
2.25$ 6.97 0.66%
7Y 1.70 04/2013
03/2020
1.12$ 4.73 1.38$ 7.07 1.61$ 9.98 1.94$ 12.41 09/1998
08/2005
2.26$ 6.71 0.00%
10Y 3.26 12/2006
11/2016
1.37$ 4.46 1.54$ 7.05 1.97$ 10.25 2.65$ 11.28 03/1995
02/2005
2.91$ 5.17 0.00%
15Y 3.99 06/2008
05/2023
1.79$ 5.25 2.15$ 7.23 2.84$ 8.25 3.28$ 8.93 05/1995
04/2010
3.60$ 7.59 0.00%
20Y 5.41 04/2000
03/2020
2.86$ 6.69 3.65$ 7.12 3.95$ 8.18 4.81$ 8.75 12/1994
11/2014
5.35$ 6.42 0.00%
30Y 7.31 12/1993
11/2023
8.30$ 7.31 8.30$ 7.31 8.30$ 7.31 8.30$ 7.31 12/1993
11/2023
8.30$ 7.31 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -40.73 03/2008
02/2009
0.59$ -4.99 0.95$ 6.07 1.06$ 15.85 1.15$ 44.05 03/2009
02/2010
1.44$ -0.44 28.37%
2Y -22.53 03/2007
02/2009
0.60$ -2.02 0.95$ 5.83 1.12$ 12.22 1.25$ 31.74 03/2009
02/2011
1.73$ -5.21 21.07%
3Y -12.34 03/2006
02/2009
0.67$ 0.39 1.01$ 5.40 1.17$ 11.03 1.36$ 19.99 03/2009
02/2012
1.72$ 0.67 12.31%
5Y -4.29 03/2004
02/2009
0.80$ 1.26 1.06$ 3.85 1.20$ 9.28 1.55$ 14.41 11/2002
10/2007
1.96$ 2.79 3.65%
7Y 0.21 04/2013
03/2020
1.01$ 2.66 1.20$ 4.58 1.36$ 7.18 1.62$ 9.50 09/1998
08/2005
1.88$ 3.08 0.00%
10Y 1.42 12/2006
11/2016
1.15$ 2.42 1.27$ 4.76 1.59$ 7.45 2.05$ 8.64 03/1995
02/2005
2.29$ 2.29 0.00%
15Y 1.59 11/2007
10/2022
1.26$ 3.10 1.58$ 4.80 2.02$ 5.71 2.30$ 6.34 05/1995
04/2010
2.51$ 4.96 0.00%
20Y 3.27 04/2000
03/2020
1.90$ 4.32 2.33$ 4.80 2.55$ 5.79 3.07$ 6.30 12/1994
11/2014
3.39$ 3.74 0.00%
30Y 4.67 12/1993
11/2023
3.93$ 4.67 3.93$ 4.67 3.93$ 4.67 3.93$ 4.67 12/1993
11/2023
3.93$ 4.67 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -40.59 03/2008
02/2009
0.59$ -1.33 0.98$ 9.46 1.09$ 20.20 1.20$ 47.13 03/2009
02/2010
1.47$ 2.89 17.98%
2Y -20.89 03/2007
02/2009
0.62$ 1.52 1.03$ 9.39 1.19$ 16.18 1.34$ 34.54 03/2009
02/2011
1.80$ -0.27 11.94%
3Y -10.40 03/2006
02/2009
0.71$ 2.60 1.07$ 8.43 1.27$ 14.58 1.50$ 22.84 03/2009
02/2012
1.85$ 6.45 6.71%
5Y -1.76 03/2004
02/2009
0.91$ 3.67 1.19$ 8.84 1.52$ 12.39 1.79$ 19.77 01/1985
12/1989
2.46$ 6.97 0.49%
7Y 1.70 04/2013
03/2020
1.12$ 5.11 1.41$ 8.31 1.74$ 11.01 2.07$ 16.13 01/1985
12/1991
2.84$ 6.71 0.00%
10Y 3.26 12/2006
11/2016
1.37$ 5.20 1.66$ 8.29 2.21$ 10.69 2.76$ 12.83 01/1985
12/1994
3.34$ 5.17 0.00%
15Y 3.99 06/2008
05/2023
1.79$ 5.76 2.31$ 8.01 3.17$ 10.21 4.29$ 12.69 01/1985
12/1999
5.99$ 7.59 0.00%
20Y 5.41 04/2000
03/2020
2.86$ 6.86 3.76$ 8.02 4.68$ 10.38 7.20$ 11.98 01/1985
12/2004
9.61$ 6.42 0.00%
30Y 6.93 11/1993
10/2023
7.45$ 7.43 8.57$ 7.93 9.86$ 8.58 11.81$ 9.94 01/1985
12/2014
17.16$ 7.31 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -40.73 03/2008
02/2009
0.59$ -3.51 0.96$ 6.52 1.06$ 16.56 1.16$ 44.05 03/2009
02/2010
1.44$ -0.44 25.44%
2Y -22.53 03/2007
02/2009
0.60$ -0.47 0.99$ 6.03 1.12$ 12.51 1.26$ 31.74 03/2009
02/2011
1.73$ -5.21 16.22%
3Y -12.34 03/2006
02/2009
0.67$ 0.94 1.02$ 5.70 1.18$ 11.18 1.37$ 19.99 03/2009
02/2012
1.72$ 0.67 9.26%
5Y -4.29 03/2004
02/2009
0.80$ 1.64 1.08$ 5.84 1.32$ 9.30 1.55$ 15.53 01/1985
12/1989
2.05$ 2.79 2.70%
7Y 0.21 04/2013
03/2020
1.01$ 2.90 1.22$ 5.45 1.44$ 7.86 1.69$ 11.75 01/1985
12/1991
2.17$ 3.08 0.00%
10Y 1.42 12/2006
11/2016
1.15$ 2.81 1.31$ 5.69 1.73$ 7.69 2.09$ 8.93 01/1985
12/1994
2.35$ 2.29 0.00%
15Y 1.59 11/2007
10/2022
1.26$ 3.65 1.71$ 5.46 2.22$ 7.26 2.86$ 9.22 01/1985
12/1999
3.75$ 4.96 0.00%
20Y 3.27 04/2000
03/2020
1.90$ 4.55 2.43$ 5.44 2.88$ 7.09 3.93$ 8.72 01/1985
12/2004
5.31$ 3.74 0.00%
30Y 4.30 11/1993
10/2023
3.53$ 4.88 4.17$ 5.38 4.81$ 5.80 5.42$ 7.04 01/1985
12/2014
7.69$ 4.67 0.00%
Annualized rolling and percentiles/median 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
1.96
60%
-0.91
40%
-1.06
80%
1.96
80%
0.04
60%
1.18
80%
2.54
100%
-0.44
40%
-2.82
20%
1.17
60%
3.51
80%
0.62
60%
Best 7.2
2019
3.5
2021
3.3
2022
5.6
2020
3.8
2020
4.0
2023
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
-2.5
2023
-3.5
2021
-5.0
2018
Monthly Seasonality over the period Feb 1985 - Nov 2023
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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
0.78
60%
-0.09
50%
0.02
70%
1.55
90%
0.36
70%
0.90
80%
1.43
80%
-0.40
50%
-1.73
40%
0.65
60%
1.70
60%
0.48
60%
Best 7.2
2019
4.2
2014
6.1
2016
5.6
2020
3.8
2020
4.0
2023
3.9
2020
3.1
2020
1.5
2019
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 Feb 1985 - Nov 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%
0.43
64%
1.19
72%
0.21
64%
-0.06
59%
0.12
56%
0.81
62%
1.74
87%
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 Feb 1985 - Nov 2023

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Roger Gibson Five Asset Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ROGER GIBSON FIVE ASSET PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
235 Positive Months (65%) - 125 Negative Months (35%)
316 Positive Months (68%) - 151 Negative Months (32%)
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(Scroll down to see all data)
Investment Returns, up to December 2013, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can see details about extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • VTI - Vanguard Total Stock Market, up to December 2001
  • VEU - Vanguard FTSE All-World ex-US, up to December 2007
  • VNQ - Vanguard Real Estate, up to December 2004
  • BND - Vanguard Total Bond Market, up to December 2007
  • BNDX - Vanguard Total International Bond, up to December 2013
  • DBC - Invesco DB Commodity Tracking, up to December 2006

Portfolio efficiency

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 +10.76 12.35 -43.61 80 20 0
US Stocks Minimum Volatility +9.58 13.72 -43.27 100 0 0
Stocks/Bonds 60/40 Momentum +9.34 9.56 -32.52 60 40 0
Stocks/Bonds 80/20 +9.02 12.49 -41.09 80 20 0
Simple Path to Wealth JL Collins +8.78 11.75 -38.53 75 25 0
Robust Alpha Architect +8.67 11.09 -44.20 70 20 10
Dedalo Four Dedalo Invest +8.28 12.41 -43.94 80 20 0
Aim Bold Strategy Aim Ways +8.24 9.93 -30.09 45 40 15
Dedalo Eleven Dedalo Invest +8.16 12.77 -44.63 80 20 0
Late Sixties and Beyond Burton Malkiel +8.13 11.69 -41.80 71 29 0
Weird Portfolio Value Stock Geek +8.02 10.75 -32.97 60 20 20
Talmud Portfolio Roger Gibson +8.01 10.81 -40.17 66.7 33.3 0
Stocks/Bonds 60/40 +7.99 9.61 -30.55 60 40 0
Yale Endowment David Swensen +7.98 10.99 -39.48 70 30 0
Seven Value Scott Burns +7.96 11.31 -41.22 71.5 28.5 0
Core Four Rick Ferri +7.94 12.21 -44.44 80 20 0
Couch Potato Scott Burns +7.83 8.76 -27.04 50 50 0
Edge Select Moderately Aggressive Merrill Lynch +7.83 11.16 -38.23 69 31 0
Four Funds Bogleheads +7.79 12.45 -44.08 80 20 0
Stocks/Bonds 40/60 Momentum +7.75 6.99 -21.11 40 60 0
Three Funds Bogleheads +7.71 12.39 -43.68 80 20 0
Lazy Portfolio David Swensen +7.71 10.88 -40.89 70 30 0
Six Ways from Sunday Scott Burns +7.71 10.91 -39.14 66.7 33.3 0
Sheltered Sam 70/30 Bill Bernstein +7.69 10.70 -39.73 67.9 30 2.1
Jane Bryant Quinn Portfolio Jane Bryant Quinn +7.69 10.78 -39.55 70 30 0
LifeStrategy Growth Fund Vanguard +7.65 12.41 -44.18 80 20 0
Family Taxable Portfolio Ted Aronson +7.54 11.65 -38.46 70 30 0
Golden Butterfly Tyler +7.46 7.68 -17.79 40 40 20
No Brainer Portfolio Bill Bernstein +7.44 11.73 -40.40 75 25 0
Coffeehouse Bill Schultheis +7.41 9.68 -33.93 60 40 0
Gone Fishin' Portfolio Alexander Green +7.34 12.09 -43.02 65 30 5
Five Asset Roger Gibson +7.31 11.30 -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 +13.75 24.01 -81.08 100 0 0
US Stocks Momentum +12.01 15.28 -53.85 100 0 0
Stocks/Bonds 80/20 Momentum +10.76 12.35 -43.61 80 20 0
US Stocks +9.90 15.52 -50.84 100 0 0
US Stocks Value +9.71 15.36 -55.41 100 0 0
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