Roger Gibson Five Asset vs US Stocks Minimum Volatility Portfolio Comparison

Last Update: 29 February 2024

The Roger Gibson Five Asset Portfolio obtained a 7.30% compound annual return, with a 11.29% standard deviation, in the last 30 Years.

The US Stocks Minimum Volatility Portfolio obtained a 9.77% compound annual return, with a 13.71% standard deviation, in the last 30 Years.

Summary

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Roger Gibson Five Asset Portfolio US Stocks Minimum Volatility Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 60% 100%
Fixed Income 20% 0%
Commodities 20% 0%
30 Years Stats Return +7.30% +9.77%
Std Dev 11.29% 13.71%
Max Drawdown -44.75% -43.27%
All time Stats
(Since Jan 1985)
Return +8.93% +11.14%
Std Dev 10.68% 14.21%
Max Drawdown -44.75% -43.27%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
Roger Gibson Five Asset Portfolio +1.55 +4.96 +9.48 +7.18 +5.25 +7.30 +8.93
US Stocks Minimum Volatility Portfolio +2.09 +9.89 +17.47 +9.15 +10.62 +9.77 +11.14
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Roger Gibson Five Asset Portfolio: an investment of 1$, since March 1994, now would be worth 8.27$, with a total return of 727.42% (7.30% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since March 1994, now would be worth 16.37$, with a total return of 1536.95% (9.77% annualized).

Roger Gibson Five Asset Portfolio: an investment of 1$, since January 1985, now would be worth 28.51$, with a total return of 2750.91% (8.93% annualized).

US Stocks Minimum Volatility Portfolio: an investment of 1$, since January 1985, now would be worth 62.63$, with a total return of 6163.30% (11.14% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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Roger Gibson Five Asset Portfolio
US Stocks Minimum Volatility Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-44.75% Jun 2008 Feb 2009 (9) Feb 2011 (33) 23.07
-43.27% Nov 2007 Feb 2009 (16) Feb 2011 (40) 20.28
-35.36% Sep 2000 Sep 2002 (25) Jul 2005 (59) 18.12
-19.30% Jan 2020 Mar 2020 (3) Nov 2020 (11) 8.97
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-16.52% Jul 1998 Aug 1998 (2) Nov 1998 (5) 8.42
-16.29% Apr 2022 Sep 2022 (6) In progress (23) 8.13
-15.14% May 2011 Sep 2011 (5) Aug 2012 (16) 5.99
-13.25% Apr 1998 Aug 1998 (5) Apr 1999 (13) 5.68
-13.03% Sep 2014 Feb 2016 (18) Jan 2017 (29) 5.79
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-11.36% Feb 2001 Oct 2001 (9) May 2003 (28) 6.61
-10.00% Oct 2018 Dec 2018 (3) Apr 2019 (7) 4.59
-9.14% Jul 1999 Sep 1999 (3) Dec 1999 (6) 4.76
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65
-5.79% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.17
-5.47% Aug 1997 Aug 1997 (1) Dec 1997 (5) 2.74
-5.38% Mar 1994 Nov 1994 (9) Apr 1995 (14) 2.59
-5.27% Aug 2016 Oct 2016 (3) Feb 2017 (7) 2.90

Drawdown comparison chart since January 1985.

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Roger Gibson Five Asset Portfolio
US Stocks Minimum Volatility Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-44.75% Jun 2008 Feb 2009 (9) Feb 2011 (33) 23.07
-43.27% Nov 2007 Feb 2009 (16) Feb 2011 (40) 20.28
-35.36% Sep 2000 Sep 2002 (25) Jul 2005 (59) 18.12
-30.08% Sep 1987 Nov 1987 (3) May 1989 (21) 16.33
-19.30% Jan 2020 Mar 2020 (3) Nov 2020 (11) 8.97
-19.06% Feb 2020 Mar 2020 (2) Nov 2020 (10) 8.46
-17.35% Jan 2022 Sep 2022 (9) Jan 2024 (25) 8.33
-16.52% Jul 1998 Aug 1998 (2) Nov 1998 (5) 8.42
-16.29% Apr 2022 Sep 2022 (6) In progress (23) 8.13
-15.14% May 2011 Sep 2011 (5) Aug 2012 (16) 5.99
-14.10% Jun 1990 Oct 1990 (5) Feb 1991 (9) 7.72
-13.25% Apr 1998 Aug 1998 (5) Apr 1999 (13) 5.68
-13.03% Sep 2014 Feb 2016 (18) Jan 2017 (29) 5.79
-11.70% May 2011 Sep 2011 (5) Dec 2011 (8) 4.61
-11.38% Sep 1987 Nov 1987 (3) Jun 1988 (10) 5.93
-11.36% Feb 2001 Oct 2001 (9) May 2003 (28) 6.61
-10.00% Oct 2018 Dec 2018 (3) Apr 2019 (7) 4.59
-9.14% Jul 1999 Sep 1999 (3) Dec 1999 (6) 4.76
-8.39% Sep 1986 Sep 1986 (1) Jan 1987 (5) 3.95
-7.56% Oct 2018 Dec 2018 (3) Feb 2019 (5) 3.65

Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Year Return Drawdown Return Drawdown
2024
+0.62%
-0.91%
+4.31%
0.00%
2023
+10.78%
-7.73%
+10.34%
-4.29%
2022
-11.00%
-16.29%
-9.42%
-17.35%
2021
+22.77%
-3.55%
+20.84%
-4.99%
2020
+5.29%
-19.30%
+5.64%
-19.06%
2019
+20.35%
-3.32%
+27.69%
-1.61%
2018
-7.26%
-10.00%
+1.36%
-7.56%
2017
+12.32%
-0.50%
+18.91%
-0.35%
2016
+9.61%
-3.95%
+10.57%
-5.27%
2015
-5.77%
-8.86%
+5.45%
-5.12%
2014
+3.39%
-4.13%
+16.33%
-3.04%
2013
+8.12%
-4.34%
+25.09%
-3.26%
2012
+12.31%
-6.55%
+10.82%
-2.17%
2011
+0.22%
-15.14%
+12.70%
-11.70%
2010
+15.28%
-9.00%
+14.52%
-12.81%
2009
+23.98%
-16.95%
+18.18%
-19.43%
2008
-29.02%
-36.68%
-25.77%
-28.06%
2007
+8.47%
-3.75%
+4.15%
-5.15%
2006
+15.69%
-2.03%
+14.77%
-3.11%
2005
+11.50%
-3.59%
+6.45%
-3.39%
2004
+17.11%
-5.79%
+14.34%
-2.88%
2003
+28.11%
-2.15%
+19.79%
-5.68%
2002
+3.88%
-5.15%
-15.44%
-24.56%
2001
-8.31%
-11.36%
-7.96%
-20.58%
2000
+12.13%
-2.94%
+2.67%
-9.24%
1999
+18.03%
-2.76%
+7.63%
-9.14%
1998
-0.41%
-13.25%
+22.82%
-16.52%
1997
+8.02%
-3.37%
+30.20%
-5.47%
1996
+19.46%
-2.51%
+14.96%
-5.24%
1995
+18.27%
-1.10%
+36.61%
-0.39%
1994
+0.49%
-6.61%
+0.13%
-7.03%
1993
+11.92%
-4.90%
+11.82%
-2.26%
1992
+4.38%
-3.09%
+6.42%
-2.83%
1991
+17.71%
-3.33%
+28.86%
-4.68%
1990
-1.78%
-7.29%
-2.01%
-14.10%
1989
+20.20%
-1.50%
+35.71%
-2.13%
1988
+18.43%
-1.97%
+15.74%
-3.84%
1987
+11.07%
-11.38%
+3.77%
-30.08%
1986
+22.93%
-2.98%
+17.36%
-8.39%
1985
+26.81%
-0.45%
+32.55%
-3.71%