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Gibson Equal 5 Original
live (public) 0.23% December 30
Gibson's 5 Equal Asset Allocation Strategy comes from Roger Gibson’s widely read "Asset Allocation: Balancing Financial Risks."
In it, Gibson outlined a simple yet diversified asset allocation model: putting equal amount of investment into 5 asset classes: US Equity, International Equity, REIT, Commodity, Fixed Income. For Fixed Income, he further outlined a 70%/30% US domestic/international bond investment.
The most noticeable feature in this model portfolio is its heavy weight into commodity asset class.
Recent studies suggest that managed futures in commodity could be an excellent diversifier with equity like positive returns. The recent representative study is a research paper by Yale Professors.
| Asset | Fund in this portfolio | Price change* | Percentage |
|---|---|---|---|
| US Equity | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.46% | 20.00% |
| Real Estate | VGSIX (VANGUARD REIT INDEX FUND INVESTOR SHARES) | 1.18% | 20.00% |
| Bonds | VBMFX (VANGUARD TOTAL BOND MARKET INDEX FUND INVESTOR SHARES) | 0.19% | 12.08% |
| Bonds | OIBAX (Oppenheimer International Bond A) | 0.0% | 7.92% |
| Commodity | QRAAX (Unrecognized) | 20.00% |
* Day change on 12/30/2016.
Previous
Since 01/01/2002
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| Gibson Equal 5 Original | 7.7% | 6.4% | 2.2% | 5.3% | 2.4% | |
| VFINX (Vanguard (S&P 500) Index) | 7.9% | 27.1% | 8.5% | 13.5% | 12.5% | 14.6% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 3.5% | 15.3% | 2.8% | 7.7% | 7.7% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 01/02/2002 |
2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 0.3 | 6.4 | 2.2 | 5.3 | 2.4 | 6.1 | 6.6 | -4.5 | 4.9 | 8.8 | 11.4 | -0.1 | 13.5 | 20.6 | -33.5 | 7.9 | 13.9 | 11.8 | 17.9 | 26.5 | 0.6 |
| Sharpe Ratio | NA | 0.94 | 0.32 | 0.67 | 0.12 | 0.37 | 0.97 | -0.62 | 0.89 | 1.04 | 1.11 | -0.01 | 0.83 | 0.78 | -1.16 | 0.42 | 1.25 | 1.15 | 2.02 | 3.26 | -0.05 |
| Draw Down(%) | NA | 5.6 | 11.5 | 11.5 | 52.6 | 52.6 | 5.4 | 8.5 | 3.9 | 8.4 | 9.5 | 17.8 | 12.0 | 24.4 | 47.7 | 7.4 | 7.1 | 5.4 | 5.9 | 4.0 | 11.9 |
| Standard Deviation(%) | NA | 6.6 | 6.5 | 7.8 | 16.1 | 14.1 | 6.6 | 7.4 | 5.5 | 8.5 | 10.2 | 18.2 | 16.0 | 26.2 | 29.6 | 11.5 | 8.5 | 8.4 | 8.4 | 7.9 | 11.0 |
| Treynor Ratio | NA | -2.02 | 9.84 | 0.21 | 0.03 | 0.09 | -2.02 | -1.52 | -7.46 | 0.13 | 0.15 | 0.0 | 0.16 | 0.23 | -0.51 | 0.08 | 0.17 | 0.2 | 0.42 | 0.85 | -0.01 |
| Alpha | NA | 0.03 | 0.01 | 0.01 | 0.0 | 0.01 | 0.03 | -0.02 | 0.02 | -0.04 | 0.01 | 0.0 | 0.01 | 0.0 | -0.04 | 0.02 | 0.02 | 0.03 | 0.05 | 0.06 | 0.04 |
| Beta | NA | -0.03 | 0.0 | 0.25 | 0.65 | 0.59 | -0.03 | 0.03 | -0.01 | 0.68 | 0.74 | 0.74 | 0.85 | 0.91 | 0.67 | 0.64 | 0.64 | 0.48 | 0.4 | 0.3 | 0.35 |
| RSquared | NA | 0.0 | 0.0 | 0.17 | 0.72 | 0.66 | 0.0 | 0.0 | 0.0 | 0.8 | 0.84 | 0.9 | 0.9 | 0.89 | 0.88 | 0.78 | 0.56 | 0.35 | 0.28 | 0.43 | 0.7 |
| Sortino Ratio | NA | 1.35 | 0.45 | 0.96 | 0.17 | 0.51 | 1.4 | -0.82 | 1.28 | 1.44 | 1.66 | -0.01 | 1.2 | 1.1 | -1.49 | 0.58 | 1.95 | 1.7 | 3.01 | 5.17 | -0.06 |
| Yield(%) | N/A | 4.9 | 3.03 | 2.89 | 3.39 | 3.97 | 4.93 | 2.29 | 1.91 | 2.48 | 2.77 | 3.72 | 2.99 | 2.77 | 3.76 | 6.08 | 3.62 | 5.74 | 9.56 | 3.28 | 3.67 |
| Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 01/01/2002
| Asset Allocation Strategy | Fixed Time Interval Rebalancing |
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