Roger Gibson Five Asset Portfolio

This strategy is Gibson's 5 Equal Asset Allocation Strategy. In its famous book "Asset Allocation: Balancing Financial Risks", Roger 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. It has been studied recently that managed futures in commodity could be an excellent diversifier with comparable equity like positive return. The recent representative study is a research paper by Yale Professors. We perform annual/quarterly/monthly rebalancing to monitor this strategy.

See Also

• Roger Gibson. "Asset Allocation: Balancing Financial Risks".McGraw-Hill. 2007.
• Gary Gorton, Geert Rouwenhorst. "Facts and Fantasies about Commodity Futures".Yale University Research Paper. 2004.