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Roger Gibson Talmud Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BND 33.34%VTI 33.33%VNQ 33.33%BondBondEquityEquityReal EstateReal Estate

Performance

Performance Chart


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The earliest data available for this chart is Apr 10, 2007, corresponding to the inception date of BND

Returns By Period

As of May 11, 2025, the Roger Gibson Talmud Portfolio returned -0.09% Year-To-Date and 6.56% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
Roger Gibson Talmud Portfolio-0.09%5.53%-3.12%9.25%7.63%6.56%
VNQ
Vanguard Real Estate ETF
1.12%7.92%-5.15%12.02%7.89%5.42%
VTI
Vanguard Total Stock Market ETF
-3.75%7.98%-5.68%9.17%15.27%11.77%
BND
Vanguard Total Bond Market ETF
2.21%0.98%1.19%5.53%-0.78%1.51%
*Annualized

Monthly Returns

The table below presents the monthly returns of Roger Gibson Talmud Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.76%1.32%-2.79%-0.93%0.62%-0.09%
2024-1.36%1.98%2.06%-4.91%3.64%1.96%4.08%2.99%2.22%-2.19%4.03%-4.35%10.03%
20236.88%-3.68%1.07%0.66%-1.57%4.05%1.86%-2.00%-4.84%-2.60%8.65%6.17%14.50%
2022-5.52%-2.34%2.12%-5.72%-1.38%-5.70%6.77%-4.20%-8.76%3.47%5.02%-3.99%-19.56%
2021-0.39%1.69%2.59%4.58%0.48%2.04%2.44%1.61%-3.76%4.61%-1.14%4.38%20.50%
20201.05%-4.43%-11.30%8.27%2.67%1.80%3.62%2.27%-2.19%-1.84%7.54%2.53%8.76%
20197.17%1.42%2.54%1.25%-1.57%3.25%1.09%1.47%1.05%1.18%0.83%1.20%22.73%
2018-0.09%-4.11%0.73%0.14%2.37%1.64%1.29%2.24%-0.98%-3.73%2.44%-5.02%-3.42%
20170.61%2.61%-0.81%0.70%0.33%1.07%1.17%0.25%0.62%0.36%1.87%0.53%9.69%
2016-2.64%0.17%6.01%-0.43%1.32%3.06%2.95%-1.30%-0.51%-2.95%0.11%2.36%8.07%
20152.16%0.11%0.37%-1.85%0.18%-2.44%2.78%-4.25%0.38%4.59%-0.13%-0.16%1.46%
20140.87%3.46%0.28%1.38%1.86%1.29%-0.73%2.77%-2.92%4.46%1.78%0.71%16.09%

Expense Ratio

Roger Gibson Talmud Portfolio has an expense ratio of 0.06%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Roger Gibson Talmud Portfolio is 67, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Roger Gibson Talmud Portfolio is 6767
Overall Rank
The Sharpe Ratio Rank of Roger Gibson Talmud Portfolio is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of Roger Gibson Talmud Portfolio is 6767
Sortino Ratio Rank
The Omega Ratio Rank of Roger Gibson Talmud Portfolio is 6868
Omega Ratio Rank
The Calmar Ratio Rank of Roger Gibson Talmud Portfolio is 6767
Calmar Ratio Rank
The Martin Ratio Rank of Roger Gibson Talmud Portfolio is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
0.661.091.140.542.35
VTI
Vanguard Total Stock Market ETF
0.470.831.120.511.94
BND
Vanguard Total Bond Market ETF
1.001.451.170.422.54

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Roger Gibson Talmud Portfolio Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.77
  • 5-Year: 0.59
  • 10-Year: 0.52
  • All Time: 0.42

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Roger Gibson Talmud Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Roger Gibson Talmud Portfolio provided a 3.06% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio3.06%2.93%2.83%2.73%1.91%2.52%2.63%3.20%2.83%3.08%2.82%2.72%
VNQ
Vanguard Real Estate ETF
4.07%3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%
VTI
Vanguard Total Stock Market ETF
1.35%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
BND
Vanguard Total Bond Market ETF
3.75%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Roger Gibson Talmud Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Roger Gibson Talmud Portfolio was 44.88%, occurring on Mar 6, 2009. Recovery took 402 trading sessions.

The current Roger Gibson Talmud Portfolio drawdown is 4.44%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.88%Oct 8, 2007356Mar 6, 2009402Oct 8, 2010758
-26.6%Feb 21, 202022Mar 23, 2020163Nov 11, 2020185
-24.61%Dec 31, 2021199Oct 14, 2022462Aug 19, 2024661
-13.3%Jul 25, 201150Oct 3, 201176Jan 23, 2012126
-11.86%Dec 2, 202487Apr 8, 2025

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 3 assets, with an effective number of assets of 3.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCBNDVNQVTIPortfolio
^GSPC1.00-0.160.680.990.85
BND-0.161.000.03-0.160.05
VNQ0.680.031.000.690.94
VTI0.99-0.160.691.000.86
Portfolio0.850.050.940.861.00
The correlation results are calculated based on daily price changes starting from Apr 11, 2007

AI Insight on Diversification


The portfolio is moderately diversified but leans toward concentration in certain correlated assets. The very high correlation of 0.94 between the portfolio and VNQ indicates that the portfolio’s performance is heavily influenced by this real estate investment trust (REIT) component. Similarly, the portfolio shows a strong correlation of 0.86 with VTI, a broad U.S. stock market index, suggesting that equities also play a significant role in driving the portfolio’s returns.

On the other hand, BND, a bond index fund, exhibits very low correlations with both VNQ (0.03) and VTI (-0.16), which is beneficial for diversification as it provides a different risk-return profile compared to the equity and real estate holdings. The portfolio’s low correlation of 0.05 with BND further confirms that bonds contribute to reducing overall portfolio volatility.

However, the high correlation (0.69) between VNQ and VTI implies that the equity and real estate components move somewhat in tandem, which reduces diversification benefits within the equity portion of the portfolio. This clustering of correlated assets means the portfolio is somewhat concentrated in market-sensitive sectors.

In summary, while the inclusion of BND adds a diversification buffer, the portfolio is dominated by VNQ and VTI, which are highly correlated and thus limit the overall diversification. The portfolio is not fully concentrated but could benefit from additional assets with low or negative correlations to further enhance diversification and reduce risk.

Last updated May 11, 2025