Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BND Vanguard Total Bond Market ETF | Total Bond Market | 33.34% |
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 33.33% |
VNQ Vanguard Real Estate ETF | REIT | 33.33% |
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Roger Gibson Talmud Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.
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Returns By Period
As of Jun 25, 2026, the Roger Gibson Talmud Portfolio returned 7.01% Year-To-Date and 7.64% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.10% | -1.54% | 7.49% | 6.15% | 20.78% | 19.17% | 11.44% | 13.70% |
Portfolio Roger Gibson Talmud Portfolio | -0.16% | 0.11% | 7.01% | 6.35% | 12.60% | 12.09% | 5.05% | 7.64% |
| Portfolio components: | ||||||||
BND Vanguard Total Bond Market ETF | 0.45% | 1.09% | 0.94% | 0.78% | 4.38% | 4.11% | 0.18% | 1.60% |
VNQ Vanguard Real Estate ETF | -0.87% | 0.25% | 10.80% | 10.46% | 10.33% | 10.98% | 2.52% | 5.35% |
VTI Vanguard Total Stock Market ETF | -0.01% | -0.86% | 8.80% | 7.33% | 22.77% | 20.62% | 11.81% | 15.14% |
Monthly Returns
Based on dividend-adjusted daily data since Apr 10, 2007, Roger Gibson Talmud Portfolio's average daily return is +0.03%, while the average monthly return is +0.63%. At this rate, an investment would double in approximately 9.2 years.
Historically, 66% of months were positive and 34% were negative. The best month was Apr 2009 with a return of +14.4%, while the worst month was Oct 2008 at -17.8%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Roger Gibson Talmud Portfolio closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +7.6%, while the worst single day was Mar 16, 2020 at -8.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.47% | 2.16% | -4.35% | 6.43% | 1.68% | -0.27% | 7.01% | ||||||
| 2025 | 1.76% | 1.32% | -2.79% | -0.93% | 2.23% | 2.51% | 0.70% | 2.33% | 1.53% | 0.12% | 1.08% | -0.85% | 9.25% |
| 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% |
| 2023 | 6.88% | -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% | 4.43% | 20.56% |
Benchmark Metrics
Roger Gibson Talmud Portfolio has an annualized alpha of 0.76%, beta of 0.68, and R2 of 0.81 versus S&P 500 Index. Calculated based on daily prices since April 10, 2007.
- This portfolio participated in 73.84% of S&P 500 Index downside but only 68.35% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.68 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.76%
- Beta
- 0.68
- R²
- 0.81
- Upside Capture
- 68.35%
- Downside Capture
- 73.84%
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.
Return for Risk
Risk / Return Rank
Roger Gibson Talmud Portfolio ranks 30 for risk / return — below 30% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Roger Gibson Talmud Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.58 | 1.67 | -0.09 |
| Sortino ratioReturn per unit of downside risk | 2.23 | 2.29 | -0.07 |
| Omega ratioGain probability vs. loss probability | 1.28 | 1.30 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.10 | 2.29 | -0.19 |
| Martin ratioReturn relative to average drawdown | 8.80 | 10.15 | -1.35 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 35 | 1.18 | 1.76 | 1.21 | 1.64 | 4.68 |
VNQ Vanguard Real Estate ETF | 24 | 0.75 | 1.11 | 1.14 | 1.24 | 3.92 |
VTI Vanguard Total Stock Market ETF | 60 | 1.79 | 2.46 | 1.32 | 2.56 | 11.37 |
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Dividends
Dividend yield
Roger Gibson Talmud Portfolio provided a 2.86% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.86% | 2.97% | 2.93% | 2.83% | 2.73% | 1.96% | 2.58% | 2.63% | 3.20% | 2.83% | 3.08% | 2.82% |
| Portfolio components: | ||||||||||||
BND Vanguard Total Bond Market ETF | 3.94% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
VNQ Vanguard Real Estate ETF | 3.59% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTI Vanguard Total Stock Market ETF | 1.04% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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 1.03%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -44.88%Mar 2009 | 1y 5mo | 1y 7mo | 3y 1dOct 2007 - Oct 2010 |
COVID crash2020 | -26.60%Mar 2020 | 1mo 1d | 7mo 23d | 8mo 24dFeb 2020 - Nov 2020 |
Bear market2022 | -24.61%Oct 2022 | 9mo 17d | 1y 10mo | 2y 7moDec 2021 - Aug 2024 |
2011 correction2011 | -13.30%Oct 2011 | 2mo 10d | 3mo 22d | 6mo 2dJul 2011 - Jan 2012 |
2025 selloff2025 | -11.86%Apr 2025 | 4mo 7d | 2mo 26d | 7mo 3dDec 2024 - Jul 2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a three-way bet on U.S. equities, REITs, and broad bonds, with the awkwardly neat detail that VNQ and VTI already move together a lot. In some sense, it is more a 60/40 portfolio with a real-estate accent than three independent sleeves.
The numbers
- The diversification ratio is 1.26 over 1Y, then 1.21, 1.18, 1.17, and 1.17 on longer windows; that is modest diversification, and the percentile ranks in the 33.6th-44.3th range say the platform has seen better.
- Effective asset count is 3.0 of 3, so there is no outright concentration problem by weight.
- The correlation profile is doing the real work: VNQ (Vanguard Real Estate ETF) and VTI (Vanguard Total Stock Market ETF) sit at 0.67, while BND (Vanguard Total Bond Market ETF) is close to flat to them.
The good
- BND is genuinely different from the equity sleeves. Its -0.13 correlation with VTI is the kind of thing that actually changes portfolio behavior when risk assets wobble.
- The weights are balanced, so no single sleeve dominates the arithmetic. That is tidy, and tidy portfolios are usually easier to understand.
The bad
- VNQ and VTI are not especially separate bets. Their 0.67 correlation means the portfolio has two equity-like sleeves that rhyme more than they contrast.
- The diversification ratio is only middling across time, which suggests the portfolio’s components share enough macro sensitivity that the structure is less three-cornered than it looks.
The ugly
- If rates rise while equity multiples compress, VNQ and VTI can weaken together, and the bond sleeve may not fully offset if duration is the thing being punished.
Next steps
- Portfolios with this correlation structure are often complemented by exposures whose drivers sit outside the equity-rate mix.
- The data would support viewing VNQ and VTI as a single risk bloc, with BND as the main diversifier.
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. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.26 | 1.21 | 1.18 | 1.17 | 1.17 |
The portfolio has a diversification ratio of 1.17, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Roger Gibson Talmud Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Apr 10, 2007 | 0.85 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while BND has the lowest at -0.13.
Asset Correlations Table
Find what Roger Gibson Talmud Portfolio is missing
See which holdings overlap, where Roger Gibson Talmud Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification