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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
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

33.34%

VNQ
Vanguard Real Estate ETF
REIT

33.33%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

33.33%

S&P 500

Performance

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 Quarterly


180.00%200.00%220.00%240.00%260.00%280.00%300.00%FebruaryMarchAprilMayJuneJuly
200.55%
280.08%
Roger Gibson Talmud Portfolio
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Jul 18, 2024, the Roger Gibson Talmud Portfolio returned 7.24% Year-To-Date and 6.86% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Roger Gibson Talmud Portfolio6.14%2.80%7.41%11.39%6.44%6.74%
VNQ
Vanguard Real Estate ETF
2.61%7.02%6.16%8.04%4.18%5.69%
VTI
Vanguard Total Stock Market ETF
15.07%0.97%13.96%22.00%14.12%12.20%
BND
Vanguard Total Bond Market ETF
0.65%0.42%1.87%3.74%-0.03%1.40%

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
2024-1.36%1.98%2.06%-4.91%3.64%1.96%6.14%
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%6.02%-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%
20132.84%1.02%2.35%3.12%-1.89%-1.68%2.34%-3.61%2.82%3.21%-0.95%0.76%10.51%

Expense Ratio

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


Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Roger Gibson Talmud Portfolio is 15, indicating that it is in the bottom 15% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Roger Gibson Talmud Portfolio is 1515
Roger Gibson Talmud Portfolio
The Sharpe Ratio Rank of Roger Gibson Talmud Portfolio is 1616Sharpe Ratio Rank
The Sortino Ratio Rank of Roger Gibson Talmud Portfolio is 1616Sortino Ratio Rank
The Omega Ratio Rank of Roger Gibson Talmud Portfolio is 1616Omega Ratio Rank
The Calmar Ratio Rank of Roger Gibson Talmud Portfolio is 1212Calmar Ratio Rank
The Martin Ratio Rank of Roger Gibson Talmud Portfolio is 1616Martin 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.


Roger Gibson Talmud Portfolio
Sharpe ratio
The chart of Sharpe ratio for Roger Gibson Talmud Portfolio, currently valued at 1.03, compared to the broader market-1.000.001.002.003.004.005.001.03
Sortino ratio
The chart of Sortino ratio for Roger Gibson Talmud Portfolio, currently valued at 1.55, compared to the broader market-2.000.002.004.006.001.55
Omega ratio
The chart of Omega ratio for Roger Gibson Talmud Portfolio, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.19
Calmar ratio
The chart of Calmar ratio for Roger Gibson Talmud Portfolio, currently valued at 0.51, compared to the broader market0.002.004.006.008.0010.000.51
Martin ratio
The chart of Martin ratio for Roger Gibson Talmud Portfolio, currently valued at 2.93, compared to the broader market0.0010.0020.0030.0040.002.93
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.005.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
0.420.741.090.221.05
VTI
Vanguard Total Stock Market ETF
1.822.581.321.506.62
BND
Vanguard Total Bond Market ETF
0.500.761.090.181.47

Sharpe Ratio

The current Roger Gibson Talmud Portfolio Sharpe ratio is 1.22. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.63 to 2.48, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Roger Gibson Talmud Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.03
1.82
Roger Gibson Talmud Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Roger Gibson Talmud Portfolio granted a 2.92% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Roger Gibson Talmud Portfolio2.92%2.83%2.73%1.91%2.52%2.63%3.20%2.83%3.08%2.82%2.72%2.95%
VNQ
Vanguard Real Estate ETF
4.01%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
BND
Vanguard Total Bond Market ETF
3.41%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.26%
-2.86%
Roger Gibson Talmud Portfolio
Benchmark (^GSPC)
Portfolio components

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 1.25%.


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, 2022
-13.3%Jul 25, 201150Oct 3, 201176Jan 23, 2012126
-10.53%Aug 30, 201880Dec 24, 201834Feb 13, 2019114

Volatility

Volatility Chart

The current Roger Gibson Talmud Portfolio volatility is 1.98%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
1.98%
2.76%
Roger Gibson Talmud Portfolio
Benchmark (^GSPC)
Portfolio components

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.

BNDVNQVTI
BND1.000.01-0.17
VNQ0.011.000.69
VTI-0.170.691.00
The correlation results are calculated based on daily price changes starting from Apr 11, 2007