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Roger Gibson Talmud Portfolio
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


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

Benchmark: S&P 500 Index · Rebalance: Every 3 months

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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 Every 3 months.


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Benchmark

Compare your portfolio against anything

Returns By Period

As of Aug 5, 2026, the Roger Gibson Talmud Portfolio returned 9.55% Year-To-Date and 7.37% of annualized return in the last 10 years.


Position1D1M6MYTD1Y3Y*5Y*10Y*ALL TIME*
Benchmark
S&P 500 Index
1.79%3.38%11.83%13.02%22.22%19.99%11.80%13.49%8.15%
Portfolio
Roger Gibson Talmud Portfolio
0.71%1.21%8.53%9.55%13.61%12.05%4.96%7.37%7.07%
BND
Vanguard Total Bond Market ETF
0.40%-0.57%-0.04%0.10%2.34%4.18%-0.30%1.44%3.02%
VNQ
Vanguard Real Estate ETF
-0.15%0.92%12.49%13.98%14.38%10.29%2.28%4.99%7.72%
VTI
Vanguard Total Stock Market ETF
1.87%3.27%12.73%14.27%24.07%21.13%12.31%14.87%9.72%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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, 67% of months were positive and 33% 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%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20261.47%2.16%-4.35%6.43%1.68%0.48%0.27%1.35%9.55%
20251.76%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%
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%4.43%20.56%

Benchmark Metrics

This portfolio has an annualized alpha of 0.70%, 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 73.82% of S&P 500 Index downside but only 68.13% 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
0.70%
Beta
0.68
0.81
Upside Capture
68.13%
Downside Capture
73.82%

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 45 for risk / return — above 45% of Portfolios peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.


Roger Gibson Talmud Portfolio Risk / Return Rank: 4545
Overall Rank
Roger Gibson Talmud Portfolio Sharpe Ratio Rank: 4545
Sharpe Ratio Rank
Roger Gibson Talmud Portfolio Sortino Ratio Rank: 4747
Sortino Ratio Rank
Roger Gibson Talmud Portfolio Omega Ratio Rank: 4949
Omega Ratio Rank
Roger Gibson Talmud Portfolio Calmar Ratio Rank: 3737
Calmar Ratio Rank
Roger Gibson Talmud Portfolio Martin Ratio Rank: 4848
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

Risk / Return 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.


PortfolioBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

1.72

1.73

-0.01

Sortino ratioReturn per unit of downside risk

2.44

2.40

+0.04

Omega ratioGain probability vs. loss probability

1.32

1.31

0.00

Calmar ratioReturn relative to maximum drawdown

2.27

2.45

-0.18

Martin ratioReturn relative to average drawdown

9.54

10.40

-0.86


How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

PositionRisk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF
24
0.650.941.110.882.17
VNQ
Vanguard Real Estate ETF
40
1.051.541.191.735.60
VTI
Vanguard Total Stock Market ETF
72
1.852.551.332.7111.68

Sharpe Ratio

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. Learn how to interpret the Sharpe ratio.

The current Roger Gibson Talmud Portfolio Sharpe ratio is 1.72 as of Aug 5, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.36 to 2.20, 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.


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Dividends

Dividend yield

Roger Gibson Talmud Portfolio provided a 2.85% dividend yield over the last twelve months.


PositionTTM20252024202320222021202020192018201720162015
Portfolio2.85%2.97%2.93%2.83%2.73%1.96%2.58%2.63%3.20%2.83%3.08%2.82%
BND
Vanguard Total Bond Market ETF
4.03%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
3.51%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
1.02%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.


Drawdown

Fall

Recovery

Underwater

Related event

-44.88%Mar 2009
1y 5mo1y 7mo
3y 1dOct 2007 - Oct 2010
Financial crisis2007–2009
-26.60%Mar 2020
1mo 1d7mo 23d
8mo 24dFeb 2020 - Nov 2020
COVID crash2020
-24.61%Oct 2022
9mo 17d1y 10mo
2y 7moDec 2021 - Aug 2024
Bear market2022
-13.30%Oct 2011
2mo 10d3mo 22d
6mo 2dJul 2011 - Jan 2012
-11.86%Apr 2025
4mo 7d2mo 26d
7mo 3dDec 2024 - Jul 2025
2025 selloff2025

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-part bet on U.S. assets, with Vanguard Real Estate ETF (VNQ) and Vanguard Total Stock Market ETF (VTI) forming the growth cluster while Vanguard Total Bond Market ETF (BND) supplies the ballast. The structure is balanced by weight, less balanced by behavior.

The numbers

  • Diversification ratio: 1.28 over 1Y versus the 47th percentile, falling to 1.17 since inception, or the 34th percentile.
  • VNQ–VTI correlation is 0.66; BND is nearly independent, at 0.04 with VNQ and -0.13 with VTI.
  • Effective asset count is 3.0 out of 3, so the weights are genuinely spread even if two sleeves share an equity engine.

The good

  • BND’s 0.08 portfolio correlation provides the portfolio’s clearest diversification benefit.
  • Equal weighting avoids a single holding dominating the arithmetic.

The bad

  • VNQ and VTI account for 66.66% of capital and behave as one broad risk cluster during equity stress.
  • The long-run diversification benefit is modest, not unusual for a portfolio whose “three assets” include two equity-sensitive ones.

The ugly

  • A recession with falling property values and weaker corporate earnings could make VNQ and VTI converge precisely when diversification is most useful.

Next steps

  • Portfolios with this profile are typically complemented by exposures whose drivers sit outside both equity and commercial real estate cycles.
  • A larger BND sleeve would change the portfolio’s correlation structure more than another equity-sector holding.
AI-generated analysis. Not investment advice. Verify key facts independently.
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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

1.28

1.21

1.19

1.17

1.17

The portfolio has a diversification ratio of 1.17, placing it in the bottom quartile across portfolios. The holdings provided limited volatility reduction when combined.

Roger Gibson Talmud Portfolio correlation to the S&P 500 Index

Roger Gibson Talmud Portfolio has a 0.71 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.71

Correlation (3Y)
Balances recent behavior with more history.

0.77

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.83

Correlation (10Y)
Provides a long-term view across more market conditions.

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.

BND
-0.13
VNQ
0.65
VTI
0.99

Portfolio Correlations

Correlation vs. Roger Gibson Talmud Portfolio. VNQ has the highest portfolio correlation at 0.93, while BND has the lowest at 0.08.

BND
0.08
VTI
0.86
VNQ
0.93

Asset Correlations Table

See how each holding historically moved in relation to the other holdings, the portfolio, and the selected benchmark.

BNDVNQVTI
BND1.000.04-0.13
VNQ0.041.000.66
VTI-0.130.661.00
Based on daily historical returns since Apr 10, 2007
Diversification Analysis

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