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

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%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

33.33%

VNQ
Vanguard Real Estate ETF
REIT

33.33%

S&P 500

Expense Ratio

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


0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.03%
0.50%1.00%1.50%2.00%0.03%

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
BND1.00-0.00-0.18
VNQ-0.001.000.69
VTI-0.180.691.00

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


140.00%160.00%180.00%200.00%220.00%240.00%260.00%OctoberNovemberDecember2024FebruaryMarch
184.91%
253.30%
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 Mar 16, 2024, the Roger Gibson Talmud Portfolio returned 0.61% Year-To-Date and 6.75% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.28%2.23%14.98%30.65%12.59%10.61%
Roger Gibson Talmud Portfolio0.61%1.14%8.98%14.12%6.28%6.82%
VNQ
Vanguard Real Estate ETF
-3.59%0.97%7.40%10.42%3.74%6.11%
VTI
Vanguard Total Stock Market ETF
6.95%2.11%15.69%32.05%13.74%12.01%
BND
Vanguard Total Bond Market ETF
-1.52%0.31%3.39%0.92%0.31%1.42%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.36%1.99%
2023-2.00%-4.84%-2.60%8.65%6.17%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.64
Roger Gibson Talmud Portfolio
1.28
VNQ
Vanguard Real Estate ETF
0.40
VTI
Vanguard Total Stock Market ETF
2.65
BND
Vanguard Total Bond Market ETF
0.17

Sharpe Ratio

The current Roger Gibson Talmud Portfolio Sharpe ratio is 1.28. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.28

The Sharpe ratio of Roger Gibson Talmud Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
1.28
2.64
Roger Gibson Talmud Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Roger Gibson Talmud Portfolio granted a 2.90% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Roger Gibson Talmud Portfolio2.90%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
4.10%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
3.25%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.


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-7.35%
-1.12%
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 7.35%.


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 2.32%, 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.


2.00%3.00%4.00%5.00%OctoberNovemberDecember2024FebruaryMarch
2.32%
3.36%
Roger Gibson Talmud Portfolio
Benchmark (^GSPC)
Portfolio components
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