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 3, 2026, the Roger Gibson Talmud Portfolio returned 6.65% Year-To-Date and 7.56% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.74% | 4.90% | 10.35% | 10.28% | 26.52% | 20.83% | 12.30% | 13.66% |
Portfolio Roger Gibson Talmud Portfolio | -0.36% | 1.47% | 6.65% | 6.21% | 14.46% | 11.90% | 5.19% | 7.56% |
| Portfolio components: | ||||||||
BND Vanguard Total Bond Market ETF | -0.19% | 0.27% | 0.27% | 0.12% | 5.11% | 3.96% | 0.09% | 1.58% |
VNQ Vanguard Real Estate ETF | -0.12% | -1.10% | 7.83% | 6.75% | 9.97% | 9.15% | 2.18% | 5.21% |
VTI Vanguard Total Stock Market ETF | -0.72% | 4.99% | 11.20% | 11.09% | 28.18% | 22.07% | 12.69% | 15.05% |
Monthly Returns
Based on dividend-adjusted daily data since Apr 11, 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% | -0.60% | 6.65% | ||||||
| 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 0.63%, beta of 0.68, and R2 of 0.81 versus S&P 500 Index. Calculated based on daily prices since April 11, 2007.
- This portfolio participated in 74.39% of S&P 500 Index downside but only 68.33% 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
- 0.63%
- Beta
- 0.68
- R²
- 0.81
- Upside Capture
- 68.33%
- Downside Capture
- 74.39%
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 28 for risk / return — below 28% 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.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.85 | 2.24 | -0.39 |
Sortino ratioReturn per unit of downside risk | 2.63 | 3.07 | -0.45 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.41 | -0.07 |
Calmar ratioReturn relative to maximum drawdown | 2.41 | 2.93 | -0.51 |
Martin ratioReturn relative to average drawdown | 10.15 | 13.52 | -3.37 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 | 37 | 1.36 | 2.03 | 1.24 | 1.92 | 5.80 |
VNQ Vanguard Real Estate ETF | 23 | 0.76 | 1.12 | 1.14 | 1.20 | 3.78 |
VTI Vanguard Total Stock Market ETF | 68 | 2.33 | 3.18 | 1.42 | 3.17 | 14.62 |
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Dividends
Dividend yield
Roger Gibson Talmud Portfolio provided a 2.89% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.89% | 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 | 3.97% | 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 | 3.69% | 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 | 1.01% | 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 0.43%.
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
Thesis
The portfolio is a plain three-sleeve bet on U.S. real estate, U.S. equities, and the broad bond market, with the equity and property pieces doing most of the shared risk work.
The numbers
- The diversification ratio is 1.24 at 1Y and 1.17–1.20 over longer windows, which is only modest diversification benefit and sits around the 33rd–41st percentile on the platform.
- The effective number of assets is 3.0 of 3, so concentration is not the problem; correlation is.
- VNQ (REIT) and VTI (VTI) correlate at 0.67, which is enough to make them act like cousins in stress rather than separate engines.
What works
- BND (BND) is genuinely different here: its correlation to VTI is -0.13 and to VNQ is 0.04, so it supplies the only clear counterweight.
- The weights are evenly spread, so no single sleeve is carrying the whole structure.
What does not
- VNQ and VTI sit in the same macro neighborhood, both leaning on growth, rates, and financial conditions; the cluster data agrees and puts them together.
- The portfolio’s low DR percentile says the mix is more balanced than diversified, in the technical sense.
Stress Scenario
- A rates-up, risk-off regime would press on both VNQ and VTI at once, while BND may help only if duration rallies instead of merely failing less badly.
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 | 1.24 | 1.20 | 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 | 0.74 |
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 11, 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 -0.14.
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.
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