PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
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%

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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
10.70%
11.32%
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 Dec 11, 2024, the Roger Gibson Talmud Portfolio returned 13.56% Year-To-Date and 7.11% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
26.52%0.66%12.27%30.56%13.80%11.69%
Roger Gibson Talmud Portfolio13.56%0.21%10.70%18.32%6.93%7.11%
VNQ
Vanguard Real Estate ETF
10.11%-0.95%15.28%17.51%4.82%5.76%
VTI
Vanguard Total Stock Market ETF
27.49%0.62%12.97%31.68%15.01%13.21%
BND
Vanguard Total Bond Market ETF
3.16%0.94%3.51%5.63%-0.07%1.47%

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%4.08%2.99%2.22%-2.19%4.03%13.56%
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%6.01%-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 33, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Roger Gibson Talmud Portfolio is 3333
Overall Rank
The Sharpe Ratio Rank of Roger Gibson Talmud Portfolio is 3535
Sharpe Ratio Rank
The Sortino Ratio Rank of Roger Gibson Talmud Portfolio is 3838
Sortino Ratio Rank
The Omega Ratio Rank of Roger Gibson Talmud Portfolio is 3636
Omega Ratio Rank
The Calmar Ratio Rank of Roger Gibson Talmud Portfolio is 1919
Calmar Ratio Rank
The Martin Ratio Rank of Roger Gibson Talmud Portfolio is 3939
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Roger Gibson Talmud Portfolio, currently valued at 2.04, compared to the broader market-6.00-4.00-2.000.002.004.002.042.54
The chart of Sortino ratio for Roger Gibson Talmud Portfolio, currently valued at 2.86, compared to the broader market-6.00-4.00-2.000.002.004.006.002.863.39
The chart of Omega ratio for Roger Gibson Talmud Portfolio, currently valued at 1.36, compared to the broader market0.501.001.501.361.47
The chart of Calmar ratio for Roger Gibson Talmud Portfolio, currently valued at 1.60, compared to the broader market0.002.004.006.008.0010.0012.0014.001.603.66
The chart of Martin ratio for Roger Gibson Talmud Portfolio, currently valued at 11.91, compared to the broader market0.0010.0020.0030.0040.0050.0011.9116.25
Roger Gibson Talmud Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
1.101.591.200.683.92
VTI
Vanguard Total Stock Market ETF
2.623.491.483.8216.72
BND
Vanguard Total Bond Market ETF
1.071.571.190.443.27

The current Roger Gibson Talmud Portfolio Sharpe ratio is 2.04. 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 1.81 to 2.65, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.04
2.54
Roger Gibson Talmud Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Roger Gibson Talmud Portfolio provided a 2.89% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.89%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
3.86%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
1.25%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
3.56%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. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.28%
-0.91%
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 1.28%.


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, 2022462Aug 19, 2024661
-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 1.95%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.95%
2.24%
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
BND1.000.02-0.16
VNQ0.021.000.69
VTI-0.160.691.00
The correlation results are calculated based on daily price changes starting from Apr 11, 2007
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab