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% |
Benchmark: S&P 500 Index · Rebalance: Every 3 months
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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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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.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 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% |
| Portfolio components: | |||||||||
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% |
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%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.47% | 2.16% | -4.35% | 6.43% | 1.68% | 0.48% | 0.27% | 1.35% | 9.55% | ||||
| 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
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
- R²
- 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.
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.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| 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.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 24 | 0.65 | 0.94 | 1.11 | 0.88 | 2.17 |
VNQ Vanguard Real Estate ETF | 40 | 1.05 | 1.54 | 1.19 | 1.73 | 5.60 |
VTI Vanguard Total Stock Market ETF | 72 | 1.85 | 2.55 | 1.33 | 2.71 | 11.68 |
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Dividends
Dividend yield
Roger Gibson Talmud Portfolio provided a 2.85% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.85% | 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 | 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 5mo | 1y 7mo | 3y 1dOct 2007 - Oct 2010 | Financial crisis2007–2009 |
-26.60%Mar 2020 | 1mo 1d | 7mo 23d | 8mo 24dFeb 2020 - Nov 2020 | COVID crash2020 |
-24.61%Oct 2022 | 9mo 17d | 1y 10mo | 2y 7moDec 2021 - Aug 2024 | Bear market2022 |
-13.30%Oct 2011 | 2mo 10d | 3mo 22d | 6mo 2dJul 2011 - Jan 2012 | — |
-11.86%Apr 2025 | 4mo 7d | 2mo 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.
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
| 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.
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.
Analyze Diversification