Roger Gibson Talmud Portfolio To EUR Bond Hedged: ETF allocation and returns

Simulation Settings

Period: August 1953 - October 2024 (~71 years)
Consolidated Returns as of 31 October 2024

Rebalancing: at every Jan 1^st

Currency: EUR

1.00€
Initial Capital
November 1994
12.60€
Final Capital
October 2024
8.81%
Yearly Return
10.95
Std Deviation
-39.41%
Max Drawdown
46months
Recovery Period

1.00€
Initial Capital
August 1953
412.47€
Final Capital
October 2024
8.82%
Yearly Return
10.85
Std Deviation
-39.41%
Max Drawdown
46months
Recovery Period

The Roger Gibson Talmud Portfolio To EUR Bond Hedged can be implemented with 3 ETFs. This portfolio has a high risk, indicating it can undergo considerable value changes. It is appropriate for investors with a high risk tolerance who are aiming for higher returns and can handle notable drawdowns.

The portfolio asset allocation is: 66.67% on the Stock Market, 33.33% on Fixed Income, 0% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 33.33% allocation to bonds, leading to its classification as high risk.

As of October 2024, in the previous 30 Years, the Roger Gibson Talmud Portfolio To EUR Bond Hedged obtained a 8.81% compound annual return, with a 10.95% standard deviation. It suffered a maximum drawdown of -39.41% that required 46 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.

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Asset Allocation and ETFs

To effectively implement the asset allocation of the Roger Gibson Talmud Portfolio To EUR Bond Hedged, investors can utilize the following selection of ETFs. These ETFs have been chosen specifically for their ability to represent each asset class within the portfolio and facilitate ease of management.

          66.67% Stocks
        
          33.33% Fixed Income
        
          0% Commodities

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Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
33.34	XD9U.DE	EUR	Xtrackers MSCI USA	Equity, U.S., Large Cap (USD)
33.33	IQQ7.DE	EUR	iShares US Property Yield	Real Estate, U.S. (USD)
33.33	CEBW.DE	EUR Hedged	iShares US Aggregate Bond EUR Hedged	Bond, U.S., All-Term (USD)

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Portfolio and ETF Returns as of Oct 31, 2024

The Roger Gibson Talmud Portfolio To EUR Bond Hedged guaranteed the following returns.

Returns are calculated in EUR, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
the actual Euro Inflation rates.

ROGER GIBSON TALMUD PORTFOLIO TO EUR BOND HEDGED

1 August 1953 - 31 October 2024 (~71 years)

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			Chg (%)		Return (%)	Return (%) as of Oct 31, 2024
			1 Day	*Time ET^()**	Nov 2024	YTD (10M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~71Y)
Investment Return			n.a.		n.a.	12.32	0.74	11.54	25.71	6.33	7.37	8.81	8.82
Euro Inflation Adjusted Return						9.68	0.40	10.67	23.23	2.44	4.86	6.62	5.99
*Components*
XD9U.DE	EUR	Xtrackers MSCI USA	n.a.	-	n.a.	23.04	2.83	11.62	35.68	15.71	14.47	11.25	11.34
IQQ7.DE	EUR	iShares US Property Yield	n.a.	-	n.a.	14.28	1.71	19.21	34.81	3.50	6.55	9.35	8.32
CEBW.DE	EUR Hedged	iShares US Aggregate Bond EUR Hedged	n.a.	-	n.a.	-0.36	-2.78	3.79	7.64	-1.66	0.05	3.69	4.92
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Oct 2024. Inflation (annualized) is 1Y: 2.01% , 5Y: 3.80% , 10Y: 2.40% , 30Y: 2.06%

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Capital Growth as of Oct 31, 2024

An investment of 1€, from November 1994 to October 2024, would be worth 12.60€, with a total return of 1159.66% (8.81% annualized).

The Inflation Adjusted Capital would be 6.84€, with a net total return of 584.13% (6.62% annualized).

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An investment of 1€, from August 1953 to October 2024, would be worth 412.47€, with a total return of 41146.71% (8.82% annualized).

The Inflation Adjusted Capital would be 62.99€, with a net total return of 6198.69% (5.99% annualized).

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Portfolio Metrics as of Oct 31, 2024

Metrics of Roger Gibson Talmud Portfolio To EUR Bond Hedged, updated as of 31 October 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
the actual Euro Inflation rates.

ROGER GIBSON TALMUD PORTFOLIO TO EUR BOND HEDGED

Advanced Metrics

1 August 1953 - 31 October 2024 (~71 years)

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	Metrics as of Oct 31, 2024
	YTD (10M)	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~71Y)
Investment Return (%)	12.32	0.74	3.32	11.54	25.71	3.24	6.33	7.37	7.65	8.81	8.82
Growth of 1€	1.12	1.01	1.03	1.12	1.26	1.10	1.36	2.04	4.37	12.60	412.47
Infl. Adjusted Return (%)	9.68	0.40	2.92	10.67	23.23	-1.78	2.44	4.86	5.43	6.62	5.99
Euro Inflation (%)	2.41	0.34	0.39	0.79	2.01	5.11	3.80	2.40	2.11	2.06	2.67
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:				Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)				0.00	-3.26	-16.76	-16.76	-16.76	-39.41	-39.41	-39.41
Start to Recovery (# months)					3	31	31	31	46	46	46
Start (yyyy mm)					2024 04	2022 01	2022 01	2022 01	2007 02	2007 02	2007 02
Start to Bottom (# months)					1	22	22	22	26	26	26
Bottom (yyyy mm)					2024 04	2023 10	2023 10	2023 10	2009 03	2009 03	2009 03
Bottom to End (# months)					2	9	9	9	20	20	20
End (yyyy mm)					2024 06	2024 07	2024 07	2024 07	2010 11	2010 11	2010 11
Longest Drawdown Depth (%)					same	same	same	same	same	same	same
Start to Recovery (# months)					same	same	same	same	same	same	same
Start (yyyy mm)					2024 04	2022 01	2022 01	2022 01	2007 02	2007 02	2007 02
Start to Bottom (# months)					1	22	22	22	26	26	26
Bottom (yyyy mm)					2024 04	2023 10	2023 10	2023 10	2009 03	2009 03	2009 03
Bottom to End (# months)					2	9	9	9	20	20	20
End (yyyy mm)					2024 06	2024 07	2024 07	2024 07	2010 11	2010 11	2010 11
Longest negative period (# months)					2	31	31	36	57	108	108
Start (yyyy mm)					2024 03	2021 11	2021 11	2015 04	2004 11	2000 04	2000 04
End (yyyy mm)					2024 04	2024 05	2024 05	2018 03	2009 07	2009 03	2009 03
Annualized Return (%)					-5.58	-0.06	-0.06	-0.30	-0.60	-0.27	-0.27
Deepest Drawdown Depth (%)				-9.09	-3.82	-26.23	-26.23	-26.23	-42.40	-42.40	-42.40
Start to Recovery (# months)				34*	3	34*	34*	34*	60	60	60
Start (yyyy mm)					2024 04	2022 01	2022 01	2022 01	2007 02	2007 02	2007 02
Start to Bottom (# months)					1	22	22	22	26	26	26
Bottom (yyyy mm)					2024 04	2023 10	2023 10	2023 10	2009 03	2009 03	2009 03
Bottom to End (# months)					2	12	12	12	34	34	34
End (yyyy mm)					2024 06	-	-	-	2012 01	2012 01	2012 01
Longest Drawdown Depth (%)					same	same	same	same	same	same	-41.47
Start to Recovery (# months)					same	same	same	same	same	same	100
Start (yyyy mm)					2024 04	2022 01	2022 01	2022 01	2007 02	2007 02	1971 05
Start to Bottom (# months)					1	22	22	22	26	26	44
Bottom (yyyy mm)					2024 04	2023 10	2023 10	2023 10	2009 03	2009 03	1974 12
Bottom to End (# months)					2	12	12	12	34	34	56
End (yyyy mm)					2024 06	-	-	-	2012 01	2012 01	1979 08
Longest negative period (# months)					4	36*	53	56	68	135	209
Start (yyyy mm)					2024 01	2021 11	2019 12	2019 03	2006 02	1998 01	1957 08
End (yyyy mm)					2024 04	2024 10	2024 04	2023 10	2011 09	2009 03	1974 12
Annualized Return (%)					-2.67	-1.78	-0.04	-0.13	-0.12	-0.15	-0.03
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)					8.20	11.57	12.20	10.94	11.46	10.95	10.85
Sharpe Ratio					2.49	-0.03	0.34	0.53	0.54	0.60	0.43
Sortino Ratio					3.56	-0.04	0.45	0.72	0.74	0.81	0.59
Ulcer Index					1.07	9.50	8.25	6.38	9.50	8.52	7.56
Ratio: Return / Standard Deviation					3.14	0.28	0.52	0.67	0.67	0.80	0.81
Ratio: Return / Deepest Drawdown					7.89	0.19	0.38	0.44	0.19	0.22	0.22
Positive Months (%)					91.66	58.33	61.66	60.00	60.83	63.88	63.27
Positive Months					11	21	37	72	146	230	541
Negative Months					1	15	23	48	94	130	314
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized								7.37	13.78	13.78	20.35
Worst 10 Years Return (%) - Annualized								7.37	6.77	1.48	0.68
Best 10 Years Return (%) - Annualized								4.86	12.30	12.30	15.52
Worst 10 Years Return (%) - Annualized								4.86	4.43	-0.62	-3.27
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:		1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Oct 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized					51.35	26.40	19.51	13.78	10.39	8.81
Worst Rolling Return (%) - Annualized					-27.69	-13.00	-3.74	1.48	5.97	8.81
Positive Periods (%)					77.9	90.1	98.0	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					48.99	24.27	17.65	12.30	8.42	6.62
Worst Rolling Return (%) - Annualized					-28.53	-14.73	-5.70	-0.62	4.31	6.62
Positive Periods (%)					74.7	77.8	94.3	98.3	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		4.44	6.73	8.19	13.97	12.68	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		5.75	9.01	11.41	19.33	21.60	1.76	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		6.59	10.46	13.47	22.54	23.77	5.62	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		7.97	12.84	16.83	27.10	33.70	15.98	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					81.69	25.80	16.47	9.76	6.27	9.00
Perpetual Withdrawal Rate (%)					---	---	---	---	3.58	7.69
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Aug 1953 - Oct 2024)
Best Rolling Return (%) - Annualized					59.13	33.71	28.21	20.35	14.72	12.78
Worst Rolling Return (%) - Annualized					-27.69	-13.00	-3.74	0.68	3.73	7.52
Positive Periods (%)					78.1	91.4	97.6	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					55.06	29.85	23.16	15.52	11.80	9.66
Worst Rolling Return (%) - Annualized					-28.53	-14.73	-7.90	-3.27	0.61	4.35
Positive Periods (%)					72.5	83.5	89.9	93.7	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		4.40	6.66	8.09	11.89	4.51	0.00	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		5.70	8.91	11.28	16.63	16.68	0.81	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		6.53	10.36	13.32	19.60	21.66	5.62	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		7.89	12.71	16.65	23.17	26.27	12.66	0.00	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					81.69	25.12	15.60	8.48	5.45	4.57
Perpetual Withdrawal Rate (%)					---	---	---	---	0.81	3.35
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com

Terms and Definitions

Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
Longest negative period: it's the maximum period for which an overall negative return has been observed.
Standard Deviation: it's a measure of the dispersion of returns around the mean.
Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

COMPONENTS MONTHLY CORRELATIONS

Monthly correlations as of 31 October 2024

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Terms and Definitions

Correlation values range between -1 and +1

A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

Learn about historical correlations here: see how the main asset classes relate to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

ROGER GIBSON TALMUD PORTFOLIO TO EUR BOND HEDGED

Drawdown periods

Drawdown periods - Inflation Adjusted

1 November 1994 - 31 October 2024 (30 Years)

1 August 1953 - 31 October 2024 (~71 years)

Inflation Adjusted:

Chart Table Range

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Rolling Returns

For a detailed rolling return analysis, click here
Roger Gibson Talmud Portfolio To EUR Bond Hedged: Rolling Returns

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ROGER GIBSON TALMUD PORTFOLIO TO EUR BOND HEDGED

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

1 November 1994 - 31 October 2024 (30 Years)

1 August 1953 - 31 October 2024 (~71 years)

Inflation Adjusted:

Return Chart Capital Chart Table

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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

Seasonality

In which months is it better to invest in Roger Gibson Talmud Portfolio To EUR Bond Hedged?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from August 1953 to October 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Roger Gibson Talmud Portfolio To EUR Bond Hedged over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ROGER GIBSON TALMUD PORTFOLIO TO EUR BOND HEDGED

Monthly Returns Distribution

1 November 1994 - 31 October 2024 (30 Years)

1 August 1953 - 31 October 2024 (~71 years)

230 Positive Months (64%) - 130 Negative Months (36%)

541 Positive Months (63%) - 314 Negative Months (37%)

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Methodology

Returns, up to February 2024, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:

Xtrackers MSCI USA (XD9U.DE), up to May 2014
iShares US Property Yield (IQQ7.DE), up to March 2007
iShares US Aggregate Bond EUR Hedged (CEBW.DE), up to February 2024

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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The following portfolios share asset allocation strategy and/or similar asset weights.

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Table of contents

Asset Allocation and ETFs

Portfolio and ETF Returns as of Oct 31, 2024

Capital Growth as of Oct 31, 2024

Portfolio Metrics as of Oct 31, 2024

Portfolio Components Correlation

Drawdowns

Rolling Returns

Seasonality

Monthly Returns

Portfolio efficiency