Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
^CASHX US Money Market Index | 50% | |
BXMIX Blackstone Alternative Multi-Strategy Fund | Multistrategy | 12.50% |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 12.50% | |
EIGMX Eaton Vance Global Macro Absolute Return Fund | Nontraditional Bonds | 12.50% |
HMEZX NexPoint Merger Arbitrage Fund | Event Driven | 12.50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Endowment + money market, 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 year.
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The earliest data available for this chart is Jan 4, 2016, corresponding to the inception date of HMEZX
Returns By Period
As of Apr 3, 2026, the Endowment + money market returned 0.95% Year-To-Date and 3.59% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Endowment + money market | 0.06% | 0.10% | 0.95% | 2.70% | 6.22% | 6.23% | 4.26% | 3.59% |
| Portfolio components: | ||||||||
EIGMX Eaton Vance Global Macro Absolute Return Fund | 0.00% | -0.45% | 2.31% | 6.05% | 11.69% | 9.13% | 6.15% | 4.83% |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 0.13% | -0.32% | 0.50% | 1.92% | 6.01% | 6.90% | 4.52% | 4.69% |
HMEZX NexPoint Merger Arbitrage Fund | 0.05% | 0.51% | 0.86% | 2.20% | 5.65% | 6.43% | 4.93% | 5.90% |
BXMIX Blackstone Alternative Multi-Strategy Fund | 0.27% | -0.09% | 0.36% | 3.96% | 10.33% | 8.45% | 4.77% | 4.13% |
^CASHX US Money Market Index | 0.01% | 0.28% | 0.90% | 1.85% | 4.03% | 4.72% | 3.39% | 2.26% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 5, 2016, Endowment + money market's average daily return is +0.01%, while the average monthly return is +0.29%. At this rate, your investment would double in approximately 19.9 years.
Historically, 81% of months were positive and 19% were negative. The best month was Apr 2020 with a return of +1.1%, while the worst month was Mar 2020 at -3.2%. The longest winning streak lasted 41 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Endowment + money market closed higher 75% of trading days. The best single day was Dec 18, 2024 with a return of +0.7%, while the worst single day was Mar 16, 2020 at -1.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.69% | 0.32% | -0.12% | 0.06% | 0.95% | ||||||||
| 2025 | 0.68% | 0.17% | 0.26% | 0.28% | 0.71% | 0.63% | 0.45% | 0.69% | 0.66% | 0.80% | 0.38% | 0.58% | 6.48% |
| 2024 | 0.48% | 0.64% | 0.88% | 0.18% | 0.68% | 0.44% | 0.42% | 0.50% | 0.71% | 0.28% | 0.54% | 0.52% | 6.45% |
| 2023 | 0.79% | 0.26% | 0.16% | 0.36% | 0.19% | 0.92% | 0.65% | 0.51% | 0.25% | 0.22% | 0.79% | 0.78% | 6.04% |
| 2022 | -0.35% | -0.27% | -0.07% | -0.25% | -0.25% | -0.73% | 0.12% | 0.41% | -0.47% | 0.66% | 0.77% | 0.46% | 0.01% |
| 2021 | 0.21% | 0.34% | 0.11% | 0.59% | 0.23% | 0.22% | 0.03% | 0.23% | 0.00% | 0.13% | -0.12% | 0.28% | 2.27% |
Benchmark Metrics
Endowment + money market has an annualized alpha of 2.61%, beta of 0.04, and R² of 0.40 versus S&P 500 Index. Calculated based on daily prices since January 05, 2016.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (10.40%) than losses (1.47%) — typical of diversified or defensive assets.
- Beta of 0.04 may look defensive, but with R² of 0.40 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.40 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 2.61%
- Beta
- 0.04
- R²
- 0.40
- Upside Capture
- 10.40%
- Downside Capture
- 1.47%
Expense Ratio
Endowment + money market has an expense ratio of 0.69%, placing it in the medium range. 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
Endowment + money market ranks 100 for risk / return — in the top 100% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 6.29 | 0.88 | +5.41 |
Sortino ratioReturn per unit of downside risk | 9.05 | 1.37 | +7.68 |
Omega ratioGain probability vs. loss probability | 3.33 | 1.21 | +2.12 |
Calmar ratioReturn relative to maximum drawdown | 24.46 | 1.39 | +23.07 |
Martin ratioReturn relative to average drawdown | 103.45 | 6.43 | +97.01 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
EIGMX Eaton Vance Global Macro Absolute Return Fund | 99 | 6.02 | 8.81 | 2.97 | 8.20 | 32.55 |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 90 | 1.78 | 2.67 | 1.57 | 2.30 | 15.62 |
HMEZX NexPoint Merger Arbitrage Fund | 99 | 3.60 | 5.64 | 1.96 | 5.48 | 35.54 |
BXMIX Blackstone Alternative Multi-Strategy Fund | 89 | 2.55 | 3.33 | 1.64 | 2.01 | 9.35 |
^CASHX US Money Market Index | — | 265.37 | — | — | — | — |
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Dividends
Dividend yield
Endowment + money market provided a 2.66% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.66% | 2.52% | 2.53% | 2.53% | 1.36% | 1.24% | 1.78% | 1.38% | 3.73% | 1.86% | 0.93% | 1.31% |
| Portfolio components: | ||||||||||||
EIGMX Eaton Vance Global Macro Absolute Return Fund | 6.74% | 5.72% | 6.16% | 5.79% | 4.78% | 4.18% | 4.37% | 5.44% | 3.72% | 3.42% | 4.02% | 5.54% |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 1.74% | 1.63% | 2.00% | 5.90% | 1.02% | 0.46% | 0.90% | 1.57% | 5.02% | 2.60% | 2.97% | 2.42% |
HMEZX NexPoint Merger Arbitrage Fund | 5.06% | 5.04% | 6.36% | 5.07% | 5.11% | 3.63% | 5.83% | 0.33% | 19.16% | 6.88% | 0.02% | 0.00% |
BXMIX Blackstone Alternative Multi-Strategy Fund | 7.72% | 7.75% | 5.75% | 3.48% | 0.00% | 1.68% | 3.12% | 3.67% | 1.91% | 2.00% | 0.45% | 2.52% |
^CASHX US Money Market Index | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 Endowment + money market. 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 Endowment + money market was 4.80%, occurring on Mar 24, 2020. Recovery took 202 trading sessions.
The current Endowment + money market drawdown is 0.06%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -4.8% | Feb 21, 2020 | 33 | Mar 24, 2020 | 202 | Oct 12, 2020 | 235 |
| -2.43% | Nov 16, 2021 | 241 | Jul 14, 2022 | 180 | Jan 10, 2023 | 421 |
| -1.08% | Jan 5, 2016 | 38 | Feb 11, 2016 | 36 | Mar 18, 2016 | 74 |
| -0.91% | Dec 19, 2024 | 2 | Dec 20, 2024 | 35 | Jan 24, 2025 | 37 |
| -0.89% | Mar 26, 2025 | 13 | Apr 7, 2025 | 18 | Apr 25, 2025 | 31 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 3.20, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | ^CASHX | EIGMX | HMEZX | BXMIX | CMNIX | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.01 | 0.16 | 0.28 | 0.47 | 0.78 | 0.63 |
| ^CASHX | -0.01 | 1.00 | 0.05 | -0.00 | 0.00 | 0.02 | 0.17 |
| EIGMX | 0.16 | 0.05 | 1.00 | 0.13 | 0.22 | 0.17 | 0.48 |
| HMEZX | 0.28 | -0.00 | 0.13 | 1.00 | 0.21 | 0.26 | 0.55 |
| BXMIX | 0.47 | 0.00 | 0.22 | 0.21 | 1.00 | 0.39 | 0.66 |
| CMNIX | 0.78 | 0.02 | 0.17 | 0.26 | 0.39 | 1.00 | 0.63 |
| Portfolio | 0.63 | 0.17 | 0.48 | 0.55 | 0.66 | 0.63 | 1.00 |