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David Swensen Endowment
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TIP 15%BND 15%VOO 30%VEA 15%VWO 5%VNQ 20%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market
15%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
15%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities
15%
VNQ
Vanguard Real Estate ETF
REIT
20%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
30%
VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in David Swensen Endowment, 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


200.00%250.00%300.00%350.00%400.00%MayJuneJulyAugustSeptemberOctober
206.35%
416.21%
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of Oct 4, 2024, the David Swensen Endowment returned 12.39% Year-To-Date and 7.42% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
19.50%3.09%10.74%33.68%14.10%11.26%
David Swensen Endowment12.39%2.06%9.75%26.16%7.88%7.51%
VNQ
Vanguard Real Estate ETF
11.37%1.07%16.24%34.40%4.34%7.13%
VOO
Vanguard S&P 500 ETF
20.65%3.39%10.25%35.72%15.92%13.47%
VEA
Vanguard FTSE Developed Markets ETF
10.21%1.33%5.59%24.64%8.20%6.10%
VWO
Vanguard FTSE Emerging Markets ETF
18.85%10.44%15.86%29.37%6.71%4.32%
TIP
iShares TIPS Bond ETF
4.65%0.83%5.43%10.51%2.19%2.28%
BND
Vanguard Total Bond Market ETF
4.25%0.11%6.04%12.01%0.04%1.68%

Monthly Returns

The table below presents the monthly returns of David Swensen Endowment, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.84%2.19%2.28%-3.87%3.72%1.55%3.07%2.62%2.26%12.39%
20236.54%-3.41%2.04%1.01%-1.71%3.91%2.15%-2.29%-4.22%-2.38%7.92%5.23%14.80%
2022-4.44%-2.19%1.52%-5.67%-0.64%-6.20%6.23%-4.19%-8.94%3.93%6.33%-3.53%-17.58%
2021-0.34%1.47%2.60%4.05%1.16%1.39%1.98%1.57%-3.50%4.24%-1.33%4.05%18.46%
20200.12%-4.74%-10.94%7.92%3.02%2.15%3.89%3.13%-2.13%-2.01%8.11%3.05%10.44%
20196.73%1.43%2.23%1.75%-2.51%3.81%0.45%0.59%1.23%1.60%1.10%2.01%22.15%
20181.65%-3.98%0.11%0.17%1.28%0.72%1.65%1.21%-0.53%-4.66%1.99%-4.85%-5.46%
20171.49%2.29%0.17%0.96%0.94%0.65%1.70%0.48%0.77%0.91%1.56%1.02%13.69%
2016-2.85%-0.27%6.11%0.12%0.66%2.05%3.03%-0.72%0.12%-2.25%-0.33%1.95%7.56%
20151.45%1.58%-0.40%0.14%-0.11%-2.38%1.92%-4.87%-0.74%5.03%-0.30%-0.82%0.18%
2014-0.87%3.54%0.42%1.47%2.05%1.24%-0.74%2.30%-3.09%3.01%1.34%-0.56%10.37%
20132.71%0.47%1.87%3.13%-2.15%-2.32%2.77%-3.12%3.71%3.11%-0.29%0.80%10.89%

Expense Ratio

David Swensen Endowment has an expense ratio of 0.08%, 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 TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
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 VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VOO: 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 David Swensen Endowment is 69, 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 David Swensen Endowment is 6969
David Swensen Endowment
The Sharpe Ratio Rank of David Swensen Endowment is 7979Sharpe Ratio Rank
The Sortino Ratio Rank of David Swensen Endowment is 8383Sortino Ratio Rank
The Omega Ratio Rank of David Swensen Endowment is 8181Omega Ratio Rank
The Calmar Ratio Rank of David Swensen Endowment is 2323Calmar Ratio Rank
The Martin Ratio Rank of David Swensen Endowment is 8080Martin 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.


David Swensen Endowment
Sharpe ratio
The chart of Sharpe ratio for David Swensen Endowment, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for David Swensen Endowment, currently valued at 4.16, compared to the broader market-2.000.002.004.006.004.16
Omega ratio
The chart of Omega ratio for David Swensen Endowment, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for David Swensen Endowment, currently valued at 1.54, compared to the broader market0.002.004.006.008.0010.0012.001.54
Martin ratio
The chart of Martin ratio for David Swensen Endowment, currently valued at 18.69, compared to the broader market0.0010.0020.0030.0040.0050.0018.69
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.002.004.002.79
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.71, compared to the broader market-2.000.002.004.006.003.72
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.002.004.006.008.0010.0012.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.96, compared to the broader market0.0010.0020.0030.0040.0050.0016.96

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
2.052.921.371.078.13
VOO
Vanguard S&P 500 ETF
2.943.921.543.1518.26
VEA
Vanguard FTSE Developed Markets ETF
1.952.731.341.5512.31
VWO
Vanguard FTSE Emerging Markets ETF
2.042.931.361.0612.34
TIP
iShares TIPS Bond ETF
2.053.121.380.7511.89
BND
Vanguard Total Bond Market ETF
2.083.081.370.718.91

Sharpe Ratio

The current David Swensen Endowment Sharpe ratio is 2.90. 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 2.21 to 2.95, 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 David Swensen Endowment 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.90
2.79
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

David Swensen Endowment granted a 2.63% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
David Swensen Endowment2.63%2.75%3.37%2.43%2.16%2.53%3.04%2.60%2.75%2.45%2.64%2.53%
VNQ
Vanguard Real Estate ETF
3.82%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VOO
Vanguard S&P 500 ETF
1.30%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VEA
Vanguard FTSE Developed Markets ETF
2.89%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
VWO
Vanguard FTSE Emerging Markets ETF
2.49%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
TIP
iShares TIPS Bond ETF
2.68%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
BND
Vanguard Total Bond Market ETF
3.44%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%MayJuneJulyAugustSeptemberOctober
-1.00%
-1.09%
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the David Swensen Endowment. 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 David Swensen Endowment was 25.80%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.

The current David Swensen Endowment drawdown is 1.00%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.8%Feb 18, 202025Mar 23, 2020111Aug 28, 2020136
-23.69%Dec 31, 2021199Oct 14, 2022431Jul 5, 2024630
-14.06%Jul 25, 201150Oct 3, 201183Feb 1, 2012133
-11.41%Aug 30, 201880Dec 24, 201853Mar 13, 2019133
-10.74%Apr 27, 2015202Feb 11, 201646Apr 19, 2016248

Volatility

Volatility Chart

The current David Swensen Endowment volatility is 2.15%, 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%MayJuneJulyAugustSeptemberOctober
2.15%
3.33%
David Swensen Endowment
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.

TIPBNDVNQVWOVEAVOO
TIP1.000.780.12-0.01-0.02-0.08
BND0.781.000.13-0.06-0.08-0.11
VNQ0.120.131.000.470.570.64
VWO-0.01-0.060.471.000.810.72
VEA-0.02-0.080.570.811.000.83
VOO-0.08-0.110.640.720.831.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010