David Swensen Endowment
E este é o Portfólio que o David Swensen recomenda em seu livro “Unconventional Success: A Fundamental Approach to Personal Investment”:
Asset Allocation
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
The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO
Returns By Period
As of Nov 22, 2024, the David Swensen Endowment returned 11.95% Year-To-Date and 6.95% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.15% | 2.97% | 12.53% | 31.00% | 13.95% | 11.21% |
| David Swensen Endowment | 12.33% | 0.27% | 8.79% | 19.35% | 7.40% | 6.98% |
| Portfolio components: | ||||||
VNQ Vanguard Real Estate ETF | 12.15% | -0.21% | 20.03% | 26.14% | 4.91% | 6.11% |
VOO Vanguard S&P 500 ETF | 26.58% | 3.05% | 13.23% | 32.77% | 15.74% | 13.22% |
VEA Vanguard FTSE Developed Markets ETF | 5.20% | -1.96% | -1.17% | 11.93% | 6.00% | 5.25% |
VWO Vanguard FTSE Emerging Markets ETF | 11.35% | -3.65% | 3.44% | 15.51% | 4.42% | 3.48% |
TIP iShares TIPS Bond ETF | 2.48% | -0.55% | 2.75% | 5.52% | 1.85% | 2.04% |
BND Vanguard Total Bond Market ETF | 1.70% | -0.51% | 3.15% | 6.10% | -0.32% | 1.38% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.84% | 2.19% | 2.28% | -3.87% | 3.72% | 1.55% | 3.07% | 2.62% | 2.26% | -2.50% | 12.33% | ||
| 2023 | 6.54% | -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% |
| 2020 | 0.12% | -4.74% | -10.94% | 7.92% | 3.02% | 2.15% | 3.89% | 3.13% | -2.13% | -2.01% | 8.11% | 3.05% | 10.44% |
| 2019 | 6.73% | 1.43% | 2.23% | 1.75% | -2.51% | 3.81% | 0.45% | 0.59% | 1.23% | 1.60% | 1.10% | 2.01% | 22.15% |
| 2018 | 1.65% | -3.98% | 0.11% | 0.17% | 1.28% | 0.72% | 1.65% | 1.21% | -0.53% | -4.66% | 1.99% | -4.85% | -5.46% |
| 2017 | 1.49% | 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% |
| 2015 | 1.45% | 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% |
| 2013 | 2.71% | 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of David Swensen Endowment is 50, 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VNQ Vanguard Real Estate ETF | 1.61 | 2.25 | 1.28 | 0.99 | 5.80 |
VOO Vanguard S&P 500 ETF | 2.69 | 3.59 | 1.50 | 3.88 | 17.58 |
VEA Vanguard FTSE Developed Markets ETF | 0.93 | 1.35 | 1.17 | 1.45 | 4.30 |
VWO Vanguard FTSE Emerging Markets ETF | 1.05 | 1.56 | 1.19 | 0.66 | 5.06 |
TIP iShares TIPS Bond ETF | 1.12 | 1.66 | 1.20 | 0.45 | 4.65 |
BND Vanguard Total Bond Market ETF | 1.08 | 1.58 | 1.19 | 0.42 | 3.46 |
Dividends
Dividend yield
David Swensen Endowment provided a 2.61% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.61% | 2.75% | 3.37% | 2.43% | 2.16% | 2.53% | 3.04% | 2.60% | 2.75% | 2.45% | 2.64% | 2.53% |
| Portfolio components: | ||||||||||||
VNQ Vanguard Real Estate ETF | 3.79% | 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 | 1.24% | 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 | 3.03% | 3.16% | 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 | 2.66% | 3.52% | 4.11% | 2.63% | 1.91% | 3.24% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
TIP iShares TIPS Bond ETF | 2.40% | 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 | 3.57% | 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.
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 1.39%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -25.8% | Feb 18, 2020 | 25 | Mar 23, 2020 | 111 | Aug 28, 2020 | 136 |
| -23.69% | Dec 31, 2021 | 199 | Oct 14, 2022 | 431 | Jul 5, 2024 | 630 |
| -14.06% | Jul 25, 2011 | 50 | Oct 3, 2011 | 83 | Feb 1, 2012 | 133 |
| -11.41% | Aug 30, 2018 | 80 | Dec 24, 2018 | 53 | Mar 13, 2019 | 133 |
| -10.74% | Apr 27, 2015 | 202 | Feb 11, 2016 | 46 | Apr 19, 2016 | 248 |
Volatility
Volatility Chart
The current David Swensen Endowment volatility is 2.26%, 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.
Diversification
Asset Correlations Table
| TIP | BND | VNQ | VWO | VEA | VOO | |
|---|---|---|---|---|---|---|
| TIP | 1.00 | 0.78 | 0.12 | -0.01 | -0.02 | -0.08 |
| BND | 0.78 | 1.00 | 0.13 | -0.06 | -0.07 | -0.11 |
| VNQ | 0.12 | 0.13 | 1.00 | 0.47 | 0.57 | 0.64 |
| VWO | -0.01 | -0.06 | 0.47 | 1.00 | 0.81 | 0.71 |
| VEA | -0.02 | -0.07 | 0.57 | 0.81 | 1.00 | 0.83 |
| VOO | -0.08 | -0.11 | 0.64 | 0.71 | 0.83 | 1.00 |