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

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 Every 3 months.


200.00%250.00%300.00%350.00%400.00%450.00%December2025FebruaryMarchAprilMay
205.42%
412.95%
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 May 9, 2025, the David Swensen Endowment returned 1.97% Year-To-Date and 6.71% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.70%13.67%-5.18%9.18%14.14%10.43%
David Swensen Endowment1.97%9.41%-0.70%9.93%8.66%6.71%
VNQ
Vanguard Real Estate ETF
0.45%11.00%-4.37%13.24%7.43%5.28%
VOO
Vanguard S&P 500 ETF
-3.28%13.71%-4.52%10.70%15.89%12.40%
VEA
Vanguard FTSE Developed Markets ETF
12.04%16.82%6.79%10.14%11.59%5.66%
VWO
Vanguard FTSE Emerging Markets ETF
4.38%15.12%-1.88%9.72%7.99%3.54%
TIP
iShares TIPS Bond ETF
3.44%0.47%2.13%6.02%1.40%2.39%
BND
Vanguard Total Bond Market ETF
2.13%0.32%1.30%5.43%-0.86%1.49%
*Annualized

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
20252.14%1.39%-1.99%-0.06%0.53%1.97%
2024-0.84%2.19%2.29%-3.87%3.72%1.55%3.07%2.62%2.26%-2.50%2.84%-3.46%9.89%
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%

Expense Ratio

David Swensen Endowment has an expense ratio of 0.08%, 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.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of David Swensen Endowment is 72, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of David Swensen Endowment is 7272
Overall Rank
The Sharpe Ratio Rank of David Swensen Endowment is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of David Swensen Endowment is 6868
Sortino Ratio Rank
The Omega Ratio Rank of David Swensen Endowment is 7171
Omega Ratio Rank
The Calmar Ratio Rank of David Swensen Endowment is 7373
Calmar Ratio Rank
The Martin Ratio Rank of David Swensen Endowment is 7979
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
0.741.111.150.552.41
VOO
Vanguard S&P 500 ETF
0.560.921.130.582.25
VEA
Vanguard FTSE Developed Markets ETF
0.590.951.130.762.29
VWO
Vanguard FTSE Emerging Markets ETF
0.530.801.110.461.50
TIP
iShares TIPS Bond ETF
1.291.741.220.583.75
BND
Vanguard Total Bond Market ETF
1.031.481.180.432.60

The current David Swensen Endowment Sharpe ratio is 0.85. 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 0.44 to 0.96, 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.85
0.48
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

David Swensen Endowment provided a 2.82% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.82%2.74%2.75%3.37%2.43%2.16%2.53%3.04%2.60%2.75%2.45%2.64%
VNQ
Vanguard Real Estate ETF
4.10%3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%
VEA
Vanguard FTSE Developed Markets ETF
2.93%3.36%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%
VWO
Vanguard FTSE Emerging Markets ETF
3.09%3.20%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%
TIP
iShares TIPS Bond ETF
2.91%2.52%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%
BND
Vanguard Total Bond Market ETF
3.76%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%

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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-1.92%
-7.82%
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 1.92%.


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 6.37%, 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
6.37%
11.21%
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 6 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCTIPBNDVNQVWOVEAVOOPortfolio
^GSPC1.00-0.07-0.100.630.710.821.000.91
TIP-0.071.000.780.13-0.01-0.01-0.070.13
BND-0.100.781.000.14-0.06-0.06-0.100.10
VNQ0.630.130.141.000.470.570.630.82
VWO0.71-0.01-0.060.471.000.810.710.76
VEA0.82-0.01-0.060.570.811.000.820.87
VOO1.00-0.07-0.100.630.710.821.000.91
Portfolio0.910.130.100.820.760.870.911.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010