David Swensen Endowment

Asset Allocation

Position	Category/Sector	Target Weight
VOO Vanguard S&P 500 ETF	S&P 500	30%
VNQ Vanguard Real Estate ETF	REIT	20%
TIP iShares TIPS Bond ETF	Inflation-Protected Bonds	15%
BND Vanguard Total Bond Market ETF	Total Bond Market	15%
VEA Vanguard FTSE Developed Markets ETF	Foreign Large Cap Equities	15%
VWO Vanguard FTSE Emerging Markets ETF	Emerging Markets Equities	5%

Benchmark Against

Benchmark

S&P 500 Index

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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.

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Returns By Period

As of Jun 6, 2026, the David Swensen Endowment returned 6.99% Year-To-Date and 8.42% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.64%	0.64%	7.86%	7.47%	23.05%	19.90%	11.79%	13.33%
Portfolio David Swensen Endowment	-1.60%	-0.08%	6.99%	7.21%	16.49%	13.29%	6.44%	8.42%
Portfolio components:
BND Vanguard Total Bond Market ETF	-0.45%	-0.39%	-0.05%	0.11%	4.90%	3.80%	0.02%	1.56%
TIP iShares TIPS Bond ETF	-0.48%	-0.46%	1.06%	0.88%	4.93%	3.65%	0.88%	2.48%
VEA Vanguard FTSE Developed Markets ETF	-3.72%	-0.72%	10.91%	13.57%	26.79%	18.26%	8.83%	9.63%
VNQ Vanguard Real Estate ETF	0.72%	0.41%	10.55%	9.83%	11.98%	9.97%	2.69%	5.48%
VOO Vanguard S&P 500 ETF	-2.59%	0.81%	8.45%	8.18%	24.60%	21.52%	13.39%	15.23%
VWO Vanguard FTSE Emerging Markets ETF	-3.78%	-3.62%	7.94%	8.77%	23.65%	16.25%	4.36%	8.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Sep 10, 2010, David Swensen Endowment's average daily return is +0.04%, while the average monthly return is +0.73%. At this rate, an investment would double in approximately 7.9 years.

Historically, 67% of months were positive and 33% were negative. The best month was Oct 2011 with a return of +8.6%, while the worst month was Mar 2020 at -10.9%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.

On a daily basis, David Swensen Endowment closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +6.3%, while the worst single day was Mar 16, 2020 at -8.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.21%	2.36%	-4.92%	6.67%	2.34%	-1.47%							6.99%
2025	2.14%	1.39%	-1.99%	-0.06%	2.88%	2.90%	0.49%	2.57%	1.98%	0.71%	0.74%	-0.02%	14.48%
2024	-0.84%	2.19%	2.28%	-3.87%	3.72%	1.55%	3.07%	2.62%	2.26%	-2.50%	2.84%	-3.46%	9.89%
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%	4.08%	18.48%

Benchmark Metrics

David Swensen Endowment has an annualized alpha of 0.28%, beta of 0.64, and R2 of 0.88 versus S&P 500 Index. Calculated based on daily prices since September 10, 2010.

This portfolio participated in 73.34% of S&P 500 Index downside but only 64.54% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.64 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 0.28%

Beta: 0.64

R²: 0.88

Upside Capture: 64.54%

Downside Capture: 73.34%

Expense Ratio

David Swensen Endowment has an expense ratio of 0.07%, 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.

TIP

iShares TIPS Bond ETF

VNQ

Vanguard Real Estate ETF

VWO

Vanguard FTSE Emerging Markets ETF

VOO

Vanguard S&P 500 ETF

VEA

Vanguard FTSE Developed Markets ETF

BND

Vanguard Total Bond Market ETF

Return for Risk

Risk / Return Rank

David Swensen Endowment ranks 32 for risk / return — below 32% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for David Swensen Endowment and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.97	2.01	-0.03
Sortino ratioReturn per unit of downside risk	2.76	2.71	+0.05
Omega ratioGain probability vs. loss probability	1.36	1.36	0.00
Calmar ratioReturn relative to maximum drawdown	2.47	2.69	-0.22
Martin ratioReturn relative to average drawdown	10.92	12.34	-1.42
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
BND Vanguard Total Bond Market ETF	35	1.16	1.71	1.20	1.62	4.86
TIP iShares TIPS Bond ETF	43	1.28	1.95	1.23	2.22	6.71
VEA Vanguard FTSE Developed Markets ETF	55	1.70	2.33	1.31	2.35	9.12
VNQ Vanguard Real Estate ETF	30	0.95	1.36	1.17	1.51	4.74
VOO Vanguard S&P 500 ETF	72	2.15	2.89	1.39	2.92	13.53
VWO Vanguard FTSE Emerging Markets ETF	48	1.49	2.08	1.28	2.18	7.80

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

David Swensen Endowment Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 1.97
5-Year: 0.56
10-Year: 0.70
All Time: 0.74

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.65 to 2.53, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of David Swensen Endowment compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

David Swensen Endowment provided a 2.73% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.73%	2.84%	2.74%	2.75%	3.37%	2.45%	2.18%	2.53%	3.04%	2.60%	2.75%	2.45%
Portfolio components:
BND Vanguard Total Bond Market ETF	3.98%	3.86%	3.67%	3.09%	2.60%	2.12%	2.38%	2.72%	2.81%	2.54%	2.51%	2.57%
TIP iShares TIPS Bond ETF	3.77%	3.46%	2.52%	2.73%	6.96%	4.28%	1.17%	1.75%	2.71%	2.07%	1.48%	0.34%
VEA Vanguard FTSE Developed Markets ETF	2.71%	3.22%	3.35%	3.15%	2.91%	3.16%	2.04%	3.04%	3.35%	2.77%	3.05%	2.92%
VNQ Vanguard Real Estate ETF	3.60%	3.92%	3.85%	3.95%	3.91%	2.56%	3.93%	3.39%	4.74%	4.23%	4.82%	3.92%
VOO Vanguard S&P 500 ETF	1.05%	1.13%	1.24%	1.46%	1.69%	1.25%	1.54%	1.88%	2.06%	1.78%	2.02%	2.10%
VWO Vanguard FTSE Emerging Markets ETF	2.50%	2.79%	3.20%	3.52%	4.11%	2.63%	1.91%	3.23%	2.88%	2.30%	2.52%	3.26%

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 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 1.60%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-25.80%Mar 2020	1mo 4d	5mo 8d	6mo 12dFeb 2020 - Aug 2020
Bear market2022	-23.69%Oct 2022	9mo 17d	1y 8mo	2y 6moDec 2021 - Jul 2024
2011 correction2011	-14.06%Oct 2011	2mo 10d	4mo 1d	6mo 11dJul 2011 - Feb 2012
Rate-hike selloffLate 2018	-11.41%Dec 2018	3mo 26d	2mo 19d	6mo 15dAug 2018 - Mar 2019
2016 correction2016	-10.74%Feb 2016	9mo 20d	2mo 8d	11mo 28dApr 2015 - Apr 2016

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 6 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.24	1.23	1.22	1.20	1.21

The portfolio has a diversification ratio of 1.21, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

David Swensen Endowment correlation to the S&P 500 Index

David Swensen Endowment has a 0.85 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.89
Correlation (10Y) Calculated over the trailing 10-year period	0.90
Correlation (All Time) Calculated using the full available price history since Sep 10, 2010	0.91

Benchmark Correlations

Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while BND has the lowest at -0.08.

-0.08

-0.05

0.61

0.71

0.82

1.00

Portfolio Correlations

Correlation vs. David Swensen Endowment. VOO has the highest portfolio correlation at 0.91, while BND has the lowest at 0.13.

0.13

0.14

0.76

0.81

0.87

0.91

Asset Correlations Table

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

	TIP	BND	VNQ	VWO	VEA	VOO
TIP	1.00	0.78	0.14	0.00	0.01	-0.05
BND	0.78	1.00	0.16	-0.04	-0.03	-0.07
VNQ	0.14	0.16	1.00	0.46	0.56	0.61
VWO	0.00	-0.04	0.46	1.00	0.80	0.71
VEA	0.01	-0.03	0.56	0.80	1.00	0.82
VOO	-0.05	-0.07	0.61	0.71	0.82	1.00

The correlation results are calculated based on daily price changes starting from Sep 10, 2010

Diversification Analysis

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See which holdings overlap, where David Swensen Endowment is concentrated, and which low-correlation assets could fill the gaps.

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