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
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
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -5.04% | 4.58% | 11.69% | 16.58% | 8.16% | 9.78% |
| David Swensen Endowment | -5.03% | -2.27% | 2.72% | 7.49% | 4.92% | 6.00% |
| Portfolio components: | ||||||
VNQ Vanguard Real Estate ETF | -9.12% | -7.82% | -7.13% | -4.80% | 2.69% | 5.36% |
VOO Vanguard S&P 500 ETF | -4.95% | 5.40% | 13.09% | 18.48% | 10.02% | 11.85% |
VEA Vanguard FTSE Developed Markets ETF | -5.43% | -3.92% | 4.62% | 19.51% | 3.28% | 3.85% |
VWO Vanguard FTSE Emerging Markets ETF | -3.86% | -2.47% | 1.68% | 8.73% | 2.73% | 2.16% |
TIP iShares TIPS Bond ETF | -2.01% | -5.14% | -1.29% | -0.67% | 1.99% | 1.53% |
BND Vanguard Total Bond Market ETF | -2.68% | -5.46% | -1.58% | -0.80% | 0.09% | 1.02% |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 2.04% | 1.01% | -1.71% | 3.91% | 2.15% | -2.29% | -4.18% |
Dividend yield
David Swensen Endowment granted a 2.94% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| David Swensen Endowment | 2.94% | 3.44% | 2.58% | 2.34% | 2.81% | 3.49% | 3.08% | 3.36% | 3.07% | 3.40% | 3.39% | 3.72% |
| Portfolio components: | ||||||||||||
VNQ Vanguard Real Estate ETF | 4.83% | 4.03% | 2.73% | 4.32% | 3.89% | 5.63% | 5.26% | 6.25% | 5.33% | 5.10% | 6.36% | 5.46% |
VOO Vanguard S&P 500 ETF | 1.59% | 1.71% | 1.28% | 1.61% | 2.00% | 2.23% | 1.97% | 2.27% | 2.42% | 2.18% | 2.20% | 2.66% |
VEA Vanguard FTSE Developed Markets ETF | 3.23% | 2.97% | 3.32% | 2.22% | 3.38% | 3.84% | 3.27% | 3.71% | 3.66% | 4.75% | 3.47% | 4.08% |
VWO Vanguard FTSE Emerging Markets ETF | 3.11% | 4.17% | 2.77% | 2.06% | 3.58% | 3.30% | 2.71% | 3.03% | 4.03% | 3.64% | 3.58% | 2.95% |
TIP iShares TIPS Bond ETF | 2.63% | 7.11% | 4.65% | 1.33% | 2.01% | 3.17% | 2.49% | 1.81% | 0.42% | 2.08% | 1.46% | 2.84% |
BND Vanguard Total Bond Market ETF | 3.12% | 2.66% | 2.06% | 2.37% | 2.97% | 3.16% | 2.94% | 2.98% | 3.13% | 3.47% | 3.57% | 4.27% |
Expense Ratio
Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
VNQ Vanguard Real Estate ETF | -0.09 | ||||
VOO Vanguard S&P 500 ETF | 1.17 | ||||
VEA Vanguard FTSE Developed Markets ETF | 1.27 | ||||
VWO Vanguard FTSE Emerging Markets ETF | 0.60 | ||||
TIP iShares TIPS Bond ETF | -0.01 | ||||
BND Vanguard Total Bond Market ETF | -0.03 |
Asset Correlations Table
| TIP | BND | VNQ | VWO | VEA | VOO | |
|---|---|---|---|---|---|---|
| TIP | 1.00 | 0.76 | 0.09 | -0.03 | -0.05 | -0.10 |
| BND | 0.76 | 1.00 | 0.10 | -0.09 | -0.11 | -0.15 |
| VNQ | 0.09 | 0.10 | 1.00 | 0.48 | 0.57 | 0.64 |
| VWO | -0.03 | -0.09 | 0.48 | 1.00 | 0.81 | 0.72 |
| VEA | -0.05 | -0.11 | 0.57 | 0.81 | 1.00 | 0.83 |
| VOO | -0.10 | -0.15 | 0.64 | 0.72 | 0.83 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the David Swensen Endowment. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the David Swensen Endowment is 25.80%, recorded on Mar 23, 2020. It took 111 trading sessions for the portfolio to recover.
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 | — | — | — |
| -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 Chart
The current David Swensen Endowment volatility is 2.57%, 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.