PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

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


TIP 15%BND 15%VOO 30%VEA 15%VWO 5%VNQ 20%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds15%
BND
Vanguard Total Bond Market ETF
Total Bond Market15%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities30%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities15%
VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities5%
VNQ
Vanguard Real Estate ETF
REIT20%

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


0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
-2.02%
4.84%
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 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%
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%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.04%1.01%-1.71%3.91%2.15%-2.29%-4.18%

Sharpe Ratio


Rolling 12-month Sharpe Ratio-0.500.000.501.00MayJuneJulyAugustSeptemberOctober
0.72
1.04
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

Dividend yield

David Swensen Endowment granted a 2.94% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
David Swensen Endowment2.94%3.44%2.58%2.34%2.81%3.49%3.08%3.36%3.07%3.40%3.39%3.72%
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.


0.19%
0.00%2.15%
0.12%
0.00%2.15%
0.08%
0.00%2.15%
0.05%
0.00%2.15%
0.03%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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

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

TIPBNDVNQVWOVEAVOO
TIP1.000.760.09-0.03-0.05-0.10
BND0.761.000.10-0.09-0.11-0.15
VNQ0.090.101.000.480.570.64
VWO-0.03-0.090.481.000.810.72
VEA-0.05-0.110.570.811.000.83
VOO-0.10-0.150.640.720.831.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%MayJuneJulyAugustSeptemberOctober
-15.40%
-10.59%
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components

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, 202025Mar 23, 2020111Aug 28, 2020136
-23.69%Dec 31, 2021199Oct 14, 2022
-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 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.


2.00%3.00%4.00%5.00%MayJuneJulyAugustSeptemberOctober
2.57%
3.15%
David Swensen Endowment
Benchmark (^GSPC)
Portfolio components