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

Asset Allocation


TLT 15%TIP 15%VTI 30%VEA 15%EEM 5%VNQ 20%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

5%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

15%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

15%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

15%

VNQ
Vanguard Real Estate ETF
REIT

20%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

30%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in David Swensen Yale Endowment Portfolio, 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%15.00%2024FebruaryMarchAprilMayJune
4.79%
15.60%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2007, corresponding to the inception date of VEA

Returns By Period

As of Jun 20, 2024, the David Swensen Yale Endowment Portfolio returned 4.16% Year-To-Date and 6.34% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.04%3.37%16.79%25.03%13.26%10.85%
David Swensen Yale Endowment Portfolio4.16%0.99%4.79%10.69%6.04%6.36%
VNQ
Vanguard Real Estate ETF
-4.12%-0.43%-3.04%6.24%2.33%5.24%
EEM
iShares MSCI Emerging Markets ETF
7.40%-0.40%9.14%10.31%2.36%2.15%
TLT
iShares 20+ Year Treasury Bond ETF
-2.73%3.63%-2.78%-5.12%-4.17%0.82%
VTI
Vanguard Total Stock Market ETF
13.96%2.39%14.51%26.07%14.09%12.17%
TIP
iShares TIPS Bond ETF
1.12%1.10%0.99%2.49%1.99%1.87%
VEA
Vanguard FTSE Developed Markets ETF
4.74%-2.27%5.84%10.77%6.73%4.52%

Monthly Returns

The table below presents the monthly returns of David Swensen Yale Endowment Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.35%2.13%2.31%-4.64%3.83%4.16%
20237.42%-3.75%2.09%0.80%-1.98%4.04%1.90%-2.78%-5.07%-3.12%8.83%6.21%14.28%
2022-4.98%-2.15%0.96%-6.62%-1.25%-6.25%6.30%-4.36%-9.62%3.27%6.78%-3.85%-20.94%
2021-0.55%0.95%1.81%4.19%1.06%1.95%2.12%1.48%-3.74%4.49%-1.23%3.55%16.99%
20200.93%-3.89%-9.78%7.77%2.87%2.24%4.28%2.56%-1.94%-2.25%8.51%3.25%13.93%
20196.84%1.29%2.51%1.43%-1.88%3.82%0.41%1.66%0.84%1.38%1.07%1.54%22.76%
20181.22%-4.32%0.62%0.01%1.56%0.81%1.34%1.39%-0.95%-5.19%2.21%-4.35%-5.87%
20171.65%2.35%0.10%1.09%1.10%0.86%1.51%0.77%0.63%0.90%1.68%1.17%14.68%
2016-2.39%0.14%5.97%0.01%0.76%2.75%3.35%-0.79%-0.04%-2.94%-0.93%1.86%7.66%
20152.58%0.80%-0.17%-0.48%-0.40%-2.75%2.32%-4.85%-0.68%4.87%-0.33%-0.98%-0.40%
2014-0.07%3.63%0.42%1.46%2.27%1.30%-0.78%2.84%-3.55%3.38%1.55%0.03%12.98%
20132.41%0.56%1.92%3.49%-2.84%-2.52%2.54%-3.14%3.81%3.13%-0.71%0.64%9.32%

Expense Ratio

David Swensen Yale Endowment Portfolio features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for EEM: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of David Swensen Yale Endowment Portfolio is 14, indicating that it is in the bottom 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of David Swensen Yale Endowment Portfolio is 1414
David Swensen Yale Endowment Portfolio
The Sharpe Ratio Rank of David Swensen Yale Endowment Portfolio is 1515Sharpe Ratio Rank
The Sortino Ratio Rank of David Swensen Yale Endowment Portfolio is 1515Sortino Ratio Rank
The Omega Ratio Rank of David Swensen Yale Endowment Portfolio is 1515Omega Ratio Rank
The Calmar Ratio Rank of David Swensen Yale Endowment Portfolio is 1111Calmar Ratio Rank
The Martin Ratio Rank of David Swensen Yale Endowment Portfolio is 1414Martin 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.


David Swensen Yale Endowment Portfolio
Sharpe ratio
The chart of Sharpe ratio for David Swensen Yale Endowment Portfolio, currently valued at 0.91, compared to the broader market0.002.004.006.000.91
Sortino ratio
The chart of Sortino ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.37, compared to the broader market-2.000.002.004.006.001.37
Omega ratio
The chart of Omega ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for David Swensen Yale Endowment Portfolio, currently valued at 0.43, compared to the broader market0.002.004.006.008.0010.000.43
Martin ratio
The chart of Martin ratio for David Swensen Yale Endowment Portfolio, currently valued at 2.37, compared to the broader market0.0010.0020.0030.0040.0050.002.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.006.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market-2.000.002.004.006.003.07
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.73, compared to the broader market0.002.004.006.008.0010.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.0010.0020.0030.0040.0050.008.12

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
0.230.471.060.130.60
EEM
iShares MSCI Emerging Markets ETF
0.530.851.100.231.37
TLT
iShares 20+ Year Treasury Bond ETF
-0.25-0.240.97-0.09-0.46
VTI
Vanguard Total Stock Market ETF
2.132.991.371.767.77
TIP
iShares TIPS Bond ETF
0.460.731.080.191.52
VEA
Vanguard FTSE Developed Markets ETF
0.751.131.140.572.29

Sharpe Ratio

The current David Swensen Yale Endowment Portfolio Sharpe ratio is 0.91. 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 1.41 to 2.40, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of David Swensen Yale Endowment Portfolio 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 Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.91
2.17
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

David Swensen Yale Endowment Portfolio granted a 2.74% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
David Swensen Yale Endowment Portfolio2.74%2.74%3.29%2.32%1.99%2.41%2.97%2.54%2.70%2.38%2.56%2.54%
VNQ
Vanguard Real Estate ETF
4.11%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
EEM
iShares MSCI Emerging Markets ETF
2.42%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
TLT
iShares 20+ Year Treasury Bond ETF
3.74%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
VTI
Vanguard Total Stock Market ETF
1.31%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
TIP
iShares TIPS Bond ETF
3.18%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
VEA
Vanguard FTSE Developed Markets ETF
2.42%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

Drawdowns Chart

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-5.95%
0
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the David Swensen Yale Endowment Portfolio. 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 Yale Endowment Portfolio was 43.81%, occurring on Mar 9, 2009. Recovery took 399 trading sessions.

The current David Swensen Yale Endowment Portfolio drawdown is 5.95%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.81%Nov 1, 2007339Mar 9, 2009399Oct 6, 2010738
-26.64%Dec 31, 2021199Oct 14, 2022
-24.3%Feb 18, 202022Mar 18, 202096Aug 4, 2020118
-11.54%Aug 30, 201880Dec 24, 201855Mar 15, 2019135
-11.47%Jul 25, 201111Aug 8, 2011111Jan 17, 2012122

Volatility

Volatility Chart

The current David Swensen Yale Endowment Portfolio volatility is 2.45%, 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%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.45%
2.33%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

TIPTLTVNQEEMVEAVTI
TIP1.000.730.00-0.08-0.07-0.13
TLT0.731.00-0.10-0.26-0.27-0.30
VNQ0.00-0.101.000.540.590.70
EEM-0.08-0.260.541.000.830.76
VEA-0.07-0.270.590.831.000.84
VTI-0.13-0.300.700.760.841.00
The correlation results are calculated based on daily price changes starting from Jul 27, 2007