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

Asset Allocation


S&P 500

Performance

Performance Chart


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

Returns By Period

As of Jun 21, 2025, the David Swensen Yale Endowment Portfolio returned 4.58% Year-To-Date and 6.63% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
1.47%2.11%0.62%9.04%14.01%10.88%
David Swensen Yale Endowment Portfolio4.58%2.02%4.30%8.54%6.47%6.63%
VNQ
Vanguard Real Estate ETF
1.88%2.78%2.57%11.69%6.30%5.68%
EEM
iShares MSCI Emerging Markets ETF
11.86%1.27%10.67%11.09%5.37%3.58%
TLT
iShares 20+ Year Treasury Bond ETF
0.80%3.38%-0.31%-4.07%-9.37%-0.34%
VTI
Vanguard Total Stock Market ETF
1.61%2.32%0.73%10.66%15.01%12.14%
TIP
iShares TIPS Bond ETF
3.99%1.32%4.00%4.52%1.31%2.47%
VEA
Vanguard FTSE Developed Markets ETF
15.55%0.18%16.15%13.79%10.37%5.91%
*Annualized

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
20252.29%1.73%-2.25%-0.30%2.51%0.59%4.58%
2024-1.35%2.13%2.31%-4.64%3.82%1.57%3.46%2.64%2.24%-2.91%3.21%-4.40%7.82%
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%1.18%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%0.04%12.98%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

David Swensen Yale Endowment Portfolio has an expense ratio of 0.13%, 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 Yale Endowment Portfolio is 51, 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 Yale Endowment Portfolio is 5151
Overall Rank
The Sharpe Ratio Rank of David Swensen Yale Endowment Portfolio is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of David Swensen Yale Endowment Portfolio is 4545
Sortino Ratio Rank
The Omega Ratio Rank of David Swensen Yale Endowment Portfolio is 4444
Omega Ratio Rank
The Calmar Ratio Rank of David Swensen Yale Endowment Portfolio is 5555
Calmar Ratio Rank
The Martin Ratio Rank of David Swensen Yale Endowment Portfolio is 5959
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
0.650.991.130.541.95
EEM
iShares MSCI Emerging Markets ETF
0.581.011.130.441.97
TLT
iShares 20+ Year Treasury Bond ETF
-0.29-0.280.97-0.09-0.43
VTI
Vanguard Total Stock Market ETF
0.530.881.130.552.05
TIP
iShares TIPS Bond ETF
0.971.451.180.553.02
VEA
Vanguard FTSE Developed Markets ETF
0.811.281.171.063.24

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 Yale Endowment Portfolio Sharpe ratios as of Jun 21, 2025 (values are recalculated daily):

  • 1-Year: 0.69
  • 5-Year: 0.53
  • 10-Year: 0.55
  • All Time: 0.47

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 0.47 to 1.04, 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 Yale Endowment Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

David Swensen Yale Endowment Portfolio provided a 2.78% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.78%2.80%2.74%3.29%2.32%1.99%2.41%2.97%2.55%2.70%2.38%2.56%
VNQ
Vanguard Real Estate ETF
4.04%3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%
EEM
iShares MSCI Emerging Markets ETF
2.54%2.43%2.63%2.50%1.99%1.45%2.76%2.24%1.89%1.89%2.49%2.23%
TLT
iShares 20+ Year Treasury Bond ETF
4.39%4.30%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%
VTI
Vanguard Total Stock Market ETF
1.28%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
TIP
iShares TIPS Bond ETF
2.49%2.52%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%
VEA
Vanguard FTSE Developed Markets ETF
2.84%3.36%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%

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 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 1.25%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.81%Nov 1, 2007339Mar 9, 2009399Oct 6, 2010738
-26.64%Dec 31, 2021199Oct 14, 2022479Sep 12, 2024678
-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
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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. 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.

BenchmarkTIPTLTVNQEEMVEAVTIPortfolio
Benchmark1.00-0.12-0.280.680.750.830.990.88
TIP-0.121.000.730.02-0.07-0.06-0.120.13
TLT-0.280.731.00-0.08-0.24-0.25-0.28-0.01
VNQ0.680.02-0.081.000.530.590.690.85
EEM0.75-0.07-0.240.531.000.820.750.76
VEA0.83-0.06-0.250.590.821.000.830.84
VTI0.99-0.12-0.280.690.750.831.000.89
Portfolio0.880.13-0.010.850.760.840.891.00
The correlation results are calculated based on daily price changes starting from Jul 27, 2007
Go to the full Correlations tool for more customization options

AI Insight on Diversification


The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that certain positions, particularly VNQ (real estate), VEA (developed international equities), and EEM (emerging markets equities), have relatively high positive correlations with each other (ranging from 0.53 to 0.82) and also show strong correlations with the portfolio overall (0.76 to 0.85). This clustering suggests these equity-related positions collectively dominate the portfolio’s behavior, potentially reducing diversification benefits within the equity segment.

Conversely, TIP (Treasury Inflation-Protected Securities) and TLT (long-term US Treasuries) show low to negative correlations with the equity positions and the portfolio itself, with correlations often near zero or negative (e.g., TIP with VNQ at 0.02, TLT with EEM at -0.24). These fixed income positions provide valuable diversification by behaving differently from the equity holdings, helping to mitigate portfolio volatility.

The portfolio’s correlation with VTI (total US equities) is high at 0.89, indicating that despite the inclusion of international and fixed income assets, the portfolio’s overall performance is still closely tied to broad US equity market movements. This suggests that the equity component, especially VNQ, VEA, and EEM, heavily influences the portfolio’s returns.

In summary, while the portfolio includes asset classes that enhance diversification (notably TIP and TLT), the strong inter-correlations among the equity positions and their dominance in the portfolio imply a moderate concentration in equities. The portfolio is not overly concentrated but leans toward equity risk, with fixed income assets providing some counterbalance. This structure aligns with a strategy seeking growth through equities while managing risk through inflation-protected and long-duration bonds.

Last updated Jun 21, 2025
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