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

Asset Allocation


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 every 3 months.


200.00%250.00%300.00%NovemberDecember2025FebruaryMarchApril
197.33%
272.66%
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 Apr 27, 2025, the David Swensen Yale Endowment Portfolio returned -2.14% Year-To-Date and 6.47% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-6.06%-2.95%-4.87%8.34%13.98%10.15%
David Swensen Yale Endowment Portfolio-2.14%-2.04%-3.27%9.28%7.71%6.47%
VNQ
Vanguard Real Estate ETF
-1.32%-3.14%-7.30%13.04%6.98%4.91%
EEM
iShares MSCI Emerging Markets ETF
3.90%-2.58%-2.08%8.06%5.96%2.22%
TLT
iShares 20+ Year Treasury Bond ETF
2.84%0.34%-1.48%4.94%-9.56%-0.90%
VTI
Vanguard Total Stock Market ETF
-6.29%-2.99%-4.58%8.93%15.18%11.43%
TIP
iShares TIPS Bond ETF
3.73%0.40%2.50%7.08%1.41%2.24%
VEA
Vanguard FTSE Developed Markets ETF
10.15%1.16%5.84%10.70%11.66%5.43%
*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
20252.52%0.52%-3.61%-1.48%-2.14%
2024-0.86%3.04%2.56%-4.79%4.19%2.08%3.20%2.64%2.22%-2.23%4.51%-4.25%12.39%
20237.45%-3.55%1.97%0.83%-1.48%4.76%2.31%-2.54%-5.18%-3.00%9.17%6.13%16.86%
2022-5.57%-2.31%1.79%-7.10%-1.40%-6.68%7.15%-4.34%-9.74%4.23%6.09%-4.44%-21.53%
2021-0.67%1.10%1.97%4.57%0.84%2.24%2.30%1.79%-4.03%5.17%-1.15%3.86%19.11%
20201.23%-4.19%-10.02%7.78%2.58%1.99%4.49%2.46%-2.02%-2.30%8.42%3.06%12.67%
20196.91%1.41%2.66%1.49%-1.92%3.92%0.72%1.82%0.80%1.24%1.21%1.30%23.54%
20181.16%-4.33%0.55%0.01%1.88%0.98%1.43%1.84%-0.99%-5.28%2.30%-4.95%-5.68%
20171.39%2.55%-0.25%1.02%0.93%0.94%1.36%0.77%0.60%0.86%1.87%1.10%13.93%
2016-2.12%0.38%5.80%-0.22%1.00%3.23%3.29%-1.02%-0.34%-3.19%-1.02%1.89%7.58%
20152.92%0.27%-0.03%-1.05%-0.36%-2.82%2.59%-4.67%-0.52%4.61%-0.27%-0.81%-0.49%
20140.18%3.52%0.41%1.45%2.29%1.29%-0.75%3.01%-3.44%3.58%1.73%0.32%14.25%

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.


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

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of David Swensen Yale Endowment Portfolio is 57, 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 5757
Overall Rank
The Sharpe Ratio Rank of David Swensen Yale Endowment Portfolio is 5858
Sharpe Ratio Rank
The Sortino Ratio Rank of David Swensen Yale Endowment Portfolio is 5454
Sortino Ratio Rank
The Omega Ratio Rank of David Swensen Yale Endowment Portfolio is 5656
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 6565
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.


The chart of Sharpe ratio for Portfolio, currently valued at 0.64, compared to the broader market-4.00-2.000.002.00
Portfolio: 0.64
^GSPC: 0.46
The chart of Sortino ratio for Portfolio, currently valued at 0.98, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 0.99
^GSPC: 0.77
The chart of Omega ratio for Portfolio, currently valued at 1.14, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.14
^GSPC: 1.11
The chart of Calmar ratio for Portfolio, currently valued at 0.66, compared to the broader market0.002.004.006.00
Portfolio: 0.66
^GSPC: 0.47
The chart of Martin ratio for Portfolio, currently valued at 2.90, compared to the broader market0.005.0010.0015.0020.00
Portfolio: 2.90
^GSPC: 1.94

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
0.701.051.140.512.38
EEM
iShares MSCI Emerging Markets ETF
0.520.871.110.371.64
TLT
iShares 20+ Year Treasury Bond ETF
0.280.481.060.090.53
VTI
Vanguard Total Stock Market ETF
0.470.801.120.491.99
TIP
iShares TIPS Bond ETF
1.492.071.270.634.47
VEA
Vanguard FTSE Developed Markets ETF
0.620.991.130.802.41

The current David Swensen Yale Endowment Portfolio Sharpe ratio is 0.64. 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 0.39 to 0.88, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.64
0.46
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

David Swensen Yale Endowment Portfolio provided a 2.90% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.90%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
4.18%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
2.34%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
4.24%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
1.39%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
3.03%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
2.98%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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-6.44%
-10.07%
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 39.49%, occurring on Mar 9, 2009. Recovery took 498 trading sessions.

The current David Swensen Yale Endowment Portfolio drawdown is 6.44%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.49%Oct 10, 2007355Mar 9, 2009498Feb 28, 2011853
-26.9%Dec 31, 2021199Oct 14, 2022436Jul 12, 2024635
-24.92%Feb 21, 202019Mar 18, 2020110Aug 24, 2020129
-14.2%Dec 5, 202484Apr 8, 2025
-12.39%Aug 30, 201880Dec 24, 201859Mar 21, 2019139

Volatility

Volatility Chart

The current David Swensen Yale Endowment Portfolio volatility is 10.85%, 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%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
10.85%
14.23%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets
1.002.003.004.005.006.00
Effective Assets: 5.00

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.

^GSPCTIPTLTVNQEEMVEAVTIPortfolio
^GSPC1.00-0.12-0.290.680.750.830.990.88
TIP-0.121.000.730.02-0.07-0.06-0.120.15
TLT-0.290.731.00-0.08-0.24-0.25-0.280.02
VNQ0.680.02-0.081.000.530.590.690.84
EEM0.75-0.07-0.240.531.000.830.750.73
VEA0.83-0.06-0.250.590.831.000.830.81
VTI0.99-0.12-0.280.690.750.831.000.88
Portfolio0.880.150.020.840.730.810.881.00
The correlation results are calculated based on daily price changes starting from Jul 27, 2007