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

Asset Allocation


DBMF 23.5%GOVT 7.5%BIZD 23.5%PSP 17.5%VXUS 11.75%GNR 4.5%VTI 2.25%XLRE 9.5%AlternativesAlternativesBondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BIZD
VanEck Vectors BDC Income ETF
Financials Equities

23.50%

DBMF
iM DBi Managed Futures Strategy ETF
Hedge Fund, Actively Managed

23.50%

GNR
SPDR S&P Global Natural Resources ETF
Commodity Producers Equities

4.50%

GOVT
iShares U.S. Treasury Bond ETF
Government Bonds

7.50%

PSP
Invesco Global Listed Private Equity ETF
Global Equities

17.50%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

2.25%

VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities

11.75%

XLRE
Real Estate Select Sector SPDR Fund
REIT

9.50%

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


30.00%40.00%50.00%60.00%70.00%80.00%NovemberDecember2024FebruaryMarchApril
54.81%
72.51%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
David Swensen Yale Endowment Portfolio3.78%-0.54%14.78%16.31%N/AN/A
VTI
Vanguard Total Stock Market ETF
3.74%-5.13%18.55%21.46%12.38%11.62%
GNR
SPDR S&P Global Natural Resources ETF
2.63%2.78%9.30%5.10%8.08%4.66%
GOVT
iShares U.S. Treasury Bond ETF
-2.90%-1.90%3.99%-1.70%-0.43%0.72%
XLRE
Real Estate Select Sector SPDR Fund
-9.83%-7.09%11.47%-0.05%3.58%N/A
VXUS
Vanguard Total International Stock ETF
0.25%-3.58%14.24%6.76%4.72%3.95%
PSP
Invesco Global Listed Private Equity ETF
0.71%-4.47%31.83%26.96%6.68%6.24%
BIZD
VanEck Vectors BDC Income ETF
5.59%2.90%16.44%27.84%11.40%8.00%
DBMF
iM DBi Managed Futures Strategy ETF
14.22%3.45%4.66%13.82%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.09%2.21%3.81%
2023-0.39%-3.42%6.20%4.40%

Expense Ratio

The David Swensen Yale Endowment Portfolio has a high expense ratio of 3.07%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%10.92%
0.50%1.00%1.50%2.00%1.44%
0.50%1.00%1.50%2.00%0.85%
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.13%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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 1.75, compared to the broader market-1.000.001.002.003.004.001.75
Sortino ratio
The chart of Sortino ratio for David Swensen Yale Endowment Portfolio, currently valued at 2.46, compared to the broader market-2.000.002.004.006.002.46
Omega ratio
The chart of Omega ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.48, compared to the broader market0.002.004.006.008.001.48
Martin ratio
The chart of Martin ratio for David Swensen Yale Endowment Portfolio, currently valued at 8.29, compared to the broader market0.0010.0020.0030.0040.008.29
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
1.722.491.301.336.68
GNR
SPDR S&P Global Natural Resources ETF
0.180.361.040.170.56
GOVT
iShares U.S. Treasury Bond ETF
-0.23-0.280.97-0.08-0.45
XLRE
Real Estate Select Sector SPDR Fund
-0.060.041.01-0.03-0.18
VXUS
Vanguard Total International Stock ETF
0.540.851.100.371.61
PSP
Invesco Global Listed Private Equity ETF
1.482.121.250.695.29
BIZD
VanEck Vectors BDC Income ETF
2.243.071.401.9716.11
DBMF
iM DBi Managed Futures Strategy ETF
1.462.031.260.743.51

Sharpe Ratio

The current David Swensen Yale Endowment Portfolio Sharpe ratio is 1.75. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.75

The Sharpe ratio of David Swensen Yale Endowment Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.75
1.66
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

David Swensen Yale Endowment Portfolio granted a 5.27% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
David Swensen Yale Endowment Portfolio5.27%5.03%6.03%7.03%4.33%6.38%4.83%4.82%3.71%4.01%3.51%4.18%
VTI
Vanguard Total Stock Market ETF
1.44%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
GNR
SPDR S&P Global Natural Resources ETF
3.28%3.37%4.37%3.44%2.78%3.84%3.51%2.40%2.06%4.59%2.59%2.46%
GOVT
iShares U.S. Treasury Bond ETF
2.92%2.65%1.77%0.96%2.17%1.98%1.97%1.57%1.40%1.25%1.17%0.93%
XLRE
Real Estate Select Sector SPDR Fund
3.72%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%0.00%
VXUS
Vanguard Total International Stock ETF
3.43%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
PSP
Invesco Global Listed Private Equity ETF
4.83%3.96%2.88%10.34%4.66%5.87%6.81%10.18%4.12%6.23%4.94%13.48%
BIZD
VanEck Vectors BDC Income ETF
10.82%10.96%11.21%8.14%10.39%9.13%10.88%9.13%8.51%9.12%8.51%5.45%
DBMF
iM DBi Managed Futures Strategy ETF
3.10%2.91%7.72%10.38%0.86%9.35%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.39%
-5.46%
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 32.40%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.

The current David Swensen Yale Endowment Portfolio drawdown is 2.39%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.4%Feb 21, 202022Mar 23, 2020172Nov 24, 2020194
-16.07%Apr 21, 2022112Sep 29, 2022304Dec 14, 2023416
-5.54%Nov 9, 202181Mar 7, 202216Mar 29, 202297
-3.88%Sep 7, 202120Oct 4, 202112Oct 20, 202132
-3.68%May 10, 20213May 12, 20218May 24, 202111

Volatility

Volatility Chart

The current David Swensen Yale Endowment Portfolio volatility is 2.67%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.67%
3.15%
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.

DBMFGOVTXLREBIZDGNRPSPVXUSVTI
DBMF1.00-0.270.000.080.160.070.100.12
GOVT-0.271.000.10-0.10-0.17-0.04-0.07-0.10
XLRE0.000.101.000.510.450.600.560.67
BIZD0.08-0.100.511.000.590.700.590.64
GNR0.16-0.170.450.591.000.680.800.68
PSP0.07-0.040.600.700.681.000.850.82
VXUS0.10-0.070.560.590.800.851.000.83
VTI0.12-0.100.670.640.680.820.831.00