PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
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/SectorTarget Weight
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%

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.


40.00%60.00%80.00%100.00%120.00%AugustSeptemberOctoberNovemberDecember2025
54.08%
102.37%
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


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-0.93%-3.71%3.77%21.81%12.17%11.26%
David Swensen Yale Endowment Portfolio-0.66%-1.86%-1.23%9.77%6.81%N/A
VTI
Vanguard Total Stock Market ETF
-0.87%-3.90%4.89%22.79%13.29%12.69%
GNR
SPDR S&P Global Natural Resources ETF
1.87%-1.92%-9.04%-3.21%5.91%5.49%
GOVT
iShares U.S. Treasury Bond ETF
-3.09%-1.48%-0.77%-0.01%-1.04%0.48%
XLRE
Real Estate Select Sector SPDR Fund
-3.66%-7.54%-0.28%2.57%3.58%N/A
VXUS
Vanguard Total International Stock ETF
-1.19%-4.01%-5.42%4.84%3.81%5.14%
PSP
Invesco Global Listed Private Equity ETF
-1.62%-4.95%5.40%19.84%7.37%8.79%
BIZD
VanEck Vectors BDC Income ETF
-1.26%0.12%2.15%11.86%10.83%9.63%
DBMF
iM DBi Managed Futures Strategy ETF
2.33%1.77%-7.38%8.35%6.26%N/A
*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
2024-0.02%2.21%3.91%-0.51%2.68%-0.08%1.31%-0.21%2.17%-2.11%3.14%-2.38%10.34%
20235.47%-1.08%-3.53%1.41%-1.27%4.19%3.33%-1.58%-0.10%-3.33%5.48%3.93%13.07%
2022-2.56%-1.48%2.93%-2.49%-0.94%-5.34%4.17%-1.88%-7.12%5.13%2.48%-3.24%-10.59%
20210.54%4.93%3.24%4.84%2.16%0.00%1.78%0.44%-2.53%5.37%-2.72%2.92%22.61%
2020-0.06%-6.47%-17.09%8.86%3.62%1.20%2.60%2.49%-2.10%-1.92%10.58%4.37%3.08%
2019-1.50%3.65%0.56%1.82%1.04%0.49%1.54%2.10%10.03%

Expense Ratio

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.


Expense ratio chart for BIZD: current value at 10.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%10.92%
Expense ratio chart for PSP: current value at 1.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.44%
Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for GNR: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for GOVT: 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 XLRE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
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 18, meaning it’s performing worse than 82% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of David Swensen Yale Endowment Portfolio is 1818
Overall Rank
The Sharpe Ratio Rank of David Swensen Yale Endowment Portfolio is 1818
Sharpe Ratio Rank
The Sortino Ratio Rank of David Swensen Yale Endowment Portfolio is 1515
Sortino Ratio Rank
The Omega Ratio Rank of David Swensen Yale Endowment Portfolio is 1717
Omega Ratio Rank
The Calmar Ratio Rank of David Swensen Yale Endowment Portfolio is 2020
Calmar Ratio Rank
The Martin Ratio Rank of David Swensen Yale Endowment Portfolio is 2222
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.


Sharpe ratio
The chart of Sharpe ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.06, compared to the broader market-1.000.001.002.003.004.001.061.77
The chart of Sortino ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.42, compared to the broader market-2.000.002.004.001.422.37
The chart of Omega ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.191.32
The chart of Calmar ratio for David Swensen Yale Endowment Portfolio, currently valued at 1.26, compared to the broader market0.002.004.006.008.0010.001.262.65
The chart of Martin ratio for David Swensen Yale Endowment Portfolio, currently valued at 5.44, compared to the broader market0.0010.0020.0030.0040.005.4411.13
David Swensen Yale Endowment Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
1.802.411.332.7311.16
GNR
SPDR S&P Global Natural Resources ETF
-0.24-0.220.97-0.23-0.59
GOVT
iShares U.S. Treasury Bond ETF
0.080.151.020.030.21
XLRE
Real Estate Select Sector SPDR Fund
0.160.321.040.100.58
VXUS
Vanguard Total International Stock ETF
0.450.701.090.611.64
PSP
Invesco Global Listed Private Equity ETF
1.151.581.200.947.25
BIZD
VanEck Vectors BDC Income ETF
1.081.491.201.344.91
DBMF
iM DBi Managed Futures Strategy ETF
0.781.091.150.501.29

The current David Swensen Yale Endowment Portfolio Sharpe ratio is 1.06. 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 1.22 to 1.93, 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 Ratio1.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember2025
1.06
1.77
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

David Swensen Yale Endowment Portfolio provided a 6.68% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio6.68%6.63%5.03%6.03%7.03%4.33%6.38%4.83%4.82%3.71%4.01%3.51%
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%
GNR
SPDR S&P Global Natural Resources ETF
4.65%4.73%3.37%4.37%3.44%2.78%3.84%3.51%2.40%2.06%4.60%2.59%
GOVT
iShares U.S. Treasury Bond ETF
3.24%3.14%2.66%1.76%0.96%2.17%1.98%1.97%1.57%1.40%1.25%1.17%
XLRE
Real Estate Select Sector SPDR Fund
3.56%3.43%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%
VXUS
Vanguard Total International Stock ETF
3.41%3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%
PSP
Invesco Global Listed Private Equity ETF
8.76%8.62%3.96%2.87%10.33%4.66%5.86%6.80%10.18%4.11%6.23%4.94%
BIZD
VanEck Vectors BDC Income ETF
11.08%10.94%10.97%11.22%8.14%10.39%9.13%10.88%9.13%8.51%9.12%8.51%
DBMF
iM DBi Managed Futures Strategy ETF
5.61%5.75%2.91%7.72%10.38%0.86%9.35%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. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.03%
-4.32%
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 32.46%, occurring on Mar 23, 2020. Recovery took 197 trading sessions.

The current David Swensen Yale Endowment Portfolio drawdown is 3.03%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.46%Feb 21, 202022Mar 23, 2020197Dec 31, 2020219
-15.51%Apr 21, 2022112Sep 29, 2022312Dec 27, 2023424
-7.88%Jul 17, 202414Aug 5, 202432Sep 19, 202446
-6.63%Nov 9, 202181Mar 7, 202230Apr 19, 2022111
-4.01%Dec 2, 202414Dec 19, 2024

Volatility

Volatility Chart

The current David Swensen Yale Endowment Portfolio volatility is 2.81%, 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%6.00%AugustSeptemberOctoberNovemberDecember2025
2.81%
4.66%
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.

GOVTDBMFXLREBIZDGNRPSPVXUSVTI
GOVT1.00-0.260.14-0.09-0.14-0.01-0.03-0.07
DBMF-0.261.000.000.100.180.100.130.15
XLRE0.140.001.000.490.430.570.540.64
BIZD-0.090.100.491.000.580.690.580.63
GNR-0.140.180.430.581.000.670.790.66
PSP-0.010.100.570.690.671.000.840.82
VXUS-0.030.130.540.580.790.841.000.82
VTI-0.070.150.640.630.660.820.821.00
The correlation results are calculated based on daily price changes starting from May 9, 2019
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2025 PortfoliosLab