David Swensen Yale Endowment Portfolio
Asset Allocation
| Position | Category/Sector | Target 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.
The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -6.75% | -5.05% | -5.60% | 8.15% | 14.14% | 10.05% |
| David Swensen Yale Endowment Portfolio | -1.93% | -3.68% | -2.68% | 2.47% | 10.97% | N/A |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | -6.86% | -5.12% | -5.25% | 8.76% | 15.45% | 11.34% |
GNR SPDR S&P Global Natural Resources ETF | 4.38% | -3.89% | -4.63% | -6.53% | 13.11% | 4.79% |
GOVT iShares U.S. Treasury Bond ETF | 0.35% | 0.40% | 1.57% | 6.60% | -2.12% | 0.75% |
XLRE Real Estate Select Sector SPDR Fund | 0.44% | -1.77% | -7.05% | 14.63% | 7.75% | N/A |
VXUS Vanguard Total International Stock ETF | 7.75% | -0.72% | 3.25% | 10.87% | 10.94% | 4.76% |
PSP Invesco Global Listed Private Equity ETF | -4.67% | -5.82% | -4.96% | 8.54% | 14.26% | 7.17% |
BIZD VanEck Vectors BDC Income ETF | -4.71% | -7.33% | -1.51% | 2.96% | 21.23% | 8.47% |
DBMF iM DBi Managed Futures Strategy ETF | -2.49% | -0.04% | -3.41% | -9.13% | 4.93% | N/A |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.72% | -0.62% | -3.03% | -1.88% | -1.93% | ||||||||
| 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% |
| 2023 | 5.48% | -1.08% | -3.53% | 1.41% | -1.27% | 4.20% | 3.33% | -1.58% | -0.10% | -3.33% | 5.49% | 3.93% | 13.07% |
| 2022 | -2.56% | -1.48% | 2.94% | -2.49% | -0.95% | -5.34% | 4.17% | -1.88% | -7.12% | 5.14% | 2.48% | -3.24% | -10.59% |
| 2021 | 0.54% | 4.93% | 3.24% | 4.84% | 2.16% | 0.00% | 1.78% | 0.44% | -2.53% | 5.37% | -2.72% | 2.92% | 22.63% |
| 2020 | -0.06% | -6.47% | -17.09% | 8.86% | 3.62% | 1.20% | 2.60% | 2.49% | -2.10% | -1.92% | 10.58% | 4.30% | 3.01% |
| 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 above-average management fees. 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 21, meaning it’s performing worse than 79% 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 0.50 | 0.84 | 1.12 | 0.52 | 2.14 |
GNR SPDR S&P Global Natural Resources ETF | -0.34 | -0.34 | 0.95 | -0.32 | -0.82 |
GOVT iShares U.S. Treasury Bond ETF | 1.08 | 1.59 | 1.21 | 0.39 | 2.88 |
XLRE Real Estate Select Sector SPDR Fund | 0.88 | 1.29 | 1.17 | 0.65 | 3.13 |
VXUS Vanguard Total International Stock ETF | 0.69 | 1.09 | 1.15 | 0.87 | 2.74 |
PSP Invesco Global Listed Private Equity ETF | 0.40 | 0.71 | 1.10 | 0.42 | 1.77 |
BIZD VanEck Vectors BDC Income ETF | 0.20 | 0.39 | 1.06 | 0.18 | 0.78 |
DBMF iM DBi Managed Futures Strategy ETF | -0.79 | -0.99 | 0.87 | -0.50 | -0.91 |
Dividends
Dividend yield
David Swensen Yale Endowment Portfolio provided a 6.81% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 6.81% | 6.63% | 5.03% | 6.03% | 7.03% | 4.26% | 6.38% | 4.83% | 4.82% | 3.71% | 4.01% | 3.51% |
| Portfolio components: | ||||||||||||
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% |
GNR SPDR S&P Global Natural Resources ETF | 4.53% | 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 | 3.31% | 3.14% | 2.65% | 1.77% | 0.96% | 1.28% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% | 1.17% |
XLRE Real Estate Select Sector SPDR Fund | 3.44% | 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 | 3.08% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% | 3.40% |
PSP Invesco Global Listed Private Equity ETF | 8.57% | 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 | 11.60% | 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 | 6.02% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.34% | 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.
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 199 trading sessions.
The current David Swensen Yale Endowment Portfolio drawdown is 7.20%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.46% | Feb 21, 2020 | 22 | Mar 23, 2020 | 199 | Jan 5, 2021 | 221 |
| -15.51% | Apr 21, 2022 | 112 | Sep 29, 2022 | 312 | Dec 27, 2023 | 424 |
| -14.79% | Feb 19, 2025 | 35 | Apr 8, 2025 | — | — | — |
| -7.88% | Jul 17, 2024 | 14 | Aug 5, 2024 | 32 | Sep 19, 2024 | 46 |
| -6.63% | Nov 9, 2021 | 81 | Mar 7, 2022 | 30 | Apr 19, 2022 | 111 |
Volatility
Volatility Chart
The current David Swensen Yale Endowment Portfolio volatility is 10.03%, 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.
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 8 assets, with an effective number of assets of 5.81, 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
| ^GSPC | GOVT | DBMF | XLRE | BIZD | GNR | VXUS | PSP | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.07 | 0.16 | 0.63 | 0.60 | 0.64 | 0.80 | 0.80 | 0.99 | 0.82 |
| GOVT | -0.07 | 1.00 | -0.27 | 0.14 | -0.08 | -0.14 | -0.03 | -0.01 | -0.07 | -0.06 |
| DBMF | 0.16 | -0.27 | 1.00 | 0.01 | 0.11 | 0.19 | 0.14 | 0.11 | 0.16 | 0.34 |
| XLRE | 0.63 | 0.14 | 0.01 | 1.00 | 0.49 | 0.44 | 0.55 | 0.58 | 0.64 | 0.65 |
| BIZD | 0.60 | -0.08 | 0.11 | 0.49 | 1.00 | 0.57 | 0.58 | 0.69 | 0.63 | 0.82 |
| GNR | 0.64 | -0.14 | 0.19 | 0.44 | 0.57 | 1.00 | 0.79 | 0.67 | 0.66 | 0.75 |
| VXUS | 0.80 | -0.03 | 0.14 | 0.55 | 0.58 | 0.79 | 1.00 | 0.84 | 0.81 | 0.84 |
| PSP | 0.80 | -0.01 | 0.11 | 0.58 | 0.69 | 0.67 | 0.84 | 1.00 | 0.82 | 0.90 |
| VTI | 0.99 | -0.07 | 0.16 | 0.64 | 0.63 | 0.66 | 0.81 | 0.82 | 1.00 | 0.84 |
| Portfolio | 0.82 | -0.06 | 0.34 | 0.65 | 0.82 | 0.75 | 0.84 | 0.90 | 0.84 | 1.00 |