David Swensen Yale Endowment Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
DBMF iMGP DBi Managed Futures Strategy ETF	Systematic Trend	23.50%
BIZD VanEck BDC Income ETF	Financials Equities	23.50%
PSP Invesco Global Listed Private Equity ETF	Global Equities	17.50%
VXUS Vanguard Total International Stock ETF	Global Equities	11.75%
XLRE Real Estate Select Sector SPDR Fund	REIT	9.50%
GOVT iShares U.S. Treasury Bond ETF	Government Bonds	7.50%
GNR SPDR S&P Global Natural Resources ETF	Commodity Producers Equities	4.50%
VTI Vanguard Total Stock Market ETF	Large Cap Blend Equities	2.25%

Benchmark Against

Benchmark

S&P 500 Index

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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.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.64%	-0.21%	7.86%	7.47%	23.05%	19.90%	11.79%	13.33%
Portfolio David Swensen Yale Endowment Portfolio	-1.90%	-2.48%	1.20%	1.80%	7.88%	10.32%	5.56%	—
Portfolio components:
BIZD VanEck BDC Income ETF	-1.65%	-3.18%	-8.47%	-10.48%	-12.83%	5.23%	4.14%	7.79%
DBMF iMGP DBi Managed Futures Strategy ETF	-2.01%	-0.10%	9.70%	11.78%	28.17%	9.96%	7.93%	—
GNR SPDR S&P Global Natural Resources ETF	-3.78%	-2.98%	15.74%	18.87%	37.17%	13.81%	8.89%	10.19%
GOVT iShares U.S. Treasury Bond ETF	-0.35%	-0.59%	-0.33%	-0.22%	3.74%	2.73%	-0.50%	0.86%
PSP Invesco Global Listed Private Equity ETF	-2.24%	-6.86%	-13.49%	-11.71%	-9.37%	9.64%	-0.12%	7.44%
VTI Vanguard Total Stock Market ETF	-2.68%	0.14%	8.72%	8.29%	24.59%	21.08%	12.19%	14.71%
VXUS Vanguard Total International Stock ETF	-3.73%	-2.81%	10.17%	12.29%	25.97%	17.71%	7.67%	9.19%
XLRE Real Estate Select Sector SPDR Fund	0.68%	0.65%	11.53%	10.98%	10.45%	10.37%	3.42%	6.96%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since May 9, 2019, David Swensen Yale Endowment Portfolio's average daily return is +0.04%, while the average monthly return is +0.77%. At this rate, an investment would double in approximately 7.5 years.

Historically, 59% of months were positive and 41% were negative. The best month was Nov 2020 with a return of +11.3%, while the worst month was Mar 2020 at -17.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, David Swensen Yale Endowment Portfolio closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +6.2%, while the worst single day was Mar 12, 2020 at -8.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.17%	-0.30%	-3.60%	5.27%	-0.20%	-1.90%							1.20%
2025	3.43%	-0.46%	-2.73%	-1.62%	2.98%	2.75%	0.53%	1.80%	-0.11%	0.00%	1.24%	1.00%	8.96%
2024	-0.09%	2.21%	3.81%	-0.76%	2.66%	-0.04%	1.61%	0.03%	2.25%	-2.24%	2.97%	-2.37%	10.28%
2023	6.15%	-1.20%	-3.26%	1.47%	-1.33%	4.11%	3.37%	-1.71%	-0.39%	-3.42%	6.20%	4.40%	14.61%
2022	-2.19%	-1.15%	2.96%	-2.54%	-0.89%	-5.22%	4.81%	-2.37%	-8.11%	5.54%	4.05%	-3.60%	-9.27%
2021	0.59%	5.12%	3.32%	4.75%	2.16%	0.02%	1.66%	0.35%	-2.35%	5.15%	-2.66%	2.85%	22.64%

Benchmark Metrics

David Swensen Yale Endowment Portfolio has an annualized alpha of 0.22%, beta of 0.61, and R2 of 0.71 versus S&P 500 Index. Calculated based on daily prices since May 09, 2019.

This portfolio participated in 70.56% of S&P 500 Index downside but only 58.95% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.61 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 0.22%

Beta: 0.61

R²: 0.71

Upside Capture: 58.95%

Downside Capture: 70.56%

Expense Ratio

David Swensen Yale Endowment Portfolio has an expense ratio of 0.59%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

BIZD

VanEck BDC Income ETF

PSP

Invesco Global Listed Private Equity ETF

DBMF

iMGP DBi Managed Futures Strategy ETF

GNR

SPDR S&P Global Natural Resources ETF

XLRE

Real Estate Select Sector SPDR Fund

GOVT

iShares U.S. Treasury Bond ETF

VXUS

Vanguard Total International Stock ETF

VTI

Vanguard Total Stock Market ETF

Return for Risk

Risk / Return Rank

David Swensen Yale Endowment Portfolio ranks 10 for risk / return — in the bottom 10% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for David Swensen Yale Endowment Portfolio and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	0.78	2.01	-1.23
Sortino ratioReturn per unit of downside risk	1.13	2.71	-1.59
Omega ratioGain probability vs. loss probability	1.14	1.36	-0.23
Calmar ratioReturn relative to maximum drawdown	1.12	2.69	-1.56
Martin ratioReturn relative to average drawdown	3.72	12.34	-8.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
BIZD VanEck BDC Income ETF	4	-0.65	-0.83	0.91	-0.54	-0.93
DBMF iMGP DBi Managed Futures Strategy ETF	82	2.26	2.97	1.48	4.58	16.82
GNR SPDR S&P Global Natural Resources ETF	79	2.22	2.84	1.39	4.68	18.09
GOVT iShares U.S. Treasury Bond ETF	26	0.89	1.33	1.15	1.12	3.25
PSP Invesco Global Listed Private Equity ETF	6	-0.41	-0.43	0.95	-0.37	-0.84
VTI Vanguard Total Stock Market ETF	70	2.10	2.83	1.38	2.93	13.45
VXUS Vanguard Total International Stock ETF	55	1.69	2.31	1.31	2.34	9.11
XLRE Real Estate Select Sector SPDR Fund	26	0.80	1.15	1.14	1.30	3.56

Sharpe Ratio

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 6, 2026 (values are recalculated daily):

1-Year: 0.78
5-Year: 0.47
All Time: 0.62

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 1.64 to 2.53, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

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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Dividends

Dividend yield

David Swensen Yale Endowment Portfolio provided a 6.67% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	6.67%	6.30%	6.63%	5.03%	6.03%	7.03%	4.33%	6.38%	4.83%	4.82%	3.71%	4.01%
Portfolio components:
BIZD VanEck BDC Income ETF	13.80%	11.78%	10.94%	10.96%	11.21%	8.14%	10.39%	9.13%	10.88%	9.13%	8.51%	9.12%
DBMF iMGP DBi Managed Futures Strategy ETF	5.22%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
GNR SPDR S&P Global Natural Resources ETF	2.56%	2.76%	4.73%	3.37%	4.37%	3.44%	2.78%	3.84%	3.51%	2.40%	2.06%	4.59%
GOVT iShares U.S. Treasury Bond ETF	3.59%	3.49%	3.14%	2.65%	1.77%	0.96%	2.17%	1.98%	1.97%	1.57%	1.40%	1.25%
PSP Invesco Global Listed Private Equity ETF	6.68%	5.87%	8.62%	3.96%	2.88%	10.34%	4.66%	5.87%	6.81%	10.18%	4.12%	6.23%
VTI Vanguard Total Stock Market ETF	1.04%	1.12%	1.27%	1.44%	1.66%	1.21%	1.42%	1.78%	2.04%	1.71%	1.92%	1.98%
VXUS Vanguard Total International Stock ETF	2.75%	3.18%	3.37%	3.24%	3.09%	3.10%	2.14%	3.06%	3.18%	2.73%	2.93%	2.83%
XLRE Real Estate Select Sector SPDR Fund	3.13%	3.45%	3.43%	3.31%	3.70%	2.61%	3.15%	3.06%	3.78%	3.25%	4.22%	1.09%

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 32.39%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.

The current David Swensen Yale Endowment Portfolio drawdown is 3.14%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-32.39%Mar 2020	1mo 1d	8mo 6d	9mo 7dFeb 2020 - Nov 2020
Bear market2022	-16.06%Sep 2022	5mo 11d	1y 2mo	1y 7moApr 2022 - Dec 2023
2025 selloff2025	-13.87%Apr 2025	1mo 18d	2mo 25d	4mo 13dFeb 2025 - Jul 2025
2026 pullback2026	-7.49%Mar 2026	1mo 26d	1mo 9d	3mo 5dJan 2026 - May 2026
2024 pullback2024	-7.40%Aug 2024	19d	1mo 15d	2mo 4dJul 2024 - Sep 2024

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 8 assets, with an effective number of assets of 5.81, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.40	1.35	1.40	1.31

The portfolio has a diversification ratio of 1.31, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

David Swensen Yale Endowment Portfolio correlation to the S&P 500 Index

David Swensen Yale Endowment Portfolio has a 0.74 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.74
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since May 9, 2019	0.80

Benchmark Correlations

Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while GOVT has the lowest at -0.04.

-0.04

0.18

0.58

0.59

0.61

0.78

0.79

0.99

Portfolio Correlations

Correlation vs. David Swensen Yale Endowment Portfolio. PSP has the highest portfolio correlation at 0.90, while GOVT has the lowest at 0.00.

0.00

0.33

0.64

0.72

0.82

0.82

0.83

0.90

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	GOVT	DBMF	XLRE	BIZD	GNR	VXUS	PSP	VTI
GOVT	1.00	-0.22	0.17	-0.05	-0.11	0.01	0.02	-0.04
DBMF	-0.22	1.00	0.02	0.11	0.23	0.18	0.12	0.18
XLRE	0.17	0.02	1.00	0.46	0.43	0.53	0.55	0.60
BIZD	-0.05	0.11	0.46	1.00	0.53	0.54	0.69	0.61
GNR	-0.11	0.23	0.43	0.53	1.00	0.77	0.62	0.63
VXUS	0.01	0.18	0.53	0.54	0.77	1.00	0.82	0.81
PSP	0.02	0.12	0.55	0.69	0.62	0.82	1.00	0.81
VTI	-0.04	0.18	0.60	0.61	0.63	0.81	0.81	1.00

The correlation results are calculated based on daily price changes starting from May 9, 2019

Diversification Analysis

Find what David Swensen Yale Endowment Portfolio is missing

See which holdings overlap, where David Swensen Yale Endowment Portfolio is concentrated, and which low-correlation assets could fill the gaps.

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