David Swensen Yale Endowment Portfolio
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 Quarterly
The earliest data available for this chart is May 8, 2019, corresponding to the inception date of DBMF
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.49% | 3.72% | 16.33% | 33.60% | 14.41% | 11.99% |
| David Swensen Yale Endowment Portfolio | 12.02% | 1.31% | 8.13% | 21.67% | 9.77% | N/A |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 22.57% | 3.83% | 17.22% | 37.03% | 15.53% | 13.46% |
GNR SPDR S&P Global Natural Resources ETF | 1.41% | 1.99% | -0.52% | 4.90% | 9.53% | 5.54% |
GOVT iShares U.S. Treasury Bond ETF | 2.72% | -1.84% | 5.95% | 10.01% | -0.43% | 0.98% |
XLRE Real Estate Select Sector SPDR Fund | 14.33% | 0.08% | 27.28% | 37.15% | 5.83% | N/A |
VXUS Vanguard Total International Stock ETF | 11.24% | 1.48% | 10.92% | 24.56% | 6.94% | 5.74% |
PSP Invesco Global Listed Private Equity ETF | 18.04% | 1.86% | 16.77% | 49.48% | 10.01% | 9.63% |
BIZD VanEck Vectors BDC Income ETF | 11.65% | 3.82% | 6.39% | 20.54% | 11.49% | 8.91% |
DBMF iM DBi Managed Futures Strategy ETF | 9.77% | -0.52% | -3.76% | 0.24% | 7.04% | 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.09% | 2.21% | 3.81% | -0.73% | 2.66% | -0.04% | 1.61% | 0.03% | 2.25% | 12.02% | |||
| 2023 | 6.15% | -1.20% | -3.26% | 1.47% | -1.33% | 4.13% | 3.37% | -1.71% | -0.39% | -3.42% | 6.20% | 4.40% | 14.63% |
| 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% |
| 2020 | -0.07% | -6.45% | -17.19% | 10.41% | 4.83% | 1.45% | 2.45% | 2.71% | -2.07% | -2.07% | 11.31% | 4.34% | 6.54% |
| 2019 | -1.50% | 3.65% | 0.56% | 1.80% | 1.05% | 0.54% | 1.58% | 2.16% | 10.19% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of David Swensen Yale Endowment Portfolio is 31, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | 2.75 | 3.66 | 1.50 | 2.50 | 16.71 |
GNR SPDR S&P Global Natural Resources ETF | 0.28 | 0.48 | 1.06 | 0.32 | 0.87 |
GOVT iShares U.S. Treasury Bond ETF | 1.58 | 2.32 | 1.28 | 0.47 | 5.98 |
XLRE Real Estate Select Sector SPDR Fund | 1.89 | 2.73 | 1.34 | 0.98 | 7.94 |
VXUS Vanguard Total International Stock ETF | 1.73 | 2.45 | 1.31 | 1.22 | 11.27 |
PSP Invesco Global Listed Private Equity ETF | 2.45 | 3.19 | 1.41 | 1.20 | 15.98 |
BIZD VanEck Vectors BDC Income ETF | 1.67 | 2.27 | 1.30 | 2.14 | 7.76 |
DBMF iM DBi Managed Futures Strategy ETF | 0.09 | 0.20 | 1.03 | 0.06 | 0.18 |
Dividends
Dividend yield
David Swensen Yale Endowment Portfolio granted a 6.24% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| David Swensen Yale Endowment Portfolio | 6.24% | 5.03% | 6.03% | 7.03% | 4.33% | 6.38% | 4.83% | 4.82% | 3.71% | 4.01% | 3.51% | 4.18% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.30% | 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 | 3.49% | 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 | 3.04% | 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 | 3.09% | 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 | 2.88% | 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 | 7.78% | 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 | 11.19% | 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 | 5.11% | 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. 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 32.40%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.
The current David Swensen Yale Endowment Portfolio drawdown is 0.32%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.4% | Feb 21, 2020 | 22 | Mar 23, 2020 | 172 | Nov 24, 2020 | 194 |
| -16.07% | Apr 21, 2022 | 112 | Sep 29, 2022 | 304 | Dec 14, 2023 | 416 |
| -7.4% | Jul 17, 2024 | 14 | Aug 5, 2024 | 32 | Sep 19, 2024 | 46 |
| -5.54% | Nov 9, 2021 | 81 | Mar 7, 2022 | 16 | Mar 29, 2022 | 97 |
| -3.68% | May 10, 2021 | 3 | May 12, 2021 | 8 | May 24, 2021 | 11 |
Volatility
Volatility Chart
The current David Swensen Yale Endowment Portfolio volatility is 2.33%, 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
Asset Correlations Table
| GOVT | DBMF | XLRE | BIZD | GNR | PSP | VXUS | VTI | |
|---|---|---|---|---|---|---|---|---|
| GOVT | 1.00 | -0.28 | 0.13 | -0.10 | -0.15 | -0.02 | -0.05 | -0.08 |
| DBMF | -0.28 | 1.00 | -0.00 | 0.09 | 0.18 | 0.09 | 0.13 | 0.14 |
| XLRE | 0.13 | -0.00 | 1.00 | 0.50 | 0.44 | 0.58 | 0.55 | 0.65 |
| BIZD | -0.10 | 0.09 | 0.50 | 1.00 | 0.59 | 0.69 | 0.58 | 0.63 |
| GNR | -0.15 | 0.18 | 0.44 | 0.59 | 1.00 | 0.68 | 0.80 | 0.67 |
| PSP | -0.02 | 0.09 | 0.58 | 0.69 | 0.68 | 1.00 | 0.85 | 0.82 |
| VXUS | -0.05 | 0.13 | 0.55 | 0.58 | 0.80 | 0.85 | 1.00 | 0.83 |
| VTI | -0.08 | 0.14 | 0.65 | 0.63 | 0.67 | 0.82 | 0.83 | 1.00 |