Ivy League Endowment Strategy
Attempts to replicate the asset allocation strategies of Ivy League schools, including equities, bonds, foreign equity, commodities, and real estate. It's noted for its complexity and difficulty for individual investors to fully replicate.
VTSAX VBTLX VTIAX VCMDX VGSLX
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Ivy League Endowment Strategy, 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 Jun 25, 2019, corresponding to the inception date of VCMDX
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.76% | 2.89% | 10.80% | 27.49% | 14.28% | 10.89% |
| Ivy League Endowment Strategy | 9.99% | 3.06% | 8.85% | 17.04% | 8.51% | N/A |
| Portfolio components: | ||||||
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 17.50% | 2.65% | 10.65% | 27.73% | 15.05% | 12.28% |
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 3.27% | 2.72% | 5.69% | 8.54% | 0.04% | 1.62% |
VTIAX Vanguard Total International Stock Index Fund Admiral Shares | 10.13% | 3.32% | 8.32% | 17.91% | 7.78% | 4.56% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 3.08% | 1.96% | 4.91% | -0.56% | 10.27% | N/A |
VGSLX Vanguard Real Estate Index Fund Admiral Shares | 9.51% | 5.72% | 15.13% | 20.95% | 4.42% | 6.26% |
Monthly Returns
The table below presents the monthly returns of Ivy League Endowment Strategy, 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 | -0.46% | 2.01% | 2.50% | -3.17% | 3.44% | 1.25% | 2.22% | 9.99% | |||||
| 2023 | 5.76% | -3.33% | 1.94% | 0.70% | -1.80% | 3.89% | 2.70% | -1.98% | -3.85% | -2.24% | 7.00% | 4.55% | 13.34% |
| 2022 | -3.23% | -1.23% | 2.01% | -5.20% | 0.01% | -6.70% | 6.02% | -3.48% | -8.41% | 3.63% | 6.01% | -3.40% | -14.20% |
| 2021 | -0.03% | 2.12% | 1.52% | 4.27% | 1.25% | 1.59% | 1.56% | 1.43% | -2.48% | 3.85% | -1.99% | 3.36% | 17.48% |
| 2020 | -0.50% | -4.63% | -10.50% | 7.34% | 3.44% | 2.27% | 4.16% | 3.76% | -2.21% | -1.52% | 8.05% | 3.51% | 12.24% |
| 2019 | 0.55% | 0.37% | -0.09% | 1.09% | 1.65% | 1.16% | 2.32% | 7.24% |
Expense Ratio
Ivy League Endowment Strategy has an expense ratio of 0.08%, which is considered low compared to other funds. 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 Ivy League Endowment Strategy is 45, 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 | |
|---|---|---|---|---|---|
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 2.29 | 3.11 | 1.41 | 2.09 | 10.41 |
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 1.39 | 2.03 | 1.24 | 0.49 | 4.60 |
VTIAX Vanguard Total International Stock Index Fund Admiral Shares | 1.63 | 2.31 | 1.29 | 1.06 | 7.26 |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 0.01 | 0.09 | 1.01 | 0.00 | 0.02 |
VGSLX Vanguard Real Estate Index Fund Admiral Shares | 1.19 | 1.76 | 1.22 | 0.65 | 3.89 |
Dividends
Dividend yield
Ivy League Endowment Strategy granted a 2.52% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ivy League Endowment Strategy | 2.52% | 2.56% | 3.75% | 5.11% | 1.97% | 2.28% | 2.49% | 2.19% | 2.35% | 2.21% | 2.25% | 2.22% |
| Portfolio components: | ||||||||||||
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 1.31% | 1.43% | 1.65% | 1.20% | 1.41% | 1.76% | 2.03% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 3.37% | 3.08% | 2.59% | 2.11% | 2.39% | 2.73% | 2.80% | 2.56% | 2.54% | 2.37% | 2.59% | 2.59% |
VTIAX Vanguard Total International Stock Index Fund Admiral Shares | 2.90% | 3.21% | 3.04% | 3.05% | 2.10% | 3.04% | 3.16% | 2.73% | 2.93% | 2.84% | 3.40% | 2.71% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 2.42% | 2.50% | 14.21% | 30.56% | 0.50% | 0.60% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VGSLX Vanguard Real Estate Index Fund Admiral Shares | 3.76% | 3.96% | 3.91% | 2.56% | 3.92% | 3.39% | 4.73% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
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 Ivy League Endowment Strategy. 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 Ivy League Endowment Strategy was 24.34%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.
The current Ivy League Endowment Strategy drawdown is 0.12%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.34% | Feb 20, 2020 | 23 | Mar 23, 2020 | 99 | Aug 12, 2020 | 122 |
| -19.9% | Jan 5, 2022 | 196 | Oct 14, 2022 | 349 | Mar 7, 2024 | 545 |
| -5.45% | Sep 3, 2020 | 14 | Sep 23, 2020 | 33 | Nov 9, 2020 | 47 |
| -4.12% | Jul 17, 2024 | 14 | Aug 5, 2024 | 10 | Aug 19, 2024 | 24 |
| -3.93% | Nov 9, 2021 | 16 | Dec 1, 2021 | 17 | Dec 27, 2021 | 33 |
Volatility
Volatility Chart
The current Ivy League Endowment Strategy volatility is 3.38%, 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
| VBTLX | VCMDX | VGSLX | VTSAX | VTIAX | |
|---|---|---|---|---|---|
| VBTLX | 1.00 | 0.04 | 0.17 | 0.02 | 0.04 |
| VCMDX | 0.04 | 1.00 | 0.18 | 0.27 | 0.38 |
| VGSLX | 0.17 | 0.18 | 1.00 | 0.70 | 0.60 |
| VTSAX | 0.02 | 0.27 | 0.70 | 1.00 | 0.82 |
| VTIAX | 0.04 | 0.38 | 0.60 | 0.82 | 1.00 |