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 Every 3 months.
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The earliest data available for this chart is Jun 26, 2019, corresponding to the inception date of VCMDX
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Ivy League Endowment Strategy | 0.50% | -1.97% | 1.44% | 3.19% | 14.50% | 11.98% | 7.10% | — |
| Portfolio components: | ||||||||
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 0.72% | -3.42% | -3.29% | -1.39% | 17.61% | 18.12% | 10.64% | 13.68% |
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 0.00% | -1.53% | -0.28% | 0.29% | 3.77% | 3.51% | 0.19% | 1.62% |
VTIAX Vanguard Total International Stock Index Fund Admiral Shares | 1.65% | -2.29% | 3.43% | 7.20% | 28.80% | 15.89% | 7.55% | 8.98% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | -0.46% | 4.34% | 17.26% | 22.98% | 24.77% | 11.79% | 13.85% | — |
VGSLX Vanguard Real Estate Index Fund Admiral Shares | 0.37% | -5.68% | 1.69% | -0.29% | 1.58% | 6.53% | 2.85% | 4.67% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 27, 2019, Ivy League Endowment Strategy's average daily return is +0.04%, while the average monthly return is +0.75%. At this rate, your investment would double in approximately 7.7 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +8.1%, while the worst month was Mar 2020 at -10.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Ivy League Endowment Strategy closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +5.1%, while the worst single day was Mar 16, 2020 at -7.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.73% | 1.89% | -3.57% | 0.50% | 1.44% | ||||||||
| 2025 | 2.44% | 0.72% | -1.75% | -0.38% | 2.78% | 3.19% | 0.54% | 2.44% | 2.28% | 1.15% | 0.84% | 0.13% | 15.22% |
| 2024 | -0.71% | 2.01% | 2.50% | -3.17% | 3.44% | 1.25% | 2.22% | 2.12% | 2.36% | -2.25% | 3.12% | -2.82% | 10.19% |
| 2023 | 5.76% | -3.33% | 1.94% | 0.70% | -1.80% | 3.89% | 2.70% | -1.98% | -3.85% | -2.24% | 7.00% | 4.82% | 13.64% |
| 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 | -0.07% | 2.12% | 1.52% | 4.27% | 1.25% | 1.59% | 1.56% | 1.43% | -2.48% | 3.85% | -1.99% | 3.36% | 17.44% |
Benchmark Metrics
Ivy League Endowment Strategy has an annualized alpha of 1.19%, beta of 0.58, and R² of 0.89 versus S&P 500 Index. Calculated based on daily prices since June 27, 2019.
- This portfolio participated in 73.10% of S&P 500 Index downside but only 64.30% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.58 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
- 1.19%
- Beta
- 0.58
- R²
- 0.89
- Upside Capture
- 64.30%
- Downside Capture
- 73.10%
Expense Ratio
Ivy League Endowment Strategy has an expense ratio of 0.08%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Ivy League Endowment Strategy ranks 60 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.44 | 0.88 | +0.56 |
Sortino ratioReturn per unit of downside risk | 2.05 | 1.37 | +0.68 |
Omega ratioGain probability vs. loss probability | 1.31 | 1.21 | +0.10 |
Calmar ratioReturn relative to maximum drawdown | 1.78 | 1.39 | +0.39 |
Martin ratioReturn relative to average drawdown | 9.34 | 6.43 | +2.91 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 50 | 1.00 | 1.53 | 1.23 | 1.53 | 7.29 |
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 31 | 0.85 | 1.23 | 1.15 | 1.46 | 4.08 |
VTIAX Vanguard Total International Stock Index Fund Admiral Shares | 86 | 1.86 | 2.44 | 1.37 | 2.62 | 10.15 |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 79 | 1.62 | 2.10 | 1.30 | 2.86 | 8.69 |
VGSLX Vanguard Real Estate Index Fund Admiral Shares | 5 | 0.13 | 0.29 | 1.04 | 0.18 | 0.69 |
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Dividends
Dividend yield
Ivy League Endowment Strategy provided a 3.71% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.71% | 4.05% | 2.64% | 2.55% | 3.75% | 5.07% | 1.97% | 2.28% | 2.43% | 2.19% | 2.35% | 2.34% |
| Portfolio components: | ||||||||||||
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 1.16% | 1.11% | 1.26% | 1.42% | 1.65% | 1.20% | 1.41% | 1.76% | 2.03% | 1.71% | 1.92% | 1.98% |
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 3.61% | 3.87% | 3.69% | 3.10% | 2.59% | 1.96% | 2.39% | 2.74% | 2.57% | 2.56% | 2.53% | 2.82% |
VTIAX Vanguard Total International Stock Index Fund Admiral Shares | 2.90% | 3.15% | 3.33% | 3.22% | 3.04% | 3.05% | 2.10% | 3.04% | 3.16% | 2.73% | 2.93% | 2.84% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 12.97% | 15.21% | 2.19% | 2.50% | 14.21% | 30.56% | 0.50% | 0.60% | 0.00% | 0.00% | 0.00% | 0.00% |
VGSLX Vanguard Real Estate Index Fund Admiral Shares | 3.92% | 3.92% | 3.85% | 3.91% | 3.91% | 2.56% | 3.92% | 3.39% | 4.73% | 4.23% | 4.82% | 3.92% |
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 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 3.64%.
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 |
| -10.48% | Feb 20, 2025 | 34 | Apr 8, 2025 | 38 | Jun 3, 2025 | 72 |
| -5.45% | Sep 3, 2020 | 14 | Sep 23, 2020 | 33 | Nov 9, 2020 | 47 |
| -5.18% | Mar 2, 2026 | 20 | Mar 27, 2026 | — | — | — |
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 5 assets, with an effective number of assets of 4.04, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | VBTLX | VCMDX | VGSLX | VTIAX | VTSAX | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.03 | 0.23 | 0.64 | 0.79 | 0.99 | 0.92 |
| VBTLX | 0.03 | 1.00 | 0.02 | 0.21 | 0.06 | 0.03 | 0.20 |
| VCMDX | 0.23 | 0.02 | 1.00 | 0.15 | 0.35 | 0.23 | 0.39 |
| VGSLX | 0.64 | 0.21 | 0.15 | 1.00 | 0.57 | 0.65 | 0.76 |
| VTIAX | 0.79 | 0.06 | 0.35 | 0.57 | 1.00 | 0.80 | 0.88 |
| VTSAX | 0.99 | 0.03 | 0.23 | 0.65 | 0.80 | 1.00 | 0.93 |
| Portfolio | 0.92 | 0.20 | 0.39 | 0.76 | 0.88 | 0.93 | 1.00 |