Performance

Yale Endowment (Swensen-style) +6.29%

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RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe	Div. Yield
Yale Endowment (Swensen-style)	-0.22%	+6.60%	+6.29%	+4.92%	-6.93%	0.23	2.81%

VTI	-0.50%	+11.86%	+11.81%	+10.61%	-8.92%	0.59	1.06%
VNQ	+0.04%	+7.69%	+3.78%	+0.48%	-11.38%	0.02	3.67%
VEA	-0.30%	+10.29%	+14.94%	+8.82%	-11.63%	0.63	2.47%
IEF	-0.16%	-2.36%	-2.87%	-1.73%	-6.81%	-1.47	4.08%
TIP	-0.08%	+0.01%	-0.93%	-0.16%	-3.95%	-1.49	4.43%
VWO	-0.02%	+3.80%	+4.49%	+5.35%	-11.17%	0.08	2.14%

Summary

Yale Endowment (Swensen-style) at a glance

Yale Endowment (Swensen-style) returned +6.29% over the past year and +4.92% a year over five years. Its worst drop in that year was -6.93%, smaller than 69% of portfolios on Redstone, and its Sharpe ratio of 0.23 beats 30% of portfolios on Redstone. It yields 2.81%.

Ranking

How Yale Endowment (Swensen-style) ranks

1Y Return Rank

5Y Return Rank

Sharpe Ratio Rank

Max Drawdown Rank

Volatility Rank

Dividend Yield Rank

Current Drawdown

-3.34%

Rolling Volatility

+0.40%

METRICS

Correlation Matrix

	IEF	TIP	VEA	VNQ	VTI	VWO
IEF	1.00	0.87	0.46	0.46	0.34	0.32
TIP	0.87	1.00	0.36	0.41	0.29	0.24
VEA	0.46	0.36	1.00	0.33	0.82	0.88
VNQ	0.46	0.41	0.33	1.00	0.29	0.18
VTI	0.34	0.29	0.82	0.29	1.00	0.82
VWO	0.32	0.24	0.88	0.18	0.82	1.00

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Portfolio

Allocation

6 Assets

VTI

VEA

VWO

VNQ

IEF

TIP

Metrics

Risk Indicators

Alpha-2.80%

Beta0.62x

Sharpe0.23

Sortino0.33

Omega1.04

Calmar0.91

Martin1.06

Portfolios

Yale Endowment (Swensen-style): returns, risk and holdings

Yale Endowment (Swensen-style) at a glance

How Yale Endowment (Swensen-style) ranks

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