Data Source: from June 1991 to July 2022
Consolidated Returns as of 31 July 2022

Managing the David Swensen Yale Endowment Portfolio with a yearly rebalancing, you would have obtained a 8.76% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 8.71%.

How do returns and drawdowns change, implementing different rebalancing strategies?

Rebalancing Strategies

In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Jul 31, 2022

Implementing different rebalancing strategies, the David Swensen Yale Endowment Portfolio guaranteed the following returns.

According to the available data source, let's assume we built the portfolio on June 1991.

Portfolio returns are calculated in USD, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
DAVID SWENSEN YALE ENDOWMENT PORTFOLIO RETURNS
Period: June 1991 - July 2022
Swipe left to see all data
 
Return (%) and number of rebalances as of Jul 31, 2022
Rebalancing Strategy 1Y 5Y(*) 10Y(*) 30Y(*) (**)Since
Inception
Yearly Rebalancing -9.62 (1) 6.61 (5) 7.59 (10) 8.76 (30) 8.86 (31)
Half Yearly Rebalancing -9.86 (2) 6.68 (10) 7.60 (20) 8.62 (60) 8.72 (63)
Quarterly Rebalancing -9.92 (4) 6.97 (20) 7.68 (40) 8.71 (120) 8.80 (125)
5% Tolerance per asset -9.68 (0) 7.43 (3) 8.08 (5) 8.83 (15) 8.93 (15)
10% Tolerance per asset -9.71 (0) 6.66 (0) 7.88 (1) 8.59 (4) 8.70 (4)
(*) Returns over 1 year are annualized
(**) Since Jun 1991 (~31 yrs) | Annualized Returns

In order to have complete information about the portfolio, please refer to the David Swensen Yale Endowment Portfolio: ETF allocation and returns page.

Performances as of Jul 31, 2022

Historical returns and stats of David Swensen Yale Endowment Portfolio, after implementing different rebalancing strategies.

DAVID SWENSEN YALE ENDOWMENT PORTFOLIO PERFORMANCES
Period: June 1991 - July 2022
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy (*)Return (%) StDev(%) Ret/StDev MaxDD(%) Ret/MaxDD
Yearly Rebalancing 8.86 (31) 10.46 0.85 -39.48 0.22
Half Yearly Rebalancing 8.72 (63) 10.50 0.83 -40.25 0.22
Quarterly Rebalancing 8.80 (125) 10.57 0.83 -40.54 0.22
5% Tolerance per asset 8.93 (15) 10.64 0.84 -40.90 0.22
10% Tolerance per asset 8.70 (4) 10.86 0.80 -39.99 0.22
(*) Since Jun 1991 (~31 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Jul 31, 2022

Historical Drawdowns of David Swensen Yale Endowment Portfolio, after implementing different rebalancing strategies.

DAVID SWENSEN YALE ENDOWMENT PORTFOLIO DRAWDOWNS
Period: June 1991 - July 2022
Swipe left to see all data
Rebalancing
Tolerance per asset
Yearly Half Yearly Quarterly 5% 10%
-39.48
Nov 2007 - Oct 2010
-40.25
Nov 2007 - Oct 2010
-40.54
Nov 2007 - Oct 2010
-40.90
Nov 2007 - Oct 2010
-39.99
Nov 2007 - Oct 2010
-18.84
Jan 2022 - In progress
-18.84
Jan 2022 - In progress
-18.86
Jan 2022 - In progress
-19.02
Jan 2022 - In progress
-19.38
Jan 2022 - In progress
-13.19
Feb 2020 - Jul 2020
-13.19
Feb 2020 - Jul 2020
-13.19
Feb 2020 - Jul 2020
-13.35
Feb 2020 - Jul 2020
-14.23
Feb 2020 - Jul 2020
-10.80
Sep 2000 - May 2003
-12.20
Sep 2000 - Jun 2003
-11.84
Sep 2000 - May 2003
-11.19
Sep 2000 - May 2003
-12.07
May 2011 - Jan 2012
-10.52
Apr 1998 - Dec 1998
-10.53
Apr 1998 - Dec 1998
-10.57
Apr 1998 - Dec 1998
-10.25
Apr 1998 - Dec 1998
-12.02
Sep 2000 - Jun 2003
5 Worst Drawdowns - Average
-18.57 -19.00 -19.00 -18.94 -19.54
10 Worst Drawdowns - Average
-13.23 -13.39 -13.35 -13.60 -14.11

For a deeper insight, please refer to the David Swensen Yale Endowment Portfolio: ETF allocation and returns page.

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