Last Update: 31 July 2022

Implementing the David Swensen Yale Endowment Portfolio, how long should you stay invested to have high probability to obtain a positive return?

Considering all 6 years rolling periods, you would have obtained a positive returns 100.00% of times

Considering all 2 years rolling periods, you would have obtained a positive returns 91.17% of times

All the returns are calculated over the available historical serie, starting from June 1991 until July 2022.

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

Rolling Returns

David Swensen Yale Endowment Portfolio: annualized rolling and average returns

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Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
9.78 47.16
Mar 2009 - Feb 2010
-34.06
Mar 2008 - Feb 2009
17.08%
2 Years
9.43 33.29
Mar 2009 - Feb 2011
-19.26
Mar 2007 - Feb 2009
8.83%
3 Years
9.12 24.48
Mar 2009 - Feb 2012
-9.18
Mar 2006 - Feb 2009
6.78%
4 Years
9.05 20.72
Mar 2009 - Feb 2013
-3.76
Mar 2005 - Feb 2009
0.92%
5 Years
8.99 18.71
Mar 2009 - Feb 2014
-0.87
Mar 2004 - Feb 2009
0.32%
6 Years
8.91 17.77
Mar 2009 - Feb 2015
4.27
Mar 2003 - Feb 2009
0.00%
7 Years
8.80 13.99
Mar 2009 - Feb 2016
2.97
Mar 2002 - Feb 2009
0.00%
8 Years
8.77 14.04
Mar 2009 - Feb 2017
2.54
Mar 2001 - Feb 2009
0.00%
9 Years
8.72 13.24
Mar 2009 - Feb 2018
2.50
Mar 2000 - Feb 2009
0.00%
10 Years
8.67 12.36
Mar 2009 - Feb 2019
3.69
Mar 1999 - Feb 2009
0.00%
11 Years
8.66 12.15
Mar 2009 - Feb 2020
3.59
Mar 1998 - Feb 2009
0.00%
12 Years
8.71 12.45
Mar 2009 - Feb 2021
4.77
Mar 1997 - Feb 2009
0.00%
13 Years
8.66 12.17
Mar 2009 - Feb 2022
5.53
Mar 1996 - Feb 2009
0.00%
14 Years
8.55 11.25
Dec 1992 - Nov 2006
6.31
Apr 2006 - Mar 2020
0.00%
15 Years
8.55 11.34
Dec 1991 - Nov 2006
5.90
Mar 1994 - Feb 2009
0.00%
16 Years
8.56 11.23
Jul 1991 - Jun 2007
6.52
Mar 1993 - Feb 2009
0.00%
17 Years
8.54 10.47
Jun 1991 - May 2008
6.87
Mar 1992 - Feb 2009
0.00%
18 Years
8.63 9.78
Apr 2003 - Mar 2021
7.28
Jan 2001 - Dec 2018
0.00%
19 Years
8.69 9.96
Nov 2002 - Oct 2021
7.11
Jan 2000 - Dec 2018
0.00%
20 Years
8.66 9.87
Feb 1995 - Jan 2015
6.95
Apr 2000 - Mar 2020
0.00%
(*) Annualized rolling and average returns over full calendar month periods

Annualized Rolling Returns - 1 Year (12 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+9.78% +47.16%
Mar 2009 - Feb 2010
-34.06%
Mar 2008 - Feb 2009
17.08%
62 out of 363
1 Year Annualized Rolling Returns over time
1 Year Annualized Rolling Returns Histogram

Annualized Rolling Returns - 2 Years (24 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+9.43% +33.29%
Mar 2009 - Feb 2011
-19.26%
Mar 2007 - Feb 2009
8.83%
31 out of 351
2 Years Annualized Rolling Returns over time
2 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 3 Years (36 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+9.12% +24.48%
Mar 2009 - Feb 2012
-9.18%
Mar 2006 - Feb 2009
6.78%
23 out of 339
3 Years Annualized Rolling Returns over time
3 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 4 Years (48 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+9.05% +20.72%
Mar 2009 - Feb 2013
-3.76%
Mar 2005 - Feb 2009
0.92%
3 out of 327
4 Years Annualized Rolling Returns over time
4 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 5 Years (60 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.99% +18.71%
Mar 2009 - Feb 2014
-0.87%
Mar 2004 - Feb 2009
0.32%
1 out of 315
5 Years Annualized Rolling Returns over time
5 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 6 Years (72 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.91% +17.77%
Mar 2009 - Feb 2015
+4.27%
Mar 2003 - Feb 2009
0.00%
0 out of 303
6 Years Annualized Rolling Returns over time
6 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 7 Years (84 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.80% +13.99%
Mar 2009 - Feb 2016
+2.97%
Mar 2002 - Feb 2009
0.00%
0 out of 291
7 Years Annualized Rolling Returns over time
7 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 8 Years (96 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.77% +14.04%
Mar 2009 - Feb 2017
+2.54%
Mar 2001 - Feb 2009
0.00%
0 out of 279
8 Years Annualized Rolling Returns over time
8 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 9 Years (108 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.72% +13.24%
Mar 2009 - Feb 2018
+2.50%
Mar 2000 - Feb 2009
0.00%
0 out of 267
9 Years Annualized Rolling Returns over time
9 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 10 Years (120 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.67% +12.36%
Mar 2009 - Feb 2019
+3.69%
Mar 1999 - Feb 2009
0.00%
0 out of 255
10 Years Annualized Rolling Returns over time
10 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 11 Years (132 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.66% +12.15%
Mar 2009 - Feb 2020
+3.59%
Mar 1998 - Feb 2009
0.00%
0 out of 243
11 Years Annualized Rolling Returns over time
11 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 12 Years (144 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.71% +12.45%
Mar 2009 - Feb 2021
+4.77%
Mar 1997 - Feb 2009
0.00%
0 out of 231
12 Years Annualized Rolling Returns over time
12 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 13 Years (156 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.66% +12.17%
Mar 2009 - Feb 2022
+5.53%
Mar 1996 - Feb 2009
0.00%
0 out of 219
13 Years Annualized Rolling Returns over time
13 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 14 Years (168 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.55% +11.25%
Dec 1992 - Nov 2006
+6.31%
Apr 2006 - Mar 2020
0.00%
0 out of 207
14 Years Annualized Rolling Returns over time
14 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 15 Years (180 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.55% +11.34%
Dec 1991 - Nov 2006
+5.90%
Mar 1994 - Feb 2009
0.00%
0 out of 195
15 Years Annualized Rolling Returns over time
15 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 16 Years (192 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.56% +11.23%
Jul 1991 - Jun 2007
+6.52%
Mar 1993 - Feb 2009
0.00%
0 out of 183
16 Years Annualized Rolling Returns over time
16 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 17 Years (204 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.54% +10.47%
Jun 1991 - May 2008
+6.87%
Mar 1992 - Feb 2009
0.00%
0 out of 171
17 Years Annualized Rolling Returns over time
17 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 18 Years (216 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.63% +9.78%
Apr 2003 - Mar 2021
+7.28%
Jan 2001 - Dec 2018
0.00%
0 out of 159
18 Years Annualized Rolling Returns over time
18 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 19 Years (228 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.69% +9.96%
Nov 2002 - Oct 2021
+7.11%
Jan 2000 - Dec 2018
0.00%
0 out of 147
19 Years Annualized Rolling Returns over time
19 Years Annualized Rolling Returns Histogram

Annualized Rolling Returns - 20 Years (240 months)

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Average
Return
Best
Return
Worst
Return
Negative
Periods
+8.66% +9.87%
Feb 1995 - Jan 2015
+6.95%
Apr 2000 - Mar 2020
0.00%
0 out of 135
20 Years Annualized Rolling Returns over time
20 Years Annualized Rolling Returns Histogram

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

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