The David Swensen Yale Endowment Portfolio is exposed for 70% on the Stock Market .

It's a High Risk portfolio and it can be replicated with 6 ETFs.

In the last 10 years, the portfolio obtained a 9.81% compound annual return, with a 8.71% standard deviation (Last Update: August 2019).

Asset Allocation and ETFs

The David Swensen Yale Endowment Portfolio has the following asset allocation:

70% Stocks
30% Fixed Income
0% Commodities

The David Swensen Yale Endowment Portfolio can be replicated with the following ETFs:

Weight Ticker ETF Name Investment Themes
30.00 % VTI Vanguard Total Stock Market Equity, U.S., Large Cap
20.00 % VNQ Vanguard Real Estate Real Estate, U.S.
15.00 % VEA Vanguard FTSE Developed Markets Equity, EAFE, Large Cap
5.00 % VWO Vanguard FTSE Emerging Markets Equity, Emerging Markets, Large Cap
15.00 % TLT iShares 20+ Year Treasury Bond Bond, U.S., Long-Term
15.00 % TIP iShares TIPS Bond Bond, U.S., All-Term

Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).

Historical Returns

David Swensen Yale Endowment Portfolio - Historical returns and stats:

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Range Returns
Aug 2019
Standard
Deviation *
Max
Drawdown
Months
Pos - Neg
1M
+1.62%
0.00%
1 - 0
YTD
+17.09%
-1.94%
May 2019 - May 2019
7 - 1
1Y
+7.16%
11.29%
-8.49%
Sep 2018 - Dec 2018
8 - 4
3Y
+7.18%
annualized
7.72%
-8.49%
Sep 2018 - Dec 2018
28 - 8
5Y
+6.42%
annualized
8.16%
-8.49%
Sep 2018 - Dec 2018
41 - 19
10Y
+9.81%
annualized
8.71%
-8.65%
May 2011 - Sep 2011
81 - 39
MAX
Dec 2000
+7.94%
annualized
10.73%
-39.50%
Nov 2007 - Feb 2009
150 - 74

* Annualized St.Dev. of monthly returns

Best High Risk Porftolios, ordered by 10Y annualized return.

Portfolio 10Y Return ▾ #ETF Stocks Bonds Comm.
Simple Path to Wealth
JL Collins
+11.08% 2 75 25 0
Yale Endowment
David Swensen
+9.81% 6 70 30 0
Stocks/Bonds 60/40
+9.67% 2 60 40 0
Lazy
David Swensen
+8.92% 6 70 30 0
Coffee House
Bill Schultheis
+8.66% 7 60 40 0

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Rolling Returns

David Swensen Yale Endowment Portfolio: annualized rolling and average returns

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Return (*)
Rolling Period Average Best Worst
1 Year
+8.80% +47.34%
Mar 2009 - Feb 2010
-34.08%
Mar 2008 - Feb 2009
2 Years
+8.84% +33.42%
Mar 2009 - Feb 2011
-19.19%
Mar 2007 - Feb 2009
3 Years
+8.88% +24.56%
Mar 2009 - Feb 2012
-9.14%
Mar 2006 - Feb 2009
5 Years
+8.64% +18.74%
Mar 2009 - Feb 2014
-0.85%
Mar 2004 - Feb 2009
7 Years
+8.25% +14.04%
Mar 2009 - Feb 2016
+2.99%
Mar 2002 - Feb 2009
10 Years
+8.44% +12.39%
Mar 2009 - Feb 2019
+6.08%
Dec 2006 - Nov 2016
15 Years
+8.66% +9.94%
Feb 2003 - Jan 2018
+7.44%
Feb 2001 - Jan 2016

* Annualized rolling and average returns over full calendar month periods

Yearly Returns - Monthly Returns Heatmap

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Months
Year Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019
+17.09% 6.8 1.3 2.6 1.5 -1.9 3.8 0.5 1.6
2018
-6.17% 1.2 -4.3 0.6 0.0 1.5 0.7 1.4 1.4 -1.0 -5.2 2.2 -4.6
2017
+14.70% 1.6 2.4 0.1 1.1 1.0 0.9 1.5 0.8 0.7 0.9 1.7 1.2
2016
+7.46% -2.5 0.2 6.0 0.0 0.8 2.9 3.3 -0.9 -0.1 -2.9 -1.0 1.8
2015
-0.79% 2.6 0.8 -0.2 -0.5 -0.4 -2.7 2.2 -5.0 -0.8 4.7 -0.3 -1.0
2014
+13.57% -0.0 3.6 0.5 1.5 2.3 1.3 -0.8 2.9 -3.6 3.6 1.6 0.1
2013
+10.25% 2.4 0.6 1.9 3.5 -2.7 -2.5 2.7 -3.3 3.9 3.3 -0.5 0.9
2012
+13.56% 4.5 1.6 1.2 0.8 -3.6 3.2 1.6 1.1 0.7 -0.6 0.9 1.7
2011
+6.32% 1.0 3.0 -0.2 3.8 -0.1 -1.7 0.5 -3.1 -4.5 7.3 -0.8 1.5
2010
+15.40% -2.7 2.1 5.0 2.6 -4.8 -2.0 5.8 -0.6 5.1 2.5 -1.6 3.8
2009
+20.69% -10.4 -9.2 6.7 9.5 5.1 -0.8 6.9 4.9 4.5 -2.5 4.8 1.8
2008
-22.12% -2.7 -1.2 1.2 3.2 0.4 -5.7 -0.4 0.6 -5.2 -17.1 -4.3 8.9
2007
+5.18% 2.4 -0.4 0.3 2.2 1.3 -2.3 -1.9 1.9 3.5 2.9 -2.9 -1.7
2006
+17.32% 3.8 0.4 1.3 0.3 -2.7 1.2 1.6 2.6 1.5 3.4 3.1 -0.1
2005
+9.59% -2.2 2.0 -1.7 0.9 2.6 1.9 2.6 0.2 1.0 -2.6 3.1 1.7
2004
+16.88% 2.5 2.0 1.4 -6.2 2.1 1.7 -1.3 2.9 1.3 2.7 3.4 3.6
2003
+26.48% -2.0 0.4 -0.2 5.3 5.7 1.2 0.5 2.0 2.1 3.3 1.9 3.9
2002
-3.11% -0.7 0.5 2.7 -0.2 0.4 -1.9 -4.5 1.6 -4.2 0.6 3.2 -0.4
2001
-2.47% 2.1 -4.3 -3.2 3.9 0.4 0.2 -0.7 -0.9 -5.1 1.7 2.7 1.0

* Note:
Portofolio Returns, up to December 2007, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

VTI - Vanguard Total Stock Market: simulated historical serie, up to December 2001

VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004

VEA - Vanguard FTSE Developed Markets: simulated historical serie, up to December 2007

VWO - Vanguard FTSE Emerging Markets: simulated historical serie, up to December 2005

TLT - iShares 20+ Year Treasury Bond: simulated historical serie, up to December 2002

TIP - iShares TIPS Bond: simulated historical serie, up to December 2003