Last Update: 31 March 2020

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 7.51% compound annual return, with a 9.04% standard deviation.

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 % EEM iShares MSCI 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

Portfolio and ETF Returns

The David Swensen Yale Endowment Portfolio guaranteed the following returns.

Portfolio returns are calculated assuming a rebalancing of the components at the beginning of each year (i.e. at every January 1st).

DAVID SWENSEN YALE ENDOWMENT PORTFOLIO RETURNS (%)
Last Update: 31 March 2020
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1M 3M 6M 1Y 3Y(*) 5Y(*) 10Y(*)
David Swensen Yale Endowment Portfolio -9.70 -12.37 -8.89 -3.11 +3.64 +3.65 +7.51
Components
VTI - Vanguard Total Stock Market -13.91 -20.84 -13.76 -9.27 +3.99 +5.77 +10.15
VNQ - Vanguard Real Estate -19.42 -24.16 -23.73 -16.73 -1.49 +0.47 +7.87
VEA - Vanguard FTSE Developed Markets -15.15 -23.99 -17.65 -15.75 -2.38 -0.55 +2.73
EEM - iShares MSCI Emerging Markets -15.77 -23.94 -14.72 -18.18 -2.42 -1.00 -0.03
TLT - iShares 20+ Year Treasury Bond +6.38 +22.15 +16.46 +33.38 +13.75 +7.39 +9.39
TIP - iShares TIPS Bond -1.76 +1.27 +1.88 +6.27 +3.19 +2.45 +3.31
(*) annualized

Historical Returns

David Swensen Yale Endowment Portfolio - Historical returns and stats.

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

DAVID SWENSEN YALE ENDOWMENT PORTFOLIO
Last Update: 31 March 2020
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Period Returns
Mar 2020
Standard
Deviation *
Max
Drawdown
Months
Pos - Neg
1M
-9.70%
-9.70%
Mar 2020 - Mar 2020
0 - 1
3M
-12.37%
-13.19%
Feb 2020 - Mar 2020
1 - 2
6M
-8.89%
-13.19%
Feb 2020 - Mar 2020
4 - 2
YTD
-12.37%
-13.19%
Feb 2020 - Mar 2020
1 - 2
1Y
-3.11%
11.80%
-13.19%
Feb 2020 - Mar 2020
9 - 3
3Y
+3.64%
annualized
9.73%
-13.19%
Feb 2020 - Mar 2020
29 - 7
5Y
+3.65%
annualized
9.24%
-13.19%
Feb 2020 - Mar 2020
40 - 20
10Y
+7.51%
annualized
9.04%
-13.19%
Feb 2020 - Mar 2020
80 - 40
MAX
01 Jan 2001
+7.19%
annualized
10.91%
-39.46%
Nov 2007 - Feb 2009
155 - 76

* 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
+8.75% 2 75 25 0
Stocks/Bonds 60/40
+7.84% 2 60 40 0
Talmud Portfolio
Roger Gibson
+7.56% 3 66.67 33.33 0
Yale Endowment
David Swensen
+7.51% 6 70 30 0
Golden Butterfly
+6.89% 5 40 40 20

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 (*) Negative
Periods
Rolling Period Average Best Worst
1 Year
+8.88% +47.16%
Mar 2009 - Feb 2010
-34.06%
Mar 2008 - Feb 2009
20.00%
2 Years
+8.74% +33.29%
Mar 2009 - Feb 2011
-19.25%
Mar 2007 - Feb 2009
12.02%
3 Years
+8.83% +24.48%
Mar 2009 - Feb 2012
-9.18%
Mar 2006 - Feb 2009
9.18%
5 Years
+8.51% +18.71%
Mar 2009 - Feb 2014
-0.87%
Mar 2004 - Feb 2009
0.58%
7 Years
+8.20% +13.99%
Mar 2009 - Feb 2016
+2.97%
Mar 2002 - Feb 2009
0.00%
10 Years
+8.45% +12.36%
Mar 2009 - Feb 2019
+6.02%
Dec 2006 - Nov 2016
0.00%
15 Years
+8.53% +9.91%
Feb 2003 - Jan 2018
+7.06%
Apr 2005 - Mar 2020
0.00%

* 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
2020
-12.37% 0.9 -3.9 -9.7
2019
+22.65% 6.8 1.3 2.5 1.5 -2.0 3.9 0.4 1.6 0.9 1.4 1.1 1.5
2018
-6.20% 1.2 -4.3 0.6 0.0 1.5 0.8 1.4 1.5 -0.9 -5.3 2.2 -4.6
2017
+14.99% 1.7 2.4 0.1 1.1 1.1 0.9 1.6 0.8 0.7 1.0 1.7 1.2
2016
+7.39% -2.4 0.1 6.0 0.0 0.8 2.8 3.3 -0.9 -0.1 -3.0 -1.0 1.8
2015
-0.81% 2.6 0.8 -0.2 -0.5 -0.4 -2.8 2.3 -4.9 -0.9 4.8 -0.3 -1.0
2014
+13.38% -0.1 3.6 0.4 1.5 2.3 1.3 -0.8 2.9 -3.6 3.5 1.6 0.1
2013
+10.31% 2.4 0.6 1.9 3.5 -2.7 -2.5 2.8 -3.2 3.9 3.3 -0.5 0.9
2012
+13.55% 4.5 1.6 1.2 0.8 -3.6 3.2 1.5 1.1 0.7 -0.6 0.9 1.7
2011
+6.31% 0.9 3.0 -0.1 3.8 -0.1 -1.7 0.5 -3.1 -4.5 7.3 -0.8 1.5
2010
+15.25% -2.7 2.0 5.0 2.6 -4.8 -2.0 5.8 -0.6 5.1 2.5 -1.6 3.8
2009
+20.32% -10.5 -9.4 6.9 9.4 4.9 -0.8 6.9 4.9 4.5 -2.6 4.9 1.8
2008
-21.94% -2.7 -1.3 1.2 3.3 0.5 -5.7 -0.5 0.6 -5.2 -17.1 -4.4 9.0
2007
+4.98% 2.4 -0.4 0.4 2.2 1.2 -2.3 -2.1 2.0 3.6 2.8 -2.8 -1.7
2006
+17.42% 3.9 0.3 1.3 0.2 -2.7 1.3 1.6 2.6 1.4 3.5 3.0 0.0
2005
+9.62% -2.2 2.0 -1.7 0.9 2.5 1.9 2.7 0.2 1.0 -2.6 2.9 1.7
2004
+16.80% 2.4 2.0 1.4 -6.3 2.2 1.8 -1.4 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

EEM - iShares MSCI Emerging Markets: simulated historical serie, up to December 2003

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

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

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