Data Source: from January 1994 to December 2021

Last Update: 31 December 2021

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 10.17% compound annual return, with a 8.99% standard deviation.

In the last 25 years, a 8.94% compound annual return, with a 10.73% 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
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns

The David Swensen Yale Endowment Portfolio guaranteed the following returns.

DAVID SWENSEN YALE ENDOWMENT PORTFOLIO RETURNS (%)
Last Update: 31 December 2021
Swipe left to see all data
1M 3M 6M 1Y 3Y(*) 5Y(*) 10Y(*) 20Y(*) 25Y(*)
David Swensen Yale Endowment Portfolio +3.89 +7.30 +7.03 +17.53 +17.33 +11.74 +10.17 +9.25 +8.94
--- Inflation Adjusted return +3.40 +4.98 +3.51 +9.72 +13.32 +8.57 +7.89 +6.78 +6.50
Components
VTI
Vanguard Total Stock Market
+3.79 +9.11 +9.08 +25.67 +25.73 +17.96 +16.29 +9.91 +9.88
VNQ
Vanguard Real Estate
+9.69 +15.03 +15.74 +40.52 +19.96 +11.22 +11.50 +10.89 +9.94
VEA
Vanguard FTSE Developed Markets
+4.34 +2.70 +1.04 +11.67 +14.54 +10.12 +8.44 +6.66 +5.54
EEM
iShares MSCI Emerging Markets
+1.53 -1.57 -10.09 -3.61 +10.06 +9.16 +4.73 +8.87 +5.94
TLT
iShares 20+ Year Treasury Bond
-2.01 +3.18 +3.55 -4.60 +8.75 +6.68 +4.51 +6.76 +7.00
TIP
iShares TIPS Bond
+0.40 +2.39 +4.14 +5.67 +8.26 +5.18 +2.93 +5.18 +5.79
(*) annualized
Portfolio returns are calculated assuming:
  • a rebalancing of the components at the beginning of each year (i.e. at every January 1st)
  • the reinvestment of dividends

Inflation is updated to Dec 2021. Current inflation (annualized) is 1Y: 7.12% , 3Y: 3.53% , 5Y: 2.92% , 10Y: 2.12% , 20Y: 2.31% , 25Y: 2.29%

In 2021, the portfolio granted a 2.65% dividend yield. If you are interested in getting periodic income, please refer to the David Swensen Yale Endowment Portfolio: Dividend Yield page.

Historical Returns

Historical returns and stats of David Swensen Yale Endowment Portfolio. Total Returns and Inflation Adjusted Returns are both mentioned.

DAVID SWENSEN YALE ENDOWMENT PORTFOLIO
Last Update: 31 December 2021
Swipe left to see all data
Period Return
Dec 2021
update
Return
Inflation
Adjusted
Standard
Deviation(*)
Max
Drawdown
Months
Pos - Neg
1M
Dec 2021
+3.89%
+3.40%
0.00%
1 - 0
3M
+7.30%
+4.98%
-1.35%
Nov 2021 - Nov 2021
2 - 1
6M
+7.03%
+3.51%
-3.85%
Sep 2021 - Sep 2021
4 - 2
YTD
+17.53%
+9.72%
8.10%
-3.85%
Sep 2021 - Sep 2021
9 - 3
75% pos
1Y
+17.53%
+9.72%
8.10%
-3.85%
Sep 2021 - Sep 2021
9 - 3
75% pos
3Y
+17.33%
annualized
+13.32%
annualized
11.28%
-13.19%
Feb 2020 - Mar 2020
28 - 8
78% pos
5Y
+11.74%
annualized
+8.57%
annualized
9.97%
-13.19%
Feb 2020 - Mar 2020
48 - 12
80% pos
10Y
+10.17%
annualized
+7.89%
annualized
8.99%
-13.19%
Feb 2020 - Mar 2020
85 - 35
71% pos
20Y
+9.25%
annualized
+6.78%
annualized
10.96%
-39.48%
Nov 2007 - Feb 2009
163 - 77
68% pos
25Y
+8.94%
annualized
+6.50%
annualized
10.73%
-39.48%
Nov 2007 - Feb 2009
200 - 100
67% pos
MAX
01 Jan 1994
+9.10%
annualized
+6.60%
annualized
10.40%
-39.48%
Nov 2007 - Feb 2009
227 - 109
68% pos
(*)Annualized St.Dev. of monthly returns

Portfolio efficiency

Is the David Swensen Yale Endowment Portfolio actually efficient, compared to other Lazy Portfolios?

Best Classic Portfolios, with High Risk, ordered by 25 Years annualized return.

25 Years Stats
% Allocation
Portfolio Return Drawdown Stocks Bonds Comm.
Simple Path to Wealth
JL Collins
+8.96% -38.54% 75 25 0 Compare
Yale Endowment
David Swensen
+8.94% -39.46% 70 30 0
Talmud Portfolio
Roger Gibson
+8.80% -40.18% 66.67 33.33 0 Compare
Late Sixties and Beyond
Burton Malkiel
+8.63% -41.80% 71 29 0 Compare
Lazy Portfolio
David Swensen
+8.41% -40.88% 70 30 0 Compare

See all portfolios

Our overall ratings, assigned to the David Swensen Yale Endowment Portfolio. The portfolio is classified as High Risk.

Very High Risk
Bond weight:
Less than 25%
High Risk
Bond weight:
25% - 49.99%
Medium Risk
Bond weight:
50% - 74.99%
Low Risk
Bond weight:
At least 75%
High Risk
Portfolios
All
Portfolios
25 Years Ann. Return
(Inflation Adjusted)
+8.94%
(+6.50%)
Excellent : 4.7 / 5
Excellent : 4.2 / 5
Standard Deviation
over 25 Years
10.73%
Average : 2.3 / 5
Good : 3.2 / 5
Maximum Drawdown
over 25 Years
-39.48%
Bad : 1.2 / 5
Average : 2.5 / 5
Easy to manage 6 ETFs
Average : 2.5 / 5
Average : 2.5 / 5
Rating assigned considering all the High Risk Portfolios Rating assigned considering all the Portfolios in the database

Capital Growth

Time Range:

An investment of 1000$, since January 1997, now would be worth 8497.29$, with a total return of 749.73% (8.94% annualized).

The Inflation Adjusted Capital now would be 4824.97$, with a net total return of 382.50% (6.50% annualized).

Drawdowns

Time Range:

Worst drawdowns since January 1997 - Chart and Data

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-39.48% Nov 2007 Feb 2009 16 Oct 2010 20 36
-13.19% Feb 2020 Mar 2020 2 Jul 2020 4 6
-10.80% Sep 2000 Sep 2002 25 May 2003 8 33
-10.52% Apr 1998 Aug 1998 5 Dec 1998 4 9
-8.65% May 2011 Sep 2011 5 Jan 2012 4 9
-8.51% Sep 2018 Dec 2018 4 Mar 2019 3 7
-7.23% Mar 2015 Sep 2015 7 May 2016 8 15
-6.27% Apr 2004 Apr 2004 1 Sep 2004 5 6
-5.66% May 2013 Aug 2013 4 Oct 2013 2 6
-4.89% Aug 2016 Nov 2016 4 Feb 2017 3 7
-4.35% Jun 2007 Jul 2007 2 Sep 2007 2 4
-4.32% Feb 2018 Feb 2018 1 Aug 2018 6 7
-3.99% Sep 2020 Oct 2020 2 Nov 2020 1 3
-3.85% Sep 2021 Sep 2021 1 Oct 2021 1 2
-3.65% Aug 1997 Aug 1997 1 Sep 1997 1 2
-3.62% May 2012 May 2012 1 Jul 2012 2 3
-3.59% Sep 2014 Sep 2014 1 Nov 2014 2 3
-2.98% Apr 2000 May 2000 2 Jun 2000 1 3
-2.82% Feb 1999 Feb 1999 1 Apr 1999 2 3
-2.80% Jul 1999 Sep 1999 3 Nov 1999 2 5

Rolling Returns ( more details)

David Swensen Yale Endowment Portfolio: annualized rolling and average returns

Swipe left to see all data
Return (*) Negative
Periods
Rolling Period Average Best Worst
1 Year
+9.76% +47.16%
Mar 2009 - Feb 2010
-34.06%
Mar 2008 - Feb 2009
16.92%
2 Years
+9.26% +33.29%
Mar 2009 - Feb 2011
-19.26%
Mar 2007 - Feb 2009
9.90%
3 Years
+9.01% +24.48%
Mar 2009 - Feb 2012
-9.18%
Mar 2006 - Feb 2009
7.64%
5 Years
+8.65% +18.71%
Mar 2009 - Feb 2014
-0.87%
Mar 2004 - Feb 2009
0.36%
7 Years
+8.46% +13.99%
Mar 2009 - Feb 2016
+2.97%
Mar 2002 - Feb 2009
0.00%
10 Years
+8.61% +12.36%
Mar 2009 - Feb 2019
+3.69%
Mar 1999 - Feb 2009
0.00%
15 Years
+8.28% +9.91%
Feb 2003 - Jan 2018
+5.90%
Mar 1994 - Feb 2009
0.00%
20 Years
+8.48% +9.87%
Feb 1995 - Jan 2015
+6.95%
Apr 2000 - Mar 2020
0.00%

* Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the David Swensen Yale Endowment Portfolio: Rolling Returns page.

Seasonality

David Swensen Yale Endowment Portfolio Seasonality: in which months is it better to invest?

In the table below, the average monthly return is represented.

Below each return, it's also mentioned the probability of obtaining a positive monthly result (Win %).

Both the Average Return and the Gain Frequency are useful to get an idea of what happened in the past.

Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Win %
0.50
61%
-0.03
68%
0.80
71%
1.89
79%
0.57
64%
0.53
68%
1.13
68%
0.30
68%
0.15
54%
0.44
64%
1.20
64%
1.82
82%
Best
Year
6.8
2019
3.6
2014
6.9
2009
9.4
2009
5.7
2003
3.9
2019
6.9
2009
4.9
2009
5.2
1997
7.3
2011
8.1
2020
9.0
2008
Worst
Year
-10.5
2009
-9.4
2009
-9.7
2020
-6.3
2004
-4.8
2010
-5.7
2008
-4.5
2002
-8.7
1998
-5.2
2008
-17.1
2008
-4.4
2008
-4.6
2018
Statistics calculated for the period Jan 1994 - Dec 2021

For further information about the seasonality, check the Asset Class Seasonality page.

Monthly/Yearly Returns

David Swensen Yale Endowment Portfolio monthly and yearly returns: how is the distribution of the returns recorded so far?

MONTHLY RETURNS HISTOGRAM
227 Positive Months (68%) - 109 Negative Months (32%)
Jan 1994 - Dec 2021
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2021
+17.53 +9.72 -0.5 0.9 1.8 4.3 1.1 1.9 2.1 1.6 -3.9 4.7 -1.3 3.9
2020
+12.03 +10.60 0.9 -3.9 -9.7 7.1 2.5 2.1 4.3 2.2 -1.8 -2.2 8.1 3.1
2019
+22.65 +19.94 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 -7.97 1.2 -4.3 0.6 0.0 1.5 0.8 1.4 1.4 -0.9 -5.3 2.2 -4.6
2017
+14.99 +12.62 1.7 2.3 0.1 1.1 1.1 0.9 1.6 0.8 0.7 1.0 1.7 1.2
2016
+7.39 +5.23 -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 -1.44 2.6 0.8 -0.2 -0.5 -0.4 -2.8 2.2 -4.9 -0.9 4.8 -0.3 -1.0
2014
+13.38 +12.64 0.0 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 +8.66 2.4 0.6 1.9 3.5 -2.7 -2.5 2.7 -3.2 3.9 3.3 -0.5 0.9
2012
+13.55 +11.59 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 +3.15 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 +13.62 -2.7 2.0 4.9 2.6 -4.8 -2.0 5.8 -0.6 5.1 2.5 -1.6 3.8
2009
+20.32 +17.03 -10.5 -9.4 6.9 9.4 4.9 -0.8 6.9 4.9 4.5 -2.6 4.8 1.8
2008
-21.94 -21.92 -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 +0.84 2.4 -0.4 0.3 2.2 1.2 -2.3 -2.1 2.0 3.6 2.8 -2.8 -1.7
2006
+17.42 +14.53 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 +6.08 -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 +13.03 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 +23.96 -2.0 0.4 -0.2 5.3 5.7 1.2 0.5 2.0 2.1 3.3 1.8 3.9
2002
-3.11 -5.46 -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 -4.00 2.1 -4.3 -3.2 3.9 0.4 0.2 -0.7 -0.9 -5.1 1.7 2.7 1.0
2000
+4.18 +0.72 -2.1 1.8 3.8 -1.5 -1.5 3.3 0.9 1.9 -1.8 -1.8 -2.3 3.5
1999
+13.14 +10.19 0.9 -2.8 2.4 5.0 -1.5 2.1 -1.4 -0.4 -1.0 2.4 2.1 5.0
1998
+8.63 +6.91 0.6 3.2 2.8 -0.1 -1.2 1.2 -1.9 -8.7 4.0 3.5 3.5 2.1
1997
+16.00 +14.06 1.2 0.3 -2.2 1.5 4.4 3.8 4.7 -3.7 5.2 -2.8 1.4 1.5
1996
+14.56 +10.82 1.6 -0.5 0.3 1.1 1.0 0.7 -2.4 1.5 3.3 1.7 4.6 1.0
1995
+21.75 +18.75 -0.2 1.6 1.9 1.9 3.9 1.4 2.1 0.5 2.2 -0.8 2.6 3.0
1994
-3.27 -5.72 3.9 -2.5 -4.7 0.6 0.1 -1.3 2.1 2.3 -2.7 0.2 -3.0 2.1

* 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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