Data Source: from January 1985 to November 2022 (~38 years)
Consolidated Returns as of 30 November 2022
Live Update: Dec 07 2022, 10:00AM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.06%
1 Day
Dec 07 2022, 10:00AM Eastern Time
1.13%
Current Month
December 2022

The David Swensen Yale Endowment Portfolio is a High Risk portfolio and can be implemented with 6 ETFs.

It's exposed for 70% on the Stock Market.

In the last 30 Years, the David Swensen Yale Endowment Portfolio obtained a 8.52% compound annual return, with a 10.72% 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 implemented 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 as of Nov 30, 2022

The David Swensen Yale Endowment Portfolio guaranteed the following returns.

Portfolio returns are calculated in USD, assuming: December 2022 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
DAVID SWENSEN YALE ENDOWMENT PORTFOLIO RETURNS
Consolidated returns as of 30 November 2022
Live Update: Dec 07 2022, 10:00AM Eastern Time
Swipe left to see all data
  Chg (%) Return (%)
Return (%) as of Nov 30, 2022
  1 Day Time ET(*) Dec 2022 1M 6M 1Y 5Y 10Y 30Y MAX
(~38Y)
David Swensen Yale Endowment Portfolio 0.06 -1.13 6.63 -5.27 -14.77 4.70 6.83 8.52 9.82
US Inflation Adjusted return 6.63 -7.09 -20.51 0.81 4.11 5.87 6.85
Components
VTI
Vanguard Total Stock Market
-0.36 10:00AM
Dec 07 2022
-3.82 5.17 -0.29 -11.27 10.25 12.89 9.82 9.06
VNQ
Vanguard Real Estate
0.04 10:00AM
Dec 07 2022
-3.21 6.15 -9.56 -14.81 4.70 7.36 9.17 10.71
VEA
Vanguard FTSE Developed Markets
-0.04 10:00AM
Dec 07 2022
-1.46 12.55 -3.09 -9.72 2.42 5.52 5.64 8.09
EEM
iShares MSCI Emerging Markets
-0.74 10:00AM
Dec 07 2022
-1.95 15.59 -6.51 -17.15 -0.89 1.51 6.20 7.49
TLT
iShares 20+ Year Treasury Bond
1.31 10:00AM
Dec 07 2022
5.72 7.15 -10.76 -30.81 -1.87 0.42 5.84 4.85
TIP
iShares TIPS Bond
0.05 10:00AM
Dec 07 2022
0.80 1.83 -6.20 -11.59 2.14 0.92 5.52 6.88
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)

US Inflation is updated to Oct 2022. Waiting for updates, inflation of Nov 2022 is set to 0%. Current inflation (annualized) is 1Y: 7.22% , 5Y: 3.85% , 10Y: 2.61% , 30Y: 2.50%

Portfolio Metrics as of Nov 30, 2022

Metrics of David Swensen Yale Endowment Portfolio, updated as of 30 November 2022.

Portfolio metrics are calculated based on monthly returns, assuming:
DAVID SWENSEN YALE ENDOWMENT PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1985 - 30 November 2022 (~38 years)
Swipe left to see all data
Metrics as of Nov 30, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~38Y)
Portfolio
Return (%)
6.63 -0.40 -5.27 -14.77 3.12 4.70 6.83 8.32 8.52 9.82
US Inflation (%) 0.00 0.62 1.96 7.22 5.03 3.85 2.61 2.52 2.50 2.78
Infl. Adjusted
Return (%)
6.63 -1.02 -7.09 -20.51 -1.82 0.81 4.11 5.66 5.87 6.85
Waiting for updates, inflation of Nov 2022 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 17.86 15.12 12.99 10.57 11.58 10.72 10.87
Sharpe Ratio -0.89 0.17 0.28 0.59 0.62 0.59 0.54
Sortino Ratio -1.28 0.23 0.36 0.77 0.80 0.76 0.69
MAXIMUM DRAWDOWN
Drawdown Depth (%) -25.53 -25.53 -25.53 -25.53 -39.48 -39.48 -39.48
Start (yyyy mm) 2022 01 2022 01 2022 01 2022 01 2007 11 2007 11 2007 11
Bottom (yyyy mm) 2022 09 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Start to Bottom (# months) 9 9 9 9 16 16 16
Start to Recovery (# months) in progress
> 11
> 11
> 11
> 11
36
36
36
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 47.16 24.48 19.12 13.70 12.40 11.00
Worst Return (%) -34.06 -9.18 -0.87 3.69 6.95 8.20
% Positive Periods 82% 95% 100% 100% 100% 100%
MONTHS
Positive 1 2 3 5 22 41 80 161 243 308
Negative 0 1 3 7 14 19 40 79 117 147
% Positive 100% 67% 50% 42% 61% 68% 67% 67% 68% 68%
WITHDRAWAL RATES (WR)
Safe WR (%) 37.20 22.20 13.46 9.47 8.00 10.62
Perpetual WR (%) 0.00 0.80 3.94 5.36 5.54 6.41
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
  • Standard Deviation: it's a measure of the dispersion of returns around the mean
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).

Portfolio Components Correlation

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1.

If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.

Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2022
Swipe left to see all data
 
 
 
 
 
 
Asset VTI VNQ VEA EEM TLT TIP
VTI
1.00
0.88
0.90
0.56
0.53
0.83
VNQ
0.88
1.00
0.83
0.55
0.49
0.79
VEA
0.90
0.83
1.00
0.82
0.67
0.82
EEM
0.56
0.55
0.82
1.00
0.81
0.59
TLT
0.53
0.49
0.67
0.81
1.00
0.65
TIP
0.83
0.79
0.82
0.59
0.65
1.00
 
 
 
 
 
 
Asset VTI VNQ VEA EEM TLT TIP
VTI
1.00
0.82
0.91
0.72
-0.01
0.56
VNQ
0.82
1.00
0.77
0.58
0.17
0.65
VEA
0.91
0.77
1.00
0.84
-0.01
0.52
EEM
0.72
0.58
0.84
1.00
0.02
0.39
TLT
-0.01
0.17
-0.01
0.02
1.00
0.63
TIP
0.56
0.65
0.52
0.39
0.63
1.00
 
 
 
 
 
 
Asset VTI VNQ VEA EEM TLT TIP
VTI
1.00
0.71
0.87
0.67
-0.08
0.41
VNQ
0.71
1.00
0.65
0.50
0.31
0.61
VEA
0.87
0.65
1.00
0.82
-0.04
0.44
EEM
0.67
0.50
0.82
1.00
0.02
0.40
TLT
-0.08
0.31
-0.04
0.02
1.00
0.66
TIP
0.41
0.61
0.44
0.40
0.66
1.00
 
 
 
 
 
 
Asset VTI VNQ VEA EEM TLT TIP
VTI
1.00
0.62
0.82
0.73
-0.17
0.18
VNQ
0.62
1.00
0.58
0.51
0.05
0.32
VEA
0.82
0.58
1.00
0.79
-0.15
0.19
EEM
0.73
0.51
0.79
1.00
-0.13
0.19
TLT
-0.17
0.05
-0.15
-0.13
1.00
0.66
TIP
0.18
0.32
0.19
0.19
0.66
1.00
 
 
 
 
 
 
Asset VTI VNQ VEA EEM TLT TIP
VTI
1.00
0.62
0.73
0.70
-0.06
0.22
VNQ
0.62
1.00
0.52
0.48
0.08
0.29
VEA
0.73
0.52
1.00
0.66
-0.05
0.20
EEM
0.70
0.48
0.66
1.00
-0.02
0.20
TLT
-0.06
0.08
-0.05
-0.02
1.00
0.73
TIP
0.22
0.29
0.20
0.20
0.73
1.00

Portfolio Dividends

In 2021, the David Swensen Yale Endowment 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.

Capital Growth as of Nov 30, 2022

An investment of 1000$, since December 1992, now would be worth 11612.34$, with a total return of 1061.23% (8.52% annualized).

The Inflation Adjusted Capital now would be 5533.17$, with a net total return of 453.32% (5.87% annualized).
An investment of 1000$, since January 1985, now would be worth 34849.77$, with a total return of 3384.98% (9.82% annualized).

The Inflation Adjusted Capital now would be 12313.87$, with a net total return of 1131.39% (6.85% annualized).

Drawdowns

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
-25.53% Jan 2022 Sep 2022 9 in progress 2 11
-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
-8.80% Feb 1994 Nov 1994 10 May 1995 6 16
-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% Nov 1993 Nov 1993 1 Jan 1994 2 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
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
-25.53% Jan 2022 Sep 2022 9 in progress 2 11
-16.33% Sep 1987 Nov 1987 3 Dec 1988 13 16
-13.67% Jan 1990 Sep 1990 9 Feb 1991 5 14
-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
-8.80% Feb 1994 Nov 1994 10 May 1995 6 16
-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
-4.22% Sep 1986 Sep 1986 1 Jan 1987 4 5
-3.99% Sep 2020 Oct 2020 2 Nov 2020 1 3
-3.85% Nov 1993 Nov 1993 1 Jan 1994 2 3
-3.85% Sep 2021 Sep 2021 1 Oct 2021 1 2

Rolling Returns ( more details)

David Swensen Yale Endowment Portfolio: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
10.50 47.16
Mar 2009 - Feb 2010
-34.06
Mar 2008 - Feb 2009
17.79%
2 Years
9.99 33.29
Mar 2009 - Feb 2011
-19.26
Mar 2007 - Feb 2009
7.64%
3 Years
9.66 24.48
Mar 2009 - Feb 2012
-9.18
Mar 2006 - Feb 2009
5.48%
5 Years
9.49 19.12
Jan 1985 - Dec 1989
-0.87
Mar 2004 - Feb 2009
0.25%
7 Years
9.46 16.40
Jan 1985 - Dec 1991
2.97
Mar 2002 - Feb 2009
0.00%
10 Years
9.41 13.70
Oct 1990 - Sep 2000
3.69
Mar 1999 - Feb 2009
0.00%
15 Years
9.13 13.99
Jan 1985 - Dec 1999
5.46
Oct 2007 - Sep 2022
0.00%
20 Years
9.20 12.40
Jan 1985 - Dec 2004
6.95
Apr 2000 - Mar 2020
0.00%
30 Years
9.44 11.00
Jan 1985 - Dec 2014
8.20
Oct 1992 - Sep 2022
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

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

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

For further information about the seasonality, check the Asset Class Seasonality page.
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
Gain Frequency
0.70
60%
-1.62
40%
-0.76
80%
1.26
80%
0.37
60%
0.46
80%
2.89
100%
0.48
80%
-3.06
20%
0.37
60%
3.34
80%
1.02
80%
 Capital Growth on monthly avg returns
100
100.70
99.07
98.32
99.56
99.92
100.39
103.29
103.78
100.61
100.98
104.35
105.41
Best 6.8
2019
1.3
2019
2.5
2019
7.1
2020
2.5
2020
3.9
2019
6.3
2022
2.2
2020
0.9
2019
4.7
2021
8.1
2020
3.9
2021
Worst -5.0
2022
-4.3
2018
-9.7
2020
-6.6
2022
-2.0
2019
-6.3
2022
0.4
2019
-4.5
2022
-9.6
2022
-5.3
2018
-1.3
2021
-4.6
2018
Monthly Seasonality over the period Dec 2017 - Nov 2022
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
Gain Frequency
0.76
60%
-0.06
70%
0.45
80%
1.19
70%
0.29
60%
0.20
70%
2.36
90%
-0.29
60%
-1.53
30%
1.14
70%
1.81
60%
0.86
80%
 Capital Growth on monthly avg returns
100
100.76
100.70
101.15
102.35
102.65
102.86
105.28
104.98
103.37
104.55
106.45
107.37
Best 6.8
2019
3.6
2014
6.0
2016
7.1
2020
2.5
2020
3.9
2019
6.3
2022
2.9
2014
3.9
2013
4.8
2015
8.1
2020
3.9
2021
Worst -5.0
2022
-4.3
2018
-9.7
2020
-6.6
2022
-2.7
2013
-6.3
2022
-0.8
2014
-4.9
2015
-9.6
2022
-5.3
2018
-1.3
2021
-4.6
2018
Monthly Seasonality over the period Dec 2012 - Nov 2022
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
Gain Frequency
0.97
63%
0.46
66%
0.95
71%
1.36
76%
0.89
63%
0.49
68%
1.38
71%
0.20
68%
-0.30
53%
0.32
66%
1.20
63%
2.10
84%
 Capital Growth on monthly avg returns
100
100.97
101.43
102.40
103.79
104.71
105.23
106.68
106.90
106.58
106.93
108.21
110.48
Best 7.8
1987
7.4
1986
7.7
1986
9.4
2009
6.2
1985
4.5
1986
6.9
2009
5.1
1986
5.2
1997
7.3
2011
8.1
2020
9.2
1991
Worst -10.5
2009
-9.4
2009
-9.7
2020
-6.6
2022
-4.8
2010
-6.3
2022
-4.5
2002
-8.7
1998
-9.6
2022
-17.1
2008
-4.4
2008
-4.6
2018
Monthly Seasonality over the period Jan 1985 - Nov 2022

Monthly/Yearly Returns

David Swensen Yale Endowment Portfolio data source starts from January 1985: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1985 - Nov 2022
308 Positive Months (68%) - 147 Negative Months (32%)
MONTHLY RETURNS TABLE
Jan 1985 - Nov 2022
(Scroll down to see all data)
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
2022
-17.96 -23.25 -5.0 -2.2 1.0 -6.6 -1.2 -6.3 6.3 -4.5 -9.6 3.3 6.6
2021
+17.53 +9.81 -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 +10.53 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 +19.91 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 -7.96 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 +12.61 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 +5.21 -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 -1.52 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 +12.53 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 +8.68 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 +11.61 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 +3.25 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 +13.56 -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 +17.14 -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 -22.01 -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 +0.86 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 +14.51 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 +6.00 -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 +13.12 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 +24.15 -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 -5.36 -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 -3.96 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 +0.77 -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 +10.18 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 +14.05 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 +10.88 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 +18.74 -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 -5.79 3.9 -2.5 -4.7 0.6 0.1 -1.3 2.1 2.3 -2.7 0.2 -3.0 2.1
1993
+21.51 +18.26 3.1 2.8 4.6 0.2 0.8 2.0 1.8 3.9 0.5 1.2 -3.9 2.9
1992
+5.31 +2.34 -0.3 -0.6 -2.5 0.4 3.7 -1.9 3.2 0.2 0.7 -1.0 1.9 1.6
1991
+29.27 +25.42 4.6 4.9 1.9 1.4 2.2 -3.5 3.0 2.0 2.0 1.3 -2.4 9.2
1990
-6.61 -11.98 -4.7 -0.8 -0.7 -2.4 5.9 1.0 0.9 -7.9 -5.3 2.7 3.5 1.8
1989
+22.10 +16.68 3.9 -0.5 0.2 3.4 2.2 1.2 5.4 0.5 1.4 -1.2 1.7 2.0
1988
+15.93 +11.02 5.4 3.9 -0.4 0.5 -1.2 3.6 -0.4 -2.0 2.9 2.0 -0.4 1.3
1987
+1.82 -2.51 7.8 3.1 0.9 -0.1 -0.7 1.6 1.8 2.0 -2.1 -13.0 -1.8 3.7
1986
+25.68 +24.31 1.5 7.4 7.7 0.9 -0.2 4.5 -1.3 5.1 -4.2 0.9 2.1 -0.5
1985
+32.42 +27.58 6.5 0.4 1.2 1.0 6.2 1.8 0.2 0.2 -1.9 3.9 4.7 4.6

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

Portfolio efficiency

Compared to the David Swensen Yale Endowment Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum
+9.73 9.36 -32.52 60 40 0
Simple Path to Wealth
JL Collins
+8.80 11.51 -38.53 75 25 0
Yale Endowment
David Swensen
+8.52 10.72 -39.48 70 30 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and High Risk categorization.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum
+9.73 9.36 -32.52 60 40 0
Simple Path to Wealth
JL Collins
+8.80 11.51 -38.53 75 25 0
Late Sixties and Beyond
Burton Malkiel
+8.59 11.51 -41.80 71 29 0
Seven Value
Scott Burns
+8.53 11.20 -41.22 71.5 28.5 0
Yale Endowment
David Swensen
+8.52 10.72 -39.48 70 30 0
Share this page