Last Update: 31 October 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 8.12% compound annual return, with a 8.96% standard deviation.

In 2019, the portfolio granted a 2.91% dividend yield. If you are interested in getting periodic income, please refer to the David Swensen Yale Endowment Portfolio: Dividend Yield page.

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 October 2020
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1M 3M 6M 1Y 3Y(*) 5Y(*) 10Y(*)
David Swensen Yale Endowment Portfolio -2.24 -1.85 +7.05 +3.07 +5.96 +7.10 +8.12
Components
VTI - Vanguard Total Stock Market -1.95 +1.30 +15.48 +10.34 +10.11 +11.52 +12.81
VNQ - Vanguard Real Estate -3.00 -5.18 +2.39 -15.86 +1.66 +3.39 +7.65
VEA - Vanguard FTSE Developed Markets -3.55 -0.37 +11.73 -4.61 -0.87 +3.67 +4.20
EEM - iShares MSCI Emerging Markets +1.41 +3.28 +22.74 +7.85 +1.22 +7.44 +1.78
TLT - iShares 20+ Year Treasury Bond -3.39 -7.55 -4.83 +13.44 +10.66 +7.60 +7.48
TIP - iShares TIPS Bond -0.68 -0.17 +3.83 +9.02 +5.34 +4.26 +3.10
(*) 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

If you are interested in getting periodic income, please refer to the David Swensen Yale Endowment Portfolio: Dividend Yield page.

Historical Returns

David Swensen Yale Endowment Portfolio - Historical returns and stats.

DAVID SWENSEN YALE ENDOWMENT PORTFOLIO
Last Update: 31 October 2020
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Period Returns
Oct 2020
Standard
Deviation *
Max
Drawdown
Months
Pos - Neg
1M
-2.24%
-2.24%
Oct 2020 - Oct 2020
0 - 1
3M
-1.85%
-3.99%
Sep 2020 - Oct 2020
1 - 2
6M
+7.05%
-3.99%
Sep 2020 - Oct 2020
4 - 2
YTD
+0.49%
-13.19%
Feb 2020 - Mar 2020
6 - 4
1Y
+3.07%
14.30%
-13.19%
Feb 2020 - Mar 2020
8 - 4
3Y
+5.96%
annualized
11.00%
-13.19%
Feb 2020 - Mar 2020
27 - 9
5Y
+7.10%
annualized
9.42%
-13.19%
Feb 2020 - Mar 2020
43 - 17
10Y
+8.12%
annualized
8.96%
-13.19%
Feb 2020 - Mar 2020
81 - 39
MAX
01 Jan 2001
+7.71%
annualized
10.92%
-39.46%
Nov 2007 - Feb 2009
160 - 78

* Annualized St.Dev. of monthly returns

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+8.16% 69 31 0 Compare
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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
+8.80% +47.16%
Mar 2009 - Feb 2010
-34.06%
Mar 2008 - Feb 2009
19.38%
2 Years
+8.69% +33.29%
Mar 2009 - Feb 2011
-19.25%
Mar 2007 - Feb 2009
11.63%
3 Years
+8.76% +24.48%
Mar 2009 - Feb 2012
-9.18%
Mar 2006 - Feb 2009
8.87%
5 Years
+8.46% +18.71%
Mar 2009 - Feb 2014
-0.87%
Mar 2004 - Feb 2009
0.56%
7 Years
+8.17% +13.99%
Mar 2009 - Feb 2016
+2.97%
Mar 2002 - Feb 2009
0.00%
10 Years
+8.47% +12.36%
Mar 2009 - Feb 2019
+6.02%
Dec 2006 - Nov 2016
0.00%
15 Years
+8.41% +9.91%
Feb 2003 - Jan 2018
+7.06%
Apr 2005 - Mar 2020
0.00%

* Annualized rolling and average returns over full calendar month periods

Seasonality and Yearly/Monthly Returns

David Swensen Yale Endowment Portfolio Seasonality

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Months
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average 0.4 -0.1 0.8 2.0 0.5 0.1 1.3 0.7 -0.1 0.3 0.9 1.4
Best 6.8
2019
3.6
2014
6.9
2009
9.4
2009
5.7
2003
3.9
2019
6.9
2009
4.9
2009
5.1
2010
7.3
2011
4.9
2009
9.0
2008
Worst -10.5
2009
-9.4
2009
-9.7
2020
-6.3
2004
-4.8
2010
-5.7
2008
-4.5
2002
-4.9
2015
-5.2
2008
-17.1
2008
-4.4
2008
-4.6
2018
Gain
Frequency
60 70 70 80 65 60 70 70 55 65 63 79

Detail of Monthly Returns

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Months
Year Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020
+0.49% 0.9 -3.9 -9.7 7.1 2.5 2.1 4.3 2.2 -1.8 -2.2
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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