Last Update: 31 July 2022

The Stocks/Bonds 60/40 Momentum Portfolio obtained a 8.06% compound annual return, with a 9.81% standard deviation, in the last 30 Years.

The David Swensen Yale Endowment Portfolio obtained a 8.76% compound annual return, with a 10.45% standard deviation, in the last 30 Years.

Summary

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Stocks/Bonds 60/40 Momentum Portfolio David Swensen Yale Endowment Portfolio
Risk High High
Asset Allocation Stocks 60% 70%
Fixed Income 40% 30%
Commodities 0% 0%
30 Years Stats Return +8.06% +8.76%
Std Dev 9.81% 10.45%
Max Drawdown -34.55% -39.48%

Last Update: 31 July 2022

Historical Returns as of Jul 31, 2022

Comparison period starts from January 1992

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1M 6M 1Y 5Y(*) 10Y(*) 30Y(*) MAX(*)
Stocks/Bonds 60/40 Momentum Portfolio +7.07 -6.87 -14.05 +6.61 +7.68 +8.06 +7.96
David Swensen Yale Endowment Portfolio +6.25 -9.24 -9.62 +6.61 +7.59 +8.76 +8.65
(*) Returns over 1 year are annualized

Capital Growth as of Jul 31, 2022

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1000$, since August 1992, now would be worth 10228.54$, with a total return of 922.85% (8.06% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1000$, since August 1992, now would be worth 12430.91$, with a total return of 1143.09% (8.76% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1000$, since January 1992, now would be worth 10406.57$, with a total return of 940.66% (7.96% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1000$, since January 1992, now would be worth 12651.33$, with a total return of 1165.13% (8.65% annualized).

Drawdowns

Drawdown comparison chart since July 1992.

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Stocks/Bonds 60/40 Momentum Portfolio
David Swensen Yale Endowment Portfolio
Drawdown Start Bottom Drawdown Start Bottom
-39.48% Nov 2007 Feb 2009
-34.55% Nov 2007 Feb 2009
-22.55% Nov 2021 Jun 2022
-22.10% Sep 2000 Sep 2002
-18.84% Jan 2022 Jun 2022
-13.19% Feb 2020 Mar 2020
-11.65% Sep 2018 Dec 2018
-10.80% Sep 2000 Sep 2002
-10.76% Feb 2020 Mar 2020
-10.52% Apr 1998 Aug 1998
-8.93% Jun 2011 Sep 2011
-8.82% Jul 1998 Aug 1998
-8.80% Feb 1994 Nov 1994
-8.65% May 2011 Sep 2011
-8.51% Sep 2018 Dec 2018
-7.45% Aug 2015 Jan 2016
-7.23% Mar 2015 Sep 2015
-6.27% Apr 2004 Apr 2004
-5.99% Feb 1994 Jun 1994
-5.66% May 2013 Aug 2013

Drawdown comparison chart since January 1992.

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Stocks/Bonds 60/40 Momentum Portfolio
David Swensen Yale Endowment Portfolio
Drawdown Start Bottom Drawdown Start Bottom
-39.48% Nov 2007 Feb 2009
-34.55% Nov 2007 Feb 2009
-22.55% Nov 2021 Jun 2022
-22.10% Sep 2000 Sep 2002
-18.84% Jan 2022 Jun 2022
-13.19% Feb 2020 Mar 2020
-11.65% Sep 2018 Dec 2018
-10.80% Sep 2000 Sep 2002
-10.76% Feb 2020 Mar 2020
-10.52% Apr 1998 Aug 1998
-8.93% Jun 2011 Sep 2011
-8.82% Jul 1998 Aug 1998
-8.80% Feb 1994 Nov 1994
-8.65% May 2011 Sep 2011
-8.51% Sep 2018 Dec 2018
-7.45% Aug 2015 Jan 2016
-7.23% Mar 2015 Sep 2015
-6.27% Apr 2004 Apr 2004
-5.99% Feb 1994 Jun 1994
-5.66% May 2013 Aug 2013

Yearly Returns

Yearly return comparison. Common historical serie start from January 1992.

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Year Stocks/Bonds 60/40 Momentum Portfolio David Swensen Yale Endowment Portfolio
2022
-15.31% -13.76%
2021
+3.88% +17.53%
2020
+25.05% +12.03%
2019
+23.41% +22.65%
2018
-3.62% -6.20%
2017
+15.40% +14.99%
2016
+2.42% +7.39%
2015
+0.90% -0.81%
2014
+9.65% +13.38%
2013
+18.17% +10.31%
2012
+12.17% +13.55%
2011
+4.09% +6.31%
2010
+18.42% +15.25%
2009
+18.27% +20.32%
2008
-24.98% -21.94%
2007
+5.85% +4.98%
2006
+11.22% +17.42%
2005
+3.85% +9.62%
2004
+8.12% +16.80%
2003
+18.49% +26.48%
2002
-9.65% -3.11%
2001
-3.68% -2.47%
2000
-1.28% +4.18%
1999
+11.93% +13.14%
1998
+20.65% +8.63%
1997
+23.86% +16.00%
1996
+14.93% +14.56%
1995
+30.10% +21.75%
1994
-0.82% -3.27%
1993
+16.82% +21.51%
1992
+7.61% +5.31%
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