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
| 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
| 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 |
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.
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.
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.
| 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% |