Last Update: 31 December 2022

The Stocks/Bonds 60/40 Portfolio obtained a 7.87% compound annual return, with a 9.40% standard deviation, in the last 30 Years.

The David Swensen Yale Endowment Portfolio obtained a 8.32% compound annual return, with a 10.75% standard deviation, in the last 30 Years.

Summary

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Stocks/Bonds 60/40 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 +7.87% +8.32%
Std Dev 9.40% 10.75%
Max Drawdown -30.55% -39.48%

Last Update: 31 December 2022

Historical Returns as of Dec 31, 2022

Comparison period starts from January 1985

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1M 6M 1Y 5Y(*) 10Y(*) 30Y(*) MAX(*)
Stocks/Bonds 60/40 Portfolio -3.80 -0.03 -16.95 +5.40 +7.82 +7.87 +9.10
David Swensen Yale Endowment Portfolio -3.81 -2.77 -21.08 +3.64 +6.24 +8.32 +9.68
(*) Returns over 1 year are annualized

Capital Growth as of Dec 31, 2022

Stocks/Bonds 60/40 Portfolio: an investment of 1000$, since January 1993, now would be worth 9710.81$, with a total return of 871.08% (7.87% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1000$, since January 1993, now would be worth 10993.70$, with a total return of 999.37% (8.32% annualized).

Stocks/Bonds 60/40 Portfolio: an investment of 1000$, since January 1985, now would be worth 27360.45$, with a total return of 2636.04% (9.10% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1000$, since January 1985, now would be worth 33522.44$, with a total return of 3252.24% (9.68% annualized).

Drawdowns

Drawdown comparison chart since December 1992.

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Stocks/Bonds 60/40 Portfolio
David Swensen Yale Endowment Portfolio
Drawdown Start Bottom Drawdown Start Bottom
-39.48% Nov 2007 Feb 2009
-30.55% Nov 2007 Feb 2009
-25.53% Jan 2022 Sep 2022
-21.56% Sep 2000 Sep 2002
-20.69% Jan 2022 Sep 2022
-13.19% Feb 2020 Mar 2020
-12.29% Feb 2020 Mar 2020
-10.80% Sep 2000 Sep 2002
-10.52% Apr 1998 Aug 1998
-10.18% Jul 1998 Aug 1998
-9.00% May 2011 Sep 2011
-8.80% Feb 1994 Nov 1994
-8.65% May 2011 Sep 2011
-8.51% Sep 2018 Dec 2018
-8.38% Sep 2018 Dec 2018
-7.23% Mar 2015 Sep 2015
-6.47% Feb 1994 Jun 1994
-6.27% Apr 2004 Apr 2004
-5.66% May 2013 Aug 2013
-5.35% Apr 2000 May 2000

Drawdown comparison chart since January 1985.

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Stocks/Bonds 60/40 Portfolio
David Swensen Yale Endowment Portfolio
Drawdown Start Bottom Drawdown Start Bottom
-39.48% Nov 2007 Feb 2009
-30.55% Nov 2007 Feb 2009
-25.53% Jan 2022 Sep 2022
-21.56% Sep 2000 Sep 2002
-20.69% Jan 2022 Sep 2022
-19.17% Sep 1987 Nov 1987
-16.33% Sep 1987 Nov 1987
-13.67% Jan 1990 Sep 1990
-13.19% Feb 2020 Mar 2020
-12.29% Feb 2020 Mar 2020
-10.80% Sep 2000 Sep 2002
-10.52% Apr 1998 Aug 1998
-10.18% Jul 1998 Aug 1998
-9.00% May 2011 Sep 2011
-8.80% Feb 1994 Nov 1994
-8.65% May 2011 Sep 2011
-8.52% Jul 1990 Oct 1990
-8.51% Sep 2018 Dec 2018
-8.38% Sep 2018 Dec 2018
-7.23% Mar 2015 Sep 2015

Yearly Returns

Yearly return comparison. Common historical serie start from January 1985.

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Year Stocks/Bonds 60/40 Portfolio David Swensen Yale Endowment Portfolio
2022
-16.95% -21.08%
2021
+14.66% +17.53%
2020
+15.70% +12.03%
2019
+21.94% +22.65%
2018
-3.17% -6.20%
2017
+14.15% +14.99%
2016
+8.71% +7.39%
2015
+0.44% -0.81%
2014
+9.85% +13.38%
2013
+19.23% +10.31%
2012
+11.13% +13.55%
2011
+3.75% +6.31%
2010
+12.93% +15.25%
2009
+18.79% +20.32%
2008
-19.44% -21.94%
2007
+5.99% +4.98%
2006
+11.12% +17.42%
2005
+4.74% +9.62%
2004
+9.37% +16.80%
2003
+20.04% +26.48%
2002
-8.98% -3.11%
2001
-3.21% -2.47%
2000
-1.79% +4.18%
1999
+13.98% +13.14%
1998
+17.39% +8.63%
1997
+22.37% +16.00%
1996
+14.01% +14.56%
1995
+28.74% +21.75%
1994
-1.16% -3.27%
1993
+10.25% +21.51%
1992
+8.32% +5.31%
1991
+25.53% +29.27%
1990
-0.19% -6.61%
1989
+22.33% +22.10%
1988
+13.33% +15.93%
1987
+2.18% +1.82%
1986
+14.79% +25.68%
1985
+27.66% +32.42%
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