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
| 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
| 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 |
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.
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.
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.
| 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% |