Consolidated Returns as of 30 June 2024
Holding the David Swensen Yale Endowment To EUR Bond Hedged Portfolio, how long should you stay invested to have high probability to obtain a positive return?
Considering all the available data source (~40 years), the longest period with a negative return lasted 110 months (from January 2000 to February 2009).
This means that every rolling period of 111 months or above has always granted a positive return.
To obtain comprehensive information, please consult the David Swensen Yale Endowment To EUR Bond Hedged Portfolio: ETF allocation and returns page.
Previous vs subsequent Returns
Considering all 10-year rolling periods, is there a relationship between past and future returns, at a given date?
In the following chart, we show how past returns (x-axis) and subsequent returns (y-axis) are related.
Neighboring data is aggregated and occurrences are indicated. It is possible to zoom by clicking or drawing the desired area
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The annualized return of the last 10 years has been 7.82% (updated at Jun 30, 2024).
Rolling Returns
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
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Annualized Rolling Returns - 1 Year (12 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.97% |
+45.51%
Apr 2009 - Mar 2010 |
-28.64%
Mar 2008 - Feb 2009 |
22.89%
106 out of 463 |
Euro Inflation Adjusted | +6.89% |
+43.34%
Aug 1996 - Jul 1997 |
-29.47%
Mar 2008 - Feb 2009 |
26.13%
121 out of 463 |
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Annualized Rolling Returns - 2 Years (24 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.94% |
+29.04%
Mar 2009 - Feb 2011 |
-18.78%
Mar 2007 - Feb 2009 |
13.08%
59 out of 451 |
Euro Inflation Adjusted | +6.96% |
+26.96%
Mar 2009 - Feb 2011 |
-20.54%
Mar 2007 - Feb 2009 |
21.51%
97 out of 451 |
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Annualized Rolling Returns - 3 Years (36 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.92% |
+24.52%
Nov 1990 - Oct 1993 |
-11.31%
Mar 2006 - Feb 2009 |
8.88%
39 out of 439 |
Euro Inflation Adjusted | +6.44% |
+22.16%
Apr 1995 - Mar 1998 |
-13.12%
Mar 2006 - Feb 2009 |
15.72%
69 out of 439 |
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Annualized Rolling Returns - 4 Years (48 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.82% |
+20.50%
Sep 1996 - Aug 2000 |
-3.91%
Mar 2005 - Feb 2009 |
4.92%
21 out of 427 |
Euro Inflation Adjusted | +6.79% |
+18.72%
Sep 1996 - Aug 2000 |
-5.94%
Mar 2005 - Feb 2009 |
12.65%
54 out of 427 |
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Annualized Rolling Returns - 5 Years (60 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.17% |
+19.57%
Apr 1995 - Mar 2000 |
-2.08%
Mar 2004 - Feb 2009 |
0.48%
2 out of 415 |
Euro Inflation Adjusted | +5.92% |
+17.69%
Apr 1995 - Mar 2000 |
-4.13%
Mar 2004 - Feb 2009 |
3.37%
14 out of 415 |
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Annualized Rolling Returns - 6 Years (72 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +7.76% |
+18.33%
Apr 2009 - Mar 2015 |
+1.39%
Mar 2003 - Feb 2009 |
0.00%
0 out of 403 |
Euro Inflation Adjusted | +5.51% |
+16.58%
Apr 2009 - Mar 2015 |
-0.65%
Mar 2003 - Feb 2009 |
0.74%
3 out of 403 |
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Annualized Rolling Returns - 7 Years (84 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.30% |
+17.03%
Oct 1990 - Sep 1997 |
-1.46%
Apr 2002 - Mar 2009 |
0.77%
3 out of 391 |
Euro Inflation Adjusted | +6.19% |
+13.80%
Oct 1990 - Sep 1997 |
-3.46%
Apr 2002 - Mar 2009 |
2.56%
10 out of 391 |
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Annualized Rolling Returns - 8 Years (96 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.39% |
+16.46%
Sep 1992 - Aug 2000 |
-0.86%
Mar 2001 - Feb 2009 |
0.79%
3 out of 379 |
Euro Inflation Adjusted | +6.66% |
+14.07%
Sep 1992 - Aug 2000 |
-2.94%
Mar 2001 - Feb 2009 |
3.17%
12 out of 379 |
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Annualized Rolling Returns - 9 Years (108 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.35% |
+15.92%
Jan 1991 - Dec 1999 |
-0.56%
Apr 2000 - Mar 2009 |
0.54%
2 out of 367 |
Euro Inflation Adjusted | +6.31% |
+13.15%
Jan 1991 - Dec 1999 |
-2.64%
Apr 2000 - Mar 2009 |
3.54%
13 out of 367 |
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Annualized Rolling Returns - 10 Years (120 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.31% |
+16.11%
Nov 1990 - Oct 2000 |
+1.84%
Apr 1999 - Mar 2009 |
0.00%
0 out of 355 |
Euro Inflation Adjusted | +6.23% |
+13.40%
Nov 1990 - Oct 2000 |
-0.27%
Apr 1999 - Mar 2009 |
0.56%
2 out of 355 |
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Annualized Rolling Returns - 11 Years (132 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.57% |
+13.67%
Jan 1991 - Dec 2001 |
+1.76%
Apr 1998 - Mar 2009 |
0.00%
0 out of 343 |
Euro Inflation Adjusted | +6.48% |
+11.01%
Dec 1990 - Nov 2001 |
-0.24%
Apr 1998 - Mar 2009 |
0.58%
2 out of 343 |
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Annualized Rolling Returns - 12 Years (144 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.39% |
+14.02%
Jan 1988 - Dec 1999 |
+3.41%
Mar 1997 - Feb 2009 |
0.00%
0 out of 331 |
Euro Inflation Adjusted | +6.56% |
+11.16%
Jan 1988 - Dec 1999 |
+1.47%
Mar 1997 - Feb 2009 |
0.00%
0 out of 331 |
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Annualized Rolling Returns - 13 Years (156 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.25% |
+13.69%
Dec 1987 - Nov 2000 |
+4.26%
Sep 2000 - Aug 2013 |
0.00%
0 out of 319 |
Euro Inflation Adjusted | +6.40% |
+10.87%
Nov 1987 - Oct 2000 |
+2.16%
Sep 2000 - Aug 2013 |
0.00%
0 out of 319 |
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Annualized Rolling Returns - 14 Years (168 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +7.89% |
+12.54%
Jan 1988 - Dec 2001 |
+4.95%
May 2000 - Apr 2014 |
0.00%
0 out of 307 |
Euro Inflation Adjusted | +6.09% |
+9.77%
Jan 1988 - Dec 2001 |
+2.86%
May 2000 - Apr 2014 |
0.00%
0 out of 307 |
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Annualized Rolling Returns - 15 Years (180 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +7.72% |
+11.85%
Oct 1985 - Sep 2000 |
+4.63%
Mar 1994 - Feb 2009 |
0.00%
0 out of 295 |
Euro Inflation Adjusted | +5.90% |
+9.43%
Oct 1985 - Sep 2000 |
+2.59%
Mar 1994 - Feb 2009 |
0.00%
0 out of 295 |
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Annualized Rolling Returns - 16 Years (192 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +7.67% |
+11.57%
Nov 1990 - Oct 2006 |
+5.55%
Apr 1993 - Mar 2009 |
0.00%
0 out of 283 |
Euro Inflation Adjusted | +5.75% |
+9.05%
Nov 1990 - Oct 2006 |
+3.43%
Apr 1993 - Mar 2009 |
0.00%
0 out of 283 |
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Annualized Rolling Returns - 17 Years (204 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +7.64% |
+11.09%
Nov 1990 - Oct 2007 |
+5.55%
Sep 2000 - Aug 2017 |
0.00%
0 out of 271 |
Euro Inflation Adjusted | +5.76% |
+8.57%
Nov 1990 - Oct 2007 |
+3.79%
Sep 2000 - Aug 2017 |
0.00%
0 out of 271 |
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Annualized Rolling Returns - 18 Years (216 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +7.98% |
+11.06%
Jan 1988 - Dec 2005 |
+5.59%
Apr 2000 - Mar 2018 |
0.00%
0 out of 259 |
Euro Inflation Adjusted | +5.94% |
+8.39%
Jan 1988 - Dec 2005 |
+3.80%
Apr 2000 - Mar 2018 |
0.00%
0 out of 259 |
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Annualized Rolling Returns - 19 Years (228 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.09% |
+10.91%
Dec 1987 - Nov 2006 |
+5.73%
Apr 2001 - Mar 2020 |
0.00%
0 out of 247 |
Euro Inflation Adjusted | +5.93% |
+8.30%
Dec 1987 - Nov 2006 |
+3.96%
Jan 2000 - Dec 2018 |
0.00%
0 out of 247 |
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Annualized Rolling Returns - 20 Years (240 months)
Median | Best | Worst | Negative Periods | |
---|---|---|---|---|
Annualized Rolling Return | +8.00% |
+10.31%
Dec 1987 - Nov 2007 |
+5.40%
Apr 2000 - Mar 2020 |
0.00%
0 out of 235 |
Euro Inflation Adjusted | +5.93% |
+7.76%
Apr 1995 - Mar 2015 |
+3.68%
Apr 2000 - Mar 2020 |
0.00%
0 out of 235 |
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To obtain comprehensive information, please consult the David Swensen Yale Endowment To EUR Bond Hedged Portfolio: ETF allocation and returns page.