David Swensen Yale Endowment To EUR Portfolio: ETF allocation and returns

Data Source: from January 1985 to April 2024 (~39 years)
Consolidated Returns as of 30 April 2024
Currency: EUR

The David Swensen Yale Endowment To EUR Portfolio is a High Risk portfolio and can be implemented with 6 ETFs.

It's exposed for 70% on the Stock Market.

In the last 30 Years, the David Swensen Yale Endowment To EUR Portfolio obtained a 7.88% compound annual return, with a 11.12% standard deviation.

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Asset Allocation and ETFs

The David Swensen Yale Endowment To EUR Portfolio has the following asset allocation:

70% Stocks
30% Fixed Income
0% Commodities

The David Swensen Yale Endowment To EUR Portfolio can be implemented with the following ETFs:

Weight
(%)
Investment Themes (Orig.Currency) ETF
Ticker
ETF
Currency
ETF Name
30.00 Stocks (Mix)
EUNL.DE
EUR iShares Core MSCI World
20.00 Real Estate, U.S. (USD)
IQQ7.DE
EUR iShares US Property Yield
15.00 Equity, U.S., Large Cap (USD)
XD9U.DE
EUR Xtrackers MSCI USA
5.00 Equity, Emerging Markets, Large Cap (USD)
IS3N.DE
EUR iShares Core MSCI Emerg. Markets
15.00 Bond, U.S., All-Term (USD)
IUST.DE
EUR iShares USD TIPS
15.00 Bond, U.S., Intermediate-Term (USD)
SXRL.DE
EUR iShares USD Treasury Bond 3-7yr

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns as of Apr 30, 2024

The David Swensen Yale Endowment To EUR Portfolio guaranteed the following returns.

Returns are calculated in EUR, assuming:
DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO
Consolidated returns as of 30 April 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Apr 30, 2024
  1 Day Time ET(*) May 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
David Swensen Yale Endowment To EUR Portfolio n.a. n.a. -2.11 13.33 12.92 7.06 8.61 7.88 7.84
Euro Inflation Adjusted return -2.68 11.97 10.30 3.24 6.17 5.70 5.57
Components
EUNL.DE
EUR iShares Core MSCI World n.a. - n.a. -2.05 20.05 23.44 11.77 11.93 7.59 7.82
IQQ7.DE
EUR iShares US Property Yield n.a. - n.a. -4.65 13.08 4.46 1.97 6.74 8.10 7.32
XD9U.DE
EUR Xtrackers MSCI USA n.a. - n.a. -2.18 21.56 28.79 14.19 15.00 10.73 10.09
IS3N.DE
EUR iShares Core MSCI Emerg. Markets n.a. - n.a. 1.50 15.14 14.34 3.66 5.83 5.48 7.83
IUST.DE
EUR iShares USD TIPS n.a. - n.a. -0.47 2.31 1.78 2.92 4.48 5.54 5.59
SXRL.DE
EUR iShares USD Treasury Bond 3-7yr n.a. - n.a. -1.72 2.67 -1.11 0.10 1.10 3.71 3.93
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Current inflation (annualized) is 1Y: 2.38% , 5Y: 3.70% , 10Y: 2.30% , 30Y: 2.07%

Capital Growth as of Apr 30, 2024

An investment of 1€, since May 1994, now would be worth 9.74€, with a total return of 873.85% (7.88% annualized).

The Inflation Adjusted Capital now would be 5.27€, with a net total return of 426.95% (5.70% annualized).
An investment of 1€, since January 1985, now would be worth 19.50€, with a total return of 1849.86% (7.84% annualized).

The Inflation Adjusted Capital now would be 8.44€, with a net total return of 744.26% (5.57% annualized).

Portfolio Metrics as of Apr 30, 2024

Metrics of David Swensen Yale Endowment To EUR Portfolio, updated as of 30 April 2024.

Metrics are calculated based on monthly returns, assuming:
DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 30 April 2024 (~39 years)
Swipe left to see all data
Metrics as of Apr 30, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) -2.11 2.11 13.33 12.92 5.40 7.06 8.61 7.63 7.88 7.84
Infl. Adjusted Return (%) details -2.68 0.12 11.97 10.30 -0.15 3.24 6.17 5.41 5.70 5.57
Euro Inflation (%) 0.58 1.98 1.21 2.38 5.57 3.70 2.30 2.11 2.07 2.15
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -5.35 -13.34 -14.41 -14.41 -34.67 -34.67 -34.67
Start to Recovery (# months) details 5 26 12 12 36 36 36
Start (yyyy mm) 2023 08 2022 01 2020 02 2020 02 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 12 2 2 21 21 21
Bottom (yyyy mm) 2023 10 2022 12 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 14 10 10 15 15 15
End (yyyy mm) 2023 12 2024 02 2021 01 2021 01 2010 05 2010 05 2010 05
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-13.34 -13.34
same as
deepest
-27.15 -27.15
Start to Recovery (# months) details 26 26 50 50
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 06 2001 06 2001 06
Start to Bottom (# months) 3 12 12 12 21 22 22
Bottom (yyyy mm) 2023 10 2022 12 2022 12 2022 12 2009 02 2003 03 2003 03
Bottom to End (# months) 2 14 14 14 15 28 28
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2010 05 2005 07 2005 07
Longest negative period (# months) details 6 28 28 28 60 112 112
Period Start (yyyy mm) 2023 05 2021 07 2021 07 2021 07 2004 07 1999 12 1999 12
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 06 2009 03 2009 03
Annualized Return (%) -0.71 -0.29 -0.29 -0.29 -0.10 -0.10 -0.10
Deepest Drawdown Depth (%) -6.24 -21.29 -21.29 -21.29 -37.28 -37.28 -37.28
Start to Recovery (# months) details 5 28* 28* 28* 59 59 59
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 02 2007 02 2007 02
Start to Bottom (# months) 3 22 22 22 25 25 25
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 02 2009 02 2009 02
Bottom to End (# months) 2 6 6 6 34 34 34
End (yyyy mm) 2023 12 - - - 2011 12 2011 12 2011 12
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-31.02 -31.02
Start to Recovery (# months) details 64 64
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 02 2000 11 2000 11
Start to Bottom (# months) 3 22 22 22 25 29 29
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 02 2003 03 2003 03
Bottom to End (# months) 2 6 6 6 34 35 35
End (yyyy mm) 2023 12 - - - 2011 12 2006 02 2006 02
Longest negative period (# months) details 6 36* 49 49 70 140 140
Period Start (yyyy mm) 2023 05 2021 05 2019 10 2019 10 2005 12 1997 08 1997 08
Period End (yyyy mm) 2023 10 2024 04 2023 10 2023 10 2011 09 2009 03 2009 03
Annualized Return (%) -2.96 -0.15 -0.22 -0.22 -0.17 -0.11 -0.11
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 8.18 10.78 11.11 10.31 10.56 11.12 12.06
Sharpe Ratio 0.93 0.26 0.46 0.71 0.59 0.50 0.32
Sortino Ratio 1.25 0.36 0.62 0.96 0.82 0.69 0.44
Ulcer Index 1.75 6.67 6.04 4.94 8.15 9.15 9.44
Ratio: Return / Standard Deviation 1.58 0.50 0.64 0.84 0.72 0.71 0.65
Ratio: Return / Deepest Drawdown 2.42 0.41 0.49 0.60 0.22 0.23 0.23
% Positive Months details 66% 50% 56% 58% 60% 60% 59%
Positive Months 8 18 34 70 145 218 283
Negative Months 4 18 26 50 95 142 189
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 8.61 12.66 12.66 17.35
Worst 10 Years Return (%) - Annualized 6.23 1.25 1.25
Best 10 Years Return (%) - Annualized 6.17 11.20 11.20 14.61
Worst 10 Years Return (%) - Annualized 4.65 -0.85 -0.85
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 52.73 27.08 22.32 12.66 9.88 7.88
Worst Rolling Return (%) - Annualized -25.67 -11.50 -2.25 1.25 5.04
% Positive Periods 78% 84% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.68 26.78 16.54 8.52 5.32 7.30
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.59 5.92
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 50.49 24.94 20.42 11.20 7.93 5.70
Worst Rolling Return (%) - Annualized -27.39 -13.31 -4.24 -0.85 3.39
% Positive Periods 72% 80% 88% 95% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.68 26.78 16.54 8.52 5.32 7.30
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.59 5.92
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1985 - Apr 2024)
Best Rolling Return (%) - Annualized 52.73 27.08 22.32 17.35 9.89 9.23
Worst Rolling Return (%) - Annualized -25.67 -11.50 -2.25 1.25 5.04 7.26
% Positive Periods 74% 86% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.68 26.78 16.54 8.52 5.32 6.04
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.59 4.94
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 50.49 24.94 20.42 14.61 7.93 7.14
Worst Rolling Return (%) - Annualized -27.39 -13.31 -4.24 -0.85 3.39 5.07
% Positive Periods 69% 81% 90% 97% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.68 26.78 16.54 8.52 5.32 6.04
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.59 4.94
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Portfolio Components Correlation

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 April 2024
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If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1985 - 30 April 2024 (~39 years)
Inflation Adjusted:
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Rolling Returns

( more details)

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.

DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1985 - 30 April 2024 (~39 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the David Swensen Yale Endowment To EUR Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in David Swensen Yale Endowment To EUR Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the David Swensen Yale Endowment To EUR Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO
Monthly Returns Distribution
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1985 - 30 April 2024 (~39 years)
218 Positive Months (61%) - 142 Negative Months (39%)
283 Positive Months (60%) - 189 Negative Months (40%)
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(Scroll down to see all data)
Investment Returns, up to July 2014, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

Returns are calculated based on the performance of the original US asset, adjusted for actual currency exchange rates.

In particular, the series derived from equivalent datasets are:
  • EUNL.DE - iShares Core MSCI World (EUNL.DE), up to October 2009
  • IQQ7.DE - iShares US Property Yield (IQQ7.DE), up to March 2007
  • XD9U.DE - Xtrackers MSCI USA (XD9U.DE), up to May 2014
  • IS3N.DE - iShares Core MSCI Emerg. Markets (IS3N.DE), up to July 2014
  • IUST.DE - iShares USD TIPS (IUST.DE), up to May 2014
  • SXRL.DE - iShares USD Treasury Bond 3-7yr (SXRL.DE), up to May 2014
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