Bogleheads Three Funds vs David Swensen Yale Endowment Portfolio Comparison

Period: January 1985 - November 2024 (~40 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Bogleheads Three Funds Portfolio
1.00$
Initial Capital
December 1994
10.93$
Final Capital
November 2024
8.30%
Yearly Return
12.39
Std Deviation
-43.68%
Max Drawdown
42months
Recovery Period
David Swensen Yale Endowment Portfolio
1.00$
Initial Capital
December 1994
11.35$
Final Capital
November 2024
8.43%
Yearly Return
10.83
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period
Bogleheads Three Funds Portfolio
1.00$
Initial Capital
January 1985
40.08$
Final Capital
November 2024
9.69%
Yearly Return
12.29
Std Deviation
-43.68%
Max Drawdown
42months
Recovery Period
David Swensen Yale Endowment Portfolio
1.00$
Initial Capital
January 1985
38.48$
Final Capital
November 2024
9.58%
Yearly Return
10.73
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period

The Bogleheads Three Funds Portfolio obtained a 8.30% compound annual return, with a 12.39% standard deviation, in the last 30 Years.

The David Swensen Yale Endowment Portfolio obtained a 8.43% compound annual return, with a 10.83% standard deviation, in the last 30 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 November 2024 (~40 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Three Funds
Bogleheads 		16.98 3.63 9.66 22.68 9.45 8.36 8.30 9.69
Yale Endowment
David Swensen 		13.55 3.11 10.18 19.47 7.21 6.78 8.43 9.58
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Bogleheads Three Funds Portfolio: an investment of 1$, since December 1994, now would be worth 10.93$, with a total return of 993.06% (8.30% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1$, since December 1994, now would be worth 11.35$, with a total return of 1035.18% (8.43% annualized).


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Bogleheads Three Funds Portfolio: an investment of 1$, since January 1985, now would be worth 40.08$, with a total return of 3908.01% (9.69% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1$, since January 1985, now would be worth 38.48$, with a total return of 3748.37% (9.58% annualized).


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Metrics as of Nov 30, 2024

The following metrics, updated as of 30 November 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1985 - 30 November 2024 (~40 years)
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Three Funds Yale Endowment
Author Bogleheads David Swensen
ASSET ALLOCATION
Stocks 80% 70%
Fixed Income 20% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 22.68 19.47
Infl. Adjusted Return (%) 19.79 16.66
DRAWDOWN
Deepest Drawdown Depth (%) -3.44 -3.92
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -3.44 -3.92
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 4
RISK INDICATORS
Standard Deviation (%) 8.22 8.75
Sharpe Ratio 2.12 1.63
Sortino Ratio 2.59 1.99
Ulcer Index 1.13 1.31
Ratio: Return / Standard Deviation 2.76 2.22
Ratio: Return / Deepest Drawdown 6.60 4.96
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Three Funds Yale Endowment
Author Bogleheads David Swensen
ASSET ALLOCATION
Stocks 80% 70%
Fixed Income 20% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.45 7.21
Infl. Adjusted Return (%) 5.13 2.97
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -22.63
Start to Recovery (months) 26 31
Longest Drawdown Depth (%) -23.18 -22.63
Start to Recovery (months) 26 31
Longest Negative Period (months) 34 34
RISK INDICATORS
Standard Deviation (%) 14.74 13.60
Sharpe Ratio 0.49 0.36
Sortino Ratio 0.64 0.48
Ulcer Index 8.36 8.98
Ratio: Return / Standard Deviation 0.64 0.53
Ratio: Return / Deepest Drawdown 0.41 0.32
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Three Funds Yale Endowment
Author Bogleheads David Swensen
ASSET ALLOCATION
Stocks 80% 70%
Fixed Income 20% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.36 6.78
Infl. Adjusted Return (%) 5.30 3.77
DRAWDOWN
Deepest Drawdown Depth (%) -23.18 -22.63
Start to Recovery (months) 26 31
Longest Drawdown Depth (%) -23.18 -22.63
Start to Recovery (months) 26 31
Longest Negative Period (months) 34 34
RISK INDICATORS
Standard Deviation (%) 12.33 11.03
Sharpe Ratio 0.55 0.47
Sortino Ratio 0.73 0.63
Ulcer Index 6.42 6.62
Ratio: Return / Standard Deviation 0.68 0.61
Ratio: Return / Deepest Drawdown 0.36 0.30
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Three Funds Yale Endowment
Author Bogleheads David Swensen
ASSET ALLOCATION
Stocks 80% 70%
Fixed Income 20% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.30 8.43
Infl. Adjusted Return (%) 5.64 5.78
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -40.68
Start to Recovery (months) 42 38
Longest Drawdown Depth (%) -33.38 -40.68
Start to Recovery (months) 57 38
Longest Negative Period (months) 118 62
RISK INDICATORS
Standard Deviation (%) 12.39 10.83
Sharpe Ratio 0.48 0.57
Sortino Ratio 0.63 0.73
Ulcer Index 10.83 7.43
Ratio: Return / Standard Deviation 0.67 0.78
Ratio: Return / Deepest Drawdown 0.19 0.21
Metrics calculated over the period 1 December 1994 - 30 November 2024
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Three Funds Yale Endowment
Author Bogleheads David Swensen
ASSET ALLOCATION
Stocks 80% 70%
Fixed Income 20% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.69 9.58
Infl. Adjusted Return (%) 6.72 6.61
DRAWDOWN
Deepest Drawdown Depth (%) -43.68 -40.68
Start to Recovery (months) 42 38
Longest Drawdown Depth (%) -33.38 -40.68
Start to Recovery (months) 57 38
Longest Negative Period (months) 118 62
RISK INDICATORS
Standard Deviation (%) 12.29 10.73
Sharpe Ratio 0.53 0.60
Sortino Ratio 0.70 0.78
Ulcer Index 9.68 6.76
Ratio: Return / Standard Deviation 0.79 0.89
Ratio: Return / Deepest Drawdown 0.22 0.24
Metrics calculated over the period 1 January 1985 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 1994 - 30 November 2024 (30 years)
Period: 1 January 1985 - 30 November 2024 (~40 years)

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Three Funds Yale Endowment
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-40.68 38 Nov 2007
Dec 2010
-33.38 57 Apr 2000
Dec 2004
-23.18 26 Jan 2022
Feb 2024
-22.63 31 Jan 2022
Jul 2024
-17.01 7 Jan 2020
Jul 2020
-15.77 17 May 2011
Sep 2012
-14.79 7 Feb 2020
Aug 2020
-12.46 5 Jul 1998
Nov 1998
-12.17 10 May 2011
Feb 2012
-10.97 9 Apr 1998
Dec 1998
-10.82 33 Sep 2000
May 2003
-10.53 15 Feb 2018
Apr 2019
-9.88 14 Jun 2015
Jul 2016
-8.41 7 Sep 2018
Mar 2019

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Three Funds Yale Endowment
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-43.68 42 Nov 2007
Apr 2011
-40.68 38 Nov 2007
Dec 2010
-33.38 57 Apr 2000
Dec 2004
-23.18 26 Jan 2022
Feb 2024
-22.63 31 Jan 2022
Jul 2024
-19.21 17 Sep 1987
Jan 1989
-17.01 7 Jan 2020
Jul 2020
-16.20 16 Sep 1987
Dec 1988
-15.77 17 May 2011
Sep 2012
-15.31 14 Jan 1990
Feb 1991
-14.79 7 Feb 2020
Aug 2020
-12.63 14 Jan 1990
Feb 1991
-12.46 5 Jul 1998
Nov 1998
-12.17 10 May 2011
Feb 2012
-10.97 9 Apr 1998
Dec 1998

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1985 - 30 November 2024 (~40 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Three Funds Yale Endowment
Year Return Drawdown Return Drawdown
2024
 16.98% -3.44% 13.55% -3.92%
2023
 18.86% -8.74% 14.45% -8.62%
2022
 -17.06% -23.18% -17.82% -22.63%
2021
 14.95% -3.53% 17.84% -3.58%
2020
 15.39% -17.01% 10.35% -14.79%
2019
 23.65% -4.68% 21.39% -2.68%
2018
 -6.89% -10.53% -5.76% -8.41%
2017
 19.54% 0.00% 13.79% 0.00%
2016
 8.39% -4.82% 7.40% -3.21%
2015
 -1.14% -8.74% -0.29% -6.50%
2014
 6.07% -3.01% 9.76% -3.40%
2013
 20.56% -2.36% 12.04% -4.27%
2012
 14.53% -7.09% 13.44% -4.70%
2011
 -2.14% -15.77% 2.46% -12.17%
2010
 13.50% -9.82% 14.85% -7.93%
2009
 26.45% -15.70% 23.34% -16.98%
2008
 -30.15% -33.07% -25.11% -30.37%
2007
 8.73% -4.35% 4.93% -4.58%
2006
 16.69% -3.08% 17.78% -2.66%
2005
 8.30% -3.34% 8.67% -2.69%
2004
 13.49% -2.83% 16.01% -5.84%
2003
 28.27% -3.88% 26.59% -1.98%
2002
 -13.11% -18.90% -3.49% -9.34%
2001
 -9.84% -18.61% -1.98% -9.29%
2000
 -7.69% -11.84% 3.33% -5.76%
1999
 20.73% -2.88% 13.91% -2.69%
1998
 18.03% -12.46% 8.26% -10.97%
1997
 17.15% -4.61% 15.25% -3.44%
1996
 12.60% -3.77% 15.04% -2.41%
1995
 22.72% -1.03% 20.31% -1.03%
1994
 2.31% -4.84% -2.86% -8.21%
1993
 16.23% -4.16% 20.71% -3.68%
1992
 1.54% -4.66% 5.36% -3.21%
1991
 22.09% -4.27% 29.05% -3.46%
1990
 -8.74% -15.31% -6.06% -12.63%
1989
 20.64% -2.08% 21.59% -1.39%
1988
 17.83% -3.20% 15.34% -2.25%
1987
 10.76% -19.21% 2.49% -16.20%
1986
 29.32% -4.89% 23.31% -3.94%
1985
 35.27% -2.34% 30.22% -1.80%