Robert Shiller Cape US Sector Value Portfolio vs David Swensen Yale Endowment Portfolio Portfolio Comparison

Simulation Settings

Period: November 2012 - May 2026 (~14 years)
Consolidated Returns as of 31 May 2026

Initial Amount: 1$

Rebalancing: at every Jan 1^st

Currency: USD

Inflation: US

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Results

All Data
(2012/11 - 2026/05)

Inflation Adjusted:

Robert Shiller Cape US Sector Value Portfolio

1.00$
Invested Capital
November 2012
6.19$
Final Capital
May 2026
14.36%
Yearly Return
14.81%
Std Deviation
-21.00%
Max Drawdown
6months
Recovery Period

1.00$
Invested Capital
November 2012
4.31$
Final Capital
May 2026
11.35%
Yearly Return
14.81%
Std Deviation
-24.50%
Max Drawdown
31months
Recovery Period

David Swensen Yale Endowment Portfolio

1.00$
Invested Capital
November 2012
2.95$
Final Capital
May 2026
8.30%
Yearly Return
10.33%
Std Deviation
-22.63%
Max Drawdown
31months
Recovery Period

1.00$
Invested Capital
November 2012
2.06$
Final Capital
May 2026
5.45%
Yearly Return
10.33%
Std Deviation
-26.71%
Max Drawdown
49months
Recovery Period

As of May 2026, over the analyzed timeframe, the Robert Shiller Cape US Sector Value Portfolio obtained a 14.36% compound annual return, with a 14.81% standard deviation. It suffered a maximum drawdown of -21.00% that required 6 months to be recovered.

As of May 2026, over the analyzed timeframe, the David Swensen Yale Endowment Portfolio obtained a 8.30% compound annual return, with a 10.33% standard deviation. It suffered a maximum drawdown of -22.63% that required 31 months to be recovered.

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Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.

Resources & Extras

Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Robert Shiller Cape US Sector Value Portfolio

Weight (%)	Ticker	Name
100.00	CAPE	DoubleLine Shiller U.S. Equities ETF

David Swensen Yale Endowment Portfolio

Weight (%)	Ticker	Name
30.00	VTI	Vanguard Total Stock Market
20.00	VNQ	Vanguard Real Estate
15.00	VEA	Vanguard FTSE Developed Markets
5.00	EEM	iShares MSCI Emerging Markets
15.00	IEI	iShares 3-7 Year Treasury Bond
15.00	TIP	iShares TIPS Bond

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Portfolio Returns as of May 31, 2026

Returns are calculated in USD, assuming:

no fees or capital gain taxes.
rebalancing: at every Jan 1^st.
dividend reinvestment, when applicable.

Return Comparison

Capital Growth

All Data
(2012/11 - 2026/05)

Inflation Adjusted:

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Cape US Sector Value Robert Shiller	1 $	6.19 $	518.56%	14.36%
Yale Endowment David Swensen	1 $	2.95 $	195.21%	8.30%
	Nov 2012	May 2026

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	Initial Amount $	Final Amount $	Total Return (%)	Annualized (%)
Cape US Sector Value Robert Shiller	1 $	4.31 $	330.93%	11.35%
Yale Endowment David Swensen	1 $	2.06 $	105.67%	5.45%
	Nov 2012	May 2026

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		Return (%) as of May 31, 2026
		YTD (5M)	1M	6M	1Y	5Y	10Y	MAX (~14Y)
	Cape US Sector Value Robert Shiller	-0.02	-0.98	-0.60	5.25	8.27	13.70	14.36
	Yale Endowment David Swensen	9.06	2.49	9.21	19.93	6.79	8.52	8.30
Returns over 1 year are annualized.

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Portfolio Metrics as of May 31, 2026

The following metrics, updated as of 31 May 2026, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON

Period: 1 June 2025 - 31 May 2026 (1 year)

Period: 1 June 2021 - 31 May 2026 (5 years)

Period: 1 June 2016 - 31 May 2026 (10 years)

Period: 1 November 2012 - 31 May 2026 (~14 years)

1 Year

5 Years

10 Years

All (2012/11 - 2026/05)

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	Cape US Sector Value	Yale Endowment
Author	Robert Shiller	David Swensen
ASSET ALLOCATION
Stocks	100%	70%
Fixed Income	0%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	5.25	19.93
Infl. Adjusted (%)	1.50	15.67
DRAWDOWN
Deepest Drawdown Depth (%)	-7.33	-5.05
Start to Recovery (months)	3*	2
Longest Drawdown Depth (%)	-7.33	-5.05
Start to Recovery (months)	3*	2
Longest Negative Period (months)	9	4
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%)	11.30	8.96
Sharpe Ratio	0.12	1.79
Sortino Ratio	0.15	2.31
Ulcer Index	2.47	1.40
Ratio: Return / Standard Deviation	0.46	2.22
Ratio: Return / Deepest Drawdown	0.72	3.95
Metrics calculated over the period 1 June 2025 - 31 May 2026

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	Cape US Sector Value	Yale Endowment
Author	Robert Shiller	David Swensen
ASSET ALLOCATION
Stocks	100%	70%
Fixed Income	0%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	8.27	6.79
Infl. Adjusted (%)	3.74	2.32
DRAWDOWN
Deepest Drawdown Depth (%)	-20.07	-22.63
Start to Recovery (months)	19	31
Longest Drawdown Depth (%)	-20.07	-22.63
Start to Recovery (months)	19	31
Longest Negative Period (months)	26	34
RISK INDICATORS
Standard Deviation (%)	16.26	12.14
Sharpe Ratio	0.30	0.28
Sortino Ratio	0.42	0.37
Ulcer Index	6.12	8.67
Ratio: Return / Standard Deviation	0.51	0.56
Ratio: Return / Deepest Drawdown	0.41	0.30
Metrics calculated over the period 1 June 2021 - 31 May 2026

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	Cape US Sector Value	Yale Endowment
Author	Robert Shiller	David Swensen
ASSET ALLOCATION
Stocks	100%	70%
Fixed Income	0%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	13.70	8.52
Infl. Adjusted (%)	10.04	5.02
DRAWDOWN
Deepest Drawdown Depth (%)	-21.00	-22.63
Start to Recovery (months)	6	31
Longest Drawdown Depth (%)	-20.07	-22.63
Start to Recovery (months)	19	31
Longest Negative Period (months)	26	34
RISK INDICATORS
Standard Deviation (%)	15.90	11.09
Sharpe Ratio	0.72	0.57
Sortino Ratio	0.97	0.74
Ulcer Index	5.45	6.53
Ratio: Return / Standard Deviation	0.86	0.77
Ratio: Return / Deepest Drawdown	0.65	0.38
Metrics calculated over the period 1 June 2016 - 31 May 2026

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	Cape US Sector Value	Yale Endowment
Author	Robert Shiller	David Swensen
ASSET ALLOCATION
Stocks	100%	70%
Fixed Income	0%	30%
Commodities	0%	0%
PERFORMANCES
Annualized Return (%)	14.36	8.30
Infl. Adjusted (%)	11.35	5.45
DRAWDOWN
Deepest Drawdown Depth (%)	-21.00	-22.63
Start to Recovery (months)	6	31
Longest Drawdown Depth (%)	-20.07	-22.63
Start to Recovery (months)	19	31
Longest Negative Period (months)	26	34
RISK INDICATORS
Standard Deviation (%)	14.81	10.33
Sharpe Ratio	0.86	0.65
Sortino Ratio	1.16	0.86
Ulcer Index	4.81	5.74
Ratio: Return / Standard Deviation	0.97	0.80
Ratio: Return / Deepest Drawdown	0.68	0.37
Metrics calculated over the period 1 November 2012 - 31 May 2026

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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.

DRAWDOWN COMPARISON

Period: 1 June 2016 - 31 May 2026 (10 years)

Period: 1 November 2012 - 31 May 2026 (~14 years)

Chart Table

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Cape US Sector Value			Yale Endowment
Drawdown (%)	Recovery (#Months)	From To	Drawdown (%)	Recovery (#Months)	From To
			-22.63	31	Jan 2022 Jul 2024
-21.00	6	Feb 2020 Jul 2020
-20.07	19	Jan 2022 Jul 2023
-15.27	7	Oct 2018 Apr 2019
			-14.79	7	Feb 2020 Aug 2020
-8.74	3	Aug 2015 Oct 2015
			-8.41	7	Sep 2018 Mar 2019
-8.27	5	Aug 2023 Dec 2023
-7.33	3*	Mar 2026 In progress
			-6.50	15	Mar 2015 May 2016
-6.08	9	Dec 2024 Aug 2025
-5.96	2	May 2019 Jun 2019
-5.62	6	Feb 2018 Jul 2018
-5.36	4	Apr 2024 Jul 2024
			-5.05	2	Mar 2026 Apr 2026

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

Annualized Rolling Returns Chart

Rolling Returns Chart - Inflation Adjusted

Time Period: 1 November 2012 - 31 May 2026 (~14 years)

Rolling Period:

Cape US Sector Value
Yale Endowment

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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	Cape US Sector Value		Yale Endowment
Year	Return (%)	Drawdown (%)	Return (%)	Drawdown (%)
2026	-0.02	-7.33	9.06	-5.05
2025	9.10	-4.59	14.81	-2.00
2024	14.40	-6.08	9.42	-3.92
2023	27.65	-8.27	14.45	-8.62
2022	-15.62	-20.07	-17.82	-22.63
2021	27.80	-5.00	17.84	-3.58
2020	19.47	-21.00	10.35	-14.79
2019	32.61	-5.96	21.39	-2.68
2018	-3.51	-15.27	-5.76	-8.41
2017	21.38	-0.24	13.79	0.00
2016	18.06	-4.58	7.40	-3.21
2015	4.57	-8.74	-0.29	-6.50
2014	15.77	-3.84	9.76	-3.40
2013	33.36	-2.99	12.04	-4.27

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Table of contents

Resources & Extras

Asset Allocations and ETFs

Portfolio Returns as of May 31, 2026

Portfolio Metrics as of May 31, 2026

Drawdowns

Rolling Returns

Yearly Returns