David Swensen Yale Endowment Portfolio vs Ray Dalio All Weather Portfolio Portfolio Comparison

Simulation Settings
Period: January 1985 - April 2025 (~40 years)
Consolidated Returns as of 30 April 2025
Rebalancing: at every Jan 1st
Currency: USD
Inflation: US
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Results
30 Years
All (since January 1985)
Inflation Adjusted:
David Swensen Yale Endowment Portfolio
1.00$
Initial Capital
May 1995
10.38$
Final Capital
April 2025
8.11%
Yearly Return
10.86%
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period
1.00$
Initial Capital
May 1995
4.93$
Final Capital
April 2025
5.46%
Yearly Return
10.86%
Std Deviation
-41.66%
Max Drawdown
42months
Recovery Period
1.00$
Initial Capital
January 1985
37.66$
Final Capital
April 2025
9.41%
Yearly Return
10.70%
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period
1.00$
Initial Capital
January 1985
12.43$
Final Capital
April 2025
6.45%
Yearly Return
10.70%
Std Deviation
-41.66%
Max Drawdown
42months
Recovery Period
Ray Dalio All Weather Portfolio
1.00$
Initial Capital
May 1995
8.66$
Final Capital
April 2025
7.46%
Yearly Return
7.48%
Std Deviation
-20.58%
Max Drawdown
40months*
Recovery Period
* in progress
1.00$
Initial Capital
May 1995
4.11$
Final Capital
April 2025
4.82%
Yearly Return
7.48%
Std Deviation
-27.85%
Max Drawdown
44months*
Recovery Period
* in progress
1.00$
Initial Capital
January 1985
28.36$
Final Capital
April 2025
8.65%
Yearly Return
7.51%
Std Deviation
-20.58%
Max Drawdown
40months*
Recovery Period
* in progress
1.00$
Initial Capital
January 1985
9.36$
Final Capital
April 2025
5.70%
Yearly Return
7.51%
Std Deviation
-27.85%
Max Drawdown
44months*
Recovery Period
* in progress

As of April 2025, in the previous 30 Years, the David Swensen Yale Endowment Portfolio obtained a 8.11% compound annual return, with a 10.86% standard deviation. It suffered a maximum drawdown of -40.68% that required 38 months to be recovered.

As of April 2025, in the previous 30 Years, the Ray Dalio All Weather Portfolio obtained a 7.46% compound annual return, with a 7.48% standard deviation. It suffered a maximum drawdown of -20.58% which has been ongoing for 40 months and is still in progress.

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.
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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

David Swensen Yale Endowment Portfolio
Weight
(%)		 ETF
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
Ray Dalio All Weather Portfolio
Weight
(%)		 ETF
Ticker		 Name
30.00
VTI
Vanguard Total Stock Market
40.00
TLT
iShares 20+ Year Treasury Bond
15.00
IEI
iShares 3-7 Year Treasury Bond
7.50
DBC
Invesco DB Commodity Tracking
7.50
GLD
SPDR Gold Trust
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Portfolio Returns as of Apr 30, 2025

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • rebalancing: at every Jan 1st.
  • dividend reinvestment, when applicable.
RETURN COMPARISON
Period: 1 January 1985 - 30 April 2025 (~40 years)
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Return (%) as of Apr 30, 2025
YTD
(4M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_david_swensen.webp Yale Endowment
David Swensen 		1.56 0.16 0.91 11.72 8.28 6.30 8.11 9.41
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_ray_dalio.webp All Weather Portfolio
Ray Dalio 		2.00 -0.74 1.04 10.15 2.92 4.73 7.46 8.65
Return over 1 year are annualized.
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Capital Growth as of Apr 30, 2025

David Swensen Yale Endowment Portfolio: an investment of 1$, since May 1995, now would be worth 10.38$, with a total return of 937.55% (8.11% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since May 1995, now would be worth 8.66$, with a total return of 765.76% (7.46% annualized).


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David Swensen Yale Endowment Portfolio: an investment of 1$, since January 1985, now would be worth 37.66$, with a total return of 3666.28% (9.41% annualized).

Ray Dalio All Weather Portfolio: an investment of 1$, since January 1985, now would be worth 28.36$, with a total return of 2736.18% (8.65% annualized).


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Portfolio Metrics as of Apr 30, 2025

The following metrics, updated as of 30 April 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 May 2024 - 30 April 2025 (1 year)
Period: 1 May 2020 - 30 April 2025 (5 years)
Period: 1 May 2015 - 30 April 2025 (10 years)
Period: 1 May 1995 - 30 April 2025 (30 years)
Period: 1 January 1985 - 30 April 2025 (~40 years)
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Yale Endowment All Weather Portfolio
Author David Swensen Ray Dalio
ASSET ALLOCATION
Stocks 70% 30%
Fixed Income 30% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 11.72 10.15
Infl. Adjusted Return (%) 9.45 7.92
DRAWDOWN
Deepest Drawdown Depth (%) -3.63 -3.45
Start to Recovery (months) 5* 3
Longest Drawdown Depth (%) -3.63 -3.45
Start to Recovery (months) 5* 3
Longest Negative Period (months) 7* 7*
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.99 7.04
Sharpe Ratio 0.87 0.76
Sortino Ratio 1.07 0.92
Ulcer Index 1.54 1.36
Ratio: Return / Standard Deviation 1.47 1.44
Ratio: Return / Deepest Drawdown 3.23 2.94
Metrics calculated over the period 1 May 2024 - 30 April 2025
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Yale Endowment All Weather Portfolio
Author David Swensen Ray Dalio
ASSET ALLOCATION
Stocks 70% 30%
Fixed Income 30% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 8.28 2.92
Infl. Adjusted Return (%) 3.58 -1.54
DRAWDOWN
Deepest Drawdown Depth (%) -22.63 -20.58
Start to Recovery (months) 31 40*
Longest Drawdown Depth (%) -22.63 -20.58
Start to Recovery (months) 31 40*
Longest Negative Period (months) 34 45
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 12.28 10.35
Sharpe Ratio 0.47 0.04
Sortino Ratio 0.63 0.05
Ulcer Index 8.66 9.54
Ratio: Return / Standard Deviation 0.67 0.28
Ratio: Return / Deepest Drawdown 0.37 0.14
Metrics calculated over the period 1 May 2020 - 30 April 2025
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Yale Endowment All Weather Portfolio
Author David Swensen Ray Dalio
ASSET ALLOCATION
Stocks 70% 30%
Fixed Income 30% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 6.30 4.73
Infl. Adjusted Return (%) 3.13 1.61
DRAWDOWN
Deepest Drawdown Depth (%) -22.63 -20.58
Start to Recovery (months) 31 40*
Longest Drawdown Depth (%) -22.63 -20.58
Start to Recovery (months) 31 40*
Longest Negative Period (months) 34 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 11.14 8.46
Sharpe Ratio 0.41 0.35
Sortino Ratio 0.54 0.48
Ulcer Index 6.62 6.96
Ratio: Return / Standard Deviation 0.57 0.56
Ratio: Return / Deepest Drawdown 0.28 0.23
Metrics calculated over the period 1 May 2015 - 30 April 2025
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Yale Endowment All Weather Portfolio
Author David Swensen Ray Dalio
ASSET ALLOCATION
Stocks 70% 30%
Fixed Income 30% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 8.11 7.46
Infl. Adjusted Return (%) 5.46 4.82
DRAWDOWN
Deepest Drawdown Depth (%) -40.68 -20.58
Start to Recovery (months) 38 40*
Longest Drawdown Depth (%) -40.68 -20.58
Start to Recovery (months) 38 40*
Longest Negative Period (months) 62 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 10.86 7.48
Sharpe Ratio 0.54 0.69
Sortino Ratio 0.69 0.93
Ulcer Index 7.44 4.45
Ratio: Return / Standard Deviation 0.75 1.00
Ratio: Return / Deepest Drawdown 0.20 0.36
Metrics calculated over the period 1 May 1995 - 30 April 2025
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Yale Endowment All Weather Portfolio
Author David Swensen Ray Dalio
ASSET ALLOCATION
Stocks 70% 30%
Fixed Income 30% 55%
Commodities 0% 15%
PERFORMANCES
Annualized Return (%) 9.41 8.65
Infl. Adjusted Return (%) 6.45 5.70
DRAWDOWN
Deepest Drawdown Depth (%) -40.68 -20.58
Start to Recovery (months) 38 40*
Longest Drawdown Depth (%) -40.68 -20.58
Start to Recovery (months) 38 40*
Longest Negative Period (months) 62 46
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 10.70 7.51
Sharpe Ratio 0.58 0.73
Sortino Ratio 0.76 1.00
Ulcer Index 6.73 4.03
Ratio: Return / Standard Deviation 0.88 1.15
Ratio: Return / Deepest Drawdown 0.23 0.42
Metrics calculated over the period 1 January 1985 - 30 April 2025
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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 May 1995 - 30 April 2025 (30 years)
Period: 1 January 1985 - 30 April 2025 (~40 years)

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Yale Endowment All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-40.68 38 Nov 2007
Dec 2010
-22.63 31 Jan 2022
Jul 2024
-20.58 40* Jan 2022
In progress
-14.79 7 Feb 2020
Aug 2020
-12.17 10 May 2011
Feb 2012
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-10.97 9 Apr 1998
Dec 1998
-10.82 33 Sep 2000
May 2003
-8.41 7 Sep 2018
Mar 2019
-6.66 17 Feb 2015
Jun 2016
-6.50 15 Mar 2015
May 2016
-6.42 13 Aug 2016
Aug 2017
-5.84 6 Apr 2004
Sep 2004
-5.29 9 May 2013
Jan 2014

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Yale Endowment All Weather Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-40.68 38 Nov 2007
Dec 2010
-22.63 31 Jan 2022
Jul 2024
-20.58 40* Jan 2022
In progress
-16.20 16 Sep 1987
Dec 1988
-14.79 7 Feb 2020
Aug 2020
-12.63 14 Jan 1990
Feb 1991
-12.17 10 May 2011
Feb 2012
-11.57 9 Jan 2009
Sep 2009
-11.38 6 Jul 2008
Dec 2008
-10.97 9 Apr 1998
Dec 1998
-10.82 33 Sep 2000
May 2003
-8.78 13 Sep 1987
Sep 1988
-8.41 7 Sep 2018
Mar 2019
-8.21 16 Feb 1994
May 1995
-6.83 14 Feb 1994
Mar 1995

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 January 1985 - 30 April 2025 (~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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Yale Endowment All Weather Portfolio
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2025
 1.56 -2.00 2.00 -1.94
2024
 9.42 -3.92 6.36 -3.73
2023
 14.45 -8.62 9.95 -9.25
2022
 -17.82 -22.63 -18.39 -20.58
2021
 17.84 -3.58 8.27 -3.74
2020
 10.35 -14.79 15.88 -3.68
2019
 21.39 -2.68 17.93 -0.83
2018
 -5.76 -8.41 -3.02 -4.71
2017
 13.79 0.00 11.55 -0.49
2016
 7.40 -3.21 6.50 -6.42
2015
 -0.29 -6.50 -3.23 -6.66
2014
 9.76 -3.40 12.89 -2.52
2013
 12.04 -4.27 1.71 -5.29
2012
 13.44 -4.70 7.02 -1.33
2011
 2.46 -12.17 15.64 -2.00
2010
 14.85 -7.93 12.88 -0.69
2009
 23.34 -16.98 2.71 -11.57
2008
 -25.11 -30.37 2.38 -11.38
2007
 4.93 -4.58 11.88 -1.20
2006
 17.78 -2.66 6.93 -1.71
2005
 8.67 -2.69 8.55 -2.99
2004
 16.01 -5.84 9.41 -4.76
2003
 26.59 -1.98 13.96 -4.74
2002
 -3.49 -9.34 7.77 -1.56
2001
 -1.98 -9.29 -2.77 -4.61
2000
 3.33 -5.76 10.15 -2.26
1999
 13.91 -2.69 6.28 -3.79
1998
 8.26 -10.97 11.05 -4.83
1997
 15.25 -3.44 13.54 -2.89
1996
 15.04 -2.41 8.27 -2.11
1995
 20.31 -1.03 27.44 0.00
1994
 -2.86 -8.21 -3.28 -6.83
1993
 20.71 -3.68 12.02 -1.98
1992
 5.36 -3.21 6.76 -2.23
1991
 29.05 -3.46 17.98 -1.86
1990
 -6.06 -12.63 3.85 -5.51
1989
 21.59 -1.39 20.45 -1.14
1988
 15.34 -2.25 10.59 -1.93
1987
 2.49 -16.20 3.47 -8.78
1986
 23.31 -3.94 20.56 -3.75
1985
 30.22 -1.80 28.68 -2.13
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Mastering ETF Investing
Build wealth
with Lazy Portfolios and Passive Investing
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