David Swensen Yale Endowment vs Roger Gibson Talmud Portfolio Comparison

Last Update: 29 February 2024

The David Swensen Yale Endowment Portfolio obtained a 7.80% compound annual return, with a 10.83% standard deviation, in the last 30 Years.

The Roger Gibson Talmud Portfolio obtained a 8.20% compound annual return, with a 10.85% standard deviation, in the last 30 Years.

Summary

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David Swensen Yale Endowment Portfolio Roger Gibson Talmud Portfolio
Portfolio Risk High High
Asset Allocation Stocks 70% 66.67%
Fixed Income 30% 33.33%
Commodities 0% 0%
30 Years Stats Return +7.80% +8.20%
Std Dev 10.83% 10.85%
Max Drawdown -40.68% -40.17%
All time Stats
(Since Jan 1985)
Return +9.45% +9.18%
Std Dev 10.76% 10.51%
Max Drawdown -40.68% -40.17%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
David Swensen Yale Endowment Portfolio +2.25 +7.44 +12.53 +6.76 +6.31 +7.80 +9.45
Roger Gibson Talmud Portfolio +1.99 +7.42 +11.88 +6.52 +6.72 +8.20 +9.18
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

David Swensen Yale Endowment Portfolio: an investment of 1$, since March 1994, now would be worth 9.51$, with a total return of 850.89% (7.80% annualized).

Roger Gibson Talmud Portfolio: an investment of 1$, since March 1994, now would be worth 10.63$, with a total return of 962.98% (8.20% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1$, since January 1985, now would be worth 34.32$, with a total return of 3331.69% (9.45% annualized).

Roger Gibson Talmud Portfolio: an investment of 1$, since January 1985, now would be worth 31.18$, with a total return of 3017.77% (9.18% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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David Swensen Yale Endowment Portfolio
Roger Gibson Talmud Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-40.68% Nov 2007 Feb 2009 (16) Dec 2010 (38) 18.05
-40.17% Jun 2007 Feb 2009 (21) Oct 2010 (41) 17.05
-22.88% Jan 2022 Sep 2022 (9) In progress (26) 14.46
-22.63% Jan 2022 Sep 2022 (9) In progress (26) 12.84
-15.16% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.94
-14.79% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.82
-12.17% May 2011 Sep 2011 (5) Feb 2012 (10) 4.96
-10.97% Apr 1998 Aug 1998 (5) Dec 1998 (9) 4.46
-10.82% Sep 2000 Sep 2002 (25) May 2003 (33) 5.94
-10.50% Jun 2011 Sep 2011 (4) Jan 2012 (8) 4.43
-10.43% Jul 1998 Aug 1998 (2) Dec 1998 (6) 5.05
-8.41% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.83
-8.26% Apr 2002 Oct 2002 (7) May 2003 (14) 5.13
-7.57% Sep 2018 Dec 2018 (4) Feb 2019 (6) 3.56
-7.27% Mar 1994 Nov 1994 (9) Apr 1995 (14) 3.98
-6.69% Apr 2004 Apr 2004 (1) Aug 2004 (5) 3.63
-6.50% Mar 2015 Sep 2015 (7) May 2016 (15) 3.35
-6.06% Mar 1994 Nov 1994 (9) Apr 1995 (14) 3.55
-5.84% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.09
-5.69% Apr 2015 Aug 2015 (5) Mar 2016 (12) 3.12

Drawdown comparison chart since January 1985.

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David Swensen Yale Endowment Portfolio
Roger Gibson Talmud Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-40.68% Nov 2007 Feb 2009 (16) Dec 2010 (38) 18.05
-40.17% Jun 2007 Feb 2009 (21) Oct 2010 (41) 17.05
-22.88% Jan 2022 Sep 2022 (9) In progress (26) 14.46
-22.63% Jan 2022 Sep 2022 (9) In progress (26) 12.84
-16.20% Sep 1987 Nov 1987 (3) Dec 1988 (16) 7.26
-15.52% Sep 1987 Nov 1987 (3) Jan 1989 (17) 6.69
-15.16% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.94
-14.79% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.82
-12.63% Jan 1990 Sep 1990 (9) Feb 1991 (14) 6.15
-12.17% May 2011 Sep 2011 (5) Feb 2012 (10) 4.96
-10.97% Apr 1998 Aug 1998 (5) Dec 1998 (9) 4.46
-10.82% Sep 2000 Sep 2002 (25) May 2003 (33) 5.94
-10.50% Jun 2011 Sep 2011 (4) Jan 2012 (8) 4.43
-10.43% Jul 1998 Aug 1998 (2) Dec 1998 (6) 5.05
-10.14% Jul 1990 Oct 1990 (4) Jan 1991 (7) 5.88
-8.70% Oct 1993 Nov 1994 (14) May 1995 (20) 4.54
-8.41% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.83
-8.26% Apr 2002 Oct 2002 (7) May 2003 (14) 5.13
-8.21% Feb 1994 Nov 1994 (10) May 1995 (16) 5.21
-7.57% Sep 2018 Dec 2018 (4) Feb 2019 (6) 3.56

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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Year Return Drawdown Return Drawdown
2024
+1.25%
-0.97%
+0.59%
-1.37%
2023
+14.44%
-8.62%
+14.42%
-9.16%
2022
-17.82%
-22.63%
-19.62%
-22.88%
2021
+17.84%
-3.58%
+21.44%
-3.93%
2020
+10.35%
-14.79%
+8.02%
-15.16%
2019
+21.39%
-2.68%
+22.79%
-1.65%
2018
-5.76%
-8.41%
-3.78%
-7.57%
2017
+13.79%
0.00%
+9.90%
-0.80%
2016
+7.40%
-3.21%
+7.99%
-4.84%
2015
-0.29%
-6.50%
+1.11%
-5.69%
2014
+9.76%
-3.40%
+16.24%
-3.05%
2013
+12.04%
-4.27%
+11.22%
-4.74%
2012
+13.44%
-4.70%
+12.41%
-3.41%
2011
+2.46%
-12.17%
+5.83%
-10.50%
2010
+14.85%
-7.93%
+17.33%
-7.24%
2009
+23.34%
-16.98%
+20.87%
-18.28%
2008
-25.11%
-30.37%
-22.37%
-28.90%
2007
+4.93%
-4.58%
-1.40%
-7.11%
2006
+17.78%
-2.66%
+18.42%
-3.01%
2005
+8.67%
-2.69%
+6.88%
-3.47%
2004
+16.01%
-5.84%
+15.93%
-6.69%
2003
+26.59%
-1.98%
+23.46%
-1.81%
2002
-3.49%
-9.34%
-2.82%
-8.26%
2001
-1.98%
-9.29%
+3.27%
-5.08%
2000
+3.33%
-5.76%
+9.05%
-4.13%
1999
+13.91%
-2.69%
+6.34%
-4.64%
1998
+8.26%
-10.97%
+5.18%
-10.43%
1997
+15.25%
-3.44%
+19.74%
-1.89%
1996
+15.04%
-2.41%
+19.46%
-1.65%
1995
+20.31%
-1.03%
+22.03%
-0.94%
1994
-2.86%
-8.21%
-3.74%
-8.67%
1993
+20.71%
-3.68%
+13.33%
-2.90%
1992
+5.36%
-3.21%
+10.28%
-1.73%
1991
+29.05%
-3.46%
+27.78%
-2.56%
1990
-6.06%
-12.63%
-4.26%
-10.14%
1989
+21.59%
-1.39%
+16.87%
-1.33%
1988
+15.34%
-2.25%
+12.71%
-1.50%
1987
+2.49%
-16.20%
+0.17%
-15.52%
1986
+23.31%
-3.94%
+16.28%
-3.57%
1985
+30.22%
-1.80%
+24.20%
-2.28%