Dynamic 60/40 Income vs David Swensen Yale Endowment Portfolio Comparison

Last Update: 31 March 2024

The Dynamic 60/40 Income Portfolio obtained a 7.13% compound annual return, with a 9.33% standard deviation, in the last 30 Years.

The David Swensen Yale Endowment Portfolio obtained a 8.03% compound annual return, with a 10.79% standard deviation, in the last 30 Years.

Summary

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Dynamic 60/40 Income Portfolio David Swensen Yale Endowment Portfolio
Portfolio Risk High High
Asset Allocation Stocks 60% 70%
Fixed Income 40% 30%
Commodities 0% 0%
30 Years Stats Return +7.13% +8.03%
Std Dev 9.33% 10.79%
Max Drawdown -41.44% -40.68%
All time Stats
(Since Jan 1992)		 Return +7.42% +8.15%
Std Dev 9.10% 10.62%
Max Drawdown -41.44% -40.68%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from January 1992

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1M 6M 1Y 5Y 10Y 30Y MAX
Dynamic 60/40 Income Portfolio +1.24 +12.08 +11.69 +5.17 +5.47 +7.13 +7.42
David Swensen Yale Endowment Portfolio +1.96 +14.27 +12.72 +6.76 +6.50 +8.03 +8.15
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

Dynamic 60/40 Income Portfolio: an investment of 1$, since April 1994, now would be worth 7.90$, with a total return of 690.39% (7.13% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1$, since April 1994, now would be worth 10.16$, with a total return of 915.89% (8.03% annualized).

Dynamic 60/40 Income Portfolio: an investment of 1$, since January 1992, now would be worth 10.05$, with a total return of 905.43% (7.42% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1$, since January 1992, now would be worth 12.50$, with a total return of 1150.49% (8.15% annualized).

Drawdowns

Drawdown comparison chart since April 1994.

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Dynamic 60/40 Income Portfolio
David Swensen Yale Endowment Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-41.44% Jun 2007 Feb 2009 (21) Sep 2010 (40) 16.67
-40.68% Nov 2007 Feb 2009 (16) Dec 2010 (38) 18.05
-22.63% Jan 2022 Sep 2022 (9) In progress (27) 12.62
-18.21% Jan 2022 Sep 2022 (9) In progress (27) 11.22
-14.79% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.82
-14.24% Feb 2020 Mar 2020 (2) Nov 2020 (10) 5.81
-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
-10.41% Jun 2011 Sep 2011 (4) Jan 2012 (8) 4.57
-8.41% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.83
-7.02% Jul 1998 Aug 1998 (2) Dec 1998 (6) 3.48
-6.80% Sep 2018 Dec 2018 (4) Feb 2019 (6) 3.15
-6.50% Mar 2015 Sep 2015 (7) May 2016 (15) 3.35
-6.19% Apr 2002 Oct 2002 (7) Apr 2003 (13) 2.86
-5.84% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.09
-5.41% Sep 1994 Nov 1994 (3) Apr 1995 (8) 2.89
-4.70% May 2012 May 2012 (1) Aug 2012 (4) 2.19
-4.42% Apr 2015 Sep 2015 (6) Mar 2016 (12) 2.43
-4.42% Jun 2007 Jul 2007 (2) Sep 2007 (4) 2.48

Drawdown comparison chart since January 1992.

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Dynamic 60/40 Income Portfolio
David Swensen Yale Endowment Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-41.44% Jun 2007 Feb 2009 (21) Sep 2010 (40) 16.67
-40.68% Nov 2007 Feb 2009 (16) Dec 2010 (38) 18.05
-22.63% Jan 2022 Sep 2022 (9) In progress (27) 12.62
-18.21% Jan 2022 Sep 2022 (9) In progress (27) 11.22
-14.79% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.82
-14.24% Feb 2020 Mar 2020 (2) Nov 2020 (10) 5.81
-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
-10.41% Jun 2011 Sep 2011 (4) Jan 2012 (8) 4.57
-8.41% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.83
-8.21% Feb 1994 Nov 1994 (10) May 1995 (16) 5.21
-7.02% Jul 1998 Aug 1998 (2) Dec 1998 (6) 3.48
-6.80% Feb 1994 Nov 1994 (10) Apr 1995 (15) 3.87
-6.80% Sep 2018 Dec 2018 (4) Feb 2019 (6) 3.15
-6.50% Mar 2015 Sep 2015 (7) May 2016 (15) 3.35
-6.19% Apr 2002 Oct 2002 (7) Apr 2003 (13) 2.86
-5.84% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.09
-4.70% May 2012 May 2012 (1) Aug 2012 (4) 2.19
-4.42% Apr 2015 Sep 2015 (6) Mar 2016 (12) 2.43

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
+2.73%
 -0.14%
+3.24%
 -0.97%
2023
+12.28%
 -6.45%
+14.44%
 -8.62%
2022
-15.89%
 -18.21%
-17.82%
 -22.63%
2021
+15.27%
 -2.58%
+17.84%
 -3.58%
2020
+6.26%
 -14.24%
+10.35%
 -14.79%
2019
+18.59%
 -1.55%
+21.39%
 -2.68%
2018
-3.28%
 -6.80%
-5.76%
 -8.41%
2017
+8.11%
 -0.39%
+13.79%
 0.00%
2016
+7.39%
 -2.92%
+7.40%
 -3.21%
2015
+0.49%
 -4.42%
-0.29%
 -6.50%
2014
+11.87%
 -2.32%
+9.76%
 -3.40%
2013
+8.15%
 -3.78%
+12.04%
 -4.27%
2012
+12.84%
 -3.09%
+13.44%
 -4.70%
2011
+3.16%
 -10.41%
+2.46%
 -12.17%
2010
+14.75%
 -5.96%
+14.85%
 -7.93%
2009
+25.31%
 -19.50%
+23.34%
 -16.98%
2008
-21.78%
 -30.14%
-25.11%
 -30.37%
2007
-3.54%
 -7.01%
+4.93%
 -4.58%
2006
+14.28%
 -1.89%
+17.78%
 -2.66%
2005
+5.27%
 -2.10%
+8.67%
 -2.69%
2004
+12.11%
 -4.29%
+16.01%
 -5.84%
2003
+22.26%
 0.00%
+26.59%
 -1.98%
2002
-0.78%
 -6.19%
-3.49%
 -9.34%
2001
+5.55%
 -3.29%
-1.98%
 -9.29%
2000
+5.79%
 -3.60%
+3.33%
 -5.76%
1999
+4.89%
 -3.30%
+13.91%
 -2.69%
1998
+5.13%
 -7.02%
+8.26%
 -10.97%
1997
+16.74%
 -0.91%
+15.25%
 -3.44%
1996
+16.21%
 -0.78%
+15.04%
 -2.41%
1995
+20.42%
 -0.12%
+20.31%
 -1.03%
1994
-3.20%
 -6.80%
-2.86%
 -8.21%
1993
+14.00%
 -1.75%
+20.71%
 -3.68%
1992
+13.92%
 -0.48%
+5.36%
 -3.21%