Short Term Treasury Portfolio vs David Swensen Yale Endowment Portfolio Portfolio Comparison

Simulation Settings
Period: January 1985 - May 2025 (~40 years)
Consolidated Returns as of 31 May 2025
Rebalancing: at every Jan 1st
Currency: USD
Inflation: US
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Results
30 Years
(1995/06 - 2025/05)
All Data
(1985/01 - 2025/05)
Inflation Adjusted:
Short Term Treasury Portfolio
1.00$
Invested Capital
June 1995
2.44$
Final Capital
May 2025
3.01%
Yearly Return
1.74%
Std Deviation
-5.36%
Max Drawdown
37months
Recovery Period
1.00$
Invested Capital
June 1995
1.16$
Final Capital
May 2025
0.48%
Yearly Return
1.74%
Std Deviation
-23.21%
Max Drawdown
197months*
Recovery Period
* in progress
1.00$
Invested Capital
January 1985
5.59$
Final Capital
May 2025
4.35%
Yearly Return
2.10%
Std Deviation
-5.36%
Max Drawdown
37months
Recovery Period
1.00$
Invested Capital
January 1985
1.84$
Final Capital
May 2025
1.52%
Yearly Return
2.10%
Std Deviation
-23.21%
Max Drawdown
197months*
Recovery Period
* in progress
David Swensen Yale Endowment Portfolio
1.00$
Invested Capital
June 1995
10.31$
Final Capital
May 2025
8.09%
Yearly Return
10.86%
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period
1.00$
Invested Capital
June 1995
4.89$
Final Capital
May 2025
5.43%
Yearly Return
10.86%
Std Deviation
-41.66%
Max Drawdown
42months
Recovery Period
1.00$
Invested Capital
January 1985
38.72$
Final Capital
May 2025
9.47%
Yearly Return
10.70%
Std Deviation
-40.68%
Max Drawdown
38months
Recovery Period
1.00$
Invested Capital
January 1985
12.74$
Final Capital
May 2025
6.50%
Yearly Return
10.70%
Std Deviation
-41.66%
Max Drawdown
42months
Recovery Period

As of May 2025, in the previous 30 Years, the Short Term Treasury Portfolio obtained a 3.01% compound annual return, with a 1.74% standard deviation. It suffered a maximum drawdown of -5.36% that required 37 months to be recovered.

As of May 2025, in the previous 30 Years, the David Swensen Yale Endowment Portfolio obtained a 8.09% compound annual return, with a 10.86% standard deviation. It suffered a maximum drawdown of -40.68% that required 38 months to be recovered.

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.

Short Term Treasury Portfolio
Weight
(%)		 Ticker Name
100.00
SHY
iShares 1-3 Year Treasury Bond
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, 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 - 31 May 2025 (~40 years)
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Return (%) as of May 31, 2025
YTD
(5M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
https://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_us_author.webp Short Term Treasury
-- Market Benchmark 		2.13 -0.25 2.38 5.55 1.06 1.39 3.01 4.35
https://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_david_swensen.webp Yale Endowment
David Swensen 		4.40 2.81 0.61 10.85 8.25 6.60 8.09 9.47
Return over 1 year are annualized.
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Capital Growth as of May 31, 2025

Short Term Treasury Portfolio: an investment of 1$, since June 1995, now would be worth 2.44$, with a total return of 143.69% (3.01% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1$, since June 1995, now would be worth 10.31$, with a total return of 931.30% (8.09% annualized).


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Short Term Treasury Portfolio: an investment of 1$, since January 1985, now would be worth 5.59$, with a total return of 459.17% (4.35% annualized).

David Swensen Yale Endowment Portfolio: an investment of 1$, since January 1985, now would be worth 38.72$, with a total return of 3771.92% (9.47% annualized).


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Portfolio Metrics as of May 31, 2025

The following metrics, updated as of 31 May 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 June 2024 - 31 May 2025 (1 year)
Period: 1 June 2020 - 31 May 2025 (5 years)
Period: 1 June 2015 - 31 May 2025 (10 years)
Period: 1 June 1995 - 31 May 2025 (30 years)
Period: 1 January 1985 - 31 May 2025 (~40 years)
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Short Term Treasury Yale Endowment
Author David Swensen
ASSET ALLOCATION
Stocks 0% 70%
Fixed Income 100% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.55 10.85
Infl. Adjusted Return (%) 3.10 8.28
DRAWDOWN
Deepest Drawdown Depth (%) -0.62 -3.63
Start to Recovery (months) 4 6
Longest Drawdown Depth (%) -0.62 -3.63
Start to Recovery (months) 4 6
Longest Negative Period (months) 3 7
RISK INDICATORS
Standard Deviation (%) 1.67 7.75
Sharpe Ratio 0.51 0.79
Sortino Ratio 0.64 0.97
Ulcer Index 0.21 1.54
Ratio: Return / Standard Deviation 3.33 1.40
Ratio: Return / Deepest Drawdown 8.89 2.99
Metrics calculated over the period 1 June 2024 - 31 May 2025
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Short Term Treasury Yale Endowment
Author David Swensen
ASSET ALLOCATION
Stocks 0% 70%
Fixed Income 100% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 1.06 8.25
Infl. Adjusted Return (%) -3.40 3.47
DRAWDOWN
Deepest Drawdown Depth (%) -5.36 -22.63
Start to Recovery (months) 37 31
Longest Drawdown Depth (%) -5.36 -22.63
Start to Recovery (months) 37 31
Longest Negative Period (months) 48 34
RISK INDICATORS
Standard Deviation (%) 1.99 12.28
Sharpe Ratio -0.78 0.46
Sortino Ratio -1.11 0.62
Ulcer Index 2.27 8.66
Ratio: Return / Standard Deviation 0.53 0.67
Ratio: Return / Deepest Drawdown 0.20 0.36
Metrics calculated over the period 1 June 2020 - 31 May 2025
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Short Term Treasury Yale Endowment
Author David Swensen
ASSET ALLOCATION
Stocks 0% 70%
Fixed Income 100% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 1.39 6.60
Infl. Adjusted Return (%) -1.63 3.42
DRAWDOWN
Deepest Drawdown Depth (%) -5.36 -22.63
Start to Recovery (months) 37 31
Longest Drawdown Depth (%) -5.36 -22.63
Start to Recovery (months) 37 31
Longest Negative Period (months) 49 34
RISK INDICATORS
Standard Deviation (%) 1.62 11.16
Sharpe Ratio -0.25 0.43
Sortino Ratio -0.36 0.57
Ulcer Index 1.63 6.62
Ratio: Return / Standard Deviation 0.86 0.59
Ratio: Return / Deepest Drawdown 0.26 0.29
Metrics calculated over the period 1 June 2015 - 31 May 2025
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Short Term Treasury Yale Endowment
Author David Swensen
ASSET ALLOCATION
Stocks 0% 70%
Fixed Income 100% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.01 8.09
Infl. Adjusted Return (%) 0.48 5.43
DRAWDOWN
Deepest Drawdown Depth (%) -5.36 -40.68
Start to Recovery (months) 37 38
Longest Drawdown Depth (%) -5.36 -40.68
Start to Recovery (months) 37 38
Longest Negative Period (months) 49 62
RISK INDICATORS
Standard Deviation (%) 1.74 10.86
Sharpe Ratio 0.43 0.54
Sortino Ratio 0.64 0.69
Ulcer Index 0.97 7.44
Ratio: Return / Standard Deviation 1.73 0.74
Ratio: Return / Deepest Drawdown 0.56 0.20
Metrics calculated over the period 1 June 1995 - 31 May 2025
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Short Term Treasury Yale Endowment
Author David Swensen
ASSET ALLOCATION
Stocks 0% 70%
Fixed Income 100% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.35 9.47
Infl. Adjusted Return (%) 1.52 6.50
DRAWDOWN
Deepest Drawdown Depth (%) -5.36 -40.68
Start to Recovery (months) 37 38
Longest Drawdown Depth (%) -5.36 -40.68
Start to Recovery (months) 37 38
Longest Negative Period (months) 49 62
RISK INDICATORS
Standard Deviation (%) 2.10 10.70
Sharpe Ratio 0.57 0.59
Sortino Ratio 0.87 0.76
Ulcer Index 0.87 6.73
Ratio: Return / Standard Deviation 2.07 0.89
Ratio: Return / Deepest Drawdown 0.81 0.23
Metrics calculated over the period 1 January 1985 - 31 May 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 June 1995 - 31 May 2025 (30 years)
Period: 1 January 1985 - 31 May 2025 (~40 years)

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Short Term Treasury Yale Endowment
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-40.68 38 Nov 2007
Dec 2010
-22.63 31 Jan 2022
Jul 2024
-14.79 7 Feb 2020
Aug 2020
-12.17 10 May 2011
Feb 2012
-10.97 9 Apr 1998
Dec 1998
-10.82 33 Sep 2000
May 2003
-8.41 7 Sep 2018
Mar 2019
-6.50 15 Mar 2015
May 2016
-5.84 6 Apr 2004
Sep 2004
-5.36 37 Jun 2021
Jun 2024
-4.70 4 May 2012
Aug 2012
-4.42 4 Jun 2007
Sep 2007
-4.27 6 May 2013
Oct 2013
-3.93 7 Feb 2018
Aug 2018
-3.66 3 Sep 2020
Nov 2020

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Short Term Treasury Yale Endowment
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-40.68 38 Nov 2007
Dec 2010
-22.63 31 Jan 2022
Jul 2024
-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
-10.97 9 Apr 1998
Dec 1998
-10.82 33 Sep 2000
May 2003
-8.41 7 Sep 2018
Mar 2019
-8.21 16 Feb 1994
May 1995
-6.50 15 Mar 2015
May 2016
-5.84 6 Apr 2004
Sep 2004
-5.36 37 Jun 2021
Jun 2024
-4.70 4 May 2012
Aug 2012
-4.42 4 Jun 2007
Sep 2007

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 - 31 May 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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Short Term Treasury Yale Endowment
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2025
 2.13 -0.25 4.40 -2.00
2024
 3.91 -0.62 9.42 -3.92
2023
 3.97 -0.99 14.45 -8.62
2022
 -3.88 -4.65 -17.82 -22.63
2021
 -0.72 -0.74 17.84 -3.58
2020
 3.03 -0.08 10.35 -14.79
2019
 3.38 -0.13 21.39 -2.68
2018
 1.46 -0.39 -5.76 -8.41
2017
 0.26 -0.51 13.79 0.00
2016
 0.82 -0.67 7.40 -3.21
2015
 0.43 -0.55 -0.29 -6.50
2014
 0.45 -0.29 9.76 -3.40
2013
 0.21 -0.23 12.04 -4.27
2012
 0.28 -0.22 13.44 -4.70
2011
 1.44 -0.25 2.46 -12.17
2010
 2.28 -0.37 14.85 -7.93
2009
 0.35 -0.84 23.34 -16.98
2008
 6.62 -1.18 -25.11 -30.37
2007
 7.35 -0.07 4.93 -4.58
2006
 3.89 0.00 17.78 -2.66
2005
 1.53 -0.38 8.67 -2.69
2004
 0.66 -1.09 16.01 -5.84
2003
 2.22 -0.55 26.59 -1.98
2002
 8.02 -0.82 -3.49 -9.34
2001
 7.80 -1.09 -1.98 -9.29
2000
 8.83 -0.22 3.33 -5.76
1999
 1.85 -0.88 13.91 -2.69
1998
 7.36 -0.15 8.26 -10.97
1997
 6.51 -0.20 15.25 -3.44
1996
 4.39 -1.11 15.04 -2.41
1995
 12.11 0.00 20.31 -1.03
1994
 -0.48 -2.23 -2.86 -8.21
1993
 6.31 -0.45 20.71 -3.68
1992
 6.75 -1.21 5.36 -3.21
1991
 11.49 0.00 29.05 -3.46
1990
 9.92 -0.09 -6.06 -12.63
1989
 11.48 -0.98 21.59 -1.39
1988
 5.67 -0.37 15.34 -2.25
1987
 4.78 -0.99 2.49 -16.20
1986
 10.35 -0.40 23.31 -3.94
1985
 13.83 -0.51 30.22 -1.80
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