Developed World ex-US 60/40 vs David Swensen Yale Endowment Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US 60/40 Portfolio obtained a 5.29% compound annual return, with a 10.17% standard deviation, in the last 30 Years.

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

Summary

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Developed World ex-US 60/40 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 +5.29% +7.80%
Std Dev 10.17% 10.83%
Max Drawdown -37.49% -40.68%
All time Stats
(Since Jan 1985)
Return +7.90% +9.45%
Std Dev 10.99% 10.76%
Max Drawdown -37.49% -40.68%
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
Developed World ex-US 60/40 Portfolio +1.43 +6.56 +11.02 +4.28 +3.79 +5.29 +7.90
David Swensen Yale Endowment Portfolio +2.25 +7.44 +12.53 +6.76 +6.31 +7.80 +9.45
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US 60/40 Portfolio: an investment of 1$, since March 1994, now would be worth 4.70$, with a total return of 370.02% (5.29% annualized).

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).

Developed World ex-US 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 19.67$, with a total return of 1867.49% (7.90% 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).

Drawdowns

Drawdown comparison chart since March 1994.

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Developed World ex-US 60/40 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
-40.68% Nov 2007 Feb 2009 (16) Dec 2010 (38) 18.05
-37.49% Nov 2007 Feb 2009 (16) Apr 2011 (42) 16.83
-22.63% Jan 2022 Sep 2022 (9) In progress (26) 12.84
-22.54% Apr 2000 Sep 2002 (30) Dec 2003 (45) 13.10
-22.40% Sep 2021 Sep 2022 (13) In progress (30) 10.46
-14.79% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.82
-14.56% Jan 2020 Mar 2020 (3) Nov 2020 (11) 6.33
-13.28% May 2011 Sep 2011 (5) Nov 2012 (19) 6.34
-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
-10.09% Feb 2018 Dec 2018 (11) Sep 2019 (20) 4.26
-9.44% May 2015 Feb 2016 (10) Feb 2017 (22) 4.41
-8.41% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.83
-7.33% Nov 1994 Feb 1995 (4) Jul 1995 (9) 3.33
-7.06% Jul 1997 Dec 1997 (6) Mar 1998 (9) 3.90
-6.93% Jun 1998 Aug 1998 (3) Oct 1998 (5) 3.66
-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

Drawdown comparison chart since January 1985.

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Developed World ex-US 60/40 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
-40.68% Nov 2007 Feb 2009 (16) Dec 2010 (38) 18.05
-37.49% Nov 2007 Feb 2009 (16) Apr 2011 (42) 16.83
-22.63% Jan 2022 Sep 2022 (9) In progress (26) 12.84
-22.54% Apr 2000 Sep 2002 (30) Dec 2003 (45) 13.10
-22.40% Sep 2021 Sep 2022 (13) In progress (30) 10.46
-18.51% Jan 1990 Sep 1990 (9) Dec 1991 (24) 8.68
-16.20% Sep 1987 Nov 1987 (3) Dec 1988 (16) 7.26
-14.79% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.82
-14.56% Jan 2020 Mar 2020 (3) Nov 2020 (11) 6.33
-13.28% May 2011 Sep 2011 (5) Nov 2012 (19) 6.34
-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
-10.09% Feb 2018 Dec 2018 (11) Sep 2019 (20) 4.26
-9.44% May 2015 Feb 2016 (10) Feb 2017 (22) 4.41
-8.82% Sep 1987 Oct 1987 (2) Feb 1988 (6) 5.47
-8.78% Jan 1992 Apr 1992 (4) Mar 1993 (15) 5.11
-8.41% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.83
-8.21% Feb 1994 Nov 1994 (10) May 1995 (16) 5.21

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
+0.53%
-0.89%
+1.25%
-0.97%
2023
+14.28%
-7.32%
+14.44%
-8.62%
2022
-14.32%
-21.67%
-17.82%
-22.63%
2021
+6.09%
-3.26%
+17.84%
-3.58%
2020
+7.71%
-14.56%
+10.35%
-14.79%
2019
+16.72%
-2.77%
+21.39%
-2.68%
2018
-7.73%
-10.09%
-5.76%
-8.41%
2017
+16.81%
0.00%
+13.79%
0.00%
2016
+3.45%
-4.03%
+7.40%
-3.21%
2015
+0.25%
-7.87%
-0.29%
-6.50%
2014
-0.09%
-4.31%
+9.76%
-3.40%
2013
+12.77%
-5.09%
+12.04%
-4.27%
2012
+14.95%
-7.61%
+13.44%
-4.70%
2011
-3.94%
-13.28%
+2.46%
-12.17%
2010
+8.42%
-7.69%
+14.85%
-7.93%
2009
+22.61%
-13.44%
+23.34%
-16.98%
2008
-25.33%
-29.87%
-25.11%
-30.37%
2007
+8.69%
-3.28%
+4.93%
-4.58%
2006
+16.94%
-2.26%
+17.78%
-2.66%
2005
+10.15%
-2.01%
+8.67%
-2.69%
2004
+14.59%
-2.01%
+16.01%
-5.84%
2003
+24.77%
-4.07%
+26.59%
-1.98%
2002
-5.65%
-12.16%
-3.49%
-9.34%
2001
-8.83%
-13.08%
-1.98%
-9.29%
2000
-4.89%
-7.85%
+3.33%
-5.76%
1999
+22.89%
-3.20%
+13.91%
-2.69%
1998
+16.75%
-6.93%
+8.26%
-10.97%
1997
-2.77%
-7.06%
+15.25%
-3.44%
1996
+4.67%
-1.39%
+15.04%
-2.41%
1995
+10.88%
-4.80%
+20.31%
-1.03%
1994
+2.94%
-3.27%
-2.86%
-8.21%
1993
+24.52%
-6.35%
+20.71%
-3.68%
1992
-4.11%
-8.78%
+5.36%
-3.21%
1991
+14.26%
-5.21%
+29.05%
-3.46%
1990
-11.99%
-18.51%
-6.06%
-12.63%
1989
+12.15%
-3.14%
+21.59%
-1.39%
1988
+18.91%
-5.35%
+15.34%
-2.25%
1987
+19.68%
-8.82%
+2.49%
-16.20%
1986
+44.57%
-5.90%
+23.31%
-3.94%
1985
+43.60%
-0.36%
+30.22%
-1.80%