David Swensen Yale Endowment Portfolio
The Yale Endowment Portfolio is the investment strategy used by the Yale University endowment fund, managed by David Swensen. It is known for its long-term, risk-averse approach to investing and has achieved strong returns over the years.
The Yale Endowment Portfolio is a globally diversified portfolio that includes a mix of stocks, bonds, private equity, real estate, and other asset classes. The specific investments within each category can vary, but the overall allocation is periodically adjusted based on the market environment and the endowment's long-term investment objectives.
One of the fundamental principles of the Yale Endowment Portfolio is the idea of "alternative investments," which refers to asset classes that are not typically included in a traditional portfolio of stocks and bonds. These asset classes can consist of private equity, real estate, hedge funds, and other types of investments that may offer the potential for higher returns or lower correlations with other asset classes. The goal is to balance risk and return that can produce solid and long-term results.
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in David Swensen Yale Endowment Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
Returns
As of Sep 23, 2023, the David Swensen Yale Endowment Portfolio returned 3.38% Year-To-Date and 6.02% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.29% | 8.79% | 12.52% | 16.97% | 8.17% | 9.84% |
| David Swensen Yale Endowment Portfolio | -1.80% | 0.68% | 3.38% | 6.57% | 4.42% | 6.02% |
| Portfolio components: | ||||||
VNQ Vanguard Real Estate ETF | -4.25% | -0.60% | -4.10% | -3.86% | 2.85% | 5.57% |
EEM iShares MSCI Emerging Markets ETF | -1.03% | 0.26% | 2.30% | 9.40% | 0.10% | 1.33% |
TLT iShares 20+ Year Treasury Bond ETF | -3.38% | -13.04% | -6.20% | -10.79% | -2.73% | 0.82% |
VTI Vanguard Total Stock Market ETF | -1.24% | 9.30% | 13.03% | 17.85% | 9.17% | 11.25% |
TIP iShares TIPS Bond ETF | -0.48% | -2.98% | 0.18% | -0.41% | 2.13% | 1.68% |
VEA Vanguard FTSE Developed Markets ETF | 0.28% | 3.81% | 7.92% | 23.85% | 3.44% | 4.12% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| TIP | TLT | VNQ | EEM | VEA | VTI | |
|---|---|---|---|---|---|---|
| TIP | 1.00 | 0.72 | -0.02 | -0.09 | -0.09 | -0.15 |
| TLT | 0.72 | 1.00 | -0.13 | -0.28 | -0.30 | -0.33 |
| VNQ | -0.02 | -0.13 | 1.00 | 0.54 | 0.59 | 0.70 |
| EEM | -0.09 | -0.28 | 0.54 | 1.00 | 0.83 | 0.76 |
| VEA | -0.09 | -0.30 | 0.59 | 0.83 | 1.00 | 0.84 |
| VTI | -0.15 | -0.33 | 0.70 | 0.76 | 0.84 | 1.00 |
Dividend yield
David Swensen Yale Endowment Portfolio granted a 2.68% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| David Swensen Yale Endowment Portfolio | 2.68% | 3.35% | 2.45% | 2.15% | 2.66% | 3.38% | 2.99% | 3.27% | 2.96% | 3.27% | 3.36% | 3.52% |
| Portfolio components: | ||||||||||||
VNQ Vanguard Real Estate ETF | 3.69% | 4.00% | 2.71% | 4.28% | 3.85% | 5.57% | 5.21% | 6.19% | 5.28% | 5.05% | 6.30% | 5.41% |
EEM iShares MSCI Emerging Markets ETF | 2.33% | 2.52% | 2.06% | 1.53% | 2.95% | 2.45% | 2.11% | 2.15% | 2.89% | 2.65% | 2.49% | 2.08% |
TLT iShares 20+ Year Treasury Bond ETF | 3.46% | 2.73% | 1.56% | 1.59% | 2.44% | 2.90% | 2.76% | 3.02% | 3.11% | 3.26% | 4.09% | 3.47% |
VTI Vanguard Total Stock Market ETF | 1.56% | 1.68% | 1.25% | 1.48% | 1.88% | 2.21% | 1.88% | 2.15% | 2.27% | 2.06% | 2.07% | 2.58% |
TIP iShares TIPS Bond ETF | 2.42% | 7.09% | 4.64% | 1.32% | 2.01% | 3.16% | 2.49% | 1.81% | 0.42% | 2.08% | 1.45% | 2.84% |
VEA Vanguard FTSE Developed Markets ETF | 3.13% | 2.97% | 3.32% | 2.22% | 3.38% | 3.84% | 3.27% | 3.71% | 3.66% | 4.75% | 3.47% | 4.08% |
Expense Ratio
The David Swensen Yale Endowment Portfolio features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
VNQ Vanguard Real Estate ETF | -0.29 | ||||
EEM iShares MSCI Emerging Markets ETF | 0.33 | ||||
TLT iShares 20+ Year Treasury Bond ETF | -0.67 | ||||
VTI Vanguard Total Stock Market ETF | 0.82 | ||||
TIP iShares TIPS Bond ETF | -0.24 | ||||
VEA Vanguard FTSE Developed Markets ETF | 1.11 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the David Swensen Yale Endowment Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the David Swensen Yale Endowment Portfolio is 43.81%, recorded on Mar 9, 2009. It took 399 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -43.81% | Nov 1, 2007 | 339 | Mar 9, 2009 | 399 | Oct 6, 2010 | 738 |
| -26.64% | Dec 31, 2021 | 199 | Oct 14, 2022 | — | — | — |
| -24.3% | Feb 18, 2020 | 22 | Mar 18, 2020 | 96 | Aug 4, 2020 | 118 |
| -11.54% | Aug 30, 2018 | 80 | Dec 24, 2018 | 55 | Mar 15, 2019 | 135 |
| -11.47% | Jul 25, 2011 | 11 | Aug 8, 2011 | 111 | Jan 17, 2012 | 122 |
Volatility Chart
The current David Swensen Yale Endowment Portfolio volatility is 2.94%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.