Asset Allocation
Find the right asset allocation for David Swensen Yale Endowment Portfolio
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Performance Chart
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 Every 3 months.
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Returns By Period
As of Jun 3, 2026, the David Swensen Yale Endowment Portfolio returned 9.52% Year-To-Date and 8.19% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.13% | 5.25% | 11.16% | 11.43% | 28.20% | 21.12% | 12.66% | 13.75% |
Portfolio David Swensen Yale Endowment Portfolio | 0.36% | 2.77% | 9.52% | 9.88% | 20.06% | 13.24% | 5.68% | 8.19% |
| Portfolio components: | ||||||||
EEM iShares MSCI Emerging Markets ETF | 1.03% | 10.40% | 29.41% | 32.25% | 58.14% | 24.46% | 7.47% | 10.06% |
TIP iShares TIPS Bond ETF | -0.01% | -0.09% | 1.73% | 1.47% | 5.06% | 3.94% | 1.11% | 2.59% |
TLT iShares 20+ Year Treasury Bond ETF | 0.21% | 0.44% | 0.13% | -1.35% | 5.16% | -1.67% | -5.98% | -1.62% |
VEA Vanguard FTSE Developed Markets ETF | 0.63% | 5.24% | 15.96% | 19.86% | 32.71% | 20.13% | 10.01% | 10.27% |
VNQ Vanguard Real Estate ETF | 0.46% | -1.60% | 7.96% | 7.15% | 9.88% | 9.19% | 2.21% | 5.22% |
VTI Vanguard Total Stock Market ETF | 0.26% | 5.37% | 12.01% | 12.40% | 30.01% | 22.37% | 13.05% | 15.13% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 27, 2007, David Swensen Yale Endowment Portfolio's average daily return is +0.03%, while the average monthly return is +0.66%. At this rate, an investment would double in approximately 8.8 years.
Historically, 65% of months were positive and 35% were negative. The best month was Apr 2009 with a return of +11.0%, while the worst month was Oct 2008 at -17.8%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.
On a daily basis, David Swensen Yale Endowment Portfolio closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +7.6%, while the worst single day was Mar 16, 2020 at -7.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.37% | 3.05% | -5.41% | 6.67% | 2.64% | 0.25% | 9.52% | ||||||
| 2025 | 2.29% | 1.73% | -2.25% | -0.30% | 2.51% | 3.14% | 0.36% | 2.44% | 2.37% | 0.87% | 0.68% | -0.35% | 14.23% |
| 2024 | -1.35% | 2.13% | 2.31% | -4.64% | 3.82% | 1.57% | 3.46% | 2.64% | 2.24% | -2.91% | 3.21% | -4.40% | 7.82% |
| 2023 | 7.42% | -3.75% | 2.09% | 0.80% | -1.98% | 4.04% | 1.90% | -2.78% | -5.07% | -3.12% | 8.83% | 6.21% | 14.28% |
| 2022 | -4.98% | -2.15% | 0.96% | -6.62% | -1.25% | -6.25% | 6.30% | -4.36% | -9.62% | 3.27% | 6.78% | -3.85% | -20.94% |
| 2021 | -0.55% | 0.95% | 1.81% | 4.19% | 1.06% | 1.95% | 2.12% | 1.48% | -3.74% | 4.49% | -1.23% | 3.55% | 16.99% |
Benchmark Metrics
David Swensen Yale Endowment Portfolio has an annualized alpha of 1.17%, beta of 0.66, and R2 of 0.84 versus S&P 500 Index. Calculated based on daily prices since July 27, 2007.
- This portfolio participated in 74.18% of S&P 500 Index downside but only 69.72% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.66 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.17%
- Beta
- 0.66
- R²
- 0.84
- Upside Capture
- 69.72%
- Downside Capture
- 74.18%
Expense Ratio
David Swensen Yale Endowment Portfolio has an expense ratio of 0.13%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
David Swensen Yale Endowment Portfolio ranks 36 for risk / return — below 36% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for David Swensen Yale Endowment Portfolio and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.22 | 2.39 | -0.16 |
Sortino ratioReturn per unit of downside risk | 3.13 | 3.25 | -0.13 |
Omega ratioGain probability vs. loss probability | 1.41 | 1.43 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 2.74 | 3.11 | -0.37 |
Martin ratioReturn relative to average drawdown | 11.76 | 14.38 | -2.62 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
EEM iShares MSCI Emerging Markets ETF | 84 | 2.93 | 3.75 | 1.53 | 4.39 | 16.94 |
TIP iShares TIPS Bond ETF | 44 | 1.49 | 2.29 | 1.27 | 2.38 | 7.17 |
TLT iShares 20+ Year Treasury Bond ETF | 16 | 0.53 | 0.83 | 1.09 | 0.55 | 1.38 |
VEA Vanguard FTSE Developed Markets ETF | 61 | 2.10 | 2.89 | 1.38 | 2.94 | 11.50 |
VNQ Vanguard Real Estate ETF | 23 | 0.75 | 1.11 | 1.14 | 1.20 | 3.80 |
VTI Vanguard Total Stock Market ETF | 74 | 2.48 | 3.37 | 1.45 | 3.44 | 15.88 |
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Dividends
Dividend yield
David Swensen Yale Endowment Portfolio provided a 2.76% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.76% | 2.90% | 2.80% | 2.74% | 3.29% | 2.32% | 1.99% | 2.41% | 2.97% | 2.54% | 2.70% | 2.38% |
| Portfolio components: | ||||||||||||
EEM iShares MSCI Emerging Markets ETF | 1.72% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
TIP iShares TIPS Bond ETF | 3.75% | 3.46% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% |
TLT iShares 20+ Year Treasury Bond ETF | 4.57% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VEA Vanguard FTSE Developed Markets ETF | 2.59% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
VNQ Vanguard Real Estate ETF | 3.69% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTI Vanguard Total Stock Market ETF | 1.01% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the David Swensen Yale Endowment Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the David Swensen Yale Endowment Portfolio was 43.81%, occurring on Mar 9, 2009. Recovery took 399 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -43.81%Mar 2009 | 1y 4mo | 1y 7mo | 2y 11moNov 2007 - Oct 2010 |
Bear market2022 | -26.64%Oct 2022 | 9mo 17d | 1y 11mo | 2y 8moDec 2021 - Sep 2024 |
COVID crash2020 | -24.30%Mar 2020 | 29d | 4mo 19d | 5mo 18dFeb 2020 - Aug 2020 |
Rate-hike selloffLate 2018 | -11.54%Dec 2018 | 3mo 26d | 2mo 21d | 6mo 17dAug 2018 - Mar 2019 |
2011 correction2011 | -11.47%Aug 2011 | 14d | 5mo 12d | 5mo 26dJul 2011 - Jan 2012 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
Thesis
The portfolio is a classic multi-asset equity-plus-bonds mix, with the real equity bet sitting in U.S. large caps, foreign developed markets, emerging markets, and listed property. It is a sensible attempt to own several macro sleeves that are not quite independent, which is why markets keep inventing correlation tables.
The numbers
- Diversification ratio: 1.29 to 1.34, around the 45th to 64th percentile of platform portfolios; that is modest diversification, not a dramatic hedge machine.
- Effective asset count: 5.0 of 6; the weights are broadly spread, though VTI (30%), VNQ (20%), TLT (15%), and TIP (15%) do most of the work.
- Mean correlation is 0.27, but the equity block is tight: VTI/VEA 0.83, EEM/VEA 0.82, EEM/VTI 0.75.
What works
- TLT (Government Bonds, Long-Term Bond) is close to the equity complex’s opposite sign in the data, which gives the portfolio its only genuinely distinct shock absorber.
- TIP (Inflation-Protected Bonds) and TLT form a low-volatility cluster, so the fixed-income sleeve is internally coherent rather than random paper.
What does not
- VTI, VEA, and EEM behave like one equity trade with regional accents; the portfolio has geography, but not much independence.
- VNQ (REIT) is more correlated with VTI than with the bond sleeve, so it reads as equity-like risk with property pricing attached.
Stress Scenario
- In a broad risk-off move led by higher real rates or a growth scare, the equity cluster and VNQ tend to move together, leaving TLT and TIP to do nearly all the diversification work.
- If inflation is sticky rather than collapsing, TLT and TIP can stop behaving like clean complements and start looking like two versions of the same duration problem.
Diversification Metrics
Number of Effective Assets
The portfolio contains 6 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.29 | 1.28 | 1.29 | 1.32 | 1.34 |
The portfolio has a diversification ratio of 1.34, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
David Swensen Yale Endowment Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.85 |
Correlation (All Time) Calculated using the full available price history since Jul 27, 2007 | 0.88 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while TLT has the lowest at -0.27.
Asset Correlations Table
Find what David Swensen Yale Endowment Portfolio is missing
See which holdings overlap, where David Swensen Yale Endowment Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification