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David Swensen Yale Endowment Portfolio

Last updated Aug 6, 2022
Expense Ratio

Rank 36 of 54

0.13%
0.00%0.94%
Dividend Yield

Rank 7 of 54

3.05%
0.00%4.41%
10Y Annualized Return

Rank 34 of 54

8.02%
3.92%63.10%
Sharpe Ratio

Rank 41 of 54

-0.62
-1.140.04
Maximum Drawdown

Rank 18 of 54

-27.67%
-91.88%-17.74%

David Swensen Yale Endowment PortfolioAsset Allocation


David Swensen Yale Endowment PortfolioPerformance

The chart shows the growth of $10,000 invested in David Swensen Yale Endowment Portfolio in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $28,056 for a total return of roughly 180.56%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-20.00%-15.00%-10.00%-5.00%0.00%MarchAprilMayJuneJulyAugust
-8.89%
-7.56%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

David Swensen Yale Endowment PortfolioReturns

As of Aug 6, 2022, the David Swensen Yale Endowment Portfolio returned -14.32% Year-To-Date and 8.02% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark8.19%-7.42%-13.03%-5.85%10.86%11.53%
David Swensen Yale Endowment Portfolio4.77%-9.20%-14.26%-10.78%6.77%7.55%
VNQ
Vanguard Real Estate ETF
5.23%-7.15%-15.11%-5.51%6.93%7.96%
EEM
iShares MSCI Emerging Markets ETF
1.32%-16.77%-17.30%-21.84%0.32%2.05%
TLT
iShares 20+ Year Treasury Bond ETF
-0.04%-16.61%-20.49%-21.52%0.64%1.47%
VTI
Vanguard Total Stock Market ETF
8.57%-6.87%-13.37%-7.22%12.26%13.40%
TIP
iShares TIPS Bond ETF
1.27%-3.59%-6.68%-5.28%3.44%1.67%
VEA
Vanguard FTSE Developed Markets ETF
6.22%-12.30%-15.53%-15.85%2.87%6.01%

David Swensen Yale Endowment PortfolioSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current David Swensen Yale Endowment Portfolio Sharpe ratio is -0.62. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.000.501.00MarchAprilMayJuneJulyAugust
-0.83
-0.31
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

David Swensen Yale Endowment PortfolioDividends

David Swensen Yale Endowment Portfolio granted a 3.05% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

3.05%2.36%2.07%2.57%3.27%2.88%3.16%2.86%3.16%3.24%3.40%4.01%3.66%

David Swensen Yale Endowment PortfolioDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2022FebruaryMarchAprilMayJuneJulyAugust
-14.31%
-13.58%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

David Swensen Yale Endowment PortfolioWorst 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 24.30%, recorded on Mar 18, 2020. It took 96 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.3%Feb 18, 202022Mar 18, 202096Aug 4, 2020118
-20.89%Dec 31, 2021116Jun 16, 2022
-11.54%Aug 30, 201880Dec 24, 201855Mar 15, 2019135
-11.47%Jul 25, 201111Aug 8, 2011111Jan 17, 2012122
-10.53%Apr 27, 2015202Feb 11, 201678Jun 3, 2016280
-9.38%May 22, 201323Jun 24, 201387Oct 25, 2013110
-8.52%Apr 30, 201026Jun 7, 201068Sep 13, 201094
-7.68%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147
-6.58%Jan 20, 201014Feb 8, 201021Mar 10, 201035
-6.13%Sep 8, 201647Nov 11, 201667Feb 21, 2017114

David Swensen Yale Endowment PortfolioVolatility Chart

Current David Swensen Yale Endowment Portfolio volatility is 14.11%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%MarchAprilMayJuneJulyAugust
14.68%
19.67%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

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